PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
XSD vs. SOXQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between XSD and SOXQ is 0.94, 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.


-0.50.00.51.00.9

Performance

XSD vs. SOXQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR S&P Semiconductor ETF (XSD) and Invesco PHLX Semiconductor ETF (SOXQ). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
0.09%
-11.07%
XSD
SOXQ

Key characteristics

Sharpe Ratio

XSD:

0.32

SOXQ:

0.62

Sortino Ratio

XSD:

0.67

SOXQ:

1.04

Omega Ratio

XSD:

1.08

SOXQ:

1.13

Calmar Ratio

XSD:

0.42

SOXQ:

0.87

Martin Ratio

XSD:

1.11

SOXQ:

2.08

Ulcer Index

XSD:

10.06%

SOXQ:

10.53%

Daily Std Dev

XSD:

34.56%

SOXQ:

35.26%

Max Drawdown

XSD:

-64.56%

SOXQ:

-46.01%

Current Drawdown

XSD:

-9.49%

SOXQ:

-15.58%

Returns By Period

In the year-to-date period, XSD achieves a 10.41% return, which is significantly lower than SOXQ's 19.95% return.


XSD

YTD

10.41%

1M

8.40%

6M

-2.09%

1Y

10.48%

5Y*

18.99%

10Y*

20.80%

SOXQ

YTD

19.95%

1M

2.00%

6M

-13.48%

1Y

21.35%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


XSD vs. SOXQ - Expense Ratio Comparison

XSD has a 0.35% expense ratio, which is higher than SOXQ's 0.00% expense ratio.


XSD
SPDR S&P Semiconductor ETF
Expense ratio chart for XSD: current value at 0.35% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.35%
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

XSD vs. SOXQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR S&P Semiconductor ETF (XSD) and Invesco PHLX Semiconductor ETF (SOXQ). 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
The chart of Sharpe ratio for XSD, currently valued at 0.32, compared to the broader market0.002.004.000.320.62
The chart of Sortino ratio for XSD, currently valued at 0.67, compared to the broader market-2.000.002.004.006.008.0010.000.671.04
The chart of Omega ratio for XSD, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.001.081.13
The chart of Calmar ratio for XSD, currently valued at 0.42, compared to the broader market0.005.0010.0015.000.420.87
The chart of Martin ratio for XSD, currently valued at 1.11, compared to the broader market0.0020.0040.0060.0080.00100.001.112.08
XSD
SOXQ

The current XSD Sharpe Ratio is 0.32, which is lower than the SOXQ Sharpe Ratio of 0.62. The chart below compares the historical Sharpe Ratios of XSD and SOXQ, 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 Ratio0.000.501.001.502.00JulyAugustSeptemberOctoberNovemberDecember
0.32
0.62
XSD
SOXQ

Dividends

XSD vs. SOXQ - Dividend Comparison

XSD's dividend yield for the trailing twelve months is around 0.15%, less than SOXQ's 0.50% yield.


TTM20232022202120202019201820172016201520142013
XSD
SPDR S&P Semiconductor ETF
0.15%0.31%0.44%0.10%0.26%0.51%1.16%0.59%0.64%0.58%0.46%0.52%
SOXQ
Invesco PHLX Semiconductor ETF
0.50%0.87%1.36%0.73%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

XSD vs. SOXQ - Drawdown Comparison

The maximum XSD drawdown since its inception was -64.56%, which is greater than SOXQ's maximum drawdown of -46.01%. Use the drawdown chart below to compare losses from any high point for XSD and SOXQ. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.49%
-15.58%
XSD
SOXQ

Volatility

XSD vs. SOXQ - Volatility Comparison

SPDR S&P Semiconductor ETF (XSD) has a higher volatility of 9.46% compared to Invesco PHLX Semiconductor ETF (SOXQ) at 8.68%. This indicates that XSD's price experiences larger fluctuations and is considered to be riskier than SOXQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


6.00%8.00%10.00%12.00%14.00%16.00%18.00%JulyAugustSeptemberOctoberNovemberDecember
9.46%
8.68%
XSD
SOXQ
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab