SMLF vs IJR: returns, Sharpe ratio and drawdown

Over the past year, IJR returned +21.71% against +17.98% for SMLF. Over five years, SMLF averaged +9.01% a year, compared with +4.95% for IJR. IJR had the higher Sharpe ratio over the past year (1.06 vs 0.83), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -8.71% for SMLF and -9.66% for IJR. Dividends over the past year came to 1.21% of IJR's price, against 0.98% for SMLF. Their daily returns had a correlation of 0.94 over the past year, which is very high.

SMLF charges 0.15% a year and IJR 0.06%. Over five years, reinvested dividends added 1.38 points a year to SMLF's return and 1.63 to IJR's.