^STOXX vs. HEAE.L
^STOXX (STOXX Europe 600 Index) is an index, while HEAE.L (SPDR MSCI Europe Health Care UCITS ETF) is Health & Biotech Equities fund tracking the MSCI World/Health Care NR USD. Over the past 10 years, ^STOXX returned 7.05%/yr vs 4.51%/yr for HEAE.L. A 0.64 correlation means they provide meaningful diversification when combined.
Performance
^STOXX vs. HEAE.L - Performance Comparison
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Different Trading Currencies
^STOXX is traded in EUR, while HEAE.L is traded in GBP. To make them comparable, the HEAE.L values have been converted to EUR using the latest available exchange rates.
Returns By Period
In the year-to-date period, ^STOXX achieves a 6.82% return, which is significantly higher than HEAE.L's -0.35% return. Over the past 10 years, ^STOXX has outperformed HEAE.L with an annualized return of 7.05%, while HEAE.L has yielded a comparatively lower 4.51% annualized return.
^STOXX
- 1D
- 1.88%
- 1M
- 3.56%
- YTD
- 6.82%
- 6M
- 9.51%
- 1Y
- 16.20%
- 3Y*
- 10.98%
- 5Y*
- 6.72%
- 10Y*
- 7.05%
HEAE.L
- 1D
- 0.00%
- 1M
- 2.04%
- YTD
- -0.35%
- 6M
- 1.28%
- 1Y
- 6.04%
- 3Y*
- 3.52%
- 5Y*
- 1.94%
- 10Y*
- 4.51%
^STOXX vs. HEAE.L - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^STOXX STOXX Europe 600 Index | 6.82% | 17.42% | 5.39% | 12.74% | -13.06% | 22.10% | -3.83% | 23.78% | -13.61% | 7.68% |
HEAE.L SPDR MSCI Europe Health Care UCITS ETF | -0.35% | 6.79% | 4.22% | 7.76% | -19.09% | 33.47% | -7.37% | 40.00% | -1.92% | -1.30% |
Correlation
The correlation between ^STOXX and HEAE.L is 0.53, 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 | 0.53 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.57 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.57 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.61 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2011 | 0.64 |
The correlation between ^STOXX and HEAE.L shifts across timeframes, from 0.53 (1 year) to 0.64 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
^STOXX vs. HEAE.L — Risk / Return Rank
^STOXX
HEAE.L
^STOXX vs. HEAE.L - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for STOXX Europe 600 Index (^STOXX) and SPDR MSCI Europe Health Care UCITS ETF (HEAE.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.
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.
| ^STOXX | HEAE.L | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.96 | ||
| Sortino ratioReturn per unit of downside risk | +1.33 | ||
| Omega ratioGain probability vs. loss probability | 1.23 | 1.06 | +0.17 |
| Calmar ratioReturn relative to maximum drawdown | 1.61 | 0.39 | +1.22 |
| Martin ratioReturn relative to average drawdown | 5.82 | 0.86 | +4.95 |
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Drawdowns
^STOXX vs. HEAE.L - Drawdown Comparison
The maximum ^STOXX drawdown since its inception was -60.54%, which is greater than HEAE.L's maximum drawdown of -41.16%. Use the drawdown chart below to compare losses from any high point for ^STOXX and HEAE.L.
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Drawdown Indicators
| ^STOXX | HEAE.L | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.54% | -41.16% | -19.38% |
Max Drawdown (1Y)Largest decline over 1 year | -9.56% | -12.87% | +3.31% |
Max Drawdown (3Y)Largest decline over 3 years | -16.56% | -25.61% | +9.05% |
Max Drawdown (5Y)Largest decline over 5 years | -22.55% | -27.80% | +5.25% |
Max Drawdown (10Y)Largest decline over 10 years | -35.55% | -31.90% | -3.65% |
Current DrawdownCurrent decline from peak | -0.10% | -9.79% | +9.69% |
Average DrawdownAverage peak-to-trough decline | -14.61% | -13.96% | -0.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.68% | 5.98% | -3.30% |
Volatility
^STOXX vs. HEAE.L - Volatility Comparison
The current volatility for STOXX Europe 600 Index (^STOXX) is 3.17%, while SPDR MSCI Europe Health Care UCITS ETF (HEAE.L) has a volatility of 5.02%. This indicates that ^STOXX experiences smaller price fluctuations and is considered to be less risky than HEAE.L based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^STOXX | HEAE.L | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.17% | 5.02% | -1.85% |
Volatility (6M)Calculated over the trailing 6-month period | 10.28% | 11.82% | -1.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.30% | 16.88% | -4.58% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.22% | 17.04% | -2.82% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.50% | 18.04% | -2.54% |
Frequently Asked Questions
^STOXX and HEAE.L have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
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