저자: 후쿠다 · 외국인
요약 보기
SOXX(반도체 ETF)를 2001~2023년 데이터로 분석. 일간·월간·연간 수익률 모두 벤치마크(VTI, DIA, QQQ) 대비 수익률은 높았으나 변동성도 높고 샤프지수는 낮았음. 나스닥100 기준 알파는 음수로, 초과수익은 미국 기술주 상승에 따른 베타 효과로 설명. 결론적으로 반도체 ETF 집중 투자의 실익이 크지 않다고 봄, 미국 기술주 강세 전제 입장.
다듬은 글
Hi everyone, this is Fukuda. Today, we'll be examining the characteristics of an individual stock, specifically the ISRS Semiconductor ETF, also known as "Socks," which is an ETF of US stocks. Thank you for joining me. The data will be from July 13, 2001 to December 29, 2023. The benchmarks will be the VTI ETF (US stocks), the DIIA ETF (Dow Jones Industrial Average), and the 999 ETF (Nasda 100).
The time axis for returns will be day, month, and year, and the type of return will be the return including dividends. Specifically, we will be looking at these seven items. So, let's start with a rough conclusion. First, the return of Socks was higher than all the benchmarks. The risk was also higher than all the benchmarks.
The Sharpe ratio was lower than all the benchmarks. The correlation coefficient was strong with all the benchmarks. As for the alpha, when the Nasda 100 was used as the benchmark... It was in the negative, so basically the investment premise is to be bullish on US tech stocks, and that's the stance I'll take.
So, I'd like to look at the data from here to see why I came to this conclusion. Okay, let's get started. First, the daily returns. This is data for 5651 days of returns. And the average return, as you can see, is that Socks had the highest return compared to the benchmark. Although 999 is close behind, next is the standard deviation, and this also shows that it had the highest risk compared to any of the benchmarks.
It was taking almost twice the risk compared to New York State. Next is the Sharpe ratio, and in this regard, it is at a similar level to VTI and DIIA, but if we look at the detailed numbers, Socks had a lower Sharpe ratio compared to the benchmark. You can see that the investment efficiency was poor.
Next, let's look at the correlation disk beta. Basically, it has a strong net correlation with the benchmark. In particular, you can see that it has the highest correlation with the tech stock ETF 999. The beta itself seems to be at the same level for all of them. Next, let's look at the beta and alpha.
When TI and diia are used as benchmarks, this sock is able to produce alpha, but even so, the majority of the return is the beta return. When 999 is used as the benchmark, it is almost zero, but it is slightly in the negative alpha. So basically, the reason why this sock of reaction stocks had a high return is that more than 100% of it can be explained by the fact that the US stock market happened to be doing well.
So, basically, I don't think there was much reason to deliberately invest in reaction stocks. That's the feeling I get. Next, let's look at the returns when the benchmark rises. These three have something in common: basically, when the benchmark rises, these stocks rise even more. Next, let's look at when the benchmark falls.
Again, when the benchmark falls, these stocks fall even more. So, that was the daily return. Now, let's look at the monthly return. This is data for 269 months of returns. The average return is, in comparison to the benchmark, the highest return I think you can see. Although, it's not that different from 999.
Next is the standard deviation. In this regard, compared to the benchmark, the highest risk I think you can see. VTI and Diia, etc. It seems the risk was almost twice as high as the others. Next is the Sharpe ratio, and there is a slight difference compared to when we looked at it by date. Basically, the Sharpe ratio of the monthly returns of vtidiia999 is almost the same, but you can see that the Sharpe ratio of Socks is inferior compared to these three.
Next is the correlation risk beta, and the correlation coefficient is still strong, and you can see that the correlation with 999 is the highest. Next, we look at beta and alpha, and if we use vtidiia as the benchmark, it is almost the same, and there is a little alpha, but if we use 999 as the benchmark, it is indeed in the negative, so it seems that there was not much point in concentrating investment in reaction stocks.
Next is when the benchmark rises, and this Regarding this, it's the same as before, and you can see that when the benchmark rises, it rises even more. Next, when the benchmark falls, you can see that when the benchmark falls, it falls even more. So, that was the monthly return. Finally, let's look at the annual return.
This is 22 years of return data, and it's the average return. Compared to vta and diia, the annual return of this sock is quite high, but compared to 999, it's high, but you can see that the level isn't that different. Next, the size of the standard deviation disk is quite high, about 2 times or 2.5 times that of vta and DIA, and about 1.3 times that of 999.
Next, the Sharpe ratio. When you look at the returns, there is quite a difference, but for vti and di, the Sharpe ratio is As mentioned above, 999 also has a higher Sharpe ratio than this Socks, so the return itself was high, but when we look at it in terms of investment efficiency, we can see that it wasn't that great.
Next, regarding correlation disk beta, it still has a strong net correlation, and the correlation with 999 is the highest, but we can see that the correlation with vta and diia is also quite high. Next, regarding beta and alpha, when we look at it on a daily/monthly basis, if we set vtiDI to 1 mark, there was a slight alpha, but when we look at it on a yearly basis, the alpha for vtidiia and 999, all three benchmarks, is negative, so basically the reason why Socks had the highest return is that the US stock market as a whole, especially tech stocks, happened to be doing well, and its actual performance wasn't that high.
I don't think there was much point in focusing on and investing in reaction stocks. That's the feeling I get. Next, when the benchmark rises, if you compare it with VTI and DIA, you can see that when it rises, it rises even more significantly. However, when you compare it with 999, it rises even more, but you can see that the level itself has n't changed that much.
Now, when the benchmark falls, if you compare it with 999, it falls about 8% more, which is quite a lot, but when VTA and DIA fall, you can see that it falls even more significantly. So, that's the annual return, and that's all for this video. Thank you for listening. This is how I do things, so please leave any questions, comments, or requests in the comments section.
If you found this video helpful, please give it a thumbs up and subscribe to the channel. So, that's all for today. Thank you for joining me. I hope to see you again. Goodbye.
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