GOVZ vs TMF: returns, Sharpe ratio and drawdown

Over the past year, GOVZ returned -8.91% against -22.73% for TMF. Over five years, GOVZ averaged -14.17% a year, compared with -34.53% for TMF. GOVZ had the higher Sharpe ratio over the past year (-0.74 vs -0.92), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -19.88% for GOVZ and -37.97% for TMF. Dividends over the past year came to 5.42% of GOVZ's price, against 4.62% for TMF. Their daily returns had a correlation of 0.98 over the past year, which is very high.

GOVZ charges 0.10% a year and TMF 0.90%. Over five years, reinvested dividends added 3.44 points a year to GOVZ's return and 1.80 to TMF's.