SPHQ vs QUAL: returns, Sharpe ratio and drawdown

Over the past year, QUAL returned +14.99% against +13.11% for SPHQ. Over five years, SPHQ averaged +10.34% a year, compared with +9.72% for QUAL. QUAL had the higher Sharpe ratio over the past year (0.87 vs 0.62), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.23% for QUAL and -9.24% for SPHQ.