LLY vs NVO: Stock Returns, Risk & Volatility (2026)

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 +14.3% vs NVO -56.1%) and a higher Sharpe ratio (LLY 0.43 vs NVO -1.29). On risk, LLY was less volatile (LLY 42.6% vs NVO 55.3%), LLY had a smaller max drawdown (LLY -32.6% vs NVO -56.9%), and LLY had less severe losses on the worst 5% of days (Expected Shortfall of LLY -6.44% vs NVO -9.95%).

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 (+14.3% vs -56.1%) with a Sharpe ratio of 0.43.

Total Return

LLY WIN +14.3%

NVO -56.1%

Sharpe Ratio

LLY WIN 0.43

NVO -1.29

Annualized Volatility

LLY WIN 42.6%

NVO 55.3%

Max Drawdown

LLY WIN -32.6%

NVO -56.9%

Analysis period: 2025-02-27 to 2026-02-25

LLY Total Return

↑ +14.3%

NVO Total Return

↓ -56.1%

Relative Performance of LLY vs NVO (Normalized to 100)

LLY NVO

Normalized to 100 at start date for comparison

Key Takeaways

Total Return: LLY delivered a +14.3% total return, while NVO returned -56.1% over the same period. LLY outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): NVO had a negative Sharpe (-1.29) while LLY was positive (0.43), indicating LLY had meaningfully better risk-adjusted performance in this period.
Volatility (Annualized): NVO was more volatile, with 55.3% annualized volatility, versus 42.6% for LLY.
Maximum Drawdown: LLY's maximum drawdown was -32.6%, while NVO experienced a deeper drawdown of -56.9%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), LLY's VaR was -3.74% and its Expected Shortfall (CVaR) was -6.44%; NVO's were -5.65% and -9.95%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: LLY -0.56 vs NVO -1.87. Excess kurtosis: LLY 7.84 vs NVO 10.78. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): LLY 6/4, NVO 7/4. Worst day: LLY -14.14% (2025-08-07) vs NVO -21.83% (2025-07-29). Best day: LLY +14.30% (2025-04-17) vs NVO +9.92% (2026-02-06).
Risk ratios: Sortino - LLY: 0.61 vs. NVO: -1.60 , Calmar - LLY: 0.44 vs. NVO: -0.99 , Sterling - LLY: 0.46 vs. NVO: -1.06 , Treynor - LLY: 0.28 vs. NVO: -0.67 , Ulcer Index - LLY: 14.30% vs. NVO: 34.43%

Eli Lilly vs Novo Nordisk Correlation

0.28 Average Correlation

Eli Lilly and Novo Nordisk are weakly correlated over the past year. With a correlation of 0.28, 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)	0.07
Average (full period)	0.28
Minimum	-0.50
Maximum	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.

Investment Comparison

If you invested $10,000 in each asset on February 27, 2025:

LLY $11,429.85 +14.3%

NVO $4,392.04 -56.1%

Difference: $7,037.81 (LLY ahead)

Eli Lilly and Novo Nordisk: Risk Analysis

Eli Lilly experienced its maximum drawdown of -32.6% from 2025-03-03 to 2025-08-08. It took 90 days to recover.

Novo Nordisk experienced its maximum drawdown of -56.9% from 2025-03-05 to 2026-02-25. It has not yet recovered to its previous peak.

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

Sharpe Ratio of LLY and NVO

LLY Sharpe Ratio

↑ 0.43

NVO Sharpe Ratio

↓ -1.29

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. NVO had a negative Sharpe (-1.29) while LLY was positive (0.43), 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

LLY Sortino Ratio

↑ 0.61

NVO Sortino Ratio

↓ -1.60

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 30.2% vs NVO 44.7%. 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

LLY Calmar Ratio

↑ 0.44

NVO Calmar Ratio

↓ -0.99

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

LLY Sterling Ratio

↑ 0.46

NVO Sterling Ratio

↓ -1.06

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

LLY Treynor Ratio

↑ 0.28

NVO Treynor Ratio

↓ -0.67

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

LLY Ulcer Index

14.30%

NVO Ulcer Index

34.43%

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.

Metric (1-Year)	LLY	NVO
5% VaR (daily log return)	-3.74%	-5.65%
5% Expected Shortfall (CVaR)	-6.44% (worst 13 days)	-9.95% (worst 13 days)
Skew	-0.56	-1.87
Excess kurtosis	7.84	10.78
2σ tail days (down / up)	6 / 4	7 / 4
Worst day	-14.14% (2025-08-07)	-21.83% (2025-07-29)
Best day	+14.30% (2025-04-17)	+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.

When NVO has a big down day, LLY also does

28.6%

2 / 7 days

When LLY has a big down day, NVO also does

33.3%

2 / 6 days

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
2025-04-04	-6.45%	-6.78%
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%

Days when NVO had a big down day

Date (interval)	LLY	NVO
2025-03-07 → 2025-03-10	-4.58%	-9.43%
2025-04-17	+14.30%	-7.63%
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.

Eli Lilly vs Novo Nordisk Volatility (LLY vs NVO)

LLY Volatility

42.6%

±2.69% daily

NVO Volatility

55.3%

±3.49% daily

Typical daily swing

LLY

±2.69%

NVO

±3.49%

Eli Lilly's annualized volatility of 42.6% means it typically moves ±2.69% on any given day.

Novo Nordisk's annualized volatility of 55.3% means it typically moves ±3.49% on any given day.

NVO's higher volatility means a wider path to returns — this can be attractive for tactical, shorter-term exposure, while LLY's smoother profile may better suit long-term allocators seeking steadier growth.

For comparison, the S&P 500 typically has 15-18% annualized volatility, translating to roughly ±1% daily moves. Higher volatility means larger potential gains but also larger potential losses.

Eli Lilly vs Novo Nordisk Performance Over Time

Metric	LLY	NVO
30 Days	-3.2%	-40.4%
90 Days	-6.8%	-21.7%
180 Days	40.6%	-32.4%
1 Year	14.3%	-56.1%

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

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

Metric	LLY	NVO
Total Return	+14.3%	-56.1%
Annualized Volatility	42.6%	55.3%
Sharpe Ratio	0.43	-1.29
Sortino Ratio	0.61	-1.60
Calmar Ratio	0.44	-0.99
Sterling Ratio	0.46	-1.06
Treynor Ratio	0.28	-0.67
Ulcer Index	14.30%	34.43%
Max Drawdown	-32.6%	-56.9%
Avg Correlation to S&P 500	0.20	0.32
5% VaR (daily log return)	-3.74%	-5.65%
5% Expected Shortfall (CVaR)	-6.44%	-9.95%
Skew	-0.56	-1.87
Excess kurtosis	7.84	10.78
2σ tail days (down / up)	6 / 4	7 / 4

Audit this calculation

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

Inputs & conventions

Shared window for pair metrics: 2025-02-27 → 2026-02-25 (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: 4.20% over 2025-02-27 → 2026-02-25.

NVO: 4.20% over 2025-02-27 → 2026-02-25.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

LLY: ≈ -9.1%/yr

NVO: ≈ -15.3%/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 55.3% annualized, compared to 42.6% 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 0.28. 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 -3.74% and its 5% Expected Shortfall was -6.44% (worst 13 days). NVO's were -5.65% and -9.95% (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 28.6% (2/7 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 (-1.29) while LLY was positive (0.43) 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 (55.3%) means even small allocations can materially impact overall portfolio risk.