GS vs JEF: returns, Sharpe ratio and drawdown

Over the past year, GS returned +15.45% against -17.10% for JEF. Over five years, GS averaged +16.46% a year, compared with +1.76% for JEF. GS had the higher Sharpe ratio over the past year (0.47 vs -0.39), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -23.73% for GS and -45.64% for JEF.