The evaluation of financial risk is essential in corporate management and investment decisions, especially in ever-changing financial markets. This study focuses on the comparative analysis of financial risk in companies within the same sector. In an uncertain global scenario with economic crises, understanding financial risk is vital for investors and managers. The analysis compares indicators such as EWMA, standard deviation, Sharpe ratio, Treynor ratio, coefficient of variation and drawdown to assess volatility and the balance between risk and return. This analysis aims to identify which companies are more financially stable and have a higher potential for risk-adjusted returns. The study contributes to more informed decisions in a challenging financial environment.