PortfoliosLab logo
PortfoliosLab logo
​
Tools
Performance Analysis
Portfolio Analysis
Risk Analysis
Optimization
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Screeners
Discussions
Semiconductor ETFs
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Semiconductor ETFs

Last updated Nov 13, 2024

Asset Allocation

SMH 12.5%USD 12.5%SOXL 12.5%SOXX 12.5%SOXQ 12.5%PXI 12.5%XSD 12.5%FTXL 12.5%EquityEquity
PositionCategory/SectorWeight
FTXL
First Trust Nasdaq Semiconductor ETF		Technology Equities
12.50%
PXI
Invesco DWA Energy Momentum ETF		Energy Equities
12.50%
SMH
VanEck Vectors Semiconductor ETF		Technology Equities
12.50%
SOXL
Direxion Daily Semiconductor Bull 3x Shares		Leveraged Equities, Leveraged
12.50%
SOXQ
Invesco PHLX Semiconductor ETF		Technology Equities
12.50%
SOXX
iShares PHLX Semiconductor ETF		Technology Equities
12.50%
USD
ProShares Ultra Semiconductors		Leveraged Equities, Leveraged
12.50%
XSD
SPDR S&P Semiconductor ETF		Technology Equities
12.50%

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Semiconductor ETFs, 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

-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-0.95%
12.76%
Semiconductor ETFs
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jun 11, 2021, corresponding to the inception date of SOXQ

Returns By Period

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		25.48%2.14%12.76%33.14%13.96%11.39%
Semiconductor ETFs28.97%-7.49%-0.95%50.75%N/AN/A
Portfolio components:
SMH
VanEck Vectors Semiconductor ETF		41.61%-5.22%5.87%54.65%32.95%28.62%
USD
ProShares Ultra Semiconductors		155.35%-2.11%34.64%201.08%59.09%47.89%
SOXL
Direxion Daily Semiconductor Bull 3x Shares		-4.93%-27.27%-36.54%35.13%14.52%32.97%
SOXX
iShares PHLX Semiconductor ETF		14.25%-8.94%-4.98%29.81%23.83%23.72%
SOXQ
Invesco PHLX Semiconductor ETF		20.65%-7.81%-0.47%36.70%N/AN/A
PXI
Invesco DWA Energy Momentum ETF		9.07%4.74%1.11%12.78%14.98%0.97%
XSD
SPDR S&P Semiconductor ETF		4.53%-5.15%-1.98%21.12%19.09%21.23%
FTXL
First Trust Nasdaq Semiconductor ETF		9.64%-8.43%-3.68%25.47%18.43%N/A

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20242.64%15.76%7.17%-6.81%13.49%7.64%-6.17%-3.63%-0.94%-4.16%28.97%
202320.74%0.98%11.64%-9.84%18.68%9.93%8.12%-5.01%-8.54%-9.70%20.10%16.14%89.44%
2022-13.90%0.13%2.14%-19.20%8.14%-21.90%22.68%-12.07%-17.49%5.63%22.23%-14.04%-40.63%
20216.13%-2.48%3.52%-3.21%10.01%14.60%2.38%33.85%

Expense Ratio

Semiconductor ETFs features an expense ratio of 0.54%, falling within the medium range. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.

SOXL
Direxion Daily Semiconductor Bull 3x Shares
Expense ratio chart for SOXL: current value at 0.99% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.99%
USD
ProShares Ultra Semiconductors
Expense ratio chart for USD: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
PXI
Invesco DWA Energy Momentum ETF
Expense ratio chart for PXI: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
FTXL
First Trust Nasdaq Semiconductor ETF
Expense ratio chart for FTXL: current value at 0.60% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.60%
SOXX
iShares PHLX Semiconductor ETF
Expense ratio chart for SOXX: current value at 0.46% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.46%
SMH
VanEck Vectors Semiconductor ETF
Expense ratio chart for SMH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
XSD
SPDR S&P Semiconductor ETF
Expense ratio chart for XSD: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
SOXQ
Invesco PHLX Semiconductor ETF
Expense ratio chart for SOXQ: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Semiconductor ETFs is 13, indicating that it is in the bottom 13% 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 ETFs is 1313
Combined Rank
The Sharpe Ratio Rank of Semiconductor ETFs is 1111Sharpe Ratio Rank
The Sortino Ratio Rank of Semiconductor ETFs is 99Sortino Ratio Rank
The Omega Ratio Rank of Semiconductor ETFs is 1111Omega Ratio Rank
The Calmar Ratio Rank of Semiconductor ETFs is 2525Calmar Ratio Rank
The Martin Ratio Rank of Semiconductor ETFs is 99Martin 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 ETFs
Sharpe ratio
The chart of Sharpe ratio for Semiconductor ETFs, currently valued at 1.33, compared to the broader market0.002.004.006.001.33
Sortino ratio
The chart of Sortino ratio for Semiconductor ETFs, currently valued at 1.82, compared to the broader market-2.000.002.004.006.001.82
Omega ratio
The chart of Omega ratio for Semiconductor ETFs, currently valued at 1.24, compared to the broader market0.801.001.201.401.601.802.001.24
Calmar ratio
The chart of Calmar ratio for Semiconductor ETFs, currently valued at 1.87, compared to the broader market0.005.0010.0015.001.87
Martin ratio
The chart of Martin ratio for Semiconductor ETFs, currently valued at 4.64, compared to the broader market0.0010.0020.0030.0040.0050.0060.004.64
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.91, compared to the broader market0.002.004.006.002.91
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.88, compared to the broader market-2.000.002.004.006.003.88
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.55, compared to the broader market0.801.001.201.401.601.802.001.55
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 4.20, compared to the broader market0.005.0010.0015.004.20
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 18.80, compared to the broader market0.0010.0020.0030.0040.0050.0060.0018.80
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
SMH
VanEck Vectors Semiconductor ETF		1.732.241.302.396.56
USD
ProShares Ultra Semiconductors		2.762.811.374.5812.15
SOXL
Direxion Daily Semiconductor Bull 3x Shares		0.491.291.170.701.61
SOXX
iShares PHLX Semiconductor ETF		1.011.481.191.393.53
SOXQ
Invesco PHLX Semiconductor ETF		1.201.691.221.664.44
PXI
Invesco DWA Energy Momentum ETF		0.671.041.130.812.01
XSD
SPDR S&P Semiconductor ETF		0.811.271.161.052.92
FTXL
First Trust Nasdaq Semiconductor ETF		0.901.351.171.213.16

Sharpe Ratio

The current Semiconductor ETFs Sharpe ratio is 1.39. 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 2.06 to 2.97, 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 ETFs 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 Ratio1.001.502.002.503.003.50JuneJulyAugustSeptemberOctoberNovember
1.33
2.91
Semiconductor ETFs
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Semiconductor ETFs provided a 0.62% dividend yield over the last twelve months.

TTM20232022202120202019201820172016201520142013
Portfolio0.62%0.70%1.35%0.42%0.61%1.64%1.35%0.75%2.04%1.08%1.14%0.79%
Portfolio components:
SMH
VanEck Vectors Semiconductor ETF		0.42%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%
USD
ProShares Ultra Semiconductors		0.04%0.10%0.30%0.00%0.21%1.29%1.54%0.32%7.33%0.39%3.60%0.76%
SOXL
Direxion Daily Semiconductor Bull 3x Shares		1.03%0.51%1.08%0.04%0.05%0.38%1.30%0.09%4.84%0.00%0.00%0.00%
SOXX
iShares PHLX Semiconductor ETF		0.67%0.78%1.25%0.64%0.81%1.23%1.37%0.90%1.08%1.29%1.56%1.18%
SOXQ
Invesco PHLX Semiconductor ETF		0.69%0.87%1.36%0.73%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
PXI
Invesco DWA Energy Momentum ETF		1.34%1.82%3.14%0.57%1.73%2.80%0.93%0.80%0.73%2.06%1.15%0.75%
XSD
SPDR S&P Semiconductor ETF		0.25%0.31%0.44%0.10%0.26%0.51%1.16%0.59%0.64%0.58%0.46%0.52%
FTXL
First Trust Nasdaq Semiconductor ETF		0.53%0.60%0.89%0.25%0.48%0.92%0.70%0.47%0.12%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.

-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-19.02%
-0.27%
Semiconductor ETFs
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the Semiconductor ETFs. 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 ETFs was 51.91%, occurring on Oct 14, 2022. Recovery took 292 trading sessions.

The current Semiconductor ETFs drawdown is 16.97%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-51.91%Dec 28, 2021202Oct 14, 2022292Dec 13, 2023494
-31.02%Jul 11, 202420Aug 7, 2024———
-20.13%Mar 8, 202430Apr 19, 202425May 24, 202455
-10.79%Dec 8, 20219Dec 20, 20214Dec 27, 202113
-10.53%Jul 1, 202112Jul 19, 202112Aug 4, 202124

Volatility

Volatility Chart

The current Semiconductor ETFs volatility is 10.56%, 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%20.00%JuneJulyAugustSeptemberOctoberNovember
10.56%
3.75%
Semiconductor ETFs
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.
PXIUSDXSDFTXLSMHSOXQSOXLSOXX
PXI1.000.300.380.340.310.320.340.34
USD0.301.000.890.920.980.960.960.96
XSD0.380.891.000.940.920.940.960.96
FTXL0.340.920.941.000.950.960.970.97
SMH0.310.980.920.951.000.980.990.99
SOXQ0.320.960.940.960.981.000.990.99
SOXL0.340.960.960.970.990.991.001.00
SOXX0.340.960.960.970.990.991.001.00
The correlation results are calculated based on daily price changes starting from Jun 14, 2021