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FEZ vs. JNJ
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FEZ vs. JNJ

Last updated Jun 13, 2026

FEZ (State Street SPDR EURO STOXX 50 ETF) is Europe Equities fund tracking the EURO STOXX 50 Index, while JNJ (Johnson & Johnson) is a stock. Over the past 10 years, FEZ returned 11.34%/yr vs 10.46%/yr for JNJ. At a 0.40 correlation, their price movements are largely independent.

Performance

FEZ vs. JNJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street SPDR EURO STOXX 50 ETF (FEZ) and Johnson & Johnson (JNJ). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, FEZ achieves a 7.29% return, which is significantly lower than JNJ's 17.68% return. Over the past 10 years, FEZ has outperformed JNJ with an annualized return of 11.34%, while JNJ has yielded a comparatively lower 10.46% annualized return.

FEZ

1D
0.09%
1M
4.00%
YTD
7.29%
6M
8.07%
1Y
17.54%
3Y*
17.98%
5Y*
10.21%
10Y*
11.34%

JNJ

1D
1.07%
1M
5.14%
YTD
17.68%
6M
15.11%
1Y
57.60%
3Y*
17.82%
5Y*
10.94%
10Y*
10.46%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FEZ vs. JNJ - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FEZ
State Street SPDR EURO STOXX 50 ETF		7.29%37.81%3.57%27.16%-14.27%14.84%4.84%26.04%-15.85%24.80%
JNJ
Johnson & Johnson		17.68%47.48%-4.81%-8.58%5.97%11.44%10.82%16.22%-5.13%24.43%

Correlation

The correlation between FEZ and JNJ is 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.13

Correlation (3Y)
Calculated over the trailing 3-year period

0.13

Correlation (5Y)
Calculated over the trailing 5-year period

0.21

Correlation (10Y)
Calculated over the trailing 10-year period

0.28

Correlation (All Time)
Calculated using the full available price history since Oct 21, 2002

0.40

Over the past year, the correlation between FEZ and JNJ has dropped to 0.13 - well below their long-term average of 0.40, suggesting their price drivers have been diverging.

Compare stocks, funds, or ETFs

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State Street SPDR EURO STOXX 50 ETF

Johnson & Johnson

Often compared with FEZ:
FEZ vs. VGKFEZ vs. IEURFEZ vs. EZUFEZ vs. IEVFEZ vs. VOOFEZ vs. EWQFEZ vs. EWN
Often compared with JNJ:
JNJ vs. ABBVJNJ vs. PFEJNJ vs. UNHJNJ vs. VOOJNJ vs. SCHDJNJ vs. ABTJNJ vs. MDT

Return for Risk

FEZ vs. JNJ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FEZ
FEZ Risk / Return Rank: 3030
Overall Rank
FEZ Sharpe Ratio Rank: 3030
Sharpe Ratio Rank
FEZ Sortino Ratio Rank: 3030
Sortino Ratio Rank
FEZ Omega Ratio Rank: 2828
Omega Ratio Rank
FEZ Calmar Ratio Rank: 3030
Calmar Ratio Rank
FEZ Martin Ratio Rank: 3434
Martin Ratio Rank
JNJ
JNJ Risk / Return Rank: 9696
Overall Rank
JNJ Sharpe Ratio Rank: 9797
Sharpe Ratio Rank
JNJ Sortino Ratio Rank: 9898
Sortino Ratio Rank
JNJ Omega Ratio Rank: 9797
Omega Ratio Rank
JNJ Calmar Ratio Rank: 9393
Calmar Ratio Rank
JNJ Martin Ratio Rank: 9494
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

FEZ vs. JNJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street SPDR EURO STOXX 50 ETF (FEZ) and Johnson & Johnson (JNJ). 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.

FEZJNJDifference
Sharpe ratioReturn per unit of total volatility
0.96
3.42

-2.46

Sortino ratioReturn per unit of downside risk
1.45
4.94

-3.49

Omega ratioGain probability vs. loss probability

1.17

1.61

-0.44

Calmar ratioReturn relative to maximum drawdown

1.29

5.28

-3.99

Martin ratioReturn relative to average drawdown

4.40

15.52

-11.12

FEZ vs. JNJ - Sharpe Ratio Comparison

The current FEZ Sharpe Ratio is 0.96, which is lower than the JNJ Sharpe Ratio of 3.42. The chart below compares the historical Sharpe Ratios of FEZ and JNJ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

FEZ vs. JNJ - Drawdown Comparison

The maximum FEZ drawdown since its inception was -64.21%, which is greater than JNJ's maximum drawdown of -50.67%. Use the drawdown chart below to compare losses from any high point for FEZ and JNJ.

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Drawdown Indicators

FEZJNJDifference

Max Drawdown

Largest peak-to-trough decline

-64.21%

-50.67%

-13.54%

Max Drawdown (1Y)

Largest decline over 1 year

-13.63%

-10.96%

-2.67%

Max Drawdown (3Y)

Largest decline over 3 years

-15.85%

-15.95%

+0.10%

Max Drawdown (5Y)

Largest decline over 5 years

-35.05%

-18.41%

-16.64%

Max Drawdown (10Y)

Largest decline over 10 years

-39.69%

-27.37%

-12.32%

Current Drawdown

Current decline from peak

-0.37%

-2.54%

+2.17%

Average Drawdown

Average peak-to-trough decline

-17.05%

-11.90%

-5.15%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.01%

3.72%

+0.29%

Volatility

FEZ vs. JNJ - Volatility Comparison

State Street SPDR EURO STOXX 50 ETF (FEZ) has a higher volatility of 6.57% compared to Johnson & Johnson (JNJ) at 5.47%. This indicates that FEZ's price experiences larger fluctuations and is considered to be riskier than JNJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FEZJNJDifference

Volatility (1M)

Calculated over the trailing 1-month period

6.57%

5.47%

+1.10%

Volatility (6M)

Calculated over the trailing 6-month period

15.48%

12.16%

+3.32%

Volatility (1Y)

Calculated over the trailing 1-year period

18.45%

16.94%

+1.51%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.70%

16.87%

+3.83%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.11%

18.48%

+2.63%

Dividends

FEZ vs. JNJ - Dividend Comparison

FEZ's dividend yield for the trailing twelve months is around 2.52%, more than JNJ's 2.18% yield.

PositionTTM20252024202320222021202020192018201720162015
FEZ
State Street SPDR EURO STOXX 50 ETF		2.52%2.78%2.94%2.75%3.06%2.61%2.13%2.61%3.45%2.44%3.35%3.03%
JNJ
Johnson & Johnson		2.18%2.48%3.40%3.00%2.52%2.45%2.53%2.57%2.74%2.38%2.73%2.87%

Frequently Asked Questions

FEZ and JNJ have a correlation of 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

FEZ has higher volatility (6.57%) compared to JNJ (5.47%). In terms of maximum drawdown, FEZ dropped -64.21% vs JNJ's -50.67%.

JNJ currently has the higher Sharpe Ratio (3.42 vs 0.96), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

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