DTE vs MDU: returns, Sharpe ratio and drawdown

Over the past year, MDU returned -1.96% against -9.48% for DTE. Over five years, MDU averaged +10.28% a year, compared with +2.75% for DTE. MDU had the higher Sharpe ratio over the past year (-0.23 vs -0.75), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.34% for MDU and -21.76% for DTE.