AJG vs MRSH: returns, Sharpe ratio and drawdown

Over the past year, MRSH returned -14.24% against -22.56% for AJG. Over five years, AJG averaged +7.54% a year, compared with +1.75% for MRSH. MRSH had the higher Sharpe ratio over the past year (-0.63 vs -0.79), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -24.01% for MRSH and -36.79% for AJG.