Eli Lilly and Company (LLY)

New York Stock Exchange
USD
US5324571083
1 June 1972  –  24 May 2024

Performance

Annualized Return
13.95%
Sharpe Ratio
0.62
Maximum Drawdown
-68.26%

Metrics

Metric Eli Lilly and Company
Initial Balance $10,000
Final Balance $8,924,196
Returns   [View more details]
Month-To-Date 3.55%
Year-To-Date 38.99%
3M 8.43%
6M 36.15%
Annual Return (3Y) 60.74%
Annual Return (5Y) 49.44%
Annual Return (All) 13.95%
Risk   [View more details]
Annual Volatility 27.09%
Max Drawdown -68.26%
Sharpe Ratio 0.62
Sortino Ratio 0.91
Adjusted Sortino (S/√2) 0.64

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on June 1972.
  • Final balance: The amount of capital we've accrued over time as of May 2024.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 52 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
Eli Lilly and Company 91.06% 60.74% 49.44% 32.39% 16.21% 13.95%

Annual Returns

Year Eli Lilly and Company
1972 23.57%
1973 -6.16%
1974 -6.83%
1975 -22.78%
1976 -5.53%
1977 -17.39%
1978 30.77%
1979 29.45%
1980 11.19%
1981 -8.34%
1982 7.55%
1983 5.12%
1984 19.75%
1985 75.75%
1986 36.8%
1987 7.48%
1988 12.81%
1989 64.13%
1990 9.5%
1991 16.99%
1992 -24.88%
1993 2.45%
1994 15.63%
1995 77.34%
1996 32.65%
1997 93.51%
1998 29.12%
1999 -24.24%
2000 41.89%
2001 -14.42%
2002 -17.57%
2003 13.14%
2004 -17.54%
2005 2.53%
2006 -5.17%
2007 5.67%
2008 -21.3%
2009 -6.24%
2010 3.66%
2011 25.18%
2012 24.24%
2013 7.29%
2014 39.75%
2015 25.39%
2016 -10.37%
2017 17.83%
2018 40.45%
2019 16.14%
2020 31.04%
2021 66.08%
2022 34.26%
2023 60.91%
2024 38.99%

Eli Lilly and Company had 38 positive years and 15 negative years. That's a positive ratio of 72%.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1972 - - - - - 2.7% 12.2% 0.4% -3.3% 9.3% -3.7% 4.9% 23.6%
1973 -8.3% 15.5% 1.9% -6.3% 7.9% -3.5% 5.8% -13.8% 5.3% 2.7% -5.7% -4.2% -6.2%
1974 -3.4% -4.2% 3.3% 5.5% 1.3% 3.8% -14.7% -4.9% -10.7% 28.4% -2.8% -2.9% -6.8%
1975 -4.8% 16.5% -6.8% 0% 8.4% 3.6% -13.2% -5.1% -20.8% 9.6% 3.7% -10.2% -22.8%
1976 11.1% -9.5% 5.6% -7.1% -2.1% 7.1% -0.2% 4.2% 1.4% -1.1% -17.3% 6.1% -5.5%
1977 -9.7% -2.7% 2.1% -10.3% -3.4% 7.6% -9.3% 8.1% -11.2% 5.9% 6.7% 0.3% -17.4%
1978 5.9% -1.5% 3.8% 11.7% -0.2% 2.8% 11.9% -3.9% -1.8% -10.6% 1.9% 9.5% 30.8%
1979 3.4% 1.9% 7% 1.9% -1.9% 1.7% 4.7% 0.9% 4% -2.8% 7.1% -1.2% 29.5%
1980 -4.6% -6.1% -4.7% -0% 1.1% -3% 11.3% -2% -2.8% 0% 18.3% 6% 11.2%
1981 -3.9% 6.9% -0.8% 0.6% 0.9% -5.8% -9.9% -3.7% -8.6% 10.5% 2.3% 4.9% -8.3%
1982 2% 1.6% -0.9% 10.3% -3% -5% -4.4% -3.2% -1% 12.8% 3.5% -3.8% 7.6%
1983 9.1% -1.7% 0.4% 5.3% 3.3% -3.4% -4.5% 1% 2.3% 8.5% -7.4% -6.3% 5.1%
1984 8% 3.2% -2% 0.4% -6.5% 4.5% -9.5% 7.1% -2.6% 7.3% 5.9% 4.1% 19.8%
1985 8.1% 9.4% 0.7% -1.6% 12.9% 1.2% -1.9% 3.1% -0.1% 8.4% 11.6% 7.5% 75.8%
1986 -2.2% 11% 24.2% -9.6% 13.2% 6.8% -7% 4.1% -16.1% 14.3% 1.1% -1.2% 36.8%
1987 16.5% 9.7% -3.1% -0.6% -2.8% 6.7% 2.3% 2.9% -2% -20% -12.4% 16.4% 7.5%
1988 -1.9% 3.6% 6.8% -4.8% 0.6% 4.9% 0% 0.2% 5.6% 1.9% -1% -3% 12.8%
1989 9.8% 0.3% 10% 5% 3.2% -1.6% 17% -2.6% 1% -0.4% 8.4% 2.2% 64.1%
1990 -7.9% -3.7% 7% 2.3% 19.1% 6.2% 0.2% -9.3% -4.8% -5.8% 10.1% -0.7% 9.5%
1991 6.5% 2% -1% -1.9% 4.3% -9.6% 6.3% 10.7% -5.1% -3.6% -3.8% 13.6% 17%
1992 -5.5% -4.4% -5.2% -3.2% -3.2% -1.3% 8.5% -7.1% -3.8% -1.6% 2.3% -2.8% -24.9%
1993 -7% -7.8% -5.3% 1.5% 4.3% -3.4% -5.3% 4.3% 4.2% 8.3% 7.2% 3.5% 2.5%
1994 0.8% -6.5% -9.9% -1.3% 17.6% -0.7% -14.5% 18.7% 1.5% 7.1% 2% 4.8% 15.6%
1995 0.4% 2.7% 9.1% 2.2% 0.7% 5.2% -0.3% 5.5% 9.8% 7.5% 3.7% 13.1% 77.3%
1996 1.8% 6.5% 7.2% -9% 9.3% 1.2% -13.9% 2.8% 12.7% 9.3% 9% -4.6% 32.7%
1997 19.4% 0.7% -5.9% 6.8% 6.2% 17.5% 3.4% -7.1% 15.7% 10.9% -5.8% 10.5% 93.5%
1998 -2.9% -2.4% -9.4% 16.7% -11.5% 7.9% 1.5% -1.9% 19.1% 3.4% 11% -0.9% 29.1%
1999 5.4% 1.1% -10.2% -13.3% -2.7% 0.3% -8.3% 14% -14% 7.3% 5.1% -7.9% -24.2%
2000 0.6% -10.8% 5.4% 23.2% -1% 31.2% 4% -29.5% 11.1% 10.2% 5.1% -0.7% 41.9%
2001 -15.3% 1.2% -3.5% 10.9% -0% -12.6% 7.1% -1.7% 4% -5.2% 8.5% -5% -14.4%
2002 -4.4% 1.3% 0.6% -13.3% -1.6% -12.8% 3.6% -0.1% -4.7% 0.3% 23.7% -7% -17.6%
2003 -5.1% -5.6% 1% 11.7% -5.9% 15.4% -4.5% 1.6% -10.7% 12.2% 3.8% 2.2% 13.1%
2004 -3.3% 9.2% -9.5% 10.3% 0.3% -5.1% -8.9% 0.2% -5.4% -8.6% -2.3% 6.4% -17.5%
2005 -4.4% 4% -7% 12.2% 0.4% -4.4% 1.1% -1.6% -2.7% -7% 2.2% 12.1% 2.5%
2006 0.1% -1.1% -0.6% -4.3% -1.7% 7% 2.7% -0.8% 1.9% -1.7% -3.6% -2.8% -5.2%
2007 3.9% -2.1% 2.1% 10.1% -0.1% -4.7% -3.2% 6.8% -0.7% -4.9% -1.4% 0.8% 5.7%
2008 -3.8% -1.8% 3.1% -6.7% 1% -4.1% 2.1% -0% -5.6% -23.2% 2.4% 17.9% -21.3%
2009 -8.6% -19.1% 13.7% -1.5% 6.5% 0.2% 0.7% -2.7% -1.3% 3% 9.5% -2.8% -6.2%
2010 -1.4% -1.1% 5.5% -3.5% -4.9% 2.2% 6.3% -4.4% 8.8% -3.6% -3.1% 4.1% 3.7%
2011 -0.8% 0.8% 1.8% 5.2% 5.3% -2.5% 2.1% -0.7% -1.4% 0.5% 3.2% 9.8% 25.2%
2012 -4.4% -0% 2.6% 2.8% 0.1% 4.8% 2.6% 3.2% 5.6% 2.6% 1.9% 0.6% 24.2%
2013 8.9% 2.7% 3.9% -2.5% -3.2% -7.6% 8.1% -2.3% -2.1% -1% 1.8% 1.6% 7.3%
2014 5.9% 11.4% -1.3% 0.4% 2.1% 3.9% -1.8% 4.9% 2% 2.3% 3.5% 1.3% 39.8%
2015 4.4% -1.9% 3.5% -1.1% 10.5% 5.8% 1.2% -2% 1.6% -2.5% 1.2% 2.7% 25.4%
2016 -6.1% -8.3% 0% 4.9% 0% 5% 5.3% -5.6% 3.2% -8% -8.5% 9.6% -10.4%
2017 4.7% 8.2% 1.6% -2.4% -2.4% 3.4% 0.4% -1% 5.2% -4.2% 4% -0.2% 17.8%
2018 -3.6% -4.7% 0.5% 4.8% 5.6% 0.3% 15.8% 7.5% 1.6% 1.1% 10% -2.5% 40.5%
2019 3.6% 5.9% 2.8% -9.8% -0.4% -4.4% -1.7% 4.3% -1% 1.9% 3.6% 12% 16.1%
2020 6.3% -9.2% 10% 11.5% -0.6% 7.3% -8.5% -0.8% -0.3% -11.9% 12.2% 15.9% 31%
2021 23.2% -1.1% -8.8% -2.2% 9.8% 14.9% 6.1% 6.4% -10.6% 10.3% -2.3% 11.4% 66.1%
2022 -11.2% 2.3% 14.6% 2% 7.7% 3.4% 1.7% -8.3% 7.3% 12% 2.8% -1.4% 34.3%
2023 -5.9% -9.3% 10.4% 15.3% 8.8% 9.2% -3.1% 22.2% -3.1% 3.1% 6.9% -1.4% 60.9%
2024 10.8% 16.9% 3.2% 0.4% 3.6% - - - - - - - 39%
Pos 50% 51.9% 63.5% 56% 58.8% 63.5% 56.9% 48.1% 44.2% 60.8% 71.2% 57.7% 71.7%
Avg 0.8% 0.6% 1.5% 1.6% 2.3% 2.1% 0.1% 0.4% -0.5% 2.1% 2.8% 2.7% 16.7%

Other Return Metrics

Metric Eli Lilly and Company
Cumulative Return 89141.96%
Enh Ann Return 16.05%
Best Year 93.51%
Worst Year -24.88%
Best Month 31.2%
Worst Month -29.47%
Best Day 16.54%
Worst Day -29.18%
Win Ratio (Yearly) 71.7%
Win Ratio (Quarterly) 64.11%
Win Ratio (Monthly) 56.98%
Win Ratio (Daily) 51.34%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
Eli Lilly and Company 29.95% 28.58% 31.49% 27.05% 24.99% 27.09%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
Eli Lilly and Company 2.31 1.8 1.43 1.17 0.73 0.62

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolio/asset in question.

Eli Lilly and Company

start valley end days Drawdown
2000-08-09 2009-03-05 2014-10-30 5195 -68.26%
1973-07-26 1977-09-21 1983-06-07 3603 -60.84%
1992-01-10 1993-08-13 1995-03-27 1172 -46.4%
1999-03-08 2000-03-07 2000-06-29 479 -43.28%
1987-09-15 1987-10-19 1989-03-13 545 -40.74%

The Eli Lilly and Company took approximately 73 months on average to recover from a major drawdown. The longest drawdown lasted 173 months.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.

Other Risk Metrics

Metric Eli Lilly and Company
Sharpe Ratio 0.62
Sortino Ratio 0.91
Adjusted Sortino (S/√2) 0.64
Calmar Ratio 0.2
Omega Ratio 1.12
Gain to Pain Ratio 0.12
Winckel Ratio 54.72
Ulcer Index 0.28
Kelly Criterion 5.41%
Skew -0.23
Kurtosis 15.36
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