PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
STLD vs. LLY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Financials

Performance

STLD vs. LLY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Steel Dynamics, Inc. (STLD) and Eli Lilly and Company (LLY). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
5.49%
-9.18%
STLD
LLY

Returns By Period

In the year-to-date period, STLD achieves a 20.38% return, which is significantly lower than LLY's 25.57% return. Over the past 10 years, STLD has underperformed LLY with an annualized return of 22.62%, while LLY has yielded a comparatively higher 29.39% annualized return.


STLD

YTD

20.38%

1M

3.02%

6M

6.50%

1Y

28.62%

5Y (annualized)

37.92%

10Y (annualized)

22.62%

LLY

YTD

25.57%

1M

-20.65%

6M

-6.86%

1Y

23.70%

5Y (annualized)

46.77%

10Y (annualized)

29.39%

Fundamentals


STLDLLY
Market Cap$22.50B$777.36B
EPS$10.86$9.24
PE Ratio13.2988.62
PEG Ratio10.910.78
Total Revenue (TTM)$17.90B$40.86B
Gross Profit (TTM)$3.08B$33.33B
EBITDA (TTM)$2.36B$13.78B

Key characteristics


STLDLLY
Sharpe Ratio0.940.82
Sortino Ratio1.621.32
Omega Ratio1.191.17
Calmar Ratio1.091.01
Martin Ratio2.483.91
Ulcer Index12.05%6.22%
Daily Std Dev31.81%29.81%
Max Drawdown-87.05%-68.27%
Current Drawdown-8.83%-24.13%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Correlation

-0.50.00.51.00.2

The correlation between STLD and LLY is 0.20, 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

STLD vs. LLY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Steel Dynamics, Inc. (STLD) 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 STLD, currently valued at 0.94, compared to the broader market-4.00-2.000.002.004.000.940.82
The chart of Sortino ratio for STLD, currently valued at 1.62, compared to the broader market-4.00-2.000.002.004.001.621.32
The chart of Omega ratio for STLD, currently valued at 1.19, compared to the broader market0.501.001.502.001.191.17
The chart of Calmar ratio for STLD, currently valued at 1.09, compared to the broader market0.002.004.006.001.091.01
The chart of Martin ratio for STLD, currently valued at 2.48, compared to the broader market-10.000.0010.0020.0030.002.483.91
STLD
LLY

The current STLD Sharpe Ratio is 0.94, which is comparable to the LLY Sharpe Ratio of 0.82. The chart below compares the historical Sharpe Ratios of STLD 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
0.94
0.82
STLD
LLY

Dividends

STLD vs. LLY - Dividend Comparison

STLD's dividend yield for the trailing twelve months is around 1.28%, more than LLY's 0.72% yield.


TTM20232022202120202019201820172016201520142013
STLD
Steel Dynamics, Inc.
1.28%1.44%1.39%1.68%2.71%2.82%2.50%1.44%1.57%3.09%2.33%2.25%
LLY
Eli Lilly and Company
0.72%0.78%1.07%1.23%1.75%1.96%1.95%2.46%2.77%2.37%2.84%3.84%

Drawdowns

STLD vs. LLY - Drawdown Comparison

The maximum STLD drawdown since its inception was -87.05%, which is greater than LLY's maximum drawdown of -68.27%. Use the drawdown chart below to compare losses from any high point for STLD and LLY. For additional features, visit the drawdowns tool.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-8.83%
-24.13%
STLD
LLY

Volatility

STLD vs. LLY - Volatility Comparison

Steel Dynamics, Inc. (STLD) has a higher volatility of 16.33% compared to Eli Lilly and Company (LLY) at 10.97%. This indicates that STLD's price experiences larger fluctuations and is considered to be riskier 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
16.33%
10.97%
STLD
LLY

Financials

STLD vs. LLY - Financials Comparison

This section allows you to compare key financial metrics between Steel Dynamics, Inc. and Eli Lilly and Company. You can select fields from income statements, balance sheets, and cash flow statements to easily visualize and compare the financial health of both companies.


Quarterly
Annual

Total Revenue: Total amount of money received from sales and other business activities


Values in USD except per share items