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Eli Lilly & Co

Provider: Exchange
Annualised Return 15.43%
Realised Volatility 25.94%
Downside Volatility 15.17%
Max Drawdown -64.53%
Winning months 57.18%
Sharpe Ratio 0.59
Sortino Ratio 1.02
Calmar Ratio 0.24
Viking Ratio 0.63
Monthly performance
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2024 10.75% 16.94% 3.22% 0.4% 5.2% 10.37% -11.17% 19.53% -7.72% 1.41% 54.87%
2023 -5.93% -9.28% 10.35% 15.27% 8.77% 9.2% -3.08% 22.18% -3.08% 3.13% 6.9% -1.37% 60.91%
2022 -11.16% 2.28% 14.57% 2.01% 7.66% 3.44% 1.68% -8.33% 7.34% 11.98% 2.77% -1.41% 34.26%
2021 23.18% -1.07% -8.82% -2.17% 9.77% 14.91% 6.09% 6.42% -10.55% 10.26% -2.32% 11.36% 66.08%
2020 6.25% -9.21% 9.98% 11.48% -0.63% 7.34% -8.46% -0.78% -0.25% -11.86% 12.22% 15.92% 31.04%
2019 3.58% 5.94% 2.75% -9.8% -0.38% -4.44% -1.66% 4.27% -1.01% 1.9% 3.58% 12% 16.14%
2018 -3.56% -4.74% 0.45% 4.78% 5.62% 0.34% 15.8% 7.51% 1.57% 1.05% 9.96% -2.46% 40.45%
2017 4.73% 8.23% 1.57% -2.44% -2.41% 3.43% 0.44% -1.03% 5.23% -4.21% 3.95% -0.21% 17.83%
2016 -6.12% -8.34% 0.01% 4.89% 0% 4.96% 5.26% -5.6% 3.23% -8% -8.51% 9.58% -10.37%
2015 4.36% -1.85% 3.53% -1.07% 10.54% 5.82% 1.22% -1.97% 1.63% -2.53% 1.21% 2.71% 25.39%
2014 5.9% 11.37% -1.26% 0.41% 2.13% 3.86% -1.79% 4.93% 2.03% 2.28% 3.45% 1.28% 39.75%
2013 8.86% 2.74% 3.9% -2.48% -3.17% -7.6% 8.12% -2.33% -2.08% -1.01% 1.8% 1.55% 7.29%
2012 -4.38% -0.01% 2.61% 2.79% 0.11% 4.79% 2.61% 3.16% 5.57% 2.57% 1.88% 0.57% 24.24%
2011 -0.77% 0.78% 1.77% 5.23% 5.3% -2.47% 2.05% -0.65% -1.44% 0.51% 3.19% 9.8% 25.18%
2010 -1.43% -1.07% 5.47% -3.45% -4.91% 2.16% 6.27% -4.41% 8.75% -3.64% -3.05% 4.1% 3.66%
2009 -8.57% -19.13% 13.72% -1.47% 6.47% 0.2% 0.72% -2.68% -1.28% 2.97% 9.52% -2.78% -6.24%
2008 -3.75% -1.76% 3.14% -6.69% 0.97% -4.11% 2.06% -0.02% -5.62% -23.19% 2.39% 17.92% -21.3%
2007 3.88% -2.06% 2.13% 10.09% -0.14% -4.67% -3.2% 6.82% -0.73% -4.88% -1.42% 0.83% 5.67%
2006 0.05% -1.06% -0.58% -4.3% -1.66% 7.03% 2.71% -0.76% 1.91% -1.74% -3.61% -2.78% -5.17%
2005 -4.42% 3.97% -6.96% 12.23% 0.35% -4.44% 1.09% -1.61% -2.73% -6.97% 2.17% 12.06% 2.53%
2004 -3.26% 9.19% -9.52% 10.33% 0.29% -5.1% -8.85% 0.16% -5.36% -8.56% -2.26% 6.41% -17.54%
2003 -5.13% -5.58% 1.04% 11.67% -5.86% 15.39% -4.54% 1.59% -10.72% 12.15% 3.81% 2.22% 13.14%
2002 -4.38% 1.25% 0.62% -13.32% -1.57% -12.83% 3.58% -0.1% -4.67% 0.29% 23.69% -7.03% -17.57%
2001 -15.33% 1.19% -3.52% 10.88% -0.02% -12.63% 7.14% -1.73% 3.95% -5.2% 8.45% -5% -14.42%
2000 0.56% -10.75% 5.36% 23.15% -0.96% 31.2% 4% -29.47% 11.1% 10.17% 5.13% -0.67% 41.89%
1999 5.41% 1.14% -10.19% -13.25% -2.68% 0.26% -8.29% 14.02% -13.99% 7.3% 5.11% -7.86% -24.24%
1998 -2.87% -2.37% -9.4% 16.67% -11.5% 7.94% 1.51% -1.94% 19.11% 3.43% 10.98% -0.91% 29.12%
1997 19.35% 0.69% -5.87% 6.84% 6.24% 17.54% 3.37% -7.1% 15.65% 10.85% -5.77% 10.52% 93.51%
1996 1.78% 6.46% 7.22% -9.04% 9.33% 1.17% -13.85% 2.84% 12.66% 9.3% 9.01% -4.58% 32.66%
1995 0.38% 2.7% 9.14% 2.22% 0.7% 5.19% -0.32% 5.52% 9.77% 7.51% 3.7% 13.06% 77.34%
1994 0.84% -6.52% -9.93% -1.25% 17.64% -0.66% -14.51% 18.7% 1.53% 7.13% 2.02% 4.79% 15.63%
1993 -7% -7.84% -5.34% 1.54% 4.25% -3.43% -5.33% 4.33% 4.17% 8.25% 7.17% 3.49% 2.44%
1992 -5.54% -4.4% -5.18% -3.17% -3.21% -1.33% 8.45% -7.07% -3.84% -1.6% 2.33% -2.8% -24.88%
1991 6.48% 1.95% -0.95% -1.92% 4.27% -9.59% 6.26% 10.68% -5.21% -3.45% -3.77% 13.61% 16.99%
1990 -8.18% -3.73% 7.04% 2.32% 19.05% 6.23% 0.15% -9.28% -4.83% -5.77% 10.12% -0.68% 9.1%
*Performance is net of rebalancing costs, fixed fees (0% annually) and performance fees (0% over high watermark).