^SOX vs. CHPS
^SOX (PHLX Semiconductor Index) is an index, while CHPS (Xtrackers Semiconductor Select Equity ETF) is Semiconductors fund tracking the Solactive Semiconductor ESG Screened Index. Over the past year, ^SOX returned 147.24% vs 186.87% for CHPS. With a 0.96 correlation, they move nearly in lockstep.
Performance
^SOX vs. CHPS - Performance Comparison
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Returns By Period
In the year-to-date period, ^SOX achieves a 93.55% return, which is significantly lower than CHPS's 110.77% return.
^SOX
- 1D
- 3.83%
- 1M
- 6.86%
- YTD
- 93.55%
- 6M
- 90.99%
- 1Y
- 147.24%
- 3Y*
- 55.12%
- 5Y*
- 32.59%
- 10Y*
- 34.94%
CHPS
- 1D
- 2.71%
- 1M
- 8.06%
- YTD
- 110.77%
- 6M
- 109.77%
- 1Y
- 186.87%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
^SOX vs. CHPS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | |
|---|---|---|---|---|
^SOX PHLX Semiconductor Index | 93.55% | 42.23% | 19.27% | 12.20% |
CHPS Xtrackers Semiconductor Select Equity ETF | 110.77% | 58.47% | 7.75% | 10.88% |
Correlation
The correlation between ^SOX and CHPS is 0.97 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Jul 13, 2023 | 0.96 |
The correlation between ^SOX and CHPS has been stable across timeframes, ranging from 0.96 to 0.97 - a consistent structural relationship.
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Return for Risk
^SOX vs. CHPS — Risk / Return Rank
^SOX
CHPS
^SOX vs. CHPS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PHLX Semiconductor Index (^SOX) and Xtrackers Semiconductor Select Equity ETF (CHPS). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ^SOX | CHPS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.91 | ||
| Sortino ratioReturn per unit of downside risk | -0.67 | ||
| Omega ratioGain probability vs. loss probability | 1.54 | 1.62 | -0.08 |
| Calmar ratioReturn relative to maximum drawdown | 9.47 | 10.75 | -1.28 |
| Martin ratioReturn relative to average drawdown | 33.22 | 38.75 | -5.53 |
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Drawdowns
^SOX vs. CHPS - Drawdown Comparison
The maximum ^SOX drawdown since its inception was -87.15%, which is greater than CHPS's maximum drawdown of -39.44%. Use the drawdown chart below to compare losses from any high point for ^SOX and CHPS.
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Drawdown Indicators
| ^SOX | CHPS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -87.15% | -39.44% | -47.71% |
Max Drawdown (1Y)Largest decline over 1 year | -15.65% | -17.50% | +1.85% |
Max Drawdown (3Y)Largest decline over 3 years | -39.66% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -46.47% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -46.47% | — | — |
Current DrawdownCurrent decline from peak | -6.32% | -7.43% | +1.11% |
Average DrawdownAverage peak-to-trough decline | -39.41% | -9.07% | -30.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.45% | 4.84% | -0.39% |
Volatility
^SOX vs. CHPS - Volatility Comparison
PHLX Semiconductor Index (^SOX) and Xtrackers Semiconductor Select Equity ETF (CHPS) have volatilities of 22.75% and 23.03%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^SOX | CHPS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 22.75% | 23.03% | -0.28% |
Volatility (6M)Calculated over the trailing 6-month period | 33.41% | 35.06% | -1.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 39.59% | 40.43% | -0.84% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 37.59% | 35.71% | +1.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 34.44% | 35.71% | -1.27% |
Frequently Asked Questions
With a correlation of 0.97, ^SOX and CHPS move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
CHPS has higher volatility (23.03%) compared to ^SOX (22.75%). In terms of maximum drawdown, ^SOX dropped -87.15% vs CHPS's -39.44%.
CHPS currently has the higher Sharpe Ratio (4.66 vs 3.75), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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