SPDR® EURO STOXX 50 ETF

10-Year Study

FEZ.US · · US · ETF

Executive Summary: SPDR® EURO STOXX 50 ETF has compounded at 10.1% annually over the last 10 years, with a maximum drawdown of 33.2% and an annualized volatility of 19.9%.

1Y CAGR
+16.6%
3Y CAGR
+18.4%
5Y CAGR
+9.7%
10Y CAGR
+10.1%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
33.2%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
0.40
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
0.66
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
19.2%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2025 · +37.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2018 · -15.9%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
80%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
20263.72.6-9.46.8————————2.9%
20258.23.70.93.45.22.8-3.13.34.00.61.02.937.8%
20240.16.03.8-3.94.8-3.40.64.41.5-5.6-3.3-0.53.6%
202312.5-1.65.13.2-4.96.62.3-5.2-5.5-2.011.14.827.2%
2022-2.9-7.9-1.2-7.85.0-10.84.9-7.3-8.711.416.9-3.0-14.3%
2021-2.34.24.84.44.6-2.50.41.9-5.45.4-6.25.614.8%
2020-4.1-8.0-17.65.37.47.62.94.2-4.1-7.620.14.14.8%
20196.03.30.75.5-5.97.8-3.0-1.33.13.81.43.026.1%
20187.0-6.9-0.53.3-4.8-1.04.4-4.30.1-8.2-0.2-4.8-15.9%
20171.70.56.54.14.5-1.03.20.14.11.0-0.6-1.324.8%
2016———2.6-0.6-5.64.50.90.1-0.6-3.77.04.1%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 19.9%. The dominant macroeconomic risk driver is VEA.US, accounting for 76.3% of variance. Idiosyncratic stock-specific factors contribute 5.0%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110261.800060986374
2016-05-0110198.60694281725
2016-06-019626.819560577123
2016-07-0110057.656197339069
2016-08-0110145.685214014027
2016-09-0110159.647883933301
2016-10-0110100.707762923495
2016-11-019731.659952815804
2016-12-0110409.611773580062
2017-01-0110583.82416665329
2017-02-0110636.705772841804
2017-03-0111330.987497793256
2017-04-0111792.317321735221
2017-05-0112325.386380779662
2017-06-0112197.35511723828
2017-07-0112593.686305349147
2017-08-0112609.534738159815
2017-09-0113123.706045675584
2017-10-0113250.934856922755
2017-11-0113168.242148004301
2017-12-0112991.78288850728
2018-01-0113894.942945641882
2018-02-0112940.746922595452
2018-03-0112875.627918920218
2018-04-0113300.847389622688
2018-05-0112664.582965542697
2018-06-0112532.499317915548
2018-07-0113078.527981511501
2018-08-0112516.169413728354
2018-09-0112527.965462453256
2018-10-0111503.354250589804
2018-11-0111483.694169381632
2018-12-0110931.968094496782
2019-01-0111582.55629202844
2019-02-0111970.261117976535
2019-03-0112049.744017718147
2019-04-0112708.758314530298
2019-05-0111963.702646332113
2019-06-0112897.281523977901
2019-07-0112510.031651600337
2019-08-0112345.026204769274
2019-09-0112726.438535471041
2019-10-0113208.653303185942
2019-11-0113394.123052842455
2019-12-0113790.001436283814
2020-01-0113218.655488516657
2020-02-0112160.490094447381
2020-03-0110014.830021473357
2020-04-0110544.249440890972
2020-05-0111321.407761915334
2020-06-0112179.400117364134
2020-07-0112529.044987066412
2020-08-0113060.369949060421
2020-09-0112521.194763874182
2020-10-0111570.477482212986
2020-11-0113892.150762828862
2020-12-0114456.800526843626
2021-01-0114124.14636247513
2021-02-0114720.15722479538
2021-03-0115430.569516732196
2021-04-0116110.055388348825
2021-05-0116851.943570312593
2021-06-0116429.552890880626
2021-07-0116499.722774380538
2021-08-0116818.979979575393
2021-09-0115911.30041012757
2021-10-0116775.54891439646
2021-11-0115728.611681243192
2021-12-0116602.710845770456
2022-01-0116129.468964283757
2022-02-0114852.065157214196
2022-03-0114676.677181815283
2022-04-0113538.92133030416
2022-05-0114213.010460455433
2022-06-0112677.244160596189
2022-07-0113296.712328559672
2022-08-0112331.069061994862
2022-09-0111264.410611093126
2022-10-0112549.784024745246
2022-11-0114666.437760260198
2022-12-0114233.022483898292
2023-01-0116016.745024356935
2023-02-0115759.300865339008
2023-03-0116566.661653560157
2023-04-0117090.594028691525
2023-05-0116249.349785405137
2023-06-0117315.080719197398
2023-07-0117710.48769130259
2023-08-0116787.871423057142
2023-09-0115863.645009598553
2023-10-0115538.896168448591
2023-11-0117268.374263565864
2023-12-0118099.294904701423
2024-01-0118114.435167485113
2024-02-0119197.13997049201
2024-03-0119931.563629447686
2024-04-0119154.022669351758
2024-05-0120075.69458436858
2024-06-0119383.388773298233
2024-07-0119491.87307231211
2024-08-0120351.976830157804
2024-09-0120660.804824818082
2024-10-0119500.477859753468
2024-11-0118848.520573501526
2024-12-0118746.49369145938
2025-01-0120292.151976596728
2025-02-0121047.466198303577
2025-03-0121239.09643701229
2025-04-0121957.343646578473
2025-05-0123104.9807694737
2025-06-0123750.177588609225
2025-07-0123010.59289385628
2025-08-0123778.01075467488
2025-09-0124725.916404438212
2025-10-0124869.208614514235
2025-11-0125108.03049519723
2025-12-0125834.951367237652
2026-01-0126801.907851096075
2026-02-0127504.052384085768
2026-03-0124908.119212312828
2026-04-0126593.269030156156
Annual Return Matrix
YearAnnual Return
20170.24805642814469353
2018-0.15854750742737844
20190.2614381342025489
20200.048353808637420004
20210.14843604675476185
2022-0.14272900274450306
20230.2716409972075162
20240.03575823202868755
20250.3781217859960482
20260.029352393667756438
Total Factor Risk
0.1989967596914331
VTI.US Exposure
-0.11288463958962217
VEA.US Exposure
0.762755126682358
VWO.US Exposure
-0.024921521694989925
QQQ.US Exposure
0.015490890587000414
VTV.US Exposure
-0.0126644124684578
IJR.US Exposure
-0.00041662177586265065
QUAL.US Exposure
0.15534824739065112
SHV.US Exposure
0.10849105341512275
TLT.US Exposure
-0.007595367999697874
LQD.US Exposure
-0.013009402479773698
HYG.US Exposure
0.06043638021638348
GLD.US Exposure
-0.02695697083229045
USO.US Exposure
0.010995402448289626
VNQ.US Exposure
-0.05558813256368325
BTC-USD.CC Exposure
0.0028711529658204996
CPER.US Exposure
0.05229838866849165
VIX.INDX Exposure
-0.023201659696862786
UUP.US Exposure
0.0667479822296964
TIP.US Exposure
-0.007778372068465342
Idiosyncratic Exposure
0.04958247656589216
Value Score
50
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
0
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
19.9%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →N/A
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.00%
Market Cap$0
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$37
Avg Yield on Cost
0.37%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$36.910.37%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+2.0%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+5.8%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
4.4% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
1.13
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is SPDR® EURO STOXX 50 ETF a high-risk investment?

SPDR® EURO STOXX 50 ETF (FEZ.US) has an annualized volatility of 19.9% and experienced a maximum drawdown of 33.2% over the last 10 years. Its primary macro risk driver is VEA.US.

What is the 10-year return of FEZ.US?

Over the past 10 years, FEZ.US has generated a Compound Annual Growth Rate (CAGR) of 10.1%. It has had a positive return in 80% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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