DTE vs LNT: returns, Sharpe ratio and drawdown

Over the past year, LNT returned -2.59% against -9.26% for DTE. Over five years, LNT averaged +3.28% a year, compared with +2.02% for DTE. LNT had the higher Sharpe ratio over the past year (-0.35 vs -0.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.99% for LNT and -21.76% for DTE.