^NDX vs. LLY
^NDX (NASDAQ 100 Index) is an index, while LLY (Eli Lilly and Company) is a stock. Over the past 10 years, ^NDX returned 20.95%/yr vs 33.45%/yr for LLY. At a 0.37 correlation, their price movements are largely independent.
Performance
^NDX vs. LLY - Performance Comparison
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Returns By Period
In the year-to-date period, ^NDX achieves a 17.37% return, which is significantly higher than LLY's 5.78% return. Over the past 10 years, ^NDX has underperformed LLY with an annualized return of 20.95%, while LLY has yielded a comparatively higher 33.45% annualized return.
^NDX
- 1D
- 0.64%
- 1M
- 0.19%
- YTD
- 17.37%
- 6M
- 17.62%
- 1Y
- 37.01%
- 3Y*
- 25.76%
- 5Y*
- 16.18%
- 10Y*
- 20.95%
LLY
- 1D
- -2.41%
- 1M
- 12.74%
- YTD
- 5.78%
- 6M
- 10.64%
- 1Y
- 39.26%
- 3Y*
- 37.45%
- 5Y*
- 39.59%
- 10Y*
- 33.45%
^NDX vs. LLY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
^NDX NASDAQ 100 Index | 17.37% | 20.17% | 24.88% | 53.81% | -32.97% | 26.63% | 47.58% | 37.96% | -1.04% | 31.52% |
LLY Eli Lilly and Company | 5.78% | 40.25% | 33.30% | 60.91% | 34.26% | 66.08% | 31.04% | 16.14% | 40.45% | 17.83% |
Correlation
The correlation between ^NDX and LLY is 0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.07 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.25 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.27 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.30 |
Correlation (All Time) Calculated using the full available price history since Oct 1, 1985 | 0.37 |
Over the past year, the correlation between ^NDX and LLY has dropped to 0.07 - well below their long-term average of 0.37, suggesting their price drivers have been diverging.
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Return for Risk
^NDX vs. LLY — Risk / Return Rank
^NDX
LLY
^NDX vs. LLY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for NASDAQ 100 Index (^NDX) and Eli Lilly and Company (LLY). 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.
| ^NDX | LLY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.98 | ||
| Sortino ratioReturn per unit of downside risk | +1.05 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.22 | +0.14 |
| Calmar ratioReturn relative to maximum drawdown | 2.92 | 1.72 | +1.20 |
| Martin ratioReturn relative to average drawdown | 10.85 | 4.28 | +6.57 |
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Drawdowns
^NDX vs. LLY - Drawdown Comparison
The maximum ^NDX drawdown since its inception was -82.90%, which is greater than LLY's maximum drawdown of -68.24%. Use the drawdown chart below to compare losses from any high point for ^NDX and LLY.
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Drawdown Indicators
| ^NDX | LLY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -82.90% | -68.24% | -14.66% |
Max Drawdown (1Y)Largest decline over 1 year | -12.12% | -23.64% | +11.52% |
Max Drawdown (3Y)Largest decline over 3 years | -22.93% | -34.48% | +11.55% |
Max Drawdown (5Y)Largest decline over 5 years | -35.56% | -34.48% | -1.08% |
Max Drawdown (10Y)Largest decline over 10 years | -35.56% | -34.48% | -1.08% |
Current DrawdownCurrent decline from peak | -3.34% | -2.41% | -0.93% |
Average DrawdownAverage peak-to-trough decline | -24.61% | -19.21% | -5.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.26% | 9.49% | -6.23% |
Volatility
^NDX vs. LLY - Volatility Comparison
The current volatility for NASDAQ 100 Index (^NDX) is 7.51%, while Eli Lilly and Company (LLY) has a volatility of 9.27%. This indicates that ^NDX experiences smaller price fluctuations and is considered to be less risky than LLY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ^NDX | LLY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.51% | 9.27% | -1.76% |
Volatility (6M)Calculated over the trailing 6-month period | 13.84% | 27.16% | -13.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.29% | 38.01% | -20.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 22.76% | 32.46% | -9.70% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.61% | 30.19% | -7.58% |
Frequently Asked Questions
^NDX and LLY have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LLY has higher volatility (9.27%) compared to ^NDX (7.51%). In terms of maximum drawdown, ^NDX dropped -82.90% vs LLY's -68.24%.
^NDX currently has the higher Sharpe Ratio (2.05 vs 1.07), 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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