# Regulated electric utilities Market-Risk Comparison

Advisory: Descriptive market-risk statistics - not investment advice; past performance does not indicate future results. This companion page uses lmfin computations from a pinned Yahoo adjusted-close window. Informational only - not investment advice.

Window: 3y ending 2026-06-30. Benchmark: SPY. Pack hash: 9d19e1a6fdd33456ebf362a7b3c20ca031d1cda402143d54b82ceb342cb17933.

## Member return/risk statistics

For Regulated electric utilities, lmfin computes each included member's Sharpe ratio, beta vs SPY, annualized volatility, annualized return, and maximum drawdown over the pinned price window. The table below substitutes those values from the frozen pack.

## PCA factor structure

lmfin's PCA run computes PC1 variance 63.77% and PC2 variance 8.42% from the aligned member return matrix. Loadings are reported as numeric factor coefficients, not as quality judgments.

## Comparison table

| Ticker | Sharpe | Beta | Annualized volatility | Annualized return | Max drawdown |
| --- | --- | --- | --- | --- | --- |
| NEE | 0.31 | 0.34 | 27.30% | 12.35% | -34.57% |
| DUK | 0.77 | -0.01 | 16.75% | 16.82% | -11.59% |
| SO | 0.66 | 0.03 | 17.71% | 15.48% | -14.99% |
| D | 0.56 | 0.24 | 23.26% | 16.84% | -26.41% |
| AEP | 0.93 | 0.08 | 19.39% | 21.89% | -18.04% |
| EXC | 0.33 | 0.03 | 19.64% | 10.24% | -20.74% |
| XEL | 0.50 | 0.16 | 20.68% | 14.16% | -24.41% |
| SRE | 0.45 | 0.51 | 23.60% | 14.42% | -31.62% |
| PEG | 0.51 | 0.42 | 20.01% | 14.04% | -17.17% |

## PCA summary

PC1 variance explained: 63.77%. PC2 variance explained: 8.42%.
| Ticker | PC1 loading | PC2 loading |
| --- | --- | --- |
| NEE | 0.30 | 0.04 |
| DUK | 0.37 | -0.26 |
| SO | 0.37 | -0.25 |
| D | 0.34 | -0.08 |
| AEP | 0.35 | -0.28 |
| EXC | 0.34 | -0.20 |
| XEL | 0.33 | 0.05 |
| SRE | 0.28 | 0.67 |
| PEG | 0.30 | 0.54 |

## Pair check

| Pair | Cointegrated? | OLS hedge ratio | R-squared | Spread z-score |
| --- | --- | --- | --- | --- |
|  | No pair check stored for this cluster. |  |  |  |

## Provenance

lmfin: lmfin 0.1.0. PCA command: lmfin factors NEE DUK SO D AEP EXC XEL SRE PEG --window 3y --end 2026-06-30 --json. Price source: yahoo; price field: adjusted_close; window start: 2023-07-03; window end: 2026-06-30. Performance, PCA, and pair statistics are lmfin computations from Yahoo adjusted-close data over the pinned window. Descriptive data, not advice. Pack hash: 9d19e1a6fdd33456ebf362a7b3c20ca031d1cda402143d54b82ceb342cb17933.