PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
0QLR.L vs. LLY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Financials

Correlation

The correlation between 0QLR.L and LLY is 0.17, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.2

Performance

0QLR.L vs. LLY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Novartis AG (0QLR.L) and Eli Lilly and Company (LLY). The values are adjusted to include any dividend payments, if applicable.

0.00%100.00%200.00%300.00%400.00%JulyAugustSeptemberOctoberNovemberDecember
13.59%
316.09%
0QLR.L
LLY

Key characteristics

Sharpe Ratio

0QLR.L:

0.42

LLY:

1.36

Sortino Ratio

0QLR.L:

0.73

LLY:

1.98

Omega Ratio

0QLR.L:

1.09

LLY:

1.26

Calmar Ratio

0QLR.L:

0.60

LLY:

1.71

Martin Ratio

0QLR.L:

1.40

LLY:

5.51

Ulcer Index

0QLR.L:

5.05%

LLY:

7.47%

Daily Std Dev

0QLR.L:

16.69%

LLY:

30.26%

Max Drawdown

0QLR.L:

-15.80%

LLY:

-68.27%

Current Drawdown

0QLR.L:

-11.48%

LLY:

-13.74%

Fundamentals

Market Cap

0QLR.L:

£195.43B

LLY:

$746.29B

Returns By Period

In the year-to-date period, 0QLR.L achieves a 7.17% return, which is significantly lower than LLY's 42.75% return.


0QLR.L

YTD

7.17%

1M

-3.48%

6M

-4.84%

1Y

7.66%

5Y (annualized)

N/A

10Y (annualized)

N/A

LLY

YTD

42.75%

1M

-0.42%

6M

-2.44%

1Y

39.14%

5Y (annualized)

49.05%

10Y (annualized)

30.26%

Compare stocks, funds, or ETFs

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


Risk-Adjusted Performance

0QLR.L vs. LLY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Novartis AG (0QLR.L) 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.


Sharpe ratio
The chart of Sharpe ratio for 0QLR.L, currently valued at 0.31, compared to the broader market-4.00-2.000.002.004.000.311.51
The chart of Sortino ratio for 0QLR.L, currently valued at 0.56, compared to the broader market-4.00-2.000.002.004.000.562.16
The chart of Omega ratio for 0QLR.L, currently valued at 1.07, compared to the broader market0.501.001.502.001.071.29
The chart of Calmar ratio for 0QLR.L, currently valued at 0.37, compared to the broader market0.002.004.006.000.371.87
The chart of Martin ratio for 0QLR.L, currently valued at 0.90, compared to the broader market0.0010.0020.0030.000.905.99
0QLR.L
LLY

The current 0QLR.L Sharpe Ratio is 0.42, which is lower than the LLY Sharpe Ratio of 1.36. The chart below compares the historical Sharpe Ratios of 0QLR.L and LLY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.31
1.51
0QLR.L
LLY

Dividends

0QLR.L vs. LLY - Dividend Comparison

0QLR.L has not paid dividends to shareholders, while LLY's dividend yield for the trailing twelve months is around 0.63%.


TTM20232022202120202019201820172016201520142013
0QLR.L
Novartis AG
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
LLY
Eli Lilly and Company
0.63%0.78%1.07%1.23%1.75%1.96%1.95%2.46%2.77%2.37%2.84%3.84%

Drawdowns

0QLR.L vs. LLY - Drawdown Comparison

The maximum 0QLR.L drawdown since its inception was -15.80%, smaller than the maximum LLY drawdown of -68.27%. Use the drawdown chart below to compare losses from any high point for 0QLR.L and LLY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-14.22%
-13.74%
0QLR.L
LLY

Volatility

0QLR.L vs. LLY - Volatility Comparison

The current volatility for Novartis AG (0QLR.L) is 4.86%, while Eli Lilly and Company (LLY) has a volatility of 10.37%. This indicates that 0QLR.L 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.


5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
4.86%
10.37%
0QLR.L
LLY

Financials

0QLR.L vs. LLY - Financials Comparison

This section allows you to compare key financial metrics between Novartis AG and Eli Lilly and Company. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.


Quarterly
Annual

Total Revenue: Total amount of money received from sales and other business activities


Please note, different currencies. 0QLR.L values in GBP, LLY values in USD
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab