HEAE.L vs. ^STOXX
HEAE.L (SPDR MSCI Europe Health Care UCITS ETF) is Health & Biotech Equities fund tracking the MSCI World/Health Care NR USD, while ^STOXX (STOXX Europe 600 Index) is an index. Over the past 10 years, HEAE.L returned 5.38%/yr vs 7.94%/yr for ^STOXX. A 0.60 correlation means they provide meaningful diversification when combined.
Performance
HEAE.L vs. ^STOXX - Performance Comparison
Loading charts...
Different Trading Currencies
HEAE.L is traded in GBP, while ^STOXX is traded in EUR. To make them comparable, the ^STOXX values have been converted to GBP using the latest available exchange rates.
Returns By Period
In the year-to-date period, HEAE.L achieves a -1.49% return, which is significantly lower than ^STOXX's 5.67% return. Over the past 10 years, HEAE.L has underperformed ^STOXX with an annualized return of 5.38%, while ^STOXX has yielded a comparatively higher 7.94% annualized return.
HEAE.L
- 1D
- 0.00%
- 1M
- 1.12%
- YTD
- -1.49%
- 6M
- -0.50%
- 1Y
- 7.43%
- 3Y*
- 3.82%
- 5Y*
- 2.06%
- 10Y*
- 5.38%
^STOXX
- 1D
- 1.86%
- 1M
- 3.17%
- YTD
- 5.67%
- 6M
- 7.62%
- 1Y
- 17.81%
- 3Y*
- 11.28%
- 5Y*
- 6.84%
- 10Y*
- 7.94%
HEAE.L vs. ^STOXX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
HEAE.L SPDR MSCI Europe Health Care UCITS ETF | -1.49% | 12.67% | -0.58% | 5.53% | -14.69% | 25.32% | -2.05% | 31.62% | -0.70% | 2.75% |
^STOXX STOXX Europe 600 Index | 5.67% | 23.53% | 0.80% | 10.49% | -8.30% | 13.49% | 1.60% | 17.34% | -12.39% | 12.28% |
Correlation
The correlation between HEAE.L and ^STOXX is 0.52, 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 | 0.52 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.58 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.56 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.57 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2011 | 0.60 |
The correlation between HEAE.L and ^STOXX has been stable across timeframes, ranging from 0.52 to 0.60 - a consistent structural relationship.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
HEAE.L vs. ^STOXX — Risk / Return Rank
HEAE.L
^STOXX
HEAE.L vs. ^STOXX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR MSCI Europe Health Care UCITS ETF (HEAE.L) and STOXX Europe 600 Index (^STOXX). 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.
| HEAE.L | ^STOXX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.03 | ||
| Sortino ratioReturn per unit of downside risk | -1.37 | ||
| Omega ratioGain probability vs. loss probability | 1.08 | 1.26 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 0.47 | 1.62 | -1.16 |
| Martin ratioReturn relative to average drawdown | 1.09 | 5.47 | -4.38 |
Loading charts...
Drawdowns
HEAE.L vs. ^STOXX - Drawdown Comparison
The maximum HEAE.L drawdown since its inception was -25.54%, smaller than the maximum ^STOXX drawdown of -47.50%. Use the drawdown chart below to compare losses from any high point for HEAE.L and ^STOXX.
Loading charts...
Drawdown Indicators
| HEAE.L | ^STOXX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -25.54% | -47.50% | +21.96% |
Max Drawdown (1Y)Largest decline over 1 year | -13.73% | -10.52% | -3.21% |
Max Drawdown (3Y)Largest decline over 3 years | -24.51% | -14.04% | -10.47% |
Max Drawdown (5Y)Largest decline over 5 years | -24.51% | -19.20% | -5.31% |
Max Drawdown (10Y)Largest decline over 10 years | -24.51% | -28.53% | +4.02% |
Current DrawdownCurrent decline from peak | -10.03% | -1.65% | -8.38% |
Average DrawdownAverage peak-to-trough decline | -8.54% | -9.41% | +0.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.97% | 3.11% | +2.86% |
Volatility
HEAE.L vs. ^STOXX - Volatility Comparison
SPDR MSCI Europe Health Care UCITS ETF (HEAE.L) has a higher volatility of 5.19% compared to STOXX Europe 600 Index (^STOXX) at 3.06%. This indicates that HEAE.L's price experiences larger fluctuations and is considered to be riskier than ^STOXX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| HEAE.L | ^STOXX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.19% | 3.06% | +2.13% |
Volatility (6M)Calculated over the trailing 6-month period | 12.20% | 10.20% | +2.00% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.80% | 12.07% | +4.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.66% | 14.09% | +2.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.08% | 15.11% | +0.97% |
Frequently Asked Questions
HEAE.L and ^STOXX have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
Find the right allocation for HEAE.L and ^STOXX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer