STM vs. SOXX
Compare and contrast key facts about STMicroelectronics N.V. (STM) 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: STM or SOXX.
Key characteristics
STM | SOXX | |
---|---|---|
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 | -0.31 | 2.28 |
Daily Std Dev | 32.33% | 27.69% |
Max Drawdown | -94.40% | -69.65% |
Current Drawdown | -18.60% | -4.98% |
Correlation
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.
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 ratio | Sortino ratio | Omega ratio | Calmar ratio | Ulcer Index | |
---|---|---|---|---|---|
STMicroelectronics N.V. | -0.31 | ||||
iShares PHLX Semiconductor ETF | 2.28 |
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.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
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
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.