MKSI vs MTSI: returns, Sharpe ratio and drawdown

Over the past year, MTSI returned +86.87% against +51.74% for MKSI. Over five years, MTSI averaged +30.53% a year, compared with +7.49% for MKSI. MTSI had the higher Sharpe ratio over the past year (1.25 vs 0.92), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -44.17% for MTSI and -51.70% for MKSI.