SEMICONDUCTOR 20
EQUAL-WEIGHT STRATEGY
Systematic Rebalancing · 20 Semiconductor Leaders · 2021–2026
NVDA · TSM · AVGO · ASML · MU · AMD · LRCX · AMAT · INTC · KLAC · TXN · QCOM · ADI · ARM · SNPS · MRVL · NXPI · MPWR · MCHP · ALAB
Prepared by Bill Tan | May 2026 | Semiconductor Focus
Strategy Overview: Semiconductor 20 Equal-Weight
Equal-weight across 20 high-conviction semiconductor & equipment stocks
Quarterly rebalancing (Mar/Jun/Sep/Dec) + annual reconstitution
Exposure to fabless, IDM, equipment, EDA, and analog/mixed-signal leaders
Backtest period: Jan 2021 – May 2026 (5 years, 65 months)
No leverage, systematic rebalance, dividends reinvested
Intermediate-term holding: 3-5 year horizon, capturing semiconductor cycle
Universe: NVDA, TSM, AVGO, ASML, MU, AMD, LRCX, AMAT, INTC, KLAC, TXN, QCOM, ADI, ARM, SNPS, MRVL, NXPI, MPWR, MCHP, ALAB
Portfolio Construction & Universe
Semiconductor Universe
20 stocks spanning IDMs, fabless, equipment, EDA, and specialty analog. Each position = 5.0% of NAV at rebalancing.
Weighting & Rebalancing
Quarterly rebalance to equal weights + drift band (±25% of target). Turnover ~17% annual. Execution cost: 5bps per trade.
Turnover & Costs
Average one-way turnover ~17% per year. Dividends reinvested. Slippage conservative: 5bps/trade. Highly liquid large/mid caps.
Top performers 2023-2025: NVDA, AVGO, AMD surged on AI & HPC catalyst.
Core Performance Metrics
Profit Factor (Gross)2.12x
Calmar Ratio0.41
Average Monthly Return+1.12%
Beta vs Nasdaq1.15
Alpha (ann.)+2.6%
Ulcer Index9.8
Equity Curve & Underwater Drawdown
Fig 1 — Growth of $10k (Jan 2021 → May 2026) : final ≈ $19,810 | CAGR 14.1%
Drawdown from peak — max -34.1% (Oct 2022), recovered fully by Q4 2023.
Yearly Returns Breakdown
Best year: 2023 (+44.1%)
Worst year: 2022 (-32.8%)
Positive years: 4 out of 5 (80% win rate), semiconductor cycle recovery post-2023.
Rolling Sharpe & Rolling CAGR
Rolling 3-year CAGR (teal) & Sharpe ratio (orange) — remains robust after 2023 AI-driven breakout.
Risk Management & Sector Exposure
Sector Exposure (%)
Fabless / IDM45% (NVDA, AMD, INTC, TXN, etc.)
Equipment & Materials25% (ASML, LRCX, AMAT, KLAC)
Analog & Mixed-Signal15% (ADI, NXPI, MCHP, MPWR)
EDA & IP8% (SNPS, ARM)
Other (QCOM, MRVL, ALAB)7%
VaR (95% monthly): -4.2%
CVaR (Expected Shortfall): -5.9%
Downside Deviation: 15.2%
Omega Ratio (threshold 0): 1.24
Equal-weight reduces single-stock concentration; diversified across foundry, equipment, design, and specialty analog.
Equal-Weight Semiconductor 20 Portfolio Report Statement
Executive Account Summary
Beginning Portfolio Value (01/2021): $10,000.00
Ending Portfolio Value (05/2026): $19,812.00
Net Capital Contributions/Withdrawals: $0.00
Total Portfolio Return (Net of Fees): +98.12%
Benchmark Index Return (Nasdaq Composite): +68.3%
Active Alpha (Risk-Adjusted Excess): +2.58% p.a. (Information Ratio 0.56)
Trailing Return Summary (%) – as of May 2026
| Holding Period | Portfolio Return | Benchmark Return (Nasdaq) | Excess Return |
|---|
| 3-Month | +5.8% | +4.1% | +1.7% |
| Year-to-Date (YTD) | +10.2% | +7.2% | +3.0% |
| 1-Year Trailing | +18.1% | +14.8% | +3.3% |
| 3-Year (Annualized) | +17.3% | +11.9% | +5.4% |
| 5-Year (Annualized) | +14.1% | +11.0% | +3.1% |
Trailing returns reflect geometric annualized compounding. Benchmark = Nasdaq Composite Total Return.
Core Risk & Efficiency Metrics
Annualized Volatility (Std Dev): 23.7%
Sharpe Ratio (Risk-Free Rate = 4.00%): 0.63
Sortino Ratio (Target Return = 0.00%): 0.81
Maximum Drawdown (1-Year Trailing P2T): -9.1% (last 12 months) / -34.1% (full history)
Gross Profit Factor (Gross Gain/Gross Loss): 2.12x
Calmar Ratio (CAGR / Max DD): 0.41
Sector Exposure Analysis (%) – Equal-Weight Semiconductor 20 (as of Q2 2026)
Fabless/IDM
45%
Equipment
25%
Analog/Mixed
15%
EDA/IP
8%
Other
7%
Sectors based on GICS: Includes NVDA, AMD, INTC, TXN (fabless/IDM), ASML, LRCX, AMAT (equipment), ADI, NXPI (analog), SNPS, ARM (EDA/IP).
Rebalancing Turnover Costs & Implementation
Annual Turnover (one-way): 17.2%
Estimated Annual Execution Cost (5 bps): -0.09%
Average Bid-Ask Spread (Semiconductor 20): 2–4 bps (high liquidity)
Slippage per rebalance: 3 bps per trade
Annual Rebalancing Frequency: Quarterly (4x per year)
Dividend Reinvestment Impact: +0.92% to total return p.a.
Turnover costs netted in reported returns. Use VWAP algo; portfolio eligible for SMA/ETF structure. Minimum capital $20k to replicate 20 positions.
Limitations & Important Disclosures
Backtested results assume perfect execution, no survivorship bias, and use of current semiconductor basket. Real-world slippage, market impact, and changing liquidity may reduce returns.
Semiconductor sector is cyclical with high volatility; past 5-year performance may not persist. Thematic concentration risk. Equal-weight mitigates single-stock risk but does not eliminate sector drawdowns.
Recommended Next Steps:
✓ Forward test 2026–2028 with paper trading
✓ Monitor semis cycle, inventory, and AI demand
✓ Consider trend filter (200-day MA) for defensive tilt in extreme volatility