Eaton Corporation vs NextEra Energy (ETN vs NEE) 2026: Stock Returns, Risk & Volatility

Q: Which is a better investment: ETN or NEE?

Over the past year, NEE looks like the better investment: it had higher total return (NEE +50.0% vs ETN +48.3%) and a higher Sharpe ratio (NEE 1.64 vs ETN 1.34). On risk, NEE was less volatile (NEE 24.3% vs ETN 29.9%), NEE had a smaller max drawdown (NEE -10.7% vs ETN -19.1%), and NEE had less severe losses on the worst 5% of days (Expected Shortfall of NEE -3.49% vs ETN -4.41%).

Written by Gale Finance Team

Reviewed by Sid Kalla CFA Charterholder

Quick answer

Which is a better investment: ETN or NEE?

Over the past year, NEE outperformed ETN. NEE returned +50.0% compared with ETN’s +48.3%. NEE had the better risk-adjusted return, with a Sharpe ratio of 1.64 versus ETN’s 1.34. NEE was less volatile than ETN, and NEE had a smaller max drawdown than ETN.

Total Return

ETN +48.3%

NEE +50.0%

Sharpe Ratio

ETN 1.34

NEE 1.64

Annualized Volatility

ETN 29.9%

NEE 24.3%

Max Drawdown

ETN -19.1%

NEE -10.7%

Metric winners: Total Return: NEE; Sharpe Ratio: NEE; Annualized Volatility: NEE (less volatile); Max Drawdown: NEE (smaller drawdown).

ETN Total Return

↑ +48.3%

NEE Total Return

↑ +50.0%

Relative Performance of ETN vs NEE (Normalized to 100)

ETN NEE

Normalized to 100 at start date for comparison

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Key Takeaways

Total Return: ETN delivered a +48.3% total return, while NEE returned +50.0% over the same period. NEE outperformed on total returns.
Risk-Adjusted Return (Sharpe Ratio): NEE had a higher Sharpe (1.64 vs 1.34), indicating better risk-adjusted performance.
Volatility (Annualized): ETN was more volatile, with 29.9% annualized volatility, versus 24.3% for NEE.
Maximum Drawdown: NEE's maximum drawdown was -10.7%, while ETN experienced a deeper drawdown of -19.1%.
Tail Risk (VaR & Expected Shortfall): At the 5% level (daily log returns), ETN's VaR was -2.88% and its Expected Shortfall (CVaR) was -4.41%; NEE's were -2.19% and -3.49%. VaR is the cutoff; Expected Shortfall is the average move on the worst days.
Skew & Kurtosis: Skew: ETN -0.40 vs NEE -0.28. Excess kurtosis: ETN 1.59 vs NEE 3.72. Negative skew leans downside; higher excess kurtosis means fatter tails.
Tail Days & Extremes: 2σ tail days (down/up): ETN 8/7, NEE 9/6. Worst day: ETN -7.36% (2025-08-05) vs NEE -6.43% (2025-05-22). Best day: ETN +5.40% (2026-02-06) vs NEE +6.94% (2026-04-23).
Risk ratios: Sortino - ETN: 1.97 vs. NEE: 2.45 , Calmar - ETN: 2.54 vs. NEE: 4.68 , Sterling - ETN: 2.75 vs. NEE: 4.30 , Treynor - ETN: 0.29 vs. NEE: 2.05 , Ulcer Index - ETN: 8.53% vs. NEE: 4.47%

Investment Comparison

If you invested $10,000 in each asset on April 25, 2025:

ETN $14,832.28 +48.3%

NEE $14,995.86 +50.0%

Difference: $163.58 (NEE ahead)

Eaton Corporation vs NextEra Energy Performance Over Time

Metric	ETN	NEE
30 Days	13.5%	5.1%
90 Days	28.2%	14.2%
180 Days	13.1%	15.6%
1 Year	48.3%	50%

Shorter time frames can show different leaders as market conditions change. Consider your investment horizon when comparing performance.

Eaton Corporation vs NextEra Energy Correlation

Average Correlation

weakly correlated

0.10

Current (30-day) 0.30

30-day rolling range -0.37 to +0.55

Eaton Corporation and NextEra Energy are weakly correlated over the past year. With a correlation of 0.10, these assets show meaningful independence, offering diversification benefits when held together.

For portfolio construction, this weak correlation suggests that combining ETN and NEE could reduce overall portfolio variance. However, correlations can increase during market stress.

Metric	Value
Current (30-day)	0.30
Average (full period)	0.10
Minimum (30-day rolling)	-0.37
Maximum (30-day rolling)	0.55

Correlation measures how closely two assets move together. Values near +1 indicate strong co-movement, near 0 indicates independence, and negative values indicate inverse movement. Current, minimum, and maximum figures are 30-day rolling correlations on shared daily returns.

Drawdown

Maximum Drawdown

ETN

-19.1%

NEE

-10.7%

Eaton Corporation experienced its maximum drawdown of -19.1% from 2025-07-28 to 2025-12-17. It took 56 days to recover.

NextEra Energy experienced its maximum drawdown of -10.7% from 2025-05-16 to 2025-05-22. It took 22 days to recover.

Smaller drawdowns and faster recoveries indicate lower downside risk and greater resilience during market stress.

Eaton Corporation vs NextEra Energy Volatility (ETN vs NEE)

ETN Volatility

29.9%

±1.89% 1-day vol

NEE Volatility

24.3%

±1.53% 1-day vol

1-day volatility (1σ)

ETN

±1.89%

NEE

±1.53%

Eaton Corporation's 29.9% annualized volatility translates to about ±1.89% one-standard-deviation daily volatility.

NextEra Energy's 24.3% annualized volatility translates to about ±1.53% one-standard-deviation daily volatility.

ETN had the wider volatility profile over this window. That means its day-to-day return distribution was broader; NEE was calmer, but lower volatility does not by itself mean better returns.

Treat the ± daily figure as a one-standard-deviation estimate from historical returns, not a forecast or expected absolute daily move. For context, 15-18% annualized volatility is roughly ±1% one-standard-deviation daily volatility.

Risk-adjusted ratios

Sharpe Ratio of ETN and NEE

Sharpe Ratio: ETN vs. NEE

Return per total volatility

Sharpe gives us excess return per unit of risk. Upside and downside volatility both count as risk.

Higher is better

excess return / total volatility

Formula

\displaystyle \mathrm{Sharpe} = \frac{\mathbb{E}[R] - R_f}{\sigma_R}

Sharpe ratio measures return per unit of risk (volatility). A higher Sharpe indicates better risk-adjusted performance. NEE had a higher Sharpe (1.64 vs 1.34), indicating better risk-adjusted performance.

A Sharpe above 1.0 is generally considered good, above 2.0 is excellent. Negative Sharpe means the asset underperformed the risk-free rate. Calculated on each asset's full 365-day lookback of available prices and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Sortino Ratio of ETN and NEE

Sortino Ratio: ETN vs. NEE

Return per downside volatility

Sortino keeps the return-over-risk idea, but only returns below the target rate count as volatility.

Higher is better

excess return / downside volatility

Formula

\displaystyle \mathrm{Sortino} = \frac{\mathbb{E}[R] - R_f}{\sigma_{\mathrm{down}}}

Sortino ratio measures return per unit of downside risk. Unlike Sharpe, it only counts downside deviation (returns below the target return). NEE had better downside-adjusted returns.

A higher Sortino is better. It's useful when upside volatility is common (crypto is the obvious example). Downside deviation: ETN 20.4% vs NEE 16.3%. Calculated on each asset's full 365-day lookback of available prices, using the daily risk-free rate as the target return, and annualized using the asset calendar (365 for crypto, 252 trading days for equities/ETFs/metals).

Calmar Ratio of ETN and NEE

Calmar Ratio: ETN vs. NEE

CAGR per worst drawdown

Calmar compares CAGR against the single deepest peak-to-trough loss over the period.

Higher is better

CAGR / max drawdown

Formula

\displaystyle \mathrm{Calmar} = \frac{\mathrm{CAGR}}{|\mathrm{MaxDD}|}

Calmar ratio compares CAGR to maximum drawdown. Higher Calmar means more return per unit of worst drawdown. NEE posted the higher Calmar ratio.

Calmar is computed on each asset's full 365-day lookback and uses the max drawdown over that same window.

Sterling Ratio of ETN and NEE

Sterling Ratio: ETN vs. NEE

Return per average drawdown

Sterling smooths the drawdown penalty by using average drawdown events instead of only the worst one.

Higher is better

excess annual return / average deep drawdown

Formula

\displaystyle \mathrm{Sterling} = \frac{\mathrm{CAGR} - R_f}{\overline{D}_{>10\%}}

Sterling ratio measures excess return per unit of average drawdown (typically drawdowns worse than 10%). NEE posted the higher Sterling ratio.

Sterling uses average drawdown events deeper than 10% and subtracts the risk-free rate to report excess return.

Treynor Ratio of ETN and NEE

Treynor Ratio: ETN vs. NEE

Excess return per market beta

Treynor divides excess annualized return by beta — the sensitivity of the asset to broad-market moves. The slope shown is each asset’s beta vs SPY.

Higher is better

excess return / market beta

Formula

\displaystyle \mathrm{Treynor} = \frac{\mathbb{E}[R] - R_f}{\beta}

Treynor ratio measures excess return per unit of market risk (beta) instead of total volatility. NEE posted the higher Treynor ratio.

Treynor uses beta vs the S&P 500 (SPY) on shared dates and the average 3-month Treasury rate as the risk-free rate.

Ulcer Index of ETN and NEE

Ulcer Index: ETN vs. NEE

Drawdown pain

Ulcer Index is a risk index, not a return-over-risk ratio. Lower means smaller and shorter drawdowns.

Lower is better

root-mean-square drawdown

Formula

\displaystyle \mathrm{UI} = \sqrt{\mathbb{E}[D_t^2]}

Ulcer Index captures drawdown depth and duration. Lower Ulcer Index means less drawdown pain. NEE had the lower Ulcer Index (less drawdown pain).

Ulcer Index is computed from each asset's drawdown series over the full lookback window.

Tail Risk & Distribution Shape (1-Year): Eaton Corporation vs. NextEra Energy

This section looks at the shape of daily returns, not just the average. Tail stats are computed per asset on its own daily series (crypto includes weekends). We use daily log returns $\ln\left(\frac{P_t}{P_{t-1}}\right)$ so multi-day moves add cleanly.

Definitions: Value at Risk (VaR), Expected Shortfall, skew, kurtosis, and fat tails.

Tail Risk & Distribution Shape: ETN vs. NEE (1-Year)

Actual daily return tails

The bars are real daily log-return observations from the article window. Darker bars are observations at or beyond each asset’s 5% VaR cutoff.

Observed returns

VaR marks the 5th percentile loss cutoff; Expected Shortfall averages the observations beyond that cutoff.

Formula

\displaystyle \mathrm{VaR}_{5\%}=Q_{0.05}(r_t),\quad \mathrm{ES}_{5\%}=\mathbb{E}[r_t\mid r_t\le \mathrm{VaR}_{5\%}]

Metric (1-Year)	ETN	NEE
5% VaR (daily log return)	-2.88%	-2.19%
5% Expected Shortfall (CVaR)	-4.41% (worst 13 days)	-3.49% (worst 13 days)
Skew	-0.40	-0.28
Excess kurtosis	1.59	3.72
2σ tail days (down / up)	8 / 7	9 / 6
Worst day	-7.36% (2025-08-05)	-6.43% (2025-05-22)
Best day	+5.40% (2026-02-06)	+6.94% (2026-04-23)

Downside co-moves (2σ) — 1-Year

Computed on shared dates only (n=249). A “2σ downside move” means a shared-close log return more than 2 standard deviations below that asset’s own mean on this shared-date series. Dates below show simple returns (%) for readability.

Downside co-move map: ETN vs. NEE (2σ)

Shared-close daily returns

Dots mark actual downside days: asset-colored dots are one-sided downside moves, and red dots are joint downside days. Grey dots add sampled shared-return context when available. The shaded lower-left zone shows where both ETN and NEE crossed their own 2σ downside threshold.

2σ

Show downside tail dates

Dates below are shared-date observations. The “Date” is the period end (close). Tail thresholds are computed on log returns, but the table shows simple returns (%) for readability. Returns are computed from the previous shared close to this one (for example, Friday → Monday includes weekend moves).

Days when both ETN and NEE had a big down day (2σ)

None in this window.

Days when ETN had a big down day

Date (interval)	ETN	NEE
2025-08-05	-7.36%	+0.92%
2025-11-13	-4.15%	-2.21%
2025-11-20	-5.05%	+0.04%
2025-12-12	-5.25%	+0.54%
2025-12-17	-4.28%	-1.27%
2026-03-03	-5.79%	-0.13%
2026-03-26	-4.77%	0.00%
2026-03-27 → 2026-03-30	-3.87%	+0.71%

Days when NEE had a big down day

Date (interval)	ETN	NEE
2025-05-21	-1.80%	-3.86%
2025-05-22	-0.39%	-6.43%
2025-07-08	-0.42%	-3.06%
2025-07-23	+2.04%	-6.09%
2025-10-28	-0.98%	-2.86%
2025-12-05 → 2025-12-08	+1.70%	-3.10%
2026-01-07	-3.09%	-3.31%
2026-02-26	+0.28%	-3.28%
2026-03-20	-0.95%	-3.15%

Read this as “how ugly the ugly days get”, not as a precise forecast. One-year samples are small, so tail estimates are inherently noisy.

Full Comparison of Eaton Corporation vs. NextEra Energy (1-Year)

Metric	ETN	NEE
Total Return	+48.3%	+50.0%
Annualized Volatility	29.9%	24.3%
Sharpe Ratio	1.34	1.64
Sortino Ratio	1.97	2.45
Calmar Ratio	2.54	4.68
Sterling Ratio	2.75	4.30
Treynor Ratio	0.29	2.05
Ulcer Index	8.53%	4.47%
Max Drawdown	-19.1%	-10.7%
Avg Correlation to S&P 500	0.60	0.13
5% VaR (daily log return)	-2.88%	-2.19%
5% Expected Shortfall (CVaR)	-4.41%	-3.49%
Skew	-0.40	-0.28
Excess kurtosis	1.59	3.72
2σ tail days (down / up)	8 / 7	9 / 6

Audit this calculation

Formulas, inputs, and conventions used to compute the metrics on this page.

Inputs & conventions

Shared window for pair metrics: 2025-04-25 → 2026-04-23 (last shared close).
Rolling correlation sample (shared closes): 220 rolling 30-day values (from 249 shared daily returns).
Annualization (days/year): ETN: 252 days/year; NEE: 252 days/year.
Risk-free rate: Uses the 3-month U.S. Treasury yield (FRED: DGS3MO), averaged over each asset’s window:

ETN: 4.17% over 2025-04-25 → 2026-04-23.

NEE: 4.17% over 2025-04-25 → 2026-04-23.
Volatility drag (rule of thumb): Estimated from annualized volatility (simple returns). For the log-return framing, see Log returns.

ETN: ≈ -4.5%/yr

NEE: ≈ -3.0%/yr
Data alignment: No forward fill. Correlation and tail co-moves are computed on shared closes only.
For cross-calendar pairs (e.g., crypto vs stocks), weekend/holiday moves roll into the next shared close.
Return conventions: Volatility/Sharpe/Sortino use simple daily returns. Tail-risk uses daily log returns for distribution stats (but tables show simple returns). Log returns.

Formulas

Daily simple return

r_t = \frac{P_t}{P_{t-1}} - 1

Volatility

\sigma_{ann} = \sigma(r_t)\sqrt{A}

Volatility drag (approx.)

\text{drag} \approx \tfrac{1}{2}\sigma_{ann}^2

Sharpe Ratio

S = \frac{A\,\bar{r} - r_f}{\sigma(r_t)\sqrt{A}}

Sortino Ratio

So = \frac{A\,\bar{r} - r_f}{\sqrt{\mathbb{E}[\min(0,\,r_t - r_f/A)^2]}\,\sqrt{A}}

Maximum Drawdown

MDD = \min_t\left(\frac{P_t}{\max_{s \le t} P_s} - 1\right)

Average Correlation

\rho = \frac{\operatorname{cov}(r^A,\,r^B)}{\sigma_A\,\sigma_B}

Log returns

\ell_t = \ln\left(\frac{P_t}{P_{t-1}}\right)

Notation

$P_t$: Price on day t.
$r_t$: Simple daily return.
$\ell_t$: Log daily return.
$\bar{r}$: Average daily return.
$\sigma(r_t)$: Standard deviation of daily returns.
$A$: Annualization factor (days/year).
$r_f$: Annual risk-free rate.

Eaton Corporation vs NextEra Energy: Frequently Asked Questions

Which has higher volatility: ETN or NEE?

ETN showed higher volatility at 29.9% annualized, compared to 24.3% for NEE Over the past year. Higher volatility means larger price swings in both directions.

Does ETN provide diversification when held with NEE?

ETN and NEE are weakly correlated over the past year, with an average correlation of 0.10. This weak correlation suggests meaningful diversification benefits when held together.

How bad are the worst 5% days for ETN vs NEE?

Over the past year, ETN's 5% VaR was -2.88% and its 5% Expected Shortfall was -4.41% (worst 13 days). NEE's were -2.19% and -3.49% (worst 13 days).

Do ETN and NEE crash together on bad days?

On shared dates (n=249), when NEE has a 2σ down day, ETN also does 0.0% (0/9 days). In the other direction, when ETN has one, NEE also does 0.0% (0/8 days).

Which has better risk-adjusted returns: ETN or NEE?

NEE showed better risk-adjusted performance with a Sharpe ratio of 1.64 versus ETN's 1.34 Over the past year.

Can ETN and NEE be combined in a portfolio?

Yes, though allocation sizing matters. Their weak correlation could meaningfully reduce overall portfolio variance. ETN's higher volatility (29.9%) means even small allocations can materially impact overall portfolio risk.

Explore our financial glossary

Which is a better investment: ETN or NEE?

Share This Comparison of ETN vs NEE

Relative Performance of ETN vs NEE (Normalized to 100)

Trade ETN or NEE

Key Takeaways

Investment Comparison

Eaton Corporation vs NextEra Energy Performance Over Time

Eaton Corporation vs NextEra Energy Correlation

Drawdown

Eaton Corporation vs NextEra Energy Volatility (ETN vs NEE)

Risk-adjusted ratios

Sharpe Ratio of ETN and NEE

Sharpe Ratio: ETN vs. NEE

Sortino Ratio of ETN and NEE

Sortino Ratio: ETN vs. NEE

Calmar Ratio of ETN and NEE

Calmar Ratio: ETN vs. NEE

Sterling Ratio of ETN and NEE

Sterling Ratio: ETN vs. NEE

Treynor Ratio of ETN and NEE

Treynor Ratio: ETN vs. NEE

Ulcer Index of ETN and NEE

Ulcer Index: ETN vs. NEE

Tail Risk & Distribution Shape (1-Year): Eaton Corporation vs. NextEra Energy

Tail Risk & Distribution Shape: ETN vs. NEE (1-Year)

Downside co-moves (2σ) — 1-Year

Downside co-move map: ETN vs. NEE (2σ)

Days when both ETN and NEE had a big down day (2σ)

Days when ETN had a big down day

Days when NEE had a big down day

Full Comparison of Eaton Corporation vs. NextEra Energy (1-Year)

Inputs & conventions

Formulas

Eaton Corporation vs NextEra Energy: Frequently Asked Questions

Which has higher volatility: ETN or NEE?

Does ETN provide diversification when held with NEE?

How bad are the worst 5% days for ETN vs NEE?

Do ETN and NEE crash together on bad days?

Which has better risk-adjusted returns: ETN or NEE?

Can ETN and NEE be combined in a portfolio?