FOX vs SPY: returns, Sharpe ratio and drawdown

Over the past year, SPY returned +15.31% against +8.18% for FOX. Over five years, SPY averaged +11.69% a year, compared with +7.91% for FOX. SPY had the higher Sharpe ratio over the past year (0.83 vs 0.27), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -34.49% for FOX.