PGR vs XLF: returns, Sharpe ratio and drawdown

Over the past year, XLF returned +1.71% against -9.68% for PGR. Over five years, PGR averaged +19.16% a year, compared with +6.56% for XLF. XLF had the higher Sharpe ratio over the past year (-0.12 vs -0.40), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -15.23% for XLF and -21.37% for PGR.