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Semiconductor Stocks Portfolio
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


INTC 10%ADI 10%AVGO 10%NVDA 10%QCOM 10%AMD 10%STM 10%TXN 10%SWKS 10%MU 10%EquityEquity
PositionCategory/SectorWeight
ADI
Analog Devices, Inc.
Technology
10%
AMD
Advanced Micro Devices, Inc.
Technology
10%
AVGO
Broadcom Inc.
Technology
10%
INTC
Intel Corporation
Technology
10%
MU
Micron Technology, Inc.
Technology
10%
NVDA
NVIDIA Corporation
Technology
10%
QCOM
QUALCOMM Incorporated
Technology
10%
STM
STMicroelectronics N.V.
Technology
10%
SWKS
Skyworks Solutions, Inc.
Technology
10%
TXN
Texas Instruments Incorporated
Technology
10%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Semiconductor Stocks Portfolio, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly


-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%MayJuneJulyAugustSeptemberOctober
8.36%
15.83%
Semiconductor Stocks Portfolio
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Aug 6, 2009, corresponding to the inception date of AVGO

Returns By Period

As of Oct 30, 2024, the Semiconductor Stocks Portfolio returned 17.31% Year-To-Date and 28.80% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
Semiconductor Stocks Portfolio17.31%1.81%8.36%55.68%26.61%28.80%
INTC
Intel Corporation
-53.82%-4.22%-24.06%-34.76%-14.36%-1.24%
ADI
Analog Devices, Inc.
20.00%1.37%18.22%53.58%19.39%19.38%
AVGO
Broadcom Inc.
62.30%3.79%38.74%116.35%48.19%39.10%
NVDA
NVIDIA Corporation
185.29%16.35%63.51%243.27%95.48%77.28%
QCOM
QUALCOMM Incorporated
23.44%3.45%7.11%66.63%19.70%11.64%
AMD
Advanced Micro Devices, Inc.
12.78%1.16%4.97%72.85%37.55%50.59%
STM
STMicroelectronics N.V.
-41.92%-4.74%-26.50%-22.65%5.72%17.68%
TXN
Texas Instruments Incorporated
26.69%1.06%21.45%53.70%15.44%18.71%
SWKS
Skyworks Solutions, Inc.
-11.02%-0.83%-6.75%16.56%3.53%7.18%
MU
Micron Technology, Inc.
27.14%0.75%-4.04%64.44%18.41%12.83%

Monthly Returns

The table below presents the monthly returns of Semiconductor Stocks Portfolio, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.52%8.38%6.08%-6.31%9.50%4.05%-4.30%-3.74%0.40%17.31%
202316.85%1.42%12.56%-6.73%11.04%5.31%5.94%-4.69%-5.66%-5.38%16.54%12.83%72.45%
2022-9.04%-1.26%-0.30%-14.21%5.72%-17.22%14.89%-9.81%-13.81%4.31%16.20%-9.23%-33.94%
20213.37%3.71%0.30%-0.17%1.23%6.91%1.08%2.21%-4.30%5.54%12.84%0.99%38.16%
2020-1.40%-3.94%-10.99%15.61%5.77%6.61%6.32%9.23%-0.37%-2.28%16.15%4.06%50.17%
20199.97%6.06%3.47%11.45%-17.58%14.85%4.95%-2.06%1.67%8.44%6.32%9.97%68.72%
20189.45%-0.19%-4.07%-4.01%14.24%-2.98%2.54%6.33%2.20%-14.77%-0.27%-6.54%-1.29%
20174.75%6.78%4.52%-2.54%7.64%-4.34%5.78%2.51%5.12%8.92%0.71%-2.16%43.53%
2016-10.15%-0.60%10.48%0.48%11.46%2.56%13.48%6.28%3.87%1.42%9.88%7.49%70.10%
2015-2.71%11.87%-1.25%-3.82%7.30%-9.31%-5.43%-3.91%-0.35%8.51%3.03%0.45%2.29%
2014-0.91%8.74%3.57%2.36%4.50%3.72%-3.07%7.26%-2.01%-2.03%7.55%0.74%33.90%
20139.84%-0.50%4.52%1.31%11.48%0.52%1.54%-1.24%8.41%-0.03%3.90%5.91%55.07%

Expense Ratio

Semiconductor Stocks Portfolio has an expense ratio of 0.00%, indicating no management fees are charged. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.


The portfolio doesn't hold funds that charge fees

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Semiconductor Stocks Portfolio is 14, indicating that it is in the bottom 14% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of Semiconductor Stocks Portfolio is 1414
Combined Rank
The Sharpe Ratio Rank of Semiconductor Stocks Portfolio is 1111Sharpe Ratio Rank
The Sortino Ratio Rank of Semiconductor Stocks Portfolio is 99Sortino Ratio Rank
The Omega Ratio Rank of Semiconductor Stocks Portfolio is 1010Omega Ratio Rank
The Calmar Ratio Rank of Semiconductor Stocks Portfolio is 2929Calmar Ratio Rank
The Martin Ratio Rank of Semiconductor Stocks Portfolio is 88Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

This table presents a comparison of risk-adjusted performance metrics for positions. Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Semiconductor Stocks Portfolio
Sharpe ratio
The chart of Sharpe ratio for Semiconductor Stocks Portfolio, currently valued at 1.75, compared to the broader market0.002.004.006.001.75
Sortino ratio
The chart of Sortino ratio for Semiconductor Stocks Portfolio, currently valued at 2.23, compared to the broader market-2.000.002.004.006.002.23
Omega ratio
The chart of Omega ratio for Semiconductor Stocks Portfolio, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.802.001.30
Calmar ratio
The chart of Calmar ratio for Semiconductor Stocks Portfolio, currently valued at 2.12, compared to the broader market0.005.0010.002.12
Martin ratio
The chart of Martin ratio for Semiconductor Stocks Portfolio, currently valued at 5.83, compared to the broader market0.0010.0020.0030.0040.0050.0060.005.83
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
INTC
Intel Corporation
-0.70-0.720.89-0.50-0.96
ADI
Analog Devices, Inc.
1.572.201.272.289.24
AVGO
Broadcom Inc.
2.573.101.414.6414.31
NVDA
NVIDIA Corporation
4.844.431.589.2029.13
QCOM
QUALCOMM Incorporated
1.852.341.321.694.91
AMD
Advanced Micro Devices, Inc.
1.512.091.271.783.54
STM
STMicroelectronics N.V.
-0.68-0.770.90-0.53-1.06
TXN
Texas Instruments Incorporated
1.972.651.322.0512.65
SWKS
Skyworks Solutions, Inc.
0.400.761.100.261.21
MU
Micron Technology, Inc.
1.392.071.251.503.36

Sharpe Ratio

The current Semiconductor Stocks Portfolio Sharpe ratio is 1.75. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 2.49 to 3.44, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of Semiconductor Stocks Portfolio with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00MayJuneJulyAugustSeptemberOctober
1.75
3.43
Semiconductor Stocks Portfolio
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Semiconductor Stocks Portfolio provided a 1.29% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Semiconductor Stocks Portfolio1.29%1.34%2.03%1.23%1.32%1.53%1.92%1.44%1.63%2.04%1.76%1.82%
INTC
Intel Corporation
2.18%1.47%5.52%2.70%2.65%2.11%2.56%2.33%2.87%2.79%2.48%3.47%
ADI
Analog Devices, Inc.
1.54%1.73%1.85%1.57%1.68%1.82%2.24%2.02%2.31%2.89%2.67%2.67%
AVGO
Broadcom Inc.
1.17%1.71%3.02%2.24%3.05%3.54%3.11%1.87%1.43%1.13%1.22%1.66%
NVDA
NVIDIA Corporation
0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.30%0.46%1.19%1.68%1.95%
QCOM
QUALCOMM Incorporated
1.88%2.18%2.67%1.47%1.69%2.81%4.27%3.50%3.17%3.72%2.17%1.75%
AMD
Advanced Micro Devices, Inc.
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
STM
STMicroelectronics N.V.
1.04%0.48%0.82%0.45%0.50%0.89%1.73%1.10%2.33%5.11%4.55%4.25%
TXN
Texas Instruments Incorporated
1.85%2.94%2.84%2.23%2.27%2.50%2.78%2.03%2.25%2.55%2.32%2.44%
SWKS
Skyworks Solutions, Inc.
2.80%2.31%2.59%1.37%1.23%1.36%2.09%1.26%1.45%1.02%0.48%0.00%
MU
Micron Technology, Inc.
0.43%0.54%0.89%0.21%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%MayJuneJulyAugustSeptemberOctober
-11.45%
-0.54%
Semiconductor Stocks Portfolio
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Semiconductor Stocks Portfolio. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the Semiconductor Stocks Portfolio was 43.27%, occurring on Oct 14, 2022. Recovery took 276 trading sessions.

The current Semiconductor Stocks Portfolio drawdown is 11.45%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-43.27%Dec 28, 2021202Oct 14, 2022276Nov 20, 2023478
-37.34%Feb 18, 2011157Oct 3, 2011486Sep 9, 2013643
-36.77%Feb 20, 202018Mar 16, 202057Jun 5, 202075
-27.23%Mar 23, 2015226Feb 11, 201674May 27, 2016300
-26.96%Sep 25, 201863Dec 24, 201868Apr 3, 2019131

Volatility

Volatility Chart

The current Semiconductor Stocks Portfolio volatility is 6.39%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.


0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
6.39%
2.71%
Semiconductor Stocks Portfolio
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

AMDMUINTCSTMQCOMNVDAAVGOSWKSTXNADI
AMD1.000.510.480.490.480.610.470.480.540.55
MU0.511.000.550.530.530.570.540.580.600.61
INTC0.480.551.000.530.560.530.530.570.660.63
STM0.490.530.531.000.550.540.550.600.650.66
QCOM0.480.530.560.551.000.550.570.610.640.63
NVDA0.610.570.530.540.551.000.560.560.610.61
AVGO0.470.540.530.550.570.561.000.650.640.65
SWKS0.480.580.570.600.610.560.651.000.690.70
TXN0.540.600.660.650.640.610.640.691.000.82
ADI0.550.610.630.660.630.610.650.700.821.00
The correlation results are calculated based on daily price changes starting from Aug 7, 2009