COF vs XLF: returns, Sharpe ratio and drawdown

Over the past year, XLF returned +1.71% against -5.38% for COF. Over five years, XLF averaged +6.56% a year, compared with +3.45% for COF. XLF had the higher Sharpe ratio over the past year (-0.12 vs -0.15), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -31.73% for COF.