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EZU vs. LLY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

EZU vs. LLY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI Eurozone ETF (EZU) and Eli Lilly and Company (LLY). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-7.20%
-6.96%
EZU
LLY

Returns By Period

In the year-to-date period, EZU achieves a 1.12% return, which is significantly lower than LLY's 29.49% return. Over the past 10 years, EZU has underperformed LLY with an annualized return of 4.70%, while LLY has yielded a comparatively higher 29.85% annualized return.


EZU

YTD

1.12%

1M

-6.09%

6M

-7.20%

1Y

6.99%

5Y (annualized)

5.52%

10Y (annualized)

4.70%

LLY

YTD

29.49%

1M

-17.38%

6M

-6.96%

1Y

26.84%

5Y (annualized)

47.22%

10Y (annualized)

29.85%

Key characteristics


EZULLY
Sharpe Ratio0.480.92
Sortino Ratio0.751.44
Omega Ratio1.091.19
Calmar Ratio0.651.13
Martin Ratio1.894.10
Ulcer Index3.79%6.68%
Daily Std Dev14.83%29.89%
Max Drawdown-66.37%-68.27%
Current Drawdown-10.97%-21.76%

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Correlation

-0.50.00.51.00.4

The correlation between EZU and LLY is 0.37, 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.

Risk-Adjusted Performance

EZU vs. LLY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI Eurozone ETF (EZU) 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 EZU, currently valued at 0.48, compared to the broader market0.002.004.000.480.92
The chart of Sortino ratio for EZU, currently valued at 0.75, compared to the broader market-2.000.002.004.006.008.0010.0012.000.751.44
The chart of Omega ratio for EZU, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.001.091.19
The chart of Calmar ratio for EZU, currently valued at 0.65, compared to the broader market0.005.0010.0015.000.651.13
The chart of Martin ratio for EZU, currently valued at 1.89, compared to the broader market0.0020.0040.0060.0080.00100.001.894.10
EZU
LLY

The current EZU Sharpe Ratio is 0.48, which is lower than the LLY Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of EZU 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.48
0.92
EZU
LLY

Dividends

EZU vs. LLY - Dividend Comparison

EZU's dividend yield for the trailing twelve months is around 2.97%, more than LLY's 0.69% yield.


TTM20232022202120202019201820172016201520142013
EZU
iShares MSCI Eurozone ETF
2.97%2.56%2.79%2.46%2.13%2.84%3.47%1.91%3.07%2.18%2.97%2.23%
LLY
Eli Lilly and Company
0.69%0.78%1.07%1.23%1.75%1.96%1.95%2.46%2.77%2.37%2.84%3.84%

Drawdowns

EZU vs. LLY - Drawdown Comparison

The maximum EZU drawdown since its inception was -66.37%, roughly equal to the maximum LLY drawdown of -68.27%. Use the drawdown chart below to compare losses from any high point for EZU and LLY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-10.97%
-21.76%
EZU
LLY

Volatility

EZU vs. LLY - Volatility Comparison

The current volatility for iShares MSCI Eurozone ETF (EZU) is 4.88%, while Eli Lilly and Company (LLY) has a volatility of 11.78%. This indicates that EZU 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.


4.00%6.00%8.00%10.00%12.00%14.00%16.00%JuneJulyAugustSeptemberOctoberNovember
4.88%
11.78%
EZU
LLY