SAP vs. SOXX
Compare and contrast key facts about SAP SE (SAP) and iShares PHLX Semiconductor ETF (SOXX).
SOXX is a passively managed fund by iShares that tracks the performance of the PHLX Semiconductor Sector Index. It was launched on Jul 10, 2001.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SAP or SOXX.
Performance
SAP vs. SOXX - Performance Comparison
Returns By Period
In the year-to-date period, SAP achieves a 49.54% return, which is significantly higher than SOXX's 10.51% return. Over the past 10 years, SAP has underperformed SOXX with an annualized return of 14.66%, while SOXX has yielded a comparatively higher 23.12% annualized return.
SAP
49.54%
-0.49%
18.42%
55.58%
13.01%
14.66%
SOXX
10.51%
-7.10%
-7.12%
24.59%
22.96%
23.12%
Key characteristics
| SAP | SOXX | |
|---|---|---|
| Sharpe Ratio | 2.25 | 0.72 |
| Sortino Ratio | 3.15 | 1.15 |
| Omega Ratio | 1.38 | 1.15 |
| Calmar Ratio | 5.14 | 0.99 |
| Martin Ratio | 16.78 | 2.48 |
| Ulcer Index | 3.32% | 9.94% |
| Daily Std Dev | 24.78% | 34.29% |
| Max Drawdown | -87.91% | -70.21% |
| Current Drawdown | -5.78% | -20.25% |
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Correlation
The correlation between SAP and SOXX is 0.56, 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.
Risk-Adjusted Performance
SAP vs. SOXX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for SAP SE (SAP) 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.
Dividends
SAP vs. SOXX - Dividend Comparison
SAP's dividend yield for the trailing twelve months is around 1.04%, more than SOXX's 0.69% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SAP SAP SE | 1.04% | 1.41% | 2.58% | 1.56% | 1.31% | 1.27% | 1.73% | 1.18% | 1.52% | 1.50% | 3.39% | 1.28% |
SOXX iShares PHLX Semiconductor ETF | 0.69% | 0.78% | 1.25% | 0.64% | 0.81% | 1.23% | 1.37% | 0.90% | 1.08% | 1.29% | 1.56% | 1.18% |
Drawdowns
SAP vs. SOXX - Drawdown Comparison
The maximum SAP drawdown since its inception was -87.91%, which is greater than SOXX's maximum drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for SAP and SOXX. For additional features, visit the drawdowns tool.
Volatility
SAP vs. SOXX - Volatility Comparison
The current volatility for SAP SE (SAP) is 6.65%, while iShares PHLX Semiconductor ETF (SOXX) has a volatility of 8.72%. This indicates that SAP 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.