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^XOI vs. SMH
Performance
Risk-Adjusted Performance
Drawdowns
Volatility

Correlation

The correlation between ^XOI and SMH is 0.37, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

^XOI vs. SMH - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Amex Oil Index (^XOI) and VanEck Vectors Semiconductor ETF (SMH). The values are adjusted to include any dividend payments, if applicable.

150.00%200.00%250.00%300.00%JulyAugustSeptemberOctoberNovemberDecember
238.47%
175.28%
^XOI
SMH

Key characteristics

Sharpe Ratio

^XOI:

-0.48

SMH:

1.25

Sortino Ratio

^XOI:

-0.52

SMH:

1.76

Omega Ratio

^XOI:

0.94

SMH:

1.22

Calmar Ratio

^XOI:

-0.36

SMH:

1.75

Martin Ratio

^XOI:

-0.83

SMH:

4.38

Ulcer Index

^XOI:

11.05%

SMH:

9.95%

Daily Std Dev

^XOI:

19.23%

SMH:

34.83%

Max Drawdown

^XOI:

-72.79%

SMH:

-95.73%

Current Drawdown

^XOI:

-24.67%

SMH:

-13.71%

Returns By Period

In the year-to-date period, ^XOI achieves a -8.57% return, which is significantly lower than SMH's 38.79% return. Over the past 10 years, ^XOI has underperformed SMH with an annualized return of 2.14%, while SMH has yielded a comparatively higher 27.34% annualized return.


^XOI

YTD

-8.57%

1M

-13.10%

6M

-14.55%

1Y

-9.47%

5Y*

6.28%

10Y*

2.14%

SMH

YTD

38.79%

1M

-1.38%

6M

-8.37%

1Y

40.07%

5Y*

29.31%

10Y*

27.34%

Compare stocks, funds, or ETFs

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Risk-Adjusted Performance

^XOI vs. SMH - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Amex Oil Index (^XOI) 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.


Sharpe ratio
The chart of Sharpe ratio for ^XOI, currently valued at -0.48, compared to the broader market0.001.002.00-0.481.25
The chart of Sortino ratio for ^XOI, currently valued at -0.52, compared to the broader market-1.000.001.002.003.00-0.521.76
The chart of Omega ratio for ^XOI, currently valued at 0.94, compared to the broader market0.901.001.101.201.301.400.941.22
The chart of Calmar ratio for ^XOI, currently valued at -0.36, compared to the broader market0.001.002.003.00-0.361.75
The chart of Martin ratio for ^XOI, currently valued at -0.83, compared to the broader market0.005.0010.0015.0020.00-0.834.38
^XOI
SMH

The current ^XOI Sharpe Ratio is -0.48, which is lower than the SMH Sharpe Ratio of 1.25. The chart below compares the historical Sharpe Ratios of ^XOI and SMH, 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 Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.48
1.25
^XOI
SMH

Drawdowns

^XOI vs. SMH - Drawdown Comparison

The maximum ^XOI drawdown since its inception was -72.79%, smaller than the maximum SMH drawdown of -95.73%. Use the drawdown chart below to compare losses from any high point for ^XOI and SMH. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-24.67%
-13.71%
^XOI
SMH

Volatility

^XOI vs. SMH - Volatility Comparison

The current volatility for Amex Oil Index (^XOI) is 5.35%, while VanEck Vectors Semiconductor ETF (SMH) has a volatility of 7.83%. This indicates that ^XOI experiences smaller price fluctuations and is considered to be less risky than SMH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


5.00%10.00%15.00%20.00%JulyAugustSeptemberOctoberNovemberDecember
5.35%
7.83%
^XOI
SMH
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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.

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