KLAC vs MPWR: returns, Sharpe ratio and drawdown

Over the past year, KLAC returned +86.74% against +39.88% for MPWR. Over five years, KLAC averaged +43.13% a year, compared with +23.35% for MPWR. KLAC had the higher Sharpe ratio over the past year (1.29 vs 0.81), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -32.39% for MPWR and -39.88% for KLAC.