JNUG vs GDXJ: returns, Sharpe ratio and drawdown

Over the past year, GDXJ returned +24.33% against +4.50% for JNUG. Over five years, GDXJ averaged +22.22% a year, compared with +16.20% for JNUG. GDXJ had the higher Sharpe ratio over the past year (0.61 vs 0.58), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -41.32% for GDXJ and -71.36% for JNUG. Dividends over the past year came to 2.50% of JNUG's price, against 2.34% for GDXJ. Their daily returns had a correlation of 1.00 over the past year, which is very high.

JNUG charges 1.03% a year and GDXJ 0.52%. Over five years, reinvested dividends added 1.70 points a year to JNUG's return and 1.92 to GDXJ's.