SPGM vs VXUS: returns, Sharpe ratio and drawdown

Over the past year, VXUS returned +15.06% against +14.57% for SPGM. Over five years, SPGM averaged +9.94% a year, compared with +8.02% for VXUS. SPGM had the higher Sharpe ratio over the past year (0.74 vs 0.67), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.50% for SPGM and -11.27% for VXUS. Dividends over the past year came to 2.39% of VXUS's price, against 1.81% for SPGM. Their daily returns had a correlation of 0.95 over the past year, which is very high.

SPGM charges 0.09% a year and VXUS 0.05%. Over five years, reinvested dividends added 2.28 points a year to SPGM's return and 3.25 to VXUS's.