^AW01 vs. SOXX
Compare and contrast key facts about FTSE All World (^AW01) 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: ^AW01 or SOXX.
Performance
^AW01 vs. SOXX - Performance Comparison
Returns By Period
In the year-to-date period, ^AW01 achieves a 16.15% return, which is significantly higher than SOXX's 11.94% return. Over the past 10 years, ^AW01 has underperformed SOXX with an annualized return of 6.87%, while SOXX has yielded a comparatively higher 23.14% annualized return.
^AW01
16.15%
-1.22%
6.25%
23.11%
8.87%
6.87%
SOXX
11.94%
-6.72%
-7.94%
25.31%
23.79%
23.14%
Key characteristics
| ^AW01 | SOXX | |
|---|---|---|
| Sharpe Ratio | 2.10 | 0.76 |
| Sortino Ratio | 2.81 | 1.20 |
| Omega Ratio | 1.39 | 1.15 |
| Calmar Ratio | 2.49 | 1.05 |
| Martin Ratio | 12.11 | 2.62 |
| Ulcer Index | 1.74% | 10.01% |
| Daily Std Dev | 9.89% | 34.38% |
| Max Drawdown | -59.48% | -70.21% |
| Current Drawdown | -1.89% | -19.22% |
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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.
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.
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.
Volatility
^AW01 vs. SOXX - Volatility Comparison
The current volatility for FTSE All World (^AW01) is 3.00%, while iShares PHLX Semiconductor ETF (SOXX) has a volatility of 8.87%. 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.