LPLA vs RJF: returns, Sharpe ratio and drawdown

Over the past year, RJF returned -4.97% against -5.55% for LPLA. Over five years, LPLA averaged +14.47% a year, compared with +9.79% for RJF. LPLA had the higher Sharpe ratio over the past year (-0.10 vs -0.27), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -18.87% for RJF and -32.39% for LPLA.