FMIL vs. LLY
FMIL (Fidelity New Millennium ETF) is Large Cap Blend Equities fund actively managed by Fidelity, while LLY (Eli Lilly and Company) is a stock. Over the past 5 years, FMIL returned 16.98%/yr vs 34.97%/yr for LLY. Their 0.29 correlation means their historical movements had little consistent relationship.
Performance
FMIL vs. LLY - Performance Comparison
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Returns By Period
In the year-to-date period, FMIL achieves a 12.63% return, which is significantly higher than LLY's 4.70% return.
FMIL
- 1D
- 1.80%
- 1M
- 2.12%
- 6M
- 9.47%
- YTD
- 12.63%
- 1Y
- 22.64%
- 3Y*
- 22.09%
- 5Y*
- 16.98%
- 10Y*
- —
- ALL TIME*
- 20.49%
LLY
- 1D
- -2.39%
- 1M
- -7.62%
- 6M
- 7.76%
- YTD
- 4.70%
- 1Y
- 48.14%
- 3Y*
- 36.59%
- 5Y*
- 34.97%
- 10Y*
- 32.08%
- ALL TIME*
- 15.98%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $6.28M | $5.36M | $5.21M | |
| $2.64B | $2.81B | $3.35B |
FMIL vs. LLY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
FMIL Fidelity New Millennium ETF | 12.63% | 17.67% | 27.89% | 25.07% | -0.04% | 24.53% | 19.50% |
LLY Eli Lilly and Company | 4.70% | 40.25% | 33.30% | 60.91% | 34.26% | 66.08% | 11.80% |
Correlation
The correlation between FMIL and LLY is 0.08, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.08 |
Correlation (3Y) Balances recent behavior with more history. | 0.29 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.28 |
Correlation (All Time) Calculated using the full available price history since Jun 4, 2020 | 0.29 |
Over the past year, the correlation between FMIL and LLY has dropped to 0.08 - well below their long-term average of 0.29, suggesting their price drivers have been diverging.
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Return for Risk
FMIL vs. LLY — Risk / Return Rank
FMIL
LLY
FMIL vs. LLY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity New Millennium ETF (FMIL) 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.
| FMIL | LLY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.38 | ||
| Sortino ratioReturn per unit of downside risk | +0.43 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.25 | +0.04 |
| Calmar ratioReturn relative to maximum drawdown | 2.28 | 2.09 | +0.19 |
| Martin ratioReturn relative to average drawdown | 9.91 | 5.63 | +4.28 |
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Drawdowns
FMIL vs. LLY - Drawdown Comparison
The maximum FMIL drawdown since its inception was -19.72%, smaller than the maximum LLY drawdown of -68.24%. Use the drawdown chart below to compare losses from any high point for FMIL and LLY.
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Drawdown Indicators
| FMIL | LLY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -19.72% | -68.24% | +48.52% |
Max Drawdown (1Y)Largest decline over 1 year | -9.98% | -23.18% | +13.20% |
Max Drawdown (3Y)Largest decline over 3 years | -19.72% | -34.48% | +14.76% |
Max Drawdown (5Y)Largest decline over 5 years | -19.72% | -34.48% | +14.76% |
Max Drawdown (10Y)Largest decline over 10 years | — | -34.48% | — |
Current DrawdownCurrent decline from peak | 0.00% | -9.24% | +9.24% |
Average DrawdownAverage peak-to-trough decline | -2.95% | -19.17% | +16.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.29% | 8.58% | -6.29% |
Volatility
FMIL vs. LLY - Volatility Comparison
The current volatility for Fidelity New Millennium ETF (FMIL) is 4.00%, while Eli Lilly and Company (LLY) has a volatility of 8.89%. This indicates that FMIL 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
| FMIL | LLY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.00% | 8.89% | -4.89% |
Volatility (6M)Calculated over the trailing 6-month period | 11.07% | 27.78% | -16.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.84% | 38.33% | -24.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.94% | 32.63% | -15.69% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.61% | 30.39% | -12.78% |
Dividends
FMIL vs. LLY - Dividend Comparison
FMIL's dividend yield for the trailing twelve months is around 0.97%, more than LLY's 0.58% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMIL Fidelity New Millennium ETF | 0.97% | 1.10% | 0.82% | 0.57% | 1.67% | 1.68% | 0.89% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
LLY Eli Lilly and Company | 0.58% | 0.56% | 0.67% | 0.78% | 1.07% | 1.23% | 1.75% | 1.96% | 1.94% | 2.46% | 2.77% | 2.37% |
Frequently Asked Questions
FMIL and LLY have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LLY has higher volatility (8.89%) compared to FMIL (4.00%). In terms of maximum drawdown, FMIL dropped -19.72% vs LLY's -68.24%.
FMIL currently has the higher Sharpe Ratio (1.65 vs 1.26), 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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