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^SOX vs. SMH
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^SOX and SMH is 0.97, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.0
Correlation: 1.0

Performance

^SOX vs. SMH - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PHLX Semiconductor Index (^SOX) and VanEck Vectors Semiconductor ETF (SMH). The values are adjusted to include any dividend payments, if applicable.

200.00%400.00%600.00%800.00%1,000.00%NovemberDecember2025FebruaryMarchApril
246.80%
671.49%
^SOX
SMH

Key characteristics

Sharpe Ratio

^SOX:

-0.43

SMH:

-0.27

Sortino Ratio

^SOX:

-0.36

SMH:

-0.11

Omega Ratio

^SOX:

0.95

SMH:

0.99

Calmar Ratio

^SOX:

-0.47

SMH:

-0.33

Martin Ratio

^SOX:

-1.19

SMH:

-0.84

Ulcer Index

^SOX:

15.71%

SMH:

13.95%

Daily Std Dev

^SOX:

43.21%

SMH:

42.89%

Max Drawdown

^SOX:

-87.15%

SMH:

-83.29%

Current Drawdown

^SOX:

-35.09%

SMH:

-31.25%

Returns By Period

In the year-to-date period, ^SOX achieves a -23.04% return, which is significantly lower than SMH's -20.50% return. Over the past 10 years, ^SOX has underperformed SMH with an annualized return of 18.40%, while SMH has yielded a comparatively higher 22.57% annualized return.


^SOX

YTD

-23.04%

1M

-15.92%

6M

-26.42%

1Y

-11.02%

5Y*

19.13%

10Y*

18.40%

SMH

YTD

-20.50%

1M

-14.34%

6M

-23.11%

1Y

-2.92%

5Y*

26.51%

10Y*

22.57%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Risk-Adjusted Performance

^SOX vs. SMH — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^SOX
The Risk-Adjusted Performance Rank of ^SOX is 1313
Overall Rank
The Sharpe Ratio Rank of ^SOX is 1515
Sharpe Ratio Rank
The Sortino Ratio Rank of ^SOX is 1616
Sortino Ratio Rank
The Omega Ratio Rank of ^SOX is 1616
Omega Ratio Rank
The Calmar Ratio Rank of ^SOX is 55
Calmar Ratio Rank
The Martin Ratio Rank of ^SOX is 1212
Martin Ratio Rank

SMH
The Risk-Adjusted Performance Rank of SMH is 1313
Overall Rank
The Sharpe Ratio Rank of SMH is 1313
Sharpe Ratio Rank
The Sortino Ratio Rank of SMH is 1717
Sortino Ratio Rank
The Omega Ratio Rank of SMH is 1717
Omega Ratio Rank
The Calmar Ratio Rank of SMH is 88
Calmar Ratio Rank
The Martin Ratio Rank of SMH is 1212
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.

^SOX vs. SMH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PHLX Semiconductor Index (^SOX) and VanEck Vectors Semiconductor ETF (SMH). 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.


Sharpe ratio
The chart of Sharpe ratio for ^SOX, currently valued at -0.43, compared to the broader market-0.500.000.501.001.50
^SOX: -0.43
SMH: -0.27
The chart of Sortino ratio for ^SOX, currently valued at -0.36, compared to the broader market-1.00-0.500.000.501.001.502.00
^SOX: -0.36
SMH: -0.10
The chart of Omega ratio for ^SOX, currently valued at 0.95, compared to the broader market0.901.001.101.20
^SOX: 0.95
SMH: 0.99
The chart of Calmar ratio for ^SOX, currently valued at -0.47, compared to the broader market-0.500.000.501.00
^SOX: -0.47
SMH: -0.31
The chart of Martin ratio for ^SOX, currently valued at -1.19, compared to the broader market0.002.004.006.00
^SOX: -1.19
SMH: -0.78

The current ^SOX Sharpe Ratio is -0.43, which is lower than the SMH Sharpe Ratio of -0.27. The chart below compares the historical Sharpe Ratios of ^SOX and SMH, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00NovemberDecember2025FebruaryMarchApril
-0.43
-0.27
^SOX
SMH

Drawdowns

^SOX vs. SMH - Drawdown Comparison

The maximum ^SOX drawdown since its inception was -87.15%, roughly equal to the maximum SMH drawdown of -83.29%. Use the drawdown chart below to compare losses from any high point for ^SOX and SMH. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%NovemberDecember2025FebruaryMarchApril
-35.09%
-31.25%
^SOX
SMH

Volatility

^SOX vs. SMH - Volatility Comparison

PHLX Semiconductor Index (^SOX) has a higher volatility of 25.06% compared to VanEck Vectors Semiconductor ETF (SMH) at 22.97%. This indicates that ^SOX's price experiences larger fluctuations and is considered to be riskier than SMH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


10.00%15.00%20.00%25.00%NovemberDecember2025FebruaryMarchApril
25.06%
22.97%
^SOX
SMH
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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