MDLZ vs MO: returns, Sharpe ratio and drawdown

Over the past year, MO returned +8.67% against -0.54% for MDLZ. Over five years, MO averaged +7.98% a year, compared with +0.17% for MDLZ. MO had the higher Sharpe ratio over the past year (0.28 vs -0.10), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -17.76% for MO and -17.99% for MDLZ.