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

Key characteristics


STMSOXX
YTD Return-12.17%17.64%
1Y Return-10.65%64.26%
3Y Return (Ann)5.11%20.36%
5Y Return (Ann)25.21%33.20%
10Y Return (Ann)19.12%28.53%
Sharpe Ratio-0.312.28
Daily Std Dev32.33%27.69%
Max Drawdown-94.40%-69.65%
Current Drawdown-18.60%-4.98%

Correlation

0.74
-1.001.00

The correlation between STM and SOXX is 0.74, 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

STM vs. SOXX - Performance Comparison

In the year-to-date period, STM achieves a -12.17% return, which is significantly lower than SOXX's 17.64% return. Over the past 10 years, STM has underperformed SOXX with an annualized return of 19.12%, while SOXX has yielded a comparatively higher 28.53% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%500.00%1,000.00%1,500.00%OctoberNovemberDecember2024FebruaryMarch
128.40%
1,525.29%
STM
SOXX

Compare stocks, funds, or ETFs


STMicroelectronics N.V.

iShares PHLX Semiconductor ETF

Risk-Adjusted Performance

STM vs. SOXX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for STMicroelectronics N.V. (STM) 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.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
STM
STMicroelectronics N.V.
-0.31
SOXX
iShares PHLX Semiconductor ETF
2.28

STM vs. SOXX - Sharpe Ratio Comparison

The current STM Sharpe Ratio is -0.31, which is lower than the SOXX Sharpe Ratio of 2.28. The chart below compares the 12-month rolling Sharpe Ratio of STM and SOXX.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00OctoberNovemberDecember2024FebruaryMarch
-0.31
2.28
STM
SOXX

Dividends

STM vs. SOXX - Dividend Comparison

STM's dividend yield for the trailing twelve months is around 0.55%, less than SOXX's 1.62% yield.


TTM20232022202120202019201820172016201520142013
STM
STMicroelectronics N.V.
0.55%0.48%0.82%0.45%0.50%0.89%1.73%1.10%2.33%5.11%4.55%4.25%
SOXX
iShares PHLX Semiconductor ETF
1.62%2.35%3.76%1.91%2.43%3.70%4.11%2.70%3.23%3.86%4.69%3.55%

Drawdowns

STM vs. SOXX - Drawdown Comparison

The maximum STM drawdown since its inception was -94.40%, which is greater than SOXX's maximum drawdown of -69.65%. The drawdown chart below compares losses from any high point along the way for STM and SOXX


-35.00%-30.00%-25.00%-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch
-18.60%
-4.98%
STM
SOXX

Volatility

STM vs. SOXX - Volatility Comparison

STMicroelectronics N.V. (STM) has a higher volatility of 10.27% compared to iShares PHLX Semiconductor ETF (SOXX) at 9.72%. This indicates that STM's price experiences larger fluctuations and is considered to be riskier than SOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%6.00%8.00%10.00%12.00%OctoberNovemberDecember2024FebruaryMarch
10.27%
9.72%
STM
SOXX