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

Correlation

The correlation between LLY and XLV is 0.57, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

LLY vs. XLV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eli Lilly and Company (LLY) and Health Care Select Sector SPDR Fund (XLV). The values are adjusted to include any dividend payments, if applicable.

1,000.00%1,500.00%2,000.00%JulyAugustSeptemberOctoberNovemberDecember
1,725.70%
702.23%
LLY
XLV

Key characteristics

Sharpe Ratio

LLY:

1.18

XLV:

0.47

Sortino Ratio

LLY:

1.78

XLV:

0.71

Omega Ratio

LLY:

1.23

XLV:

1.09

Calmar Ratio

LLY:

1.47

XLV:

0.40

Martin Ratio

LLY:

4.28

XLV:

1.38

Ulcer Index

LLY:

8.29%

XLV:

3.74%

Daily Std Dev

LLY:

30.04%

XLV:

10.90%

Max Drawdown

LLY:

-68.27%

XLV:

-39.17%

Current Drawdown

LLY:

-19.89%

XLV:

-11.91%

Returns By Period

In the year-to-date period, LLY achieves a 32.57% return, which is significantly higher than XLV's 2.33% return. Over the past 10 years, LLY has outperformed XLV with an annualized return of 29.62%, while XLV has yielded a comparatively lower 8.97% annualized return.


LLY

YTD

32.57%

1M

1.90%

6M

-12.87%

1Y

35.10%

5Y*

44.05%

10Y*

29.62%

XLV

YTD

2.33%

1M

-4.19%

6M

-5.28%

1Y

3.36%

5Y*

7.76%

10Y*

8.97%

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Risk-Adjusted Performance

LLY vs. XLV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Eli Lilly and Company (LLY) and Health Care Select Sector SPDR Fund (XLV). 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 LLY, currently valued at 1.18, compared to the broader market-4.00-2.000.002.001.180.47
The chart of Sortino ratio for LLY, currently valued at 1.78, compared to the broader market-4.00-2.000.002.004.001.780.71
The chart of Omega ratio for LLY, currently valued at 1.23, compared to the broader market0.501.001.502.001.231.09
The chart of Calmar ratio for LLY, currently valued at 1.47, compared to the broader market0.002.004.006.001.470.40
The chart of Martin ratio for LLY, currently valued at 4.28, compared to the broader market-5.000.005.0010.0015.0020.0025.004.281.38
LLY
XLV

The current LLY Sharpe Ratio is 1.18, which is higher than the XLV Sharpe Ratio of 0.47. The chart below compares the historical Sharpe Ratios of LLY and XLV, 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
1.18
0.47
LLY
XLV

Dividends

LLY vs. XLV - Dividend Comparison

LLY's dividend yield for the trailing twelve months is around 0.68%, less than XLV's 1.21% yield.


TTM20232022202120202019201820172016201520142013
LLY
Eli Lilly and Company
0.68%0.78%1.07%1.23%1.75%1.96%1.95%2.46%2.77%2.37%2.84%3.84%
XLV
Health Care Select Sector SPDR Fund
1.21%1.59%1.47%1.33%1.49%2.17%1.58%1.47%1.60%1.43%1.35%1.52%

Drawdowns

LLY vs. XLV - Drawdown Comparison

The maximum LLY drawdown since its inception was -68.27%, which is greater than XLV's maximum drawdown of -39.17%. Use the drawdown chart below to compare losses from any high point for LLY and XLV. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-19.89%
-11.91%
LLY
XLV

Volatility

LLY vs. XLV - Volatility Comparison

Eli Lilly and Company (LLY) has a higher volatility of 7.16% compared to Health Care Select Sector SPDR Fund (XLV) at 3.45%. This indicates that LLY's price experiences larger fluctuations and is considered to be riskier than XLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%5.00%10.00%15.00%JulyAugustSeptemberOctoberNovemberDecember
7.16%
3.45%
LLY
XLV
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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.

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