ENGI.PA vs. ETH-USD
ENGI.PA (ENGIE SA) is a stock, while ETH-USD (Ethereum) is a cryptocurrency. Over the past 10 years, ENGI.PA returned 14.08%/yr vs 56.48%/yr for ETH-USD. At a 0.02 correlation, their price movements are largely independent.
Performance
ENGI.PA vs. ETH-USD - Performance Comparison
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Different Trading Currencies
ENGI.PA is traded in EUR, while ETH-USD is traded in USD. To make them comparable, the ETH-USD values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, ENGI.PA achieves a 28.95% return, which is significantly higher than ETH-USD's -43.00% return. Over the past 10 years, ENGI.PA has underperformed ETH-USD with an annualized return of 14.08%, while ETH-USD has yielded a comparatively higher 56.48% 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%
ETH-USD
- 1D
- 0.00%
- 1M
- -26.40%
- YTD
- -43.00%
- 6M
- -45.21%
- 1Y
- -35.55%
- 3Y*
- -1.88%
- 5Y*
- -7.55%
- 10Y*
- 56.48%
ENGI.PA vs. ETH-USD - Yearly Performance Comparison
Correlation
The correlation between ENGI.PA and ETH-USD is -0.03, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.03 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.03 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.03 |
Correlation (All Time) Calculated using the full available price history since Aug 7, 2015 | 0.02 |
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Return for Risk
ENGI.PA vs. ETH-USD — Risk / Return Rank
ENGI.PA
ETH-USD
ENGI.PA vs. ETH-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ENGIE SA (ENGI.PA) and Ethereum (ETH-USD). 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 | ETH-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.81 | ||
| Sortino ratioReturn per unit of downside risk | +3.58 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 0.95 | +0.45 |
| Calmar ratioReturn relative to maximum drawdown | 3.50 | -0.53 | +4.04 |
| Martin ratioReturn relative to average drawdown | 9.32 | -0.91 | +10.23 |
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Drawdowns
ENGI.PA vs. ETH-USD - Drawdown Comparison
The maximum ENGI.PA drawdown since its inception was -60.64%, smaller than the maximum ETH-USD drawdown of -93.21%. Use the drawdown chart below to compare losses from any high point for ENGI.PA and ETH-USD.
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Drawdown Indicators
| ENGI.PA | ETH-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.64% | -93.21% | +32.57% |
Max Drawdown (1Y)Largest decline over 1 year | -13.29% | -66.66% | +53.37% |
Max Drawdown (3Y)Largest decline over 3 years | -16.76% | -66.66% | +49.90% |
Max Drawdown (5Y)Largest decline over 5 years | -30.68% | -76.09% | +45.41% |
Max Drawdown (10Y)Largest decline over 10 years | -47.75% | -93.21% | +45.46% |
Current DrawdownCurrent decline from peak | -2.14% | -65.34% | +63.20% |
Average DrawdownAverage peak-to-trough decline | -32.61% | -48.98% | +16.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.02% | 45.31% | -40.29% |
Volatility
ENGI.PA vs. ETH-USD - Volatility Comparison
The current volatility for ENGIE SA (ENGI.PA) is 5.09%, while Ethereum (ETH-USD) has a volatility of 16.03%. This indicates that ENGI.PA experiences smaller price fluctuations and is considered to be less risky than ETH-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ENGI.PA | ETH-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.09% | 16.03% | -10.94% |
Volatility (6M)Calculated over the trailing 6-month period | 17.07% | 46.97% | -29.90% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.46% | 55.65% | -35.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.30% | 59.39% | -38.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.30% | 78.43% | -55.13% |
Frequently Asked Questions
ENGI.PA and ETH-USD have a correlation of -0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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