SPYV vs SPYD: returns, Sharpe ratio and drawdown

Over the past year, SPYD returned +22.37% against +17.60% for SPYV. Over five years, SPYV averaged +11.40% a year, compared with +8.54% for SPYD. SPYD had the higher Sharpe ratio over the past year (1.38 vs 1.27), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -6.22% for SPYV and -9.83% for SPYD. Dividends over the past year came to 4.12% of SPYD's price, against 1.64% for SPYV. Their daily returns had a correlation of 0.71 over the past year, which is high.

SPYV charges 0.04% a year and SPYD 0.07%. Over five years, reinvested dividends added 2.24 points a year to SPYV's return and 4.70 to SPYD's.