PortfoliosLab logo
PortfoliosLab logo
Tools
Portfolios
Screeners
Discussions
Semiconductor Alphas
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Semiconductor Alphas

Currency in USD · Last updated Jun 2, 2025

Asset Allocation

TSM 10%NVDA 10%ASME.DE 10%AMD.DE 10%AP2.DE 10%QCOM 10%1YD.DE 10%TXN 10%ADI 10%MTE.DE 10%EquityEquity
PositionCategory/SectorTarget Weight
1YD.DE
Broadcom Inc		Technology
10%
ADI
Analog Devices, Inc.		Technology
10%
AMD.DE
Advanced Micro Devices Inc		Technology
10%
AP2.DE
Applied Materials Inc		Technology
10%
ASME.DE
ASML Holding NV		Technology
10%
MTE.DE
Micron Technology Inc		Technology
10%
NVDA
NVIDIA Corporation		Technology
10%
QCOM
QUALCOMM Incorporated		Technology
10%
TSM
Taiwan Semiconductor Manufacturing Company Limited		Technology
10%
TXN
Texas Instruments Incorporated		Technology
10%

S&P 500

Performance

Performance Chart

Loading data...

The earliest data available for this chart is Dec 7, 2010, corresponding to the inception date of 1YD.DE

Returns By Period

As of Jun 2, 2025, the Semiconductor Alphas returned 0.59% Year-To-Date and 31.89% of annualized return in the last 10 years.

YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500		0.51%3.96%-2.00%12.02%14.19%10.85%
Semiconductor Alphas0.59%10.81%2.09%-1.47%30.95%31.89%
Portfolio components:
TSM
Taiwan Semiconductor Manufacturing Company Limited		-1.73%7.83%5.42%29.77%33.29%26.64%
NVDA
NVIDIA Corporation		0.63%18.02%-2.24%23.29%72.51%74.01%
ASME.DE
ASML Holding NV		5.99%7.94%7.24%-20.60%19.25%22.04%
AMD.DE
Advanced Micro Devices Inc		-10.75%12.48%-19.56%-31.56%16.34%47.77%
AP2.DE
Applied Materials Inc		-4.11%1.70%-10.94%-25.16%24.54%24.01%
QCOM
QUALCOMM Incorporated		-4.97%3.86%-7.43%-27.71%14.88%10.76%
1YD.DE
Broadcom Inc		1.80%18.34%48.69%83.87%57.30%34.90%
TXN
Texas Instruments Incorporated		-0.93%11.15%-7.59%-3.48%12.11%15.83%
ADI
Analog Devices, Inc.		1.15%7.75%-1.02%-7.21%15.58%14.47%
MTE.DE
Micron Technology Inc		8.62%18.08%-3.15%-22.08%15.80%13.38%
*Annualized

Monthly Returns

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

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20252.24%-5.34%-8.28%-1.48%15.01%0.59%
20245.57%11.70%7.41%-2.60%10.78%7.40%-6.34%-0.89%1.84%-3.44%-1.55%1.49%33.88%
202316.98%1.28%10.47%-6.15%16.49%3.85%4.21%-3.95%-6.48%-4.01%14.46%12.83%72.43%
2022-11.60%-0.22%-0.59%-13.60%4.44%-16.82%14.62%-9.93%-12.63%2.90%17.88%-8.30%-33.96%
20215.09%5.70%0.73%2.32%2.00%6.78%1.04%2.56%-4.87%6.38%14.62%2.08%53.01%
2020-3.13%-2.84%-8.49%12.39%4.10%9.79%11.45%7.01%0.02%-0.52%18.71%6.08%65.35%
201912.55%3.14%4.88%11.82%-14.17%12.57%6.66%-1.13%1.68%6.78%6.00%8.47%73.19%
201810.04%-0.27%-4.45%-4.49%11.92%-2.30%6.65%5.29%1.49%-16.95%3.28%-8.25%-1.79%
20171.41%6.91%5.28%-2.34%7.94%-1.78%5.34%2.17%5.69%5.70%1.72%-0.98%43.12%
2016-10.31%4.31%10.23%-0.25%14.41%2.23%13.30%5.91%3.36%0.08%10.22%6.66%75.58%
2015-4.78%11.85%-4.19%-2.72%4.73%-8.93%-5.08%-5.51%-1.04%10.02%3.03%3.15%-1.76%
2014-2.59%7.51%4.07%-1.38%5.64%4.45%-4.44%6.87%-1.84%-0.01%6.06%0.33%26.49%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Expense Ratio

Semiconductor Alphas has an expense ratio of 0.00%, meaning no management fees are charged. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.

The portfolio doesn't include any funds that charge management fees.

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of Semiconductor Alphas is 3, meaning it’s performing worse than 97% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of Semiconductor Alphas is 33
Overall Rank
The Sharpe Ratio Rank of Semiconductor Alphas is 44
Sharpe Ratio Rank
The Sortino Ratio Rank of Semiconductor Alphas is 33
Sortino Ratio Rank
The Omega Ratio Rank of Semiconductor Alphas is 33
Omega Ratio Rank
The Calmar Ratio Rank of Semiconductor Alphas is 33
Calmar Ratio Rank
The Martin Ratio Rank of Semiconductor Alphas is 33
Martin 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.

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TSM
Taiwan Semiconductor Manufacturing Company Limited		0.600.881.110.521.36
NVDA
NVIDIA Corporation		0.370.691.090.320.78
ASME.DE
ASML Holding NV		-0.49-0.720.91-0.63-0.93
AMD.DE
Advanced Micro Devices Inc		-0.70-0.890.90-0.54-1.06
AP2.DE
Applied Materials Inc		-0.63-0.770.90-0.58-0.96
QCOM
QUALCOMM Incorporated		-0.64-0.750.90-0.65-1.05
1YD.DE
Broadcom Inc		1.342.031.271.765.16
TXN
Texas Instruments Incorporated		-0.100.141.02-0.11-0.28
ADI
Analog Devices, Inc.		-0.130.021.00-0.24-0.66
MTE.DE
Micron Technology Inc		-0.42-0.300.96-0.47-0.74

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Semiconductor Alphas Sharpe ratios as of Jun 2, 2025 (values are recalculated daily):

  • 1-Year: -0.08
  • 5-Year: 1.01
  • 10-Year: 1.11
  • All Time: 1.05

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.59 to 1.12, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests weaker risk-adjusted returns than most portfolios, possibly due to lower returns, higher volatility, or both. It may be worth reviewing the allocation. You can use the Portfolio Optimization tool to explore options for improving the Sharpe ratio.

The chart below shows the rolling Sharpe ratio of Semiconductor Alphas compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

Loading data...

Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

Dividend yield

Semiconductor Alphas provided a 1.10% dividend yield over the last twelve months.

TTM20242023202220212020201920182017201620152014
Portfolio1.10%1.09%1.22%1.57%0.99%1.19%1.42%1.62%1.17%1.29%1.37%1.13%
Portfolio components:
TSM
Taiwan Semiconductor Manufacturing Company Limited		1.28%1.18%1.78%2.48%1.56%1.58%3.49%3.55%2.32%2.61%2.54%1.79%
NVDA
NVIDIA Corporation		0.02%0.02%0.03%0.11%0.05%0.12%0.27%0.46%0.29%0.45%1.20%1.70%
ASME.DE
ASML Holding NV		0.98%0.92%0.87%1.27%0.47%0.64%1.19%1.02%0.82%0.99%0.84%0.68%
AMD.DE
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%
AP2.DE
Applied Materials Inc		0.98%0.78%0.67%0.96%0.49%0.98%1.20%1.91%0.73%1.09%0.00%0.00%
QCOM
QUALCOMM Incorporated		1.76%2.18%2.18%2.67%1.47%1.69%2.81%4.27%3.50%3.17%3.72%2.17%
1YD.DE
Broadcom Inc		0.86%0.78%1.52%2.75%1.89%2.94%0.91%0.00%0.00%0.00%0.00%0.00%
TXN
Texas Instruments Incorporated		2.94%2.81%2.94%2.84%2.23%2.27%2.50%2.78%2.03%2.25%2.55%2.32%
ADI
Analog Devices, Inc.		1.75%1.73%1.73%1.85%1.57%1.68%1.82%2.24%2.02%2.31%2.89%2.67%
MTE.DE
Micron Technology Inc		0.45%0.45%0.48%0.81%0.18%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.

Loading data...

Worst Drawdowns

The table below displays the maximum drawdowns of the Semiconductor Alphas. 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 Alphas was 44.79%, occurring on Oct 14, 2022. Recovery took 194 trading sessions.

The current Semiconductor Alphas drawdown is 14.10%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-44.79%Dec 28, 2021208Oct 14, 2022194Jul 17, 2023402
-34.97%Jul 11, 2024190Apr 4, 2025———
-34.12%Feb 20, 202020Mar 18, 202056Jun 5, 202076
-30.27%Feb 18, 2011162Oct 4, 2011408May 3, 2013570
-26.89%Mar 3, 2015123Aug 24, 2015192May 23, 2016315
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

Loading data...

Diversification

Diversification Metrics

Number of Effective Assets

The portfolio contains 10 assets, with an effective number of assets of 10.00, reflecting the diversification based on asset allocation. This number of effective assets suggests that the portfolio's investments are spread across a variety of assets, indicating a well-diversified allocation. However, true diversification also depends on the correlations between assets.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
^GSPC1YD.DEAMD.DEMTE.DEAP2.DEASME.DETSMNVDAQCOMTXNADIPortfolio
^GSPC1.000.290.300.300.330.360.590.610.660.710.700.65
1YD.DE0.291.000.340.380.430.410.290.280.280.290.310.56
AMD.DE0.300.341.000.440.450.440.310.370.290.300.320.66
MTE.DE0.300.380.441.000.500.460.310.320.310.320.330.66
AP2.DE0.330.430.450.501.000.550.340.320.320.340.340.65
ASME.DE0.360.410.440.460.551.000.370.330.330.350.360.65
TSM0.590.290.310.310.340.371.000.560.560.600.590.66
NVDA0.610.280.370.320.320.330.561.000.560.600.600.70
QCOM0.660.280.290.310.320.330.560.561.000.660.650.67
TXN0.710.290.300.320.340.350.600.600.661.000.820.70
ADI0.700.310.320.330.340.360.590.600.650.821.000.71
Portfolio0.650.560.660.660.650.650.660.700.670.700.711.00
The correlation results are calculated based on daily price changes starting from Dec 8, 2010
Go to the full Correlations tool for more customization options