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NVO vs. FEZ
Performance
Return for Risk
Drawdowns
Volatility
Dividends

NVO vs. FEZ

Last updated Jun 9, 2026

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

Performance

NVO vs. FEZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Novo Nordisk A/S (NVO) and SPDR EURO STOXX 50 ETF (FEZ). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, NVO achieves a -16.56% return, which is significantly lower than FEZ's 4.68% return. Over the past 10 years, NVO has underperformed FEZ with an annualized return of 6.20%, while FEZ has yielded a comparatively higher 10.66% annualized return.

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%

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%
*Multi-year figures are annualized to reflect compound growth (CAGR)

NVO vs. FEZ - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
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%
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%

Correlation

The correlation between NVO and FEZ 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.

Novo Nordisk A/S

SPDR EURO STOXX 50 ETF

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

Return for Risk

NVO vs. FEZ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
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
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
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.

NVO vs. FEZ - Risk-Adjusted Trends Comparison

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

NVOFEZDifference
Sharpe ratioReturn per unit of total volatility
-0.82
0.84

-1.66

Sortino ratioReturn per unit of downside risk
-1.01
1.29

-2.30

Omega ratioGain probability vs. loss probability

0.86

1.16

-0.30

Calmar ratioReturn relative to maximum drawdown

-0.77

1.12

-1.89

Martin ratioReturn relative to average drawdown

-1.14

3.81

-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.

NVO vs. FEZ - Sharpe Ratio Comparison

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

NVOFEZDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

-0.82

0.84

-1.66

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.05

0.48

-0.43

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.19

0.51

-0.32

Sharpe Ratio (All Time)

Calculated using the full available price history

0.47

0.30

+0.17

Drawdowns

NVO vs. FEZ - Drawdown Comparison

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

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Drawdown Indicators

NVOFEZDifference

Max Drawdown

Largest peak-to-trough decline

-74.70%

-64.21%

-10.49%

Max Drawdown (1Y)

Largest decline over 1 year

-55.03%

-13.63%

-41.40%

Max Drawdown (3Y)

Largest decline over 3 years

-74.70%

-15.85%

-58.85%

Max Drawdown (5Y)

Largest decline over 5 years

-74.70%

-35.05%

-39.65%

Max Drawdown (10Y)

Largest decline over 10 years

-74.70%

-39.69%

-35.01%

Current Drawdown

Current decline from peak

-70.19%

-2.79%

-67.40%

Average Drawdown

Average peak-to-trough decline

-17.77%

-17.07%

-0.70%

Ulcer Index

Depth and duration of drawdowns from previous peaks

37.21%

4.00%

+33.21%

Volatility

NVO vs. FEZ - Volatility Comparison

Novo Nordisk A/S (NVO) has a higher volatility of 9.75% compared to SPDR EURO STOXX 50 ETF (FEZ) at 5.64%. This indicates that NVO's price experiences larger fluctuations and is considered to be riskier than FEZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

NVOFEZDifference

Volatility (1M)

Calculated over the trailing 1-month period

9.75%

5.64%

+4.11%

Volatility (6M)

Calculated over the trailing 6-month period

38.30%

15.06%

+23.24%

Volatility (1Y)

Calculated over the trailing 1-year period

52.08%

18.11%

+33.97%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

38.31%

20.64%

+17.67%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

32.56%

21.12%

+11.44%

Dividends

NVO vs. FEZ - Dividend Comparison

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

NVO and FEZ 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, NVO dropped -74.70% vs FEZ's -64.21%.

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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