SPYD vs VYM: returns, Sharpe ratio and drawdown

Over the past year, SPYD returned +22.37% against +18.84% for VYM. Over five years, VYM averaged +11.20% a year, compared with +8.54% for SPYD. SPYD had the higher Sharpe ratio over the past year (1.38 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 -9.83% for SPYD. Dividends over the past year came to 4.12% of SPYD's price, against 2.26% for VYM. Their daily returns had a correlation of 0.65 over the past year, which is moderate.

SPYD charges 0.07% a year and VYM 0.04%. Over five years, reinvested dividends added 4.70 points a year to SPYD's return and 3.14 to VYM's.