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FEZ vs. NVO
Performance
Return for Risk
Drawdowns
Volatility
Dividends

FEZ vs. NVO

Last updated Jun 9, 2026

FEZ (SPDR EURO STOXX 50 ETF) is Europe Equities fund tracking the EURO STOXX 50 Index, while NVO (Novo Nordisk A/S) is a stock. Over the past 10 years, FEZ returned 10.66%/yr vs 6.20%/yr for NVO. At a 0.41 correlation, their price movements are largely independent.

Performance

FEZ vs. NVO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR EURO STOXX 50 ETF (FEZ) and Novo Nordisk A/S (NVO). 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 4.68% return, which is significantly higher than NVO's -16.56% return. Over the past 10 years, FEZ has outperformed NVO with an annualized return of 10.66%, while NVO has yielded a comparatively lower 6.20% annualized return.

FEZ

1D
0.63%
1M
0.33%
YTD
4.68%
6M
6.49%
1Y
15.20%
3Y*
17.76%
5Y*
9.78%
10Y*
10.66%

NVO

1D
-4.52%
1M
-10.96%
YTD
-16.56%
6M
-9.23%
1Y
-42.47%
3Y*
-17.53%
5Y*
1.78%
10Y*
6.20%
*Multi-year figures are annualized to reflect compound growth (CAGR)

FEZ vs. NVO - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
FEZ
SPDR EURO STOXX 50 ETF		4.68%37.81%3.57%27.16%-14.27%14.84%4.84%26.04%-15.85%24.80%
NVO
Novo Nordisk A/S		-16.56%-39.22%-15.93%54.84%22.66%63.52%23.33%28.70%-12.98%52.92%

Correlation

The correlation between FEZ and NVO is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.

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

0.40

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

0.34

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

0.35

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

0.36

Correlation (All Time)
Calculated using the full available price history since Oct 22, 2002

0.41

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

SPDR EURO STOXX 50 ETF

Novo Nordisk A/S

Often compared with FEZ:
FEZ vs. VGKFEZ vs. IEURFEZ vs. EZUFEZ vs. IEVFEZ vs. VOOFEZ vs. EWQFEZ vs. EWN
Often compared with NVO:
NVO vs. LLYNVO vs. NOV.DENVO vs. NVSNVO vs. MRKNVO vs. XLVNVO vs. AZNNVO vs. LLY.DE

Return for Risk

FEZ vs. NVO — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
FEZ
FEZ Risk / Return Rank: 2626
Overall Rank
FEZ Sharpe Ratio Rank: 2626
Sharpe Ratio Rank
FEZ Sortino Ratio Rank: 2525
Sortino Ratio Rank
FEZ Omega Ratio Rank: 2525
Omega Ratio Rank
FEZ Calmar Ratio Rank: 2626
Calmar Ratio Rank
FEZ Martin Ratio Rank: 2929
Martin Ratio Rank
NVO
NVO Risk / Return Rank: 1212
Overall Rank
NVO Sharpe Ratio Rank: 99
Sharpe Ratio Rank
NVO Sortino Ratio Rank: 1212
Sortino Ratio Rank
NVO Omega Ratio Rank: 1010
Omega Ratio Rank
NVO Calmar Ratio Rank: 1313
Calmar Ratio Rank
NVO Martin Ratio Rank: 1717
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. NVO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR EURO STOXX 50 ETF (FEZ) and Novo Nordisk A/S (NVO). 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.

FEZNVODifference
Sharpe ratioReturn per unit of total volatility
0.84
-0.82

+1.66

Sortino ratioReturn per unit of downside risk
1.29
-1.01

+2.30

Omega ratioGain probability vs. loss probability

1.16

0.86

+0.30

Calmar ratioReturn relative to maximum drawdown

1.12

-0.77

+1.89

Martin ratioReturn relative to average drawdown

3.81

-1.14

+4.95

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FEZ vs. NVO - Sharpe Ratio Comparison

The current FEZ Sharpe Ratio is 0.84, which is higher than the NVO Sharpe Ratio of -0.82. The chart below compares the historical Sharpe Ratios of FEZ and NVO, 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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Sharpe Ratios by Period

FEZNVODifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

0.84

-0.82

+1.66

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.48

0.05

+0.43

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.51

0.19

+0.32

Sharpe Ratio (All Time)

Calculated using the full available price history

0.30

0.47

-0.17

Drawdowns

FEZ vs. NVO - Drawdown Comparison

The maximum FEZ drawdown since its inception was -64.21%, smaller than the maximum NVO drawdown of -74.70%. Use the drawdown chart below to compare losses from any high point for FEZ and NVO.

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Drawdown Indicators

FEZNVODifference

Max Drawdown

Largest peak-to-trough decline

-64.21%

-74.70%

+10.49%

Max Drawdown (1Y)

Largest decline over 1 year

-13.63%

-55.03%

+41.40%

Max Drawdown (3Y)

Largest decline over 3 years

-15.85%

-74.70%

+58.85%

Max Drawdown (5Y)

Largest decline over 5 years

-35.05%

-74.70%

+39.65%

Max Drawdown (10Y)

Largest decline over 10 years

-39.69%

-74.70%

+35.01%

Current Drawdown

Current decline from peak

-2.79%

-70.19%

+67.40%

Average Drawdown

Average peak-to-trough decline

-17.07%

-17.77%

+0.70%

Ulcer Index

Depth and duration of drawdowns from previous peaks

4.00%

37.21%

-33.21%

Volatility

FEZ vs. NVO - Volatility Comparison

The current volatility for SPDR EURO STOXX 50 ETF (FEZ) is 5.64%, while Novo Nordisk A/S (NVO) has a volatility of 9.75%. This indicates that FEZ experiences smaller price fluctuations and is considered to be less risky than NVO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

FEZNVODifference

Volatility (1M)

Calculated over the trailing 1-month period

5.64%

9.75%

-4.11%

Volatility (6M)

Calculated over the trailing 6-month period

15.06%

38.30%

-23.24%

Volatility (1Y)

Calculated over the trailing 1-year period

18.11%

52.08%

-33.97%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

20.64%

38.31%

-17.67%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.12%

32.56%

-11.44%

Dividends

FEZ vs. NVO - Dividend Comparison

FEZ's dividend yield for the trailing twelve months is around 2.58%, less than NVO's 4.39% yield.

PositionTTM20252024202320222021202020192018201720162015
FEZ
SPDR EURO STOXX 50 ETF		2.58%2.78%2.94%2.75%3.06%2.61%2.13%2.61%3.45%2.44%3.35%3.03%
NVO
Novo Nordisk A/S		4.39%3.31%1.68%1.00%1.20%1.35%1.87%2.14%1.45%1.52%2.87%0.92%

Frequently Asked Questions

FEZ and NVO have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

NVO has higher volatility (9.75%) compared to FEZ (5.64%). In terms of maximum drawdown, FEZ dropped -64.21% vs NVO's -74.70%.

FEZ currently has the higher Sharpe Ratio (0.84 vs -0.82), 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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