SDY vs VYM: returns, Sharpe ratio and drawdown

Over the past year, SDY returned +22.29% against +18.84% for VYM. Over five years, VYM averaged +11.20% a year, compared with +8.10% for SDY. SDY had the higher Sharpe ratio over the past year (1.47 vs 1.31), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.69% for VYM and -7.67% for SDY. Dividends over the past year came to 2.31% of SDY's price, against 2.26% for VYM. Their daily returns had a correlation of 0.72 over the past year, which is high.

SDY charges 0.35% a year and VYM 0.04%. Over five years, reinvested dividends added 2.80 points a year to SDY's return and 3.14 to VYM's.