EEM vs VWO: returns, Sharpe ratio and drawdown

Over the past year, EEM returned +28.61% against +13.74% for VWO. Over five years, EEM averaged +5.18% a year, compared with +2.91% for VWO. EEM had the higher Sharpe ratio over the past year (0.96 vs 0.57), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.17% for VWO and -14.24% for EEM.