SCHG vs VUG: returns, Sharpe ratio and drawdown

Over the past year, VUG returned +17.30% against +16.97% for SCHG. Over five years, SCHG averaged +13.81% a year, compared with +12.87% for VUG. SCHG had the higher Sharpe ratio over the past year (0.77 vs 0.74), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -16.59% for SCHG and -16.71% for VUG.