GS vs JPM: returns, Sharpe ratio and drawdown

Over the past year, GS returned +17.13% against +10.67% for JPM. Over five years, GS averaged +17.18% a year, compared with +14.90% for JPM. GS had the higher Sharpe ratio over the past year (0.52 vs 0.37), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.47% for JPM and -23.39% for GS.