ZROZ vs BND: returns, Sharpe ratio and drawdown

Over the past year, BND returned -5.55% against -19.33% for ZROZ. Over five years, BND averaged -3.69% a year, compared with -18.00% for ZROZ. ZROZ had the higher Sharpe ratio over the past year (-1.55 vs -2.50), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -7.04% for BND and -25.67% for ZROZ.