CGNX vs LRCX: returns, Sharpe ratio and drawdown

Over the past year, LRCX returned +83.23% against +14.12% for CGNX. Over five years, LRCX averaged +36.46% a year, compared with -9.28% for CGNX. LRCX had the higher Sharpe ratio over the past year (1.20 vs 0.42), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -28.02% for CGNX and -41.76% for LRCX.