HYG vs SJNK: returns, Sharpe ratio and drawdown

Over the past year, HYG returned -4.97% against -5.42% for SJNK. Over five years, HYG averaged -2.45% a year, compared with -2.50% for SJNK. HYG had the higher Sharpe ratio over the past year (-2.26 vs -2.73), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -5.50% for HYG and -5.83% for SJNK.