LLY vs. GSG
LLY (Eli Lilly and Company) is a stock, while GSG (iShares S&P GSCI Commodity-Indexed Trust) is Commodities fund tracking the S&P GSCI Total Return Index. Over the past 10 years, LLY returned 32.66%/yr vs 7.69%/yr for GSG. At a 0.10 correlation, their price movements are largely independent.
Performance
LLY vs. GSG - Performance Comparison
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Returns By Period
In the year-to-date period, LLY achieves a 0.72% return, which is significantly lower than GSG's 42.58% return. Over the past 10 years, LLY has outperformed GSG with an annualized return of 32.66%, while GSG has yielded a comparatively lower 7.69% annualized return.
LLY
- 1D
- 1.37%
- 1M
- 11.64%
- YTD
- 0.72%
- 6M
- 4.73%
- 1Y
- 44.70%
- 3Y*
- 35.56%
- 5Y*
- 41.13%
- 10Y*
- 32.66%
GSG
- 1D
- 0.77%
- 1M
- -4.83%
- YTD
- 42.58%
- 6M
- 41.06%
- 1Y
- 51.52%
- 3Y*
- 19.31%
- 5Y*
- 15.74%
- 10Y*
- 7.69%
LLY vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
LLY Eli Lilly and Company | 0.72% | 40.25% | 33.30% | 60.91% | 34.26% | 66.08% | 31.04% | 16.14% | 40.45% | 17.83% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 42.58% | 5.93% | 8.52% | -5.51% | 24.08% | 38.77% | -23.94% | 15.62% | -13.88% | 3.89% |
Correlation
The correlation between LLY and GSG is -0.23, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.23 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.08 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.04 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.03 |
Correlation (All Time) Calculated using the full available price history since Jul 24, 2006 | 0.10 |
The correlation between LLY and GSG shifts across timeframes, from -0.23 (1 year) to 0.10 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
LLY vs. GSG — Risk / Return Rank
LLY
GSG
LLY vs. GSG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eli Lilly and Company (LLY) and iShares S&P GSCI Commodity-Indexed Trust (GSG). 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.
| LLY | GSG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.07 | ||
| Sortino ratioReturn per unit of downside risk | -1.13 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.40 | -0.17 |
| Calmar ratioReturn relative to maximum drawdown | 1.90 | 5.47 | -3.57 |
| Martin ratioReturn relative to average drawdown | 4.73 | 14.39 | -9.67 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| LLY | GSG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.19 | 2.26 | -1.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.26 | 0.70 | +0.56 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.09 | 0.35 | +0.74 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.57 | -0.09 | +0.66 |
Drawdowns
LLY vs. GSG - Drawdown Comparison
The maximum LLY drawdown since its inception was -68.24%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for LLY and GSG.
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Drawdown Indicators
| LLY | GSG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -68.24% | -89.62% | +21.38% |
Max Drawdown (1Y)Largest decline over 1 year | -23.64% | -9.46% | -14.18% |
Max Drawdown (3Y)Largest decline over 3 years | -34.48% | -14.94% | -19.54% |
Max Drawdown (5Y)Largest decline over 5 years | -34.48% | -29.12% | -5.36% |
Max Drawdown (10Y)Largest decline over 10 years | -34.48% | -57.64% | +23.16% |
Current DrawdownCurrent decline from peak | -4.26% | -56.95% | +52.69% |
Average DrawdownAverage peak-to-trough decline | -19.22% | -63.71% | +44.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 9.49% | 3.59% | +5.90% |
Volatility
LLY vs. GSG - Volatility Comparison
Eli Lilly and Company (LLY) has a higher volatility of 9.16% compared to iShares S&P GSCI Commodity-Indexed Trust (GSG) at 7.65%. This indicates that LLY's price experiences larger fluctuations and is considered to be riskier than GSG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| LLY | GSG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 9.16% | 7.65% | +1.51% |
Volatility (6M)Calculated over the trailing 6-month period | 26.81% | 20.42% | +6.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 37.88% | 22.95% | +14.93% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 32.79% | 22.61% | +10.18% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 30.14% | 22.03% | +8.11% |
Dividends
LLY vs. GSG - Dividend Comparison
LLY's dividend yield for the trailing twelve months is around 0.60%, while GSG has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GSG iShares S&P GSCI Commodity-Indexed Trust | 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 | 0.60% | 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 GSG have a correlation of -0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LLY has higher volatility (9.16%) compared to GSG (7.65%). In terms of maximum drawdown, LLY dropped -68.24% vs GSG's -89.62%.
GSG currently has the higher Sharpe Ratio (2.26 vs 1.19), 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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