Eli Lilly and Company

10-Year Study

LLY.XETRA · Healthcare · DE · Common Stock

Executive Summary: Eli Lilly and Company has compounded at 29.9% annually over the last 10 years, with a maximum drawdown of 27.6% and an annualized volatility of 32.1%.

1Y CAGR
+21.7%
3Y CAGR
+26.1%
5Y CAGR
+38.1%
10Y CAGR
+29.9%

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 →
27.6%
Sharpe RatioSharpe RatioRisk-adjusted return: how much excess return you earn per unit of total risk (volatility).Click for full definition →
1.08
Sortino RatioSortino RatioLike Sharpe, but only penalizes downside volatility — a more accurate risk measure for asymmetric return distributions.Click for full definition →
2.22
Ann. VolatilityAnnualized VolatilityThe annualized standard deviation of an asset's returns — a measure of how much prices fluctuate.Click for full definition →
28.5%
Best YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2021 · +81.8%
Worst YearBest & Worst YearThe single calendar year with the highest and lowest return in the measured period.Click for full definition →
2026 · -15.5%
% 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.
2026-4.70.3-9.5-2.2————————-15.5%
20256.29.8-13.25.0-17.51.90.7-5.8-0.319.024.9-1.124.1%
202412.517.15.0-1.34.913.0-12.815.2-7.9-0.2-3.7-1.541.7%
2023-8.3-6.37.014.411.67.2-4.624.30.12.84.6-3.255.2%
2022-11.22.417.17.24.66.15.0-6.310.39.4-3.0-2.742.0%
202125.0-1.0-5.3-5.29.417.96.27.2-8.38.90.511.081.8%
20208.4-10.812.212.6-3.56.9-12.9-2.10.8-10.09.511.519.0%
20195.67.43.8-9.31.3-6.30.34.01.8-2.45.59.821.6%
2018-6.7-2.6-2.28.76.91.414.77.82.45.26.5-4.641.7%
2017-0.413.40.7-4.6-6.33.4-2.3-3.45.8-0.5-0.10.14.2%
2016———3.92.73.76.2-5.22.2-5.4-4.99.612.1%

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 32.1%. The dominant macroeconomic risk driver is QUAL.US, accounting for 35.1% of variance. Idiosyncratic stock-specific factors contribute 32.7%.

10-Year Historical Price Series (Growth of $10,000)
DateSimulated Value
2016-03-0110000
2016-04-0110386.379655837949
2016-05-0110662.104163822021
2016-06-0111056.104392623727
2016-07-0111739.09593803164
2016-08-0111126.07343058636
2016-09-0111366.389029327212
2016-10-0110751.447539828103
2016-11-0110228.838609918925
2016-12-0111209.27237367009
2017-01-0111161.205563571817
2017-02-0112658.65737682534
2017-03-0112742.520582927704
2017-04-0112150.625329825043
2017-05-0111385.744915620146
2017-06-0111767.21640582042
2017-07-0111492.875779125165
2017-08-0111103.691457208546
2017-09-0111748.967624558542
2017-10-0111688.538141613495
2017-11-0111677.190315045187
2017-12-0111683.759138229443
2018-01-0110901.349561032855
2018-02-0110618.05983533658
2018-03-0110387.800440627803
2018-04-0111292.249895747611
2018-05-0112068.515040021848
2018-06-0112236.130741723468
2018-07-0114039.918517069715
2018-08-0115134.03351575964
2018-09-0115496.204474918535
2018-10-0116297.674710399777
2018-11-0117349.369134649805
2018-12-0116552.49338504744
2019-01-0117487.51739077486
2019-02-0118781.464847570092
2019-03-0119487.668695129105
2019-04-0117670.484948907102
2019-05-0117907.423877303238
2019-06-0116775.224465545045
2019-07-0116821.206227834835
2019-08-0117494.399893717917
2019-09-0117802.507223860328
2019-10-0117367.71017466427
2019-11-0118327.699398841967
2019-12-0120131.210397930452
2020-01-0121821.150872583283
2020-02-0119472.51980795418
2020-03-0121844.769113245773
2020-04-0124590.50030076354
2020-05-0123723.54480269543
2020-06-0125369.699273370064
2020-07-0122094.734977507316
2020-08-0121637.05775766947
2020-09-0121818.530724009786
2020-10-0119633.880366230343
2020-11-0121500.42254508685
2020-12-0123966.129966749948
2021-01-0129949.77433509117
2021-02-0129658.661067175442
2021-03-0128080.630459411685
2021-04-0126629.400281204675
2021-05-0129136.97472479214
2021-06-0134338.11725718419
2021-07-0136478.72328647819
2021-08-0139114.0391988988
2021-09-0135866.36504205154
2021-10-0139043.05531465771
2021-11-0139254.45702033752
2021-12-0143580.46992918219
2022-01-0138684.77767485801
2022-02-0139607.60507349332
2022-03-0146363.76888075372
2022-04-0149723.98026400765
2022-05-0152033.77039379726
2022-06-0155215.86702930507
2022-07-0157985.62239599671
2022-08-0154356.53210420073
2022-09-0159947.68928728268
2022-10-0165556.83692711926
2022-11-0163618.05614498647
2022-12-0161870.15872195795
2023-01-0156725.57080490226
2023-02-0153142.739051653836
2023-03-0156838.60622857291
2023-04-0165025.5187709658
2023-05-0172536.98653391247
2023-06-0177754.44041376206
2023-07-0174203.67780291317
2023-08-0192212.05120729805
2023-09-0192302.81536809399
2023-10-0194844.10115987703
2023-11-0199187.32955195461
2023-12-0196005.34362694988
2024-01-01108005.99312856811
2024-02-01126481.10356229494
2024-03-01132855.24232683957
2024-04-01131143.3442690708
2024-05-01137569.51697007494
2024-06-01155390.4390409518
2024-07-01135435.38750521262
2024-08-01155975.59940511556
2024-09-01143665.56940256924
2024-10-01143428.1322769091
2024-11-01138094.35856179678
2024-12-01136009.2184945586
2025-01-01144477.7785568517
2025-02-01158581.04193344823
2025-03-01137661.60965690814
2025-04-01144475.9887370515
2025-05-01119155.31576480663
2025-06-01121376.16845710152
2025-07-01122202.12416551959
2025-08-01115131.00742867475
2025-09-01114818.28716090295
2025-10-01136634.1423810877
2025-11-01170688.06577680024
2025-12-01168845.9721673795
2026-01-01160906.5714064293
2026-02-01161342.1065256461
2026-03-01145971.79834450895
2026-04-01142705.83850289875
Annual Return Matrix
YearAnnual Return
20170.042329845215813844
20180.41670957002934284
20190.21620410470097617
20200.19049622417208134
20210.818419160275135
20220.41967626375980616
20230.5517229244294348
20240.41668383608992254
20250.2414303532972264
2026-0.15481644796695326
Total Factor Risk
0.3209127387829054
VTI.US Exposure
0.00015742492378046025
VEA.US Exposure
0.00984032297551241
VWO.US Exposure
0.00896666602035234
QQQ.US Exposure
0.05604688629703298
VTV.US Exposure
0.003930374098485996
IJR.US Exposure
0.07179699497245186
QUAL.US Exposure
0.3511604859044205
SHV.US Exposure
0.016706679231434717
TLT.US Exposure
0.001383315521134661
LQD.US Exposure
0.0688965676213192
HYG.US Exposure
0.04525865819322564
GLD.US Exposure
0.00007054347151033125
USO.US Exposure
-0.0008502639660683726
VNQ.US Exposure
0.00006718911650711062
BTC-USD.CC Exposure
0.020369435822731607
CPER.US Exposure
0.008318684437569978
VIX.INDX Exposure
-0.00359449891385892
UUP.US Exposure
0.014592596412494266
TIP.US Exposure
0.00024053558023264934
Idiosyncratic Exposure
0.32664140227973076
Value Score
33.5
Growth Score
50
Profit Score
37.5
Health Score
23.6
Yield Score
8.8
Moat Score
40

Factor Risk Decomposition

Share of annualised volatility attributable to each macro factor.

Total Est. Vol
32.1%

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 →41.2x
Dividend YieldDividend YieldAnnual dividend paid per share divided by the current share price — expressed as a percentage income return.Click for full definition →0.73%
Market Cap$726.9B
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
$270
Avg Yield on Cost
2.70%
Annual Income Simulation Table
Historical Realised Yields
YearAnnual PayoutYield on CostQuality
2026$269.932.70%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 →
-7.9%
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 →
+0.1%
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 →
18.5% 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.XETRA) has an annualized volatility of 32.1% and experienced a maximum drawdown of 27.6% over the last 10 years. Its primary macro risk driver is QUAL.US.

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

Over the past 10 years, LLY.XETRA has generated a Compound Annual Growth Rate (CAGR) of 29.9%. 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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