SMH vs SOXX: returns, Sharpe ratio and drawdown
Performance
SMH+85.45%SOXX+105.67%
Summary
SMH vs SOXX
Over the past year, SOXX returned +105.67% against +85.45% for SMH. Over five years, SMH averaged +35.78% a year, compared with +29.97% for SOXX. SOXX had the higher Sharpe ratio over the past year (1.74 vs 1.68), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -24.62% for SMH and -29.01% for SOXX.
Current Drawdown
SMH-9.80%SOXX-14.60%
Rolling Volatility
SMH+1.90%SOXX+2.28%
METRICS
Correlation Matrix
Metrics
Risk Indicators
SMHSOXX
Alpha
SMH
32.78%
SOXX
42.71%
Beta
SMH
2.33x
SOXX
2.56x
Sharpe
SMH
1.68
SOXX
1.74
Sortino
SMH
2.48
SOXX
2.57
Omega
SMH
1.32
SOXX
1.33
Calmar
SMH
3.47
SOXX
3.64
Martin
SMH
7.65
SOXX
7.43
Comparisons