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ASML vs. SOXX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ASML and SOXX is 0.65, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

ASML vs. SOXX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ASML Holding N.V. (ASML) and iShares PHLX Semiconductor ETF (SOXX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

ASML:

-0.44

SOXX:

-0.26

Sortino Ratio

ASML:

-0.33

SOXX:

-0.10

Omega Ratio

ASML:

0.96

SOXX:

0.99

Calmar Ratio

ASML:

-0.47

SOXX:

-0.28

Martin Ratio

ASML:

-0.70

SOXX:

-0.62

Ulcer Index

ASML:

30.06%

SOXX:

18.89%

Daily Std Dev

ASML:

48.56%

SOXX:

43.87%

Max Drawdown

ASML:

-90.00%

SOXX:

-70.21%

Current Drawdown

ASML:

-31.40%

SOXX:

-20.83%

Returns By Period

In the year-to-date period, ASML achieves a 8.32% return, which is significantly higher than SOXX's -2.85% return. Both investments have delivered pretty close results over the past 10 years, with ASML having a 22.11% annualized return and SOXX not far behind at 21.31%.


ASML

YTD

8.32%

1M

12.15%

6M

11.98%

1Y

-21.29%

3Y*

9.62%

5Y*

18.85%

10Y*

22.11%

SOXX

YTD

-2.85%

1M

14.56%

6M

-1.35%

1Y

-11.41%

3Y*

14.57%

5Y*

21.08%

10Y*

21.31%

*Annualized

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ASML Holding N.V.

iShares PHLX Semiconductor ETF

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

ASML vs. SOXX — Risk-Adjusted Performance Rank

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

ASML
The Risk-Adjusted Performance Rank of ASML is 2727
Overall Rank
The Sharpe Ratio Rank of ASML is 2626
Sharpe Ratio Rank
The Sortino Ratio Rank of ASML is 2626
Sortino Ratio Rank
The Omega Ratio Rank of ASML is 2626
Omega Ratio Rank
The Calmar Ratio Rank of ASML is 2121
Calmar Ratio Rank
The Martin Ratio Rank of ASML is 3535
Martin Ratio Rank

SOXX
The Risk-Adjusted Performance Rank of SOXX is 88
Overall Rank
The Sharpe Ratio Rank of SOXX is 99
Sharpe Ratio Rank
The Sortino Ratio Rank of SOXX is 1010
Sortino Ratio Rank
The Omega Ratio Rank of SOXX is 1010
Omega Ratio Rank
The Calmar Ratio Rank of SOXX is 55
Calmar Ratio Rank
The Martin Ratio Rank of SOXX is 88
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.

ASML vs. SOXX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for ASML Holding N.V. (ASML) and iShares PHLX Semiconductor ETF (SOXX). 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.


The current ASML Sharpe Ratio is -0.44, which is lower than the SOXX Sharpe Ratio of -0.26. The chart below compares the historical Sharpe Ratios of ASML and SOXX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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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

ASML vs. SOXX - Dividend Comparison

ASML's dividend yield for the trailing twelve months is around 0.91%, more than SOXX's 0.71% yield.


TTM20242023202220212020201920182017201620152014
ASML
ASML Holding N.V.
0.91%0.97%0.85%1.27%0.50%0.59%1.20%1.10%0.75%1.02%0.91%0.77%
SOXX
iShares PHLX Semiconductor ETF
0.71%0.67%0.78%1.25%0.64%0.81%1.23%1.37%0.90%1.08%1.29%1.56%

Drawdowns

ASML vs. SOXX - Drawdown Comparison

The maximum ASML drawdown since its inception was -90.00%, which is greater than SOXX's maximum drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for ASML and SOXX.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

ASML vs. SOXX - Volatility Comparison

ASML Holding N.V. (ASML) and iShares PHLX Semiconductor ETF (SOXX) have volatilities of 9.03% and 9.45%, 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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