AJG vs AON: returns, Sharpe ratio and drawdown

Over the past year, AJG returned -22.56% against -23.11% for AON. Over five years, AJG averaged +7.54% a year, compared with -2.18% for AON. AJG had the higher Sharpe ratio over the past year (-0.79 vs -0.96), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -29.33% for AON and -36.79% for AJG.