LLY vs PFE: returns, Sharpe ratio and drawdown

Over the past year, LLY returned +36.74% against +10.22% for PFE. Over five years, LLY averaged +37.63% a year, compared with -7.70% for PFE. LLY had the higher Sharpe ratio over the past year (0.95 vs 0.36), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.09% for PFE and -23.31% for LLY.