Semiconductors factor

Each stock's 60-day beta to the SMH ETF (semiconductor stocks), measured net of its market beta. Not neutralized against the style factors. Part of FactorPulse's FPUS1 model (Theme).

The exposure shown is this measure standardized across stocks (theme 1 of 6 in the model's order).

Oct 28, 2026
+0.59%
vs. 1-year daily volatility
z = +0.8
1M
-3.16%
3M
-2.90%
YTD
+4.69%
1Y
+4.01%

Last 12 months

simulated-5.0%0.0%5.0%10.0%15.0%Oct 25Dec 25Feb 26Apr 26Jun 26Aug 26Oct 26
Cumulative return (sum of daily returns) of the Semiconductors factor portfolio, through Oct 28, 2026.

Full history

simulated history-10%0%10%20%30%2020202120222023202420252026
Since Jan 02, 2020. The shaded period is simulated history.

History before Jul 15, 2026 is simulated: it was regenerated on that date with the methodology adopted then, not recorded live, and charts shade that period. Later changes apply from their dates forward; see the revision log. Point-in-time risk forecasts begin Jul 30, 2026.

Statistics

PeriodReturnVolatility (ann.)Return / riskMax drawdown
1M-3.16%10.5%-3.60-6.19%
3M-2.90%11.7%-0.99-6.74%
YTD+4.69%13.3%+0.43-12.53%
1Y+4.01%12.5%+0.32-12.53%
Since Jul 2026 (live)-5.82%13.7%-1.43-9.59%
Since 2020 (incl. simulated)+13.71%9.6%+0.21-23.61%

Returns are summed daily long/short factor returns before costs. Volatility and return/risk are annualized from daily data. Each factor is measured net of other factors (see above), so its return can differ from familiar indexes built on the same idea. Section 9 of the methodology (Empirical Factor Behavior) discusses each factor's realized return.

Large companies most and least exposed today

Among the 500 largest US-listed companies (market cap above $26B). Exposure is in standard deviations across about 2,000 stocks, net of the market and the themes ranked ahead of it. When the factor return is positive, semiconductors exposure outperforms; when it is negative, semiconductors exposure underperforms.

Theme exposure measures how closely a stock's returns have moved with the theme, net of its market beta and the themes ranked above it, not what business it is in. Companies from other industries can rank high, and obvious industry names can rank lower than expected. Themes are not neutralized against the style factors, so they can overlap with them (Treasury exposure, for example, leans toward smaller companies).

Highest exposure

  1. SK hynix Inc. SKHY +4.00 · $1.2T
  2. Lumentum Holdings Inc. LITE +3.79 · $83B
  3. Ciena Corporation CIEN +3.18 · $52B
  4. Seagate Technology Holdings PLC STX +2.73 · $161B
  5. Coherent Corp. COHR +2.50 · $47B
  6. Teradyne, Inc. TER +2.44 · $49B
  7. Monolithic Power Systems, Inc. MPWR +2.31 · $60B
  8. Synopsys Inc SNPS +1.92 · $92B
  9. Constellation Energy Corporation CEG +1.82 · $91B
  10. argenx SE ARGX +1.82 · $56B

Lowest exposure

  1. Axon Enterprise, Inc. AXON -2.95 · $34B
  2. Applovin Corporation APP -2.53 · $87B
  3. Tesla, Inc. TSLA -2.42 · $1.6T
  4. Palantir Technologies Inc. PLTR -2.30 · $473B
  5. Ares Management Corporation ARES -2.14 · $28B
  6. KKR & Co. Inc. KKR -2.04 · $84B
  7. Blackstone Inc. BX -2.04 · $93B
  8. Apollo Global Management, Inc. APO -1.84 · $67B
  9. Bending Spoons S.p.A. BSP -1.80 · $30B
  10. Alphabet Inc. GOOGL -1.79 · $4.0T

What it moves with

Most positively correlated factors (1 year)

  1. Long-Term Momentum +0.89
  2. Beta +0.60
  3. Dividend Yield +0.48

Most negatively correlated factors

  1. Short Interest -0.50
  2. Hedge-Fund Ownership -0.36
  3. Growth -0.29

Correlation with ETFs

ETF1 year3 months
SPY S&P 500+0.23-0.02
IWM Small caps+0.23-0.08
TLT Long Treasuries-0.13-0.49
USO Oil+0.04+0.10
SMH Semiconductors+0.68+0.59
GLD Gold+0.20-0.12
XLU Utilities+0.18+0.00
BITO Bitcoin futures+0.07-0.21
KWEB China internet+0.08-0.18

← All FPUS1 factors