SDY vs NOBL: returns, Sharpe ratio and drawdown

Over the past year, SDY returned +22.29% against +21.65% for NOBL. Over five years, SDY averaged +8.10% a year, compared with +7.07% for NOBL. SDY had the higher Sharpe ratio over the past year (1.47 vs 1.32), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.67% for SDY and -9.11% for NOBL. Dividends over the past year came to 2.31% of SDY's price, against 1.93% for NOBL. Their daily returns had a correlation of 0.97 over the past year, which is very high.

SDY charges 0.35% a year and NOBL 0.35%. Over five years, reinvested dividends added 2.80 points a year to SDY's return and 2.22 to NOBL's.