VNQ vs VTI: returns, Sharpe ratio and drawdown

Over the past year, VTI returned +14.79% against +0.09% for VNQ. Over five years, VTI averaged +10.50% a year, compared with -3.44% for VNQ. VTI had the higher Sharpe ratio over the past year (0.78 vs -0.25), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -9.20% for VTI and -12.14% for VNQ.