ENGI.PA vs. ENEL.MI
ENGI.PA (ENGIE SA) and ENEL.MI (Enel SpA) are both stocks. Both operate in the Utilities - Diversified industry within the Utilities sector. Over the past 10 years, ENGI.PA returned 14.08%/yr vs 15.79%/yr for ENEL.MI. A 0.60 correlation means they provide meaningful diversification when combined.
Performance
ENGI.PA vs. ENEL.MI - Performance Comparison
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Returns By Period
In the year-to-date period, ENGI.PA achieves a 28.95% return, which is significantly higher than ENEL.MI's 13.01% return. Over the past 10 years, ENGI.PA has underperformed ENEL.MI with an annualized return of 14.08%, while ENEL.MI has yielded a comparatively higher 15.79% annualized return.
ENGI.PA
- 1D
- 0.36%
- 1M
- 0.62%
- YTD
- 28.95%
- 6M
- 33.17%
- 1Y
- 45.36%
- 3Y*
- 34.44%
- 5Y*
- 27.00%
- 10Y*
- 14.08%
ENEL.MI
- 1D
- 1.35%
- 1M
- 0.72%
- YTD
- 13.01%
- 6M
- 15.09%
- 1Y
- 29.94%
- 3Y*
- 24.05%
- 5Y*
- 10.38%
- 10Y*
- 15.79%
ENGI.PA vs. ENEL.MI - Yearly Performance Comparison
Correlation
The correlation between ENGI.PA and ENEL.MI is 0.60, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.60 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.52 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.50 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.52 |
Correlation (All Time) Calculated using the full available price history since Nov 29, 2006 | 0.60 |
The correlation between ENGI.PA and ENEL.MI has been stable across timeframes, ranging from 0.50 to 0.60 - a consistent structural relationship.
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Return for Risk
ENGI.PA vs. ENEL.MI — Risk / Return Rank
ENGI.PA
ENEL.MI
ENGI.PA vs. ENEL.MI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ENGIE SA (ENGI.PA) and Enel SpA (ENEL.MI). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ENGI.PA | ENEL.MI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.77 | ||
| Sortino ratioReturn per unit of downside risk | +1.02 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.29 | +0.12 |
| Calmar ratioReturn relative to maximum drawdown | 3.50 | 2.65 | +0.85 |
| Martin ratioReturn relative to average drawdown | 9.32 | 7.83 | +1.49 |
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Drawdowns
ENGI.PA vs. ENEL.MI - Drawdown Comparison
The maximum ENGI.PA drawdown since its inception was -60.64%, which is greater than ENEL.MI's maximum drawdown of -56.40%. Use the drawdown chart below to compare losses from any high point for ENGI.PA and ENEL.MI.
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Drawdown Indicators
| ENGI.PA | ENEL.MI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.64% | -56.40% | -4.24% |
Max Drawdown (1Y)Largest decline over 1 year | -13.29% | -10.99% | -2.30% |
Max Drawdown (3Y)Largest decline over 3 years | -16.76% | -13.88% | -2.88% |
Max Drawdown (5Y)Largest decline over 5 years | -30.68% | -47.08% | +16.40% |
Max Drawdown (10Y)Largest decline over 10 years | -47.75% | -50.13% | +2.38% |
Current DrawdownCurrent decline from peak | -2.14% | -3.93% | +1.79% |
Average DrawdownAverage peak-to-trough decline | -32.61% | -15.15% | -17.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.02% | 3.72% | +1.30% |
Volatility
ENGI.PA vs. ENEL.MI - Volatility Comparison
ENGIE SA (ENGI.PA) and Enel SpA (ENEL.MI) have volatilities of 5.09% and 5.33%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ENGI.PA | ENEL.MI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.09% | 5.33% | -0.24% |
Volatility (6M)Calculated over the trailing 6-month period | 17.07% | 17.28% | -0.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.46% | 19.27% | +1.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.30% | 21.09% | +0.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.30% | 22.78% | +0.52% |
Dividends
ENGI.PA vs. ENEL.MI - Dividend Comparison
ENGI.PA's dividend yield for the trailing twelve months is around 4.91%, which matches ENEL.MI's 4.95% yield.
Financials
ENGI.PA vs. ENEL.MI - Financials Comparison
This section allows you to compare key financial metrics between ENGIE SA and Enel SpA. 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
ENGI.PA and ENEL.MI have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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