CBRE vs CSGP: returns, Sharpe ratio and drawdown

Over the past year, CBRE returned -14.02% against -61.55% for CSGP. Over five years, CBRE averaged +5.27% a year, compared with -20.54% for CSGP. CBRE had the higher Sharpe ratio over the past year (-0.43 vs -2.02), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -27.37% for CBRE and -65.55% for CSGP.