Correlation
The correlation between ^SOX and SMH is 0.75, 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.
^SOX vs. SMH
Compare and contrast key facts about PHLX Semiconductor Index (^SOX) and VanEck Vectors Semiconductor ETF (SMH).
SMH is a passively managed fund by VanEck that tracks the performance of the MVIS US Listed Semiconductor 25 Index. It was launched on Dec 20, 2011.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^SOX or SMH.
Performance
^SOX vs. SMH - Performance Comparison
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Key characteristics
^SOX:
-0.18
SMH:
-0.01
^SOX:
-0.04
SMH:
0.18
^SOX:
1.00
SMH:
1.02
^SOX:
-0.27
SMH:
-0.10
^SOX:
-0.60
SMH:
-0.23
^SOX:
17.43%
SMH:
15.52%
^SOX:
44.96%
SMH:
43.26%
^SOX:
-87.15%
SMH:
-83.29%
^SOX:
-19.42%
SMH:
-14.38%
Returns By Period
In the year-to-date period, ^SOX achieves a -4.46% return, which is significantly lower than SMH's -1.00% return. Over the past 10 years, ^SOX has underperformed SMH with an annualized return of 20.50%, while SMH has yielded a comparatively higher 24.75% annualized return.
^SOX
-4.46%
12.02%
-3.42%
-7.13%
15.37%
20.76%
20.50%
SMH
-1.00%
12.93%
-0.54%
0.14%
26.07%
28.60%
24.75%
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Risk-Adjusted Performance
^SOX vs. SMH — Risk-Adjusted Performance Rank
^SOX
SMH
^SOX vs. SMH - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for PHLX Semiconductor Index (^SOX) and VanEck Vectors Semiconductor ETF (SMH). 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.
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Drawdowns
^SOX vs. SMH - Drawdown Comparison
The maximum ^SOX drawdown since its inception was -87.15%, roughly equal to the maximum SMH drawdown of -83.29%. Use the drawdown chart below to compare losses from any high point for ^SOX and SMH.
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Volatility
^SOX vs. SMH - Volatility Comparison
PHLX Semiconductor Index (^SOX) has a higher volatility of 9.78% compared to VanEck Vectors Semiconductor ETF (SMH) at 9.05%. This indicates that ^SOX's price experiences larger fluctuations and is considered to be riskier than SMH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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