AEE vs NGG: returns, Sharpe ratio and drawdown

Over the past year, NGG returned +7.54% against +0.37% for AEE. Over five years, NGG averaged +7.52% a year, compared with +4.74% for AEE. NGG had the higher Sharpe ratio over the past year (0.24 vs -0.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.16% for AEE and -20.23% for NGG.