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.
Performance
STM vs. SOXX - Performance Comparison
Returns By Period
In the year-to-date period, STM achieves a -49.25% return, which is significantly lower than SOXX's 10.51% return. Over the past 10 years, STM has underperformed SOXX with an annualized return of 15.12%, while SOXX has yielded a comparatively higher 23.12% annualized return.
STM
-49.25%
-7.30%
-38.98%
-43.84%
1.58%
15.12%
SOXX
10.51%
-7.10%
-7.12%
24.59%
22.96%
23.12%
Key characteristics
| STM | SOXX | |
|---|---|---|
| Sharpe Ratio | -1.16 | 0.72 |
| Sortino Ratio | -1.65 | 1.15 |
| Omega Ratio | 0.80 | 1.15 |
| Calmar Ratio | -0.83 | 0.99 |
| Martin Ratio | -1.63 | 2.48 |
| Ulcer Index | 27.12% | 9.94% |
| Daily Std Dev | 38.11% | 34.29% |
| Max Drawdown | -94.40% | -70.21% |
| Current Drawdown | -52.96% | -20.25% |
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Correlation
The correlation between STM and SOXX is 0.73, 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.
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.
Dividends
STM vs. SOXX - Dividend Comparison
STM's dividend yield for the trailing twelve months is around 1.19%, more than SOXX's 0.69% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
STM STMicroelectronics N.V. | 1.19% | 0.48% | 0.82% | 0.45% | 0.50% | 0.86% | 1.47% | 0.93% | 2.10% | 5.11% | 4.55% | 4.25% |
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
STM vs. SOXX - Drawdown Comparison
The maximum STM drawdown since its inception was -94.40%, which is greater than SOXX's maximum drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for STM and SOXX. For additional features, visit the drawdowns tool.
Volatility
STM vs. SOXX - Volatility Comparison
STMicroelectronics N.V. (STM) has a higher volatility of 10.39% compared to iShares PHLX Semiconductor ETF (SOXX) at 8.72%. 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.