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^UTY vs. SOXX
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^UTY and SOXX is 0.51, 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.


Performance

^UTY vs. SOXX - Performance Comparison

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

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Key characteristics

Sharpe Ratio

^UTY:

0.64

SOXX:

-0.24

Sortino Ratio

^UTY:

1.14

SOXX:

-0.07

Omega Ratio

^UTY:

1.15

SOXX:

0.99

Calmar Ratio

^UTY:

0.91

SOXX:

-0.26

Martin Ratio

^UTY:

2.59

SOXX:

-0.59

Ulcer Index

^UTY:

5.13%

SOXX:

18.30%

Daily Std Dev

^UTY:

16.97%

SOXX:

43.26%

Max Drawdown

^UTY:

-48.16%

SOXX:

-70.21%

Current Drawdown

^UTY:

-3.39%

SOXX:

-26.56%

Returns By Period

In the year-to-date period, ^UTY achieves a 7.47% return, which is significantly higher than SOXX's -9.89% return. Over the past 10 years, ^UTY has underperformed SOXX with an annualized return of 6.28%, while SOXX has yielded a comparatively higher 21.26% annualized return.


^UTY

YTD

7.47%

1M

5.11%

6M

2.46%

1Y

11.05%

5Y*

7.04%

10Y*

6.28%

SOXX

YTD

-9.89%

1M

15.02%

6M

-15.93%

1Y

-11.36%

5Y*

20.42%

10Y*

21.26%

*Annualized

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Risk-Adjusted Performance

^UTY vs. SOXX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

^UTY
The Risk-Adjusted Performance Rank of ^UTY is 8484
Overall Rank
The Sharpe Ratio Rank of ^UTY is 8383
Sharpe Ratio Rank
The Sortino Ratio Rank of ^UTY is 8383
Sortino Ratio Rank
The Omega Ratio Rank of ^UTY is 8181
Omega Ratio Rank
The Calmar Ratio Rank of ^UTY is 8888
Calmar Ratio Rank
The Martin Ratio Rank of ^UTY is 8484
Martin Ratio Rank

SOXX
The Risk-Adjusted Performance Rank of SOXX is 1111
Overall Rank
The Sharpe Ratio Rank of SOXX is 1010
Sharpe Ratio Rank
The Sortino Ratio Rank of SOXX is 1313
Sortino Ratio Rank
The Omega Ratio Rank of SOXX is 1313
Omega Ratio Rank
The Calmar Ratio Rank of SOXX is 77
Calmar Ratio Rank
The Martin Ratio Rank of SOXX is 1010
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

^UTY vs. SOXX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for PHLX Utility Sector Index (^UTY) 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.


The current ^UTY Sharpe Ratio is 0.64, which is higher than the SOXX Sharpe Ratio of -0.24. The chart below compares the historical Sharpe Ratios of ^UTY 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.


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Drawdowns

^UTY vs. SOXX - Drawdown Comparison

The maximum ^UTY drawdown since its inception was -48.16%, smaller than the maximum SOXX drawdown of -70.21%. Use the drawdown chart below to compare losses from any high point for ^UTY and SOXX. For additional features, visit the drawdowns tool.


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Volatility

^UTY vs. SOXX - Volatility Comparison

The current volatility for PHLX Utility Sector Index (^UTY) is 4.88%, while iShares PHLX Semiconductor ETF (SOXX) has a volatility of 13.16%. This indicates that ^UTY 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.


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