ZROZ vs TMF: returns, Sharpe ratio and drawdown

Over the past year, ZROZ returned -19.33% against -35.30% for TMF. Over five years, ZROZ averaged -18.00% a year, compared with -37.14% for TMF. ZROZ had the higher Sharpe ratio over the past year (-1.55 vs -1.62), meaning more return for each unit of volatility. The worst peak-to-trough drop over the past year was -25.67% for ZROZ and -42.93% for TMF.