GS vs SPY: returns, Sharpe ratio and drawdown

Over the past year, SPY returned +19.23% against +17.13% for GS. Over five years, GS averaged +17.18% a year, compared with +11.83% for SPY. SPY had the higher Sharpe ratio over the past year (1.11 vs 0.52), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.13% for SPY and -23.39% for GS.