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SOXQ vs. SMH
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


SOXQSMH
YTD Return19.73%39.69%
1Y Return44.83%64.36%
3Y Return (Ann)10.94%19.78%
Sharpe Ratio1.401.99
Sortino Ratio1.902.48
Omega Ratio1.251.33
Calmar Ratio1.932.75
Martin Ratio5.297.66
Ulcer Index9.18%8.90%
Daily Std Dev34.64%34.34%
Max Drawdown-46.01%-95.73%
Current Drawdown-15.73%-13.15%

Correlation

-0.50.00.51.01.0

The correlation between SOXQ and SMH is 0.98, 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

SOXQ vs. SMH - Performance Comparison

In the year-to-date period, SOXQ achieves a 19.73% return, which is significantly lower than SMH's 39.69% 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%0.00%10.00%20.00%30.00%JuneJulyAugustSeptemberOctoberNovember
3.43%
9.70%
SOXQ
SMH

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SOXQ vs. SMH - Expense Ratio Comparison

SOXQ has a 0.00% expense ratio, which is lower than SMH's 0.35% expense ratio.


SMH
VanEck Vectors Semiconductor ETF
Expense ratio chart for SMH: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
Expense ratio chart for SOXQ: current value at 0.00% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.00%

Risk-Adjusted Performance

SOXQ vs. SMH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco PHLX Semiconductor ETF (SOXQ) 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.


SOXQ
Sharpe ratio
The chart of Sharpe ratio for SOXQ, currently valued at 1.40, compared to the broader market0.002.004.006.001.40
Sortino ratio
The chart of Sortino ratio for SOXQ, currently valued at 1.90, compared to the broader market0.005.0010.001.90
Omega ratio
The chart of Omega ratio for SOXQ, 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 SOXQ, currently valued at 1.93, compared to the broader market0.005.0010.0015.0020.001.93
Martin ratio
The chart of Martin ratio for SOXQ, currently valued at 5.29, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.29
SMH
Sharpe ratio
The chart of Sharpe ratio for SMH, currently valued at 1.99, compared to the broader market0.002.004.006.001.99
Sortino ratio
The chart of Sortino ratio for SMH, currently valued at 2.48, compared to the broader market0.005.0010.002.48
Omega ratio
The chart of Omega ratio for SMH, currently valued at 1.33, compared to the broader market1.001.502.002.503.003.501.33
Calmar ratio
The chart of Calmar ratio for SMH, currently valued at 2.75, compared to the broader market0.005.0010.0015.0020.002.75
Martin ratio
The chart of Martin ratio for SMH, currently valued at 7.66, compared to the broader market0.0020.0040.0060.0080.00100.00120.007.66

SOXQ vs. SMH - Sharpe Ratio Comparison

The current SOXQ Sharpe Ratio is 1.40, which is comparable to the SMH Sharpe Ratio of 1.99. The chart below compares the historical Sharpe Ratios of SOXQ 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 Ratio1.001.502.002.503.00JuneJulyAugustSeptemberOctoberNovember
1.40
1.99
SOXQ
SMH

Dividends

SOXQ vs. SMH - Dividend Comparison

SOXQ's dividend yield for the trailing twelve months is around 0.70%, more than SMH's 0.43% yield.


TTM20232022202120202019201820172016201520142013
SOXQ
Invesco PHLX Semiconductor ETF
0.70%0.87%1.36%0.72%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SMH
VanEck Vectors Semiconductor ETF
0.43%0.60%2.37%1.02%1.38%6.00%3.75%2.85%1.61%4.28%2.31%3.11%

Drawdowns

SOXQ vs. SMH - Drawdown Comparison

The maximum SOXQ drawdown since its inception was -46.01%, smaller than the maximum SMH drawdown of -95.73%. Use the drawdown chart below to compare losses from any high point for SOXQ and SMH. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-15.73%
-13.15%
SOXQ
SMH

Volatility

SOXQ vs. SMH - Volatility Comparison

Invesco PHLX Semiconductor ETF (SOXQ) and VanEck Vectors Semiconductor ETF (SMH) have volatilities of 8.94% and 8.65%, 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.


6.00%8.00%10.00%12.00%14.00%16.00%18.00%JuneJulyAugustSeptemberOctoberNovember
8.94%
8.65%
SOXQ
SMH