HD vs XLY: returns, Sharpe ratio and drawdown

Over the past year, XLY returned -5.02% against -21.77% for HD. Over five years, XLY averaged +3.41% a year, compared with -3.36% for HD. XLY had the higher Sharpe ratio over the past year (-0.40 vs -1.00), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.15% for XLY and -28.26% for HD.