TSM vs. SPHD

Last updated Aug 4, 2026

TSM (Taiwan Semiconductor Manufacturing Company Limited) is a stock, while SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) is Dividend fund tracking the S&P 500 Low Volatility High Dividend Index. Over the past 10 years, TSM returned 33.23%/yr vs 7.28%/yr for SPHD. Their 0.27 correlation means their historical movements had little consistent relationship.

Performance

TSM vs. SPHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Taiwan Semiconductor Manufacturing Company Limited (TSM) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TSM achieves a 34.33% return, which is significantly higher than SPHD's 12.76% return. Over the past 10 years, TSM has outperformed SPHD with an annualized return of 33.23%, while SPHD has yielded a comparatively lower 7.28% annualized return.

TSM

• 1D: 0.46%
• 1M: -6.46%
• 6M: 19.58%
• YTD: 34.33%
• 1Y: 74.54%
• 3Y*: 63.93%
• 5Y*: 29.97%
• 10Y*: 33.23%
• ALL TIME*: 16.21%

SPHD

• 1D: 0.42%
• 1M: 1.31%
• 6M: 7.84%
• YTD: 12.76%
• 1Y: 15.99%
• 3Y*: 12.75%
• 5Y*: 8.21%
• 10Y*: 7.28%
• ALL TIME*: 9.85%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
SPHD Invesco S&P 500® High Dividend Low Volatility ETF	$46.06M	$45.99M	$42.71M
TSM Taiwan Semiconductor Manufacturing Company Limited	$6.08B	$6.17B	$6.08B

TSM vs. SPHD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
TSM Taiwan Semiconductor Manufacturing Company Limited	34.33%	55.91%	92.58%	42.33%	-36.75%	12.09%	92.67%	64.85%	-3.50%	41.46%
SPHD Invesco S&P 500® High Dividend Low Volatility ETF	12.76%	3.41%	18.08%	1.32%	0.58%	24.98%	-9.98%	20.26%	-6.17%	11.90%

Correlation

The correlation between TSM and SPHD is -0.17, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.17
Correlation (3Y) Balances recent behavior with more history.	-0.01
Correlation (5Y) Shows whether the relationship held over a longer period.	0.13
Correlation (10Y) Provides a long-term view across more market conditions.	0.22
Correlation (All Time) Calculated using the full available price history since Oct 26, 2012	0.27

The correlation between TSM and SPHD shifts across timeframes, from -0.17 (1 year) to 0.27 (all time), reflecting how their relationship changes across market environments.

Return for Risk

TSM vs. SPHD — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

TSM

TSM Risk / Return Rank: 88
TSM Sharpe Ratio Rank: 90
TSM Sortino Ratio Rank: 86
TSM Omega Ratio Rank: 84
TSM Calmar Ratio Rank: 89
TSM Martin Ratio Rank: 93

SPHD

SPHD Risk / Return Rank: 55
SPHD Sharpe Ratio Rank: 56
SPHD Sortino Ratio Rank: 60
SPHD Omega Ratio Rank: 50
SPHD Calmar Ratio Rank: 61
SPHD Martin Ratio Rank: 47

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

TSM vs. SPHD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Taiwan Semiconductor Manufacturing Company Limited (TSM) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	TSM	SPHD	Difference
Sharpe ratio: Return per unit of total volatility	1.84	1.36	+0.48
Sortino ratio: Return per unit of downside risk	2.46	2.06	+0.40
Omega ratio: Gain probability vs. loss probability	1.30	1.23	+0.07
Calmar ratio: Return relative to maximum drawdown	3.48	2.19	+1.29
Martin ratio: Return relative to average drawdown	11.52	5.46	+6.06

TSM vs. SPHD - Sharpe Ratio Comparison

The current TSM Sharpe Ratio is 1.84, which is higher than the SPHD Sharpe Ratio of 1.36. The chart below compares the historical Sharpe Ratios of TSM and SPHD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

TSM vs. SPHD - Drawdown Comparison

The maximum TSM drawdown since its inception was -89.08%, which is greater than SPHD's maximum drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for TSM and SPHD.

Drawdown Indicators

	TSM	SPHD	Difference
Max Drawdown Largest peak-to-trough decline	-89.08%	-41.39%	-47.69%
Max Drawdown (1Y) Largest decline over 1 year	-21.55%	-7.33%	-14.22%
Max Drawdown (3Y) Largest decline over 3 years	-36.82%	-13.29%	-23.53%
Max Drawdown (5Y) Largest decline over 5 years	-56.47%	-19.50%	-36.97%
Max Drawdown (10Y) Largest decline over 10 years	-56.47%	-41.39%	-15.08%
Current Drawdown Current decline from peak	-14.96%	-1.83%	-13.13%
Average Drawdown Average peak-to-trough decline	-42.69%	-4.66%	-38.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.49%	2.94%	+3.55%

Volatility

TSM vs. SPHD - Volatility Comparison

Taiwan Semiconductor Manufacturing Company Limited (TSM) has a higher volatility of 13.65% compared to Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) at 4.36%. This indicates that TSM's price experiences larger fluctuations and is considered to be riskier than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	TSM	SPHD	Difference
Volatility (1M) Calculated over the trailing 1-month period	13.65%	4.36%	+9.29%
Volatility (6M) Calculated over the trailing 6-month period	32.94%	9.03%	+23.91%
Volatility (1Y) Calculated over the trailing 1-year period	40.72%	11.80%	+28.92%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	38.36%	14.24%	+24.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	34.76%	17.67%	+17.09%

Dividends

TSM vs. SPHD - Dividend Comparison

TSM's dividend yield for the trailing twelve months is around 0.87%, less than SPHD's 4.54% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SPHD Invesco S&P 500® High Dividend Low Volatility ETF	4.54%	4.02%	3.41%	4.48%	3.89%	3.45%	4.89%	4.07%	4.40%	3.14%	3.83%	3.49%
TSM Taiwan Semiconductor Manufacturing Company Limited	0.87%	1.00%	1.18%	1.78%	2.49%	1.57%	1.56%	3.46%	3.64%	2.32%	2.61%	2.54%

Frequently Asked Questions

Can I hold both TSM and SPHD in my portfolio?

TSM and SPHD have a correlation of -0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TSM or SPHD?

TSM has higher volatility (13.65%) compared to SPHD (4.36%). In terms of maximum drawdown, TSM dropped -89.08% vs SPHD's -41.39%.

Which has better risk-adjusted returns?

TSM currently has the higher Sharpe Ratio (1.84 vs 1.36), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.