Eli Lilly and Company

10-Year Study

LLY.US · Healthcare · US · Common Stock

Executive Summary: Eli Lilly and Company has compounded at 30.6% annually over the last 10 years, with a maximum drawdown of 23.1% and an annualized volatility of 33.7%.

1Y CAGR
+25.5%
3Y CAGR
+29.9%
5Y CAGR
+37.2%
10Y CAGR
+30.6%

History & Riski10-year historical performance analysis including CAGR, Max Drawdown, Sharpe & Sortino ratios, annual returns, and rolling volatility — all computed from daily market data.

10-Year Growth of $10,000

Max DrawdownMax DrawdownThe largest peak-to-trough decline in the asset's value over the measurement period.Click for full definition →
23.1%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
1.11
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
2.14
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
27.9%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +66.1%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · -15.7%
% Positive Years% Positive YearsThe percentage of calendar years in the measurement period where the asset delivered a positive return.Click for full definition →
90%

Annual Returns

Rolling 12-Month Returns

Rolling 12-Month Annualised Volatility

Historical Drawdowns

Monthly Returns

Monthly Returns Heatmap

YearJanFebMarAprMayJunJulAugSepOctNovDecAnn.
2026-3.51.6-12.6-1.7————————-15.7%
20255.113.7-10.38.8-17.85.7-5.1-0.84.213.124.8-0.140.2%
202410.816.93.20.45.210.4-11.219.5-7.7-6.3-4.0-2.933.3%
2023-5.9-9.310.315.38.89.2-3.122.2-3.13.16.9-1.460.9%
2022-11.22.314.62.07.73.41.7-8.37.312.02.8-1.434.2%
202123.2-1.1-8.8-2.29.814.96.16.4-10.510.3-2.311.466.1%
20206.3-9.210.011.5-0.67.3-8.5-0.8-0.2-11.912.215.931.1%
20193.65.92.7-9.8-0.4-4.4-1.74.3-1.01.93.612.016.1%
2018-3.6-4.70.54.85.60.315.87.51.61.110.0-2.540.5%
20174.78.21.6-2.4-2.43.40.4-1.05.2-4.23.9-0.217.8%
2016———4.90.05.05.3-5.63.2-8.0-8.59.64.2%

Risk X-RayiA 19-factor macroeconomic risk decomposition showing exactly which market forces (equity beta, rates, inflation, credit, commodity, crypto) drive this asset's volatility. Powered by multivariate regression against daily factor returns.

Risk Profile Insight: This asset has an estimated annualized volatility of 33.7%. The dominant macroeconomic risk driver is QUAL.US, accounting for 45.5% of variance. Idiosyncratic stock-specific factors contribute 31.1%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110488.813899492347
2016-05-0110488.96147337767
2016-06-0111009.011845263862
2016-07-0111587.763829312766
2016-08-0110938.471528078391
2016-09-0111291.599438563351
2016-10-0110388.381671979325
2016-11-019504.79123214356
2016-12-0110415.33850169874
2017-01-0110908.136896094866
2017-02-0111805.550089856099
2017-03-0111990.886492726248
2017-04-0111698.641008487137
2017-05-0111416.90606430286
2017-06-0111808.616347251189
2017-07-0111860.26720711503
2017-08-0111738.092427164089
2017-09-0112351.770230739967
2017-10-0111831.94941823095
2017-11-0112299.004368187005
2017-12-0112272.850996287696
2018-01-0111835.458397282016
2018-02-0111275.038369210184
2018-03-0111326.279301614786
2018-04-0111867.924652053574
2018-05-0112534.942216625346
2018-06-0112577.68945207456
2018-07-0114564.640641192134
2018-08-0115658.917397977253
2018-09-0115904.955859011186
2018-10-0116072.43582175698
2018-11-0117672.75982842076
2018-12-0117237.793999973765
2019-01-0117854.488869649624
2019-02-0118914.282528563745
2019-03-0119433.972164285806
2019-04-0117525.200772941924
2019-05-0117457.88074619659
2019-06-0116682.408781820875
2019-07-0116405.344957031404
2019-08-0117106.029679683194
2019-09-0116933.40928664654
2019-10-0117254.41946676905
2019-11-0117871.453617470193
2019-12-0120015.72275769103
2020-01-0121270.545564256947
2020-02-0119312.240105990844
2020-03-0121239.93218160114
2020-04-0123677.508428108562
2020-05-0123528.999908176247
2020-06-0125256.549001088766
2020-07-0123119.793921267694
2020-08-0122938.786352367086
2020-09-0122881.576876155996
2020-10-0120167.086432384924
2020-11-0122629.471488725354
2020-12-0126232.487898941403
2021-01-0132312.072855587474
2021-02-0131966.471213254103
2021-03-0129147.23610509884
2021-04-0128515.357522332848
2021-05-0131300.683431060042
2021-06-0135967.42880379887
2021-07-0138158.19592564899
2021-08-0140606.5778599819
2021-09-0136324.09848753165
2021-10-0140051.6180656671
2021-11-0139120.80398252725
2021-12-0143565.335878162994
2022-01-0138702.84194508939
2022-02-0139586.612753007226
2022-03-0145354.73482612517
2022-04-0146267.00379100914
2022-05-0149809.3181430614
2022-06-0151523.979116655515
2022-07-0152391.631576876156
2022-08-0148025.28104626605
2022-09-0151551.88697808036
2022-10-0157728.23121220468
2022-11-0159319.159681502766
2022-12-0158481.53030839662
2023-01-0155014.265475581444
2023-02-0149911.176918132565
2023-03-0155075.18069602402
2023-04-0163485.12127293954
2023-05-0169052.78881849068
2023-06-0175407.20554090748
2023-07-0173086.99972452874
2023-08-0189300.72934293549
2023-09-0186550.16528275156
2023-10-0189257.22784096128
2023-11-0195412.89533404169
2023-12-0194102.06209909094
2024-01-01104222.23643304079
2024-02-01121881.48505240511
2024-03-01125807.91783086065
2024-04-01126315.70317316648
2024-05-01132887.52902286412
2024-06-01146663.23967310743
2024-07-01130284.34208282502
2024-08-01155731.70411763934
2024-09-01143714.6642530138
2024-10-01134598.0579276691
2024-11-01129233.0913121614
2024-12-01125439.048705941
2025-01-01131788.98599408535
2025-02-01149847.12123701963
2025-03-01134429.93564382286
2025-04-01146318.3623854048
2025-05-01120313.57918207481
2025-06-01127140.94303325207
2025-07-01120705.03188326105
2025-08-01119745.8556718178
2025-09-01124718.23772198084
2025-10-01141041.1268114182
2025-11-01176052.03430857122
2025-12-01175922.7310182065
2026-01-01169779.14338278698
2026-02-01172495.83513701413
2026-03-01150815.59167289757
2026-04-01148228.1295501948
Annual Return Matrix
YearAnnual Return
20170.17834393901705625
20180.40454683310242
20190.1611533794708011
20200.3105940872837869
20210.6607397684121703
20220.34238676529314516
20230.6090902820574791
20240.33301062599299613
20250.402455876643415
2026-0.1574248041041698
Total Factor Risk
0.3365584695893599
VTI.US Exposure
0.002984683531124093
VEA.US Exposure
-0.002513235494652689
VWO.US Exposure
0.0005777769242389303
QQQ.US Exposure
0.020820359105829588
VTV.US Exposure
-0.0027444421723330737
IJR.US Exposure
0.05377352446207119
QUAL.US Exposure
0.45508098665833696
SHV.US Exposure
0.041340049172587004
TLT.US Exposure
0.01223009812268011
LQD.US Exposure
0.033337860930671294
HYG.US Exposure
0.03145554857913073
GLD.US Exposure
0.008147809084839612
USO.US Exposure
-0.0018889326185211773
VNQ.US Exposure
-0.0000972932196649592
BTC-USD.CC Exposure
0.016026853555087282
CPER.US Exposure
0.001523159934599277
VIX.INDX Exposure
0.004670408401748303
UUP.US Exposure
0.013562318035686173
TIP.US Exposure
0.0004331375598033742
Idiosyncratic Exposure
0.311279329446738
Value Score
33.7
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
7.6
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
33.7%

FundamentalsiCompany financial health metrics: P/E valuation, dividend yield, Piotroski F-Score (9-point profitability signal), Altman Z-Score (bankruptcy risk proxy), and a radar chart across 6 fundamental dimensions. Note: ETFs may show N/A for some metrics.

Fundamental Dimensions

Core Valuation

P/E Ratio (TTM)P/E RatioPrice-to-Earnings ratio — the market price of a stock divided by its earnings per share, a key valuation measure.Click for full definition →40.8x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.63%
Market Cap$837.4B
Piotroski F-ScorePiotroski F-ScoreA 9-point scoring system evaluating a company's financial strength across profitability, leverage, and operating efficiency.Click for full definition →
9-point profitability signal
0.0/ 9
Weak
Altman Z-ScoreAltman Z-ScoreA bankruptcy prediction model that combines 5 financial ratios into a single score indicating financial distress risk.Click for full definition →
Bankruptcy risk proxy
1.18
Distress Zone
Income Simulation

Based on $10,000 initial investment.

Total Income Generated
$3,563
Avg Yield on Cost
5.94%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2020$485.354.85%Solid
2021$557.55.58%Solid
2022$642.776.43%Solid
2023$741.157.41%Solid
2024$852.658.53%Solid
2026$283.672.84%Solid

Momentum & MacroiPrice momentum indicators relative to key technical levels: distance from 50-Day SMA (intermediate trend), 200-Day SMA (long-term trend), 52-Week High (bullish proximity), and Beta (market sensitivity coefficient).

vs 50-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
-7.4%
Above/below 50-day moving average
vs 200-Day SMAMoving Averages (SMA)A rolling average of an asset's price over a defined window — used to identify trends and momentum signals.Click for full definition →
+0.2%
Above/below 200-day moving average
vs 52-Week High52-Week HighThe highest price an asset reached in the past 52 weeks — a key reference for momentum and valuation context.Click for full definition →
18.4% from high
Distance from 52-week high
BetaBetaA measure of an asset's sensitivity to broad market movements relative to a benchmark (e.g. S&P 500).Click for full definition →
0.50
Market sensitivity coefficient

Frequently Asked Questions & Methodology

Is Eli Lilly and Company a high-risk investment?

Eli Lilly and Company (LLY.US) has an annualized volatility of 33.7% and experienced a maximum drawdown of 23.1% over the last 10 years. Its primary macro risk driver is QUAL.US.

What is the 10-year return of LLY.US?

Over the past 10 years, LLY.US has generated a Compound Annual Growth Rate (CAGR) of 30.6%. It has had a positive return in 90% of the years measured.

Data Methodology & Trust

The risk and return information on this page is pre-calculated mathematically using daily market data spanning a 10-year period. Fundamentals (such as P/E Ratio, Market Cap, and Dividend Yield) represent trailing averages and may not immediately reflect real-time live market fluctuations. Advanced scoring models like the Piotroski F-Score and Altman Z-Score are proxies applied to publicly available trailing-twelve-month financial statements and may not account for recent off-balance-sheet events, qualitative company shifts, or sector-specific capital structures. Macroeconomic factor exposures are estimated via multivariate regression against standard market indices. This data is provided for quantitative insight and backtesting research, and should not be misconstrued as tailored financial advice.

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