PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
^AW01 vs. SOXX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^AW01 and SOXX is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.7

Performance

^AW01 vs. SOXX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in FTSE All World (^AW01) and iShares PHLX Semiconductor ETF (SOXX). The values are adjusted to include any dividend payments, if applicable.

-25.00%-20.00%-15.00%-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
4.21%
-14.19%
^AW01
SOXX

Key characteristics

Sharpe Ratio

^AW01:

1.67

SOXX:

0.43

Sortino Ratio

^AW01:

2.25

SOXX:

0.80

Omega Ratio

^AW01:

1.31

SOXX:

1.10

Calmar Ratio

^AW01:

2.07

SOXX:

0.60

Martin Ratio

^AW01:

9.56

SOXX:

1.32

Ulcer Index

^AW01:

1.78%

SOXX:

11.23%

Daily Std Dev

^AW01:

10.05%

SOXX:

34.65%

Max Drawdown

^AW01:

-59.48%

SOXX:

-70.21%

Current Drawdown

^AW01:

-4.01%

SOXX:

-18.47%

Returns By Period

In the year-to-date period, ^AW01 achieves a 15.00% return, which is significantly higher than SOXX's 12.98% return. Over the past 10 years, ^AW01 has underperformed SOXX with an annualized return of 6.89%, while SOXX has yielded a comparatively higher 22.77% annualized return.


^AW01

YTD

15.00%

1M

-1.25%

6M

4.21%

1Y

16.91%

5Y*

7.92%

10Y*

6.89%

SOXX

YTD

12.98%

1M

0.93%

6M

-16.52%

1Y

14.25%

5Y*

22.00%

10Y*

22.77%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

^AW01 vs. SOXX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for FTSE All World (^AW01) 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
The chart of Sharpe ratio for ^AW01, currently valued at 1.67, compared to the broader market-1.000.001.002.001.670.58
The chart of Sortino ratio for ^AW01, currently valued at 2.25, compared to the broader market-1.000.001.002.003.002.250.98
The chart of Omega ratio for ^AW01, currently valued at 1.31, compared to the broader market0.800.901.001.101.201.301.401.311.13
The chart of Calmar ratio for ^AW01, currently valued at 2.07, compared to the broader market0.001.002.003.004.002.070.79
The chart of Martin ratio for ^AW01, currently valued at 9.56, compared to the broader market0.005.0010.0015.009.561.73
^AW01
SOXX

The current ^AW01 Sharpe Ratio is 1.67, which is higher than the SOXX Sharpe Ratio of 0.43. The chart below compares the historical Sharpe Ratios of ^AW01 and SOXX, 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 Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
1.67
0.58
^AW01
SOXX

Drawdowns

^AW01 vs. SOXX - Drawdown Comparison

The maximum ^AW01 drawdown since its inception was -59.48%, smaller than the maximum SOXX drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for ^AW01 and SOXX. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-4.01%
-18.47%
^AW01
SOXX

Volatility

^AW01 vs. SOXX - Volatility Comparison

The current volatility for FTSE All World (^AW01) is 2.70%, while iShares PHLX Semiconductor ETF (SOXX) has a volatility of 7.87%. This indicates that ^AW01 experiences smaller price fluctuations and is considered to be less risky than SOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
2.70%
7.87%
^AW01
SOXX
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