AEE vs OGE: returns, Sharpe ratio and drawdown

Over the past year, OGE returned +1.89% against +0.37% for AEE. Over five years, OGE averaged +6.93% a year, compared with +4.74% for AEE. OGE had the higher Sharpe ratio over the past year (-0.07 vs -0.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.35% for OGE and -16.16% for AEE.