LLY vs. FXF
LLY (Eli Lilly and Company) is a stock, while FXF (Invesco CurrencyShares® Swiss Franc Trust) is Currency fund tracking the Swiss Franc. Over the past 10 years, LLY returned 32.37%/yr vs 1.16%/yr for FXF. At a correlation of -0.01, they often move in opposite directions.
Performance
LLY vs. FXF - Performance Comparison
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Returns By Period
In the year-to-date period, LLY achieves a 7.08% return, which is significantly higher than FXF's -2.51% return. Over the past 10 years, LLY has outperformed FXF with an annualized return of 32.37%, while FXF has yielded a comparatively lower 1.16% annualized return.
LLY
- 1D
- -2.73%
- 1M
- 4.40%
- 6M
- 10.82%
- YTD
- 7.08%
- 1Y
- 49.67%
- 3Y*
- 36.36%
- 5Y*
- 38.34%
- 10Y*
- 32.37%
- ALL TIME*
- 16.05%
FXF
- 1D
- -0.36%
- 1M
- -0.69%
- 6M
- -1.20%
- YTD
- -2.51%
- 1Y
- -1.57%
- 3Y*
- 1.94%
- 5Y*
- 1.98%
- 10Y*
- 1.16%
- ALL TIME*
- 1.66%
LLY vs. FXF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
LLY Eli Lilly and Company | 7.08% | 40.25% | 33.30% | 60.91% | 34.26% | 66.08% | 31.04% | 16.14% | 40.45% | 17.83% |
FXF Invesco CurrencyShares® Swiss Franc Trust | -2.51% | 14.04% | -7.46% | 9.63% | -2.29% | -4.08% | 8.18% | 0.32% | -2.01% | 3.31% |
Correlation
The correlation between LLY and FXF is 0.11, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.05 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.01 |
Correlation (All Time) Calculated using the full available price history since Jun 26, 2006 | -0.01 |
The correlation between LLY and FXF shifts across timeframes, from -0.01 (all time) to 0.11 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
LLY vs. FXF — Risk / Return Rank
LLY
FXF
LLY vs. FXF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eli Lilly and Company (LLY) and Invesco CurrencyShares® Swiss Franc Trust (FXF). 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.
| LLY | FXF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.51 | ||
| Sortino ratioReturn per unit of downside risk | +2.16 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 0.97 | +0.28 |
| Calmar ratioReturn relative to maximum drawdown | 2.15 | -0.24 | +2.39 |
| Martin ratioReturn relative to average drawdown | 5.36 | -0.55 | +5.91 |
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Drawdowns
LLY vs. FXF - Drawdown Comparison
The maximum LLY drawdown since its inception was -68.24%, which is greater than FXF's maximum drawdown of -35.58%. Use the drawdown chart below to compare losses from any high point for LLY and FXF.
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Drawdown Indicators
| LLY | FXF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -68.24% | -35.58% | -32.66% |
Max Drawdown (1Y)Largest decline over 1 year | -23.18% | -6.72% | -16.46% |
Max Drawdown (3Y)Largest decline over 3 years | -34.48% | -8.52% | -25.96% |
Max Drawdown (5Y)Largest decline over 5 years | -34.48% | -11.99% | -22.49% |
Max Drawdown (10Y)Largest decline over 10 years | -34.48% | -15.04% | -19.44% |
Current DrawdownCurrent decline from peak | -7.18% | -20.42% | +13.24% |
Average DrawdownAverage peak-to-trough decline | -19.18% | -20.83% | +1.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.29% | 2.88% | +6.41% |
Volatility
LLY vs. FXF - Volatility Comparison
Eli Lilly and Company (LLY) has a higher volatility of 10.15% compared to Invesco CurrencyShares® Swiss Franc Trust (FXF) at 1.86%. This indicates that LLY's price experiences larger fluctuations and is considered to be riskier than FXF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| LLY | FXF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 10.15% | 1.86% | +8.29% |
Volatility (6M)Calculated over the trailing 6-month period | 27.46% | 5.76% | +21.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 38.57% | 7.44% | +31.13% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 32.56% | 8.32% | +24.24% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 30.33% | 7.57% | +22.76% |
Dividends
LLY vs. FXF - Dividend Comparison
LLY's dividend yield for the trailing twelve months is around 0.56%, while FXF has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FXF Invesco CurrencyShares® Swiss Franc Trust | 0.00% | 0.00% | 0.03% | 0.02% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
LLY Eli Lilly and Company | 0.56% | 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
LLY and FXF have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LLY has higher volatility (10.15%) compared to FXF (1.86%). In terms of maximum drawdown, LLY dropped -68.24% vs FXF's -35.58%.
LLY currently has the higher Sharpe Ratio (1.30 vs -0.21), 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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