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

Key characteristics


SOXQSPY
YTD Return20.38%21.27%
1Y Return45.61%33.14%
3Y Return (Ann)11.58%8.57%
Sharpe Ratio1.533.04
Sortino Ratio2.034.03
Omega Ratio1.271.57
Calmar Ratio2.114.39
Martin Ratio5.8220.00
Ulcer Index9.13%1.85%
Daily Std Dev34.72%12.15%
Max Drawdown-46.01%-55.19%
Current Drawdown-15.28%-2.32%

Correlation

-0.50.00.51.00.8

The correlation between SOXQ and SPY is 0.80, 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. SPY - Performance Comparison

The year-to-date returns for both investments are quite close, with SOXQ having a 20.38% return and SPY slightly higher at 21.27%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


30.00%40.00%50.00%60.00%70.00%80.00%90.00%JuneJulyAugustSeptemberOctoberNovember
61.36%
41.56%
SOXQ
SPY

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SOXQ vs. SPY - Expense Ratio Comparison

SOXQ has a 0.00% expense ratio, which is lower than SPY's 0.09% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


SPY
SPDR S&P 500 ETF
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%
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. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco PHLX Semiconductor ETF (SOXQ) and SPDR S&P 500 ETF (SPY). 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 1.53, compared to the broader market-2.000.002.004.006.001.53
Sortino ratio
The chart of Sortino ratio for SOXQ, currently valued at 2.03, compared to the broader market0.005.0010.002.03
Omega ratio
The chart of Omega ratio for SOXQ, currently valued at 1.27, compared to the broader market1.001.502.002.503.003.501.27
Calmar ratio
The chart of Calmar ratio for SOXQ, currently valued at 2.11, compared to the broader market0.005.0010.0015.0020.002.11
Martin ratio
The chart of Martin ratio for SOXQ, currently valued at 5.82, compared to the broader market0.0020.0040.0060.0080.00100.00120.005.82
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.04, compared to the broader market-2.000.002.004.006.003.04
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.03, compared to the broader market0.005.0010.004.03
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.57, compared to the broader market1.001.502.002.503.003.501.57
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.39, compared to the broader market0.005.0010.0015.0020.004.39
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.00, compared to the broader market0.0020.0040.0060.0080.00100.00120.0020.00

SOXQ vs. SPY - Sharpe Ratio Comparison

The current SOXQ Sharpe Ratio is 1.53, which is lower than the SPY Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of SOXQ and SPY, 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 Ratio0.501.001.502.002.503.003.504.00JuneJulyAugustSeptemberOctoberNovember
1.53
3.04
SOXQ
SPY

Dividends

SOXQ vs. SPY - Dividend Comparison

SOXQ's dividend yield for the trailing twelve months is around 0.70%, less than SPY's 1.23% 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%
SPY
SPDR S&P 500 ETF
1.23%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

SOXQ vs. SPY - Drawdown Comparison

The maximum SOXQ drawdown since its inception was -46.01%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for SOXQ and SPY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-15.28%
-2.32%
SOXQ
SPY

Volatility

SOXQ vs. SPY - Volatility Comparison

Invesco PHLX Semiconductor ETF (SOXQ) has a higher volatility of 9.08% compared to SPDR S&P 500 ETF (SPY) at 3.28%. This indicates that SOXQ's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
9.08%
3.28%
SOXQ
SPY