CDW vs MSI: returns, Sharpe ratio and drawdown

Over the past year, MSI returned -2.30% against -7.85% for CDW. Over five years, MSI averaged +13.31% a year, compared with -4.69% for CDW. CDW had the higher Sharpe ratio over the past year (-0.04 vs -0.13), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -21.01% for MSI and -37.69% for CDW.