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E vs. HYG
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between E and HYG is 0.47, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.5

Performance

E vs. HYG - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eni S.p.A. (E) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). The values are adjusted to include any dividend payments, if applicable.

20.00%40.00%60.00%80.00%100.00%120.00%140.00%JulyAugustSeptemberOctoberNovemberDecember
20.87%
129.34%
E
HYG

Key characteristics

Sharpe Ratio

E:

-0.80

HYG:

1.81

Sortino Ratio

E:

-1.01

HYG:

2.58

Omega Ratio

E:

0.88

HYG:

1.33

Calmar Ratio

E:

-0.83

HYG:

3.40

Martin Ratio

E:

-2.05

HYG:

12.46

Ulcer Index

E:

7.25%

HYG:

0.64%

Daily Std Dev

E:

18.57%

HYG:

4.43%

Max Drawdown

E:

-66.24%

HYG:

-34.24%

Current Drawdown

E:

-17.95%

HYG:

-1.76%

Returns By Period

In the year-to-date period, E achieves a -17.22% return, which is significantly lower than HYG's 7.73% return. Over the past 10 years, E has underperformed HYG with an annualized return of 3.06%, while HYG has yielded a comparatively higher 4.01% annualized return.


E

YTD

-17.22%

1M

-9.46%

6M

-9.49%

1Y

-14.27%

5Y*

3.60%

10Y*

3.06%

HYG

YTD

7.73%

1M

-0.82%

6M

5.12%

1Y

7.98%

5Y*

3.06%

10Y*

4.01%

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Risk-Adjusted Performance

E vs. HYG - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Eni S.p.A. (E) and iShares iBoxx $ High Yield Corporate Bond ETF (HYG). 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.


Sharpe ratio
The chart of Sharpe ratio for E, currently valued at -0.80, compared to the broader market-4.00-2.000.002.00-0.801.81
The chart of Sortino ratio for E, currently valued at -1.01, compared to the broader market-4.00-2.000.002.004.00-1.012.58
The chart of Omega ratio for E, currently valued at 0.88, compared to the broader market0.501.001.502.000.881.33
The chart of Calmar ratio for E, currently valued at -0.83, compared to the broader market0.002.004.006.00-0.833.40
The chart of Martin ratio for E, currently valued at -2.05, compared to the broader market0.0010.0020.00-2.0512.46
E
HYG

The current E Sharpe Ratio is -0.80, which is lower than the HYG Sharpe Ratio of 1.81. The chart below compares the historical Sharpe Ratios of E and HYG, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
-0.80
1.81
E
HYG

Dividends

E vs. HYG - Dividend Comparison

E's dividend yield for the trailing twelve months is around 7.99%, more than HYG's 6.53% yield.


TTM20232022202120202019201820172016201520142013
E
Eni S.p.A.
7.99%5.74%6.39%5.79%5.91%6.11%5.15%5.38%5.57%7.15%8.58%5.94%
HYG
iShares iBoxx $ High Yield Corporate Bond ETF
6.53%5.75%5.30%4.02%4.88%4.99%5.54%5.12%5.27%5.90%5.69%6.10%

Drawdowns

E vs. HYG - Drawdown Comparison

The maximum E drawdown since its inception was -66.24%, which is greater than HYG's maximum drawdown of -34.24%. Use the drawdown chart below to compare losses from any high point for E and HYG. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-17.95%
-1.76%
E
HYG

Volatility

E vs. HYG - Volatility Comparison

Eni S.p.A. (E) has a higher volatility of 3.98% compared to iShares iBoxx $ High Yield Corporate Bond ETF (HYG) at 1.34%. This indicates that E's price experiences larger fluctuations and is considered to be riskier than HYG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JulyAugustSeptemberOctoberNovemberDecember
3.98%
1.34%
E
HYG
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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