Eli Lilly vs Novo Nordisk (LLY vs NVO) 2026: Stock Returns, Risk & Volatility

Q: Which is a better investment: LLY or NVO?

Over the past year, LLY looks like the better investment: it had higher total return (LLY +4.5% vs NVO -37.3%) and a higher Sharpe ratio (LLY 0.20 vs NVO -0.70). On risk, LLY was less volatile (LLY 38.9% vs NVO 52.7%), LLY had a smaller max drawdown (LLY -30.3% vs NVO -56.6%), and LLY had less severe losses on the worst 5% of days (Expected Shortfall of LLY -6.15% vs NVO -9.01%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: LLY or NVO?

Over the past year, LLY outperformed NVO. LLY returned +4.5% compared with NVO’s -37.3%. LLY had the better risk-adjusted return, with a Sharpe ratio of 0.20 versus NVO’s -0.70. LLY was less volatile than NVO, and LLY had a smaller max drawdown than NVO.

Total Return

LLY +4.5%

NVO -37.3%

Sharpe Ratio

LLY 0.20

NVO -0.70

Annualized Volatility

LLY 38.9%

NVO 52.7%

Max Drawdown

LLY -30.3%

NVO -56.6%

Metric winners: Total Return: LLY; Sharpe Ratio: LLY; Annualized Volatility: LLY (less volatile); Max Drawdown: LLY (smaller drawdown).

LLY Total Return

↑ +4.5%

NVO Total Return

↓ -37.3%

Relative Performance of LLY vs NVO (Normalized to 100)

LLY NVO

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: LLY delivered a +4.5% total return, while NVO returned -37.3% over the same period. LLY outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): NVO had a negative Sharpe (-0.70) while LLY was positive (0.20), indicating LLY had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): NVO was more volatile, with 52.7% annualized volatility, versus 38.9% for LLY.
Maximum Drawdown: LLY's maximum drawdown was -30.3%, while NVO experienced a deeper drawdown of -56.6%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), LLY's VaR was -3.51% and its Expected Shortfall (CVaR) was -6.15%; NVO's were -4.18% and -9.01%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: LLY -1.19 vs NVO -2.12. Excess kurtosis: LLY 8.51 vs NVO 13.56. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): LLY 6/3, NVO 5/5. Worst day: LLY -14.14% (2025-08-07) vs NVO -21.83% (2025-07-29). Best day: LLY +10.33% (2026-02-04) vs NVO +9.92% (2026-02-06).
Risk ratios: Sortino - LLY: 0.28 vs. NVO: -0.89 , Calmar - LLY: 0.15 vs. NVO: -0.66 , Sterling - LLY: 0.01 vs. NVO: -0.74 , Treynor - LLY: 0.12 vs. NVO: -0.25 , Ulcer Index - LLY: 12.94% vs. NVO: 34.38%

Investment Comparison

If you invested $10,000 in each asset on April 25, 2025:

LLY $10,449.69 +4.5%

NVO $6,272.41 -37.3%

Difference: $4,177.28 (LLY ahead)

Eli Lilly vs Novo Nordisk Performance Over Time

Metric	LLY	NVO
30 Days	1.6%	4.4%
90 Days	-13.6%	-38.1%
180 Days	11.5%	-27.3%
1 Year	4.5%	-37.3%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Eli Lilly vs Novo Nordisk Correlation

Average Correlation

weakly correlated

0.23

Current (30-day) 0.13

30-day rolling range -0.50 to +0.67

Eli Lilly and Novo Nordisk are weakly correlated over the past year. With a correlation of 0.23, these assets show meaningful independence, offering diversification benefits when held together.

For portfolio construction, this weak correlation suggests that combining LLY and NVO could reduce overall portfolio variance. However, correlations can increase during market stress.

Metric	Value
Current (30-day)	0.13
Average (full period)	0.23
Minimum (30-day rolling)	-0.50
Maximum (30-day rolling)	0.67

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

LLY

-30.3%

NVO

-56.6%

Eli Lilly experienced its maximum drawdown of -30.3% from 2025-04-30 to 2025-08-08. It took 87 days to recover.

Novo Nordisk experienced its maximum drawdown of -56.6% from 2025-06-12 to 2026-03-27. It has not yet recovered to its previous peak.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Eli Lilly vs Novo Nordisk Volatility (LLY vs NVO)

LLY Volatility

38.9%

±2.45% 1-day vol

NVO Volatility

52.7%

±3.32% 1-day vol

1-day volatility (1σ)

LLY

±2.45%

NVO

±3.32%

Eli Lilly's 38.9% annualized volatility translates to about ±2.45% one-standard-deviation daily volatility.

Novo Nordisk's 52.7% annualized volatility translates to about ±3.32% one-standard-deviation daily volatility.

NVO had the wider volatility profile over this window. That means its day-to-day return distribution was broader; LLY was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of LLY and NVO

Sharpe Ratio: LLY vs. NVO

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. NVO had a negative Sharpe (-0.70) while LLY was positive (0.20), indicating LLY had meaningfully better risk-adjusted performance in this period.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of LLY and NVO

Sortino Ratio: LLY vs. NVO

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). LLY had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: LLY 28.7% vs NVO 41.6%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of LLY and NVO

Calmar Ratio: LLY vs. NVO

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. LLY posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of LLY and NVO

Sterling Ratio: LLY vs. NVO

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). LLY posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of LLY and NVO

Treynor Ratio: LLY vs. NVO

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. LLY posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of LLY and NVO

Ulcer Index: LLY vs. NVO

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. LLY had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Eli Lilly vs. Novo Nordisk

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: LLY vs. NVO (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	LLY	NVO
5% VaR (daily log return)	-3.51%	-4.18%
5% Expected Shortfall (CVaR)	-6.15% (worst 13 days)	-9.01% (worst 13 days)
Skew	-1.19	-2.12
Excess kurtosis	8.51	13.56
2σ tail days (down / up)	6 / 3	5 / 5
Worst day	-14.14% (2025-08-07)	-21.83% (2025-07-29)
Best day	+10.33% (2026-02-04)	+9.92% (2026-02-06)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: LLY vs. NVO (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both LLY and NVO crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both LLY and NVO had a big down day (2σ)

Date (interval)	LLY	NVO
2025-07-29	-5.59%	-21.83%
2026-02-05	-7.79%	-8.16%

Days when LLY had a big down day

Date (interval)	LLY	NVO
2025-05-01	-11.66%	-1.28%
2025-05-06	-5.64%	-4.09%
2025-07-29	-5.59%	-21.83%
2025-08-07	-14.14%	+7.45%
2026-02-05	-7.79%	-8.16%
2026-03-17	-5.94%	-0.39%

Days when NVO had a big down day

Date (interval)	LLY	NVO
2025-07-29	-5.59%	-21.83%
2025-07-30	-0.38%	-7.25%
2026-02-03	-3.90%	-14.64%
2026-02-05	-7.79%	-8.16%
2026-02-20 → 2026-02-23	+4.86%	-16.43%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of Eli Lilly vs. Novo Nordisk (1-Year)

Metric	LLY	NVO
Total Return	+4.5%	-37.3%
Annualized Volatility	38.9%	52.7%
Sharpe Ratio	0.20	-0.70
Sortino Ratio	0.28	-0.89
Calmar Ratio	0.15	-0.66
Sterling Ratio	0.01	-0.74
Treynor Ratio	0.12	-0.25
Ulcer Index	12.94%	34.38%
Max Drawdown	-30.3%	-56.6%
Avg Correlation to S&P 500	0.16	0.33
5% VaR (daily log return)	-3.51%	-4.18%
5% Expected Shortfall (CVaR)	-6.15%	-9.01%
Skew	-1.19	-2.12
Excess kurtosis	8.51	13.56
2σ tail days (down / up)	6 / 3	5 / 5

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-04-25 → 2026-04-23 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): LLY: 252 days/year; NVO: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

LLY: 4.17% over 2025-04-25 → 2026-04-23.

NVO: 4.17% over 2025-04-25 → 2026-04-23.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

LLY: ≈ -7.6%/yr

NVO: ≈ -13.9%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Eli Lilly vs Novo Nordisk: Frequently Asked Questions

Which has higher volatility: LLY or NVO?

NVO showed higher volatility at 52.7% annualized, compared to 38.9% for LLY Over the past year. Higher volatility means larger price swings in both directions.

Does LLY provide diversification when held with NVO?

LLY and NVO are weakly correlated over the past year, with an average correlation of 0.23. This weak correlation suggests meaningful diversification benefits when held together.

How bad are the worst 5% days for LLY vs NVO?

Over the past year, LLY's 5% VaR was -3.51% and its 5% Expected Shortfall was -6.15% (worst 13 days). NVO's were -4.18% and -9.01% (worst 13 days).

Do LLY and NVO crash together on bad days?

On shared dates (n=249), when NVO has a 2σ down day, LLY also does 40.0% (2/5 days). In the other direction, when LLY has one, NVO also does 33.3% (2/6 days).

Which has better risk-adjusted returns: LLY or NVO?

NVO had a negative Sharpe (-0.70) while LLY was positive (0.20) Over the past year, indicating LLY had meaningfully better risk-adjusted performance.

Can LLY and NVO be combined in a portfolio?

Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. NVO's higher volatility (52.7%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: LLY or NVO?

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Relative Performance of LLY vs NVO (Normalized to 100)

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Key Takeaways

Investment Comparison

Eli Lilly vs Novo Nordisk Performance Over Time

Eli Lilly vs Novo Nordisk Correlation

Drawdown

Eli Lilly vs Novo Nordisk Volatility (LLY vs NVO)

Risk-adjusted ratios

Sharpe Ratio of LLY and NVO

Sharpe Ratio: LLY vs. NVO

Sortino Ratio of LLY and NVO

Sortino Ratio: LLY vs. NVO

Calmar Ratio of LLY and NVO

Calmar Ratio: LLY vs. NVO

Sterling Ratio of LLY and NVO

Sterling Ratio: LLY vs. NVO

Treynor Ratio of LLY and NVO

Treynor Ratio: LLY vs. NVO

Ulcer Index of LLY and NVO

Ulcer Index: LLY vs. NVO

Tail Risk & Distribution Shape (1-Year): Eli Lilly vs. Novo Nordisk

Tail Risk & Distribution Shape: LLY vs. NVO (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: LLY vs. NVO (2σ)

Days when both LLY and NVO had a big down day (2σ)

Days when LLY had a big down day

Days when NVO had a big down day

Full Comparison of Eli Lilly vs. Novo Nordisk (1-Year)

Inputs & conventions

Formulas

Eli Lilly vs Novo Nordisk: Frequently Asked Questions

Which has higher volatility: LLY or NVO?

Does LLY provide diversification when held with NVO?

How bad are the worst 5% days for LLY vs NVO?

Do LLY and NVO crash together on bad days?

Which has better risk-adjusted returns: LLY or NVO?

Can LLY and NVO be combined in a portfolio?