GOVZ vs VGLT: returns, Sharpe ratio and drawdown

Over the past year, VGLT returned -3.31% against -8.91% for GOVZ. Over five years, VGLT averaged -6.81% a year, compared with -14.17% for GOVZ. GOVZ had the higher Sharpe ratio over the past year (-0.74 vs -0.77), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -11.39% for VGLT and -19.88% for GOVZ. Dividends over the past year came to 5.42% of GOVZ's price, against 4.80% for VGLT. Their daily returns had a correlation of 0.97 over the past year, which is very high.

GOVZ charges 0.10% a year and VGLT 0.03%. Over five years, reinvested dividends added 3.44 points a year to GOVZ's return and 3.39 to VGLT's.