1ENGI.MI vs. 0HIT.L
1ENGI.MI (Engie SA) and 0HIT.L (Iberdrola) are both stocks. Both operate in the Utilities - Diversified industry within the Utilities sector. Over the past 10 years, 1ENGI.MI returned 14.96%/yr vs 16.03%/yr for 0HIT.L. At a 0.41 correlation, their price movements are largely independent.
Performance
1ENGI.MI vs. 0HIT.L - Performance Comparison
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Returns By Period
In the year-to-date period, 1ENGI.MI achieves a 24.51% return, which is significantly higher than 0HIT.L's 5.43% return. Over the past 10 years, 1ENGI.MI has underperformed 0HIT.L with an annualized return of 14.96%, while 0HIT.L has yielded a comparatively higher 16.03% annualized return.
1ENGI.MI
- 1D
- -1.52%
- 1M
- -4.63%
- YTD
- 24.51%
- 6M
- 30.08%
- 1Y
- 45.14%
- 3Y*
- 32.91%
- 5Y*
- 26.26%
- 10Y*
- 14.96%
0HIT.L
- 1D
- -1.28%
- 1M
- -2.51%
- YTD
- 5.43%
- 6M
- 8.91%
- 1Y
- 24.75%
- 3Y*
- 22.79%
- 5Y*
- 16.68%
- 10Y*
- 16.03%
1ENGI.MI vs. 0HIT.L - Yearly Performance Comparison
Correlation
The correlation between 1ENGI.MI and 0HIT.L is 0.37, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.37 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.36 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.38 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.42 |
Correlation (All Time) Calculated using the full available price history since Apr 10, 2006 | 0.41 |
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Return for Risk
1ENGI.MI vs. 0HIT.L — Risk / Return Rank
1ENGI.MI
0HIT.L
1ENGI.MI vs. 0HIT.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Engie SA (1ENGI.MI) and Iberdrola (0HIT.L). 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.
| 1ENGI.MI | 0HIT.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.21 | ||
| Sortino ratioReturn per unit of downside risk | +1.35 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.24 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | 3.35 | 2.00 | +1.35 |
| Martin ratioReturn relative to average drawdown | 9.22 | 7.22 | +2.01 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| 1ENGI.MI | 0HIT.L | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.93 | 0.72 | +1.21 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.01 | 0.71 | +0.30 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.57 | 0.59 | -0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.12 | 0.31 | -0.19 |
Drawdowns
1ENGI.MI vs. 0HIT.L - Drawdown Comparison
The maximum 1ENGI.MI drawdown since its inception was -82.37%, which is greater than 0HIT.L's maximum drawdown of -72.74%. Use the drawdown chart below to compare losses from any high point for 1ENGI.MI and 0HIT.L.
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Drawdown Indicators
| 1ENGI.MI | 0HIT.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -82.37% | -72.74% | -9.63% |
Max Drawdown (1Y)Largest decline over 1 year | -14.00% | -12.43% | -1.57% |
Max Drawdown (3Y)Largest decline over 3 years | -21.31% | -15.95% | -5.36% |
Max Drawdown (5Y)Largest decline over 5 years | -30.75% | -19.47% | -11.28% |
Max Drawdown (10Y)Largest decline over 10 years | -47.63% | -28.38% | -19.25% |
Current DrawdownCurrent decline from peak | -6.12% | -5.37% | -0.75% |
Average DrawdownAverage peak-to-trough decline | -33.66% | -25.36% | -8.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.09% | 3.45% | +1.64% |
Volatility
1ENGI.MI vs. 0HIT.L - Volatility Comparison
Engie SA (1ENGI.MI) has a higher volatility of 6.38% compared to Iberdrola (0HIT.L) at 5.94%. This indicates that 1ENGI.MI's price experiences larger fluctuations and is considered to be riskier than 0HIT.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| 1ENGI.MI | 0HIT.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.38% | 5.94% | +0.44% |
Volatility (6M)Calculated over the trailing 6-month period | 20.76% | 32.11% | -11.35% |
Volatility (1Y)Calculated over the trailing 1-year period | 24.32% | 34.39% | -10.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 25.80% | 23.44% | +2.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 25.98% | 27.08% | -1.10% |
Dividends
1ENGI.MI vs. 0HIT.L - Dividend Comparison
1ENGI.MI's dividend yield for the trailing twelve months is around 5.08%, more than 0HIT.L's 2.80% yield.
Financials
1ENGI.MI vs. 0HIT.L - Financials Comparison
This section allows you to compare key financial metrics between Engie SA and Iberdrola. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.
Total Revenue: Total amount of money received from sales and other business activities
Frequently Asked Questions
1ENGI.MI and 0HIT.L have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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