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

Key characteristics


CHPSSOXX
YTD Return10.91%15.41%
1Y Return33.74%40.17%
Sharpe Ratio1.321.37
Sortino Ratio1.831.86
Omega Ratio1.241.25
Calmar Ratio1.731.89
Martin Ratio4.295.00
Ulcer Index9.60%9.42%
Daily Std Dev31.13%34.32%
Max Drawdown-23.80%-70.21%
Current Drawdown-17.93%-16.71%

Correlation

-0.50.00.51.01.0

The correlation between CHPS and SOXX 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.

Performance

CHPS vs. SOXX - Performance Comparison

In the year-to-date period, CHPS achieves a 10.91% return, which is significantly lower than SOXX's 15.41% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%25.00%JuneJulyAugustSeptemberOctoberNovember
-2.53%
0.34%
CHPS
SOXX

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CHPS vs. SOXX - Expense Ratio Comparison

CHPS has a 0.15% expense ratio, which is lower than SOXX's 0.46% expense ratio.


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%
Expense ratio chart for CHPS: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

CHPS vs. SOXX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Xtrackers Semiconductor Select Equity ETF (CHPS) 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.


CHPS
Sharpe ratio
The chart of Sharpe ratio for CHPS, currently valued at 1.32, compared to the broader market-2.000.002.004.006.001.32
Sortino ratio
The chart of Sortino ratio for CHPS, currently valued at 1.83, compared to the broader market0.005.0010.001.83
Omega ratio
The chart of Omega ratio for CHPS, currently valued at 1.24, compared to the broader market1.001.502.002.503.003.501.24
Calmar ratio
The chart of Calmar ratio for CHPS, currently valued at 1.73, compared to the broader market0.005.0010.0015.0020.001.73
Martin ratio
The chart of Martin ratio for CHPS, currently valued at 4.29, compared to the broader market0.0020.0040.0060.0080.00100.00120.004.29
SOXX
Sharpe ratio
The chart of Sharpe ratio for SOXX, currently valued at 1.37, compared to the broader market-2.000.002.004.006.001.37
Sortino ratio
The chart of Sortino ratio for SOXX, currently valued at 1.86, compared to the broader market0.005.0010.001.86
Omega ratio
The chart of Omega ratio for SOXX, currently valued at 1.25, compared to the broader market1.001.502.002.503.003.501.25
Calmar ratio
The chart of Calmar ratio for SOXX, currently valued at 1.89, compared to the broader market0.005.0010.0015.0020.001.89
Martin ratio
The chart of Martin ratio for SOXX, currently valued at 5.00, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.00

CHPS vs. SOXX - Sharpe Ratio Comparison

The current CHPS Sharpe Ratio is 1.32, which is comparable to the SOXX Sharpe Ratio of 1.37. The chart below compares the historical Sharpe Ratios of CHPS 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.


Rolling 12-month Sharpe Ratio0.501.001.502.00Jul 21Jul 28Aug 04Aug 11Aug 18Aug 25SeptemberSep 08Sep 15Sep 22Sep 29Oct 06Oct 13Oct 20Oct 27
1.32
1.37
CHPS
SOXX

Dividends

CHPS vs. SOXX - Dividend Comparison

CHPS's dividend yield for the trailing twelve months is around 0.99%, more than SOXX's 0.66% yield.


TTM20232022202120202019201820172016201520142013
CHPS
Xtrackers Semiconductor Select Equity ETF
0.99%0.36%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SOXX
iShares PHLX Semiconductor ETF
0.66%0.78%1.25%0.64%0.81%1.23%1.37%0.90%1.08%1.29%1.56%1.18%

Drawdowns

CHPS vs. SOXX - Drawdown Comparison

The maximum CHPS drawdown since its inception was -23.80%, smaller than the maximum SOXX drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for CHPS and SOXX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-17.93%
-16.71%
CHPS
SOXX

Volatility

CHPS vs. SOXX - Volatility Comparison

The current volatility for Xtrackers Semiconductor Select Equity ETF (CHPS) is 7.87%, while iShares PHLX Semiconductor ETF (SOXX) has a volatility of 8.86%. This indicates that CHPS experiences smaller price fluctuations and is considered to be less risky than SOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


6.00%8.00%10.00%12.00%14.00%16.00%18.00%JuneJulyAugustSeptemberOctoberNovember
7.87%
8.86%
CHPS
SOXX