US fixed income exchange-traded and closed-end funds, closing price calculations, January 17th

Full sample Sharpe Sortino S&P 500 correlation
Ticker Start GM SD DD Skew Kurtosis MD Sharpe Sortino 5yr 10yr 15yr 5yr 10yr 15yr 1yr 3yr 5yr
AGG2003-09-303.984.633.32-2.87297.512.840.5410.7540.540.910.540.781.320.75-0.29-0.216-0.205
BHK2001-11-297.2513.019.34-0.37520.730.70.430.60.760.770.441.111.090.62-0.0870.0450.077
BIV2007-04-115.125.733.99-0.32314.413.630.7111.020.50.880.721.26-0.351-0.286-0.262
BLW2003-07-306.8514.7610.56-0.04225.244.580.3540.4950.920.670.351.340.920.480.3450.3680.406
BND2007-04-114.214.43.020.16627.59.310.7271.060.570.90.831.29-0.345-0.256-0.237
BNDX2013-06-054.12.811.92-0.3062.23.891.1241.6440.871.26-0.228-0.167-0.133
BOND2012-03-024.383.312.29-0.3682.26.171.0711.5450.620.89-0.22-0.165-0.159
BSV2007-04-112.773.062.17-1.82871.27.020.5940.8350.490.860.761.28-0.393-0.365-0.318
BTZ2006-12-264.1122.2515.243.385126.474.630.1360.1980.930.941.351.320.1810.2910.3
DBL2012-01-306.212.769.17-0.3932.321.290.4140.5760.280.380.0230.1890.12
DMO2010-02-2512.9413.659.76-0.5345.619.030.8451.1830.630.880.1980.2440.231
EDF2010-12-286.3118.6513.71-0.4932.745.780.2930.3980.630.860.3830.3760.414
EDI2012-10-311.9418.4713.62-0.4844.349.00.0610.0820.450.610.370.3810.413
EGF2005-10-282.6310.757.610.02713.021.430.1190.1680.20.220.280.3-0.0590.0850.063
EMB2007-12-206.1510.37.52-1.5943.634.70.5130.7020.760.781.071.10.4330.40.411
GOF2007-07-3010.7120.9515.51-1.17829.154.680.4460.6030.60.740.810.990.2890.350.337
HYG2007-04-125.4711.458.070.43442.734.250.3850.5470.670.730.991.050.8190.7630.71
IEF2002-07-314.956.544.51-0.0072.310.40.5270.7640.230.610.490.340.880.71-0.457-0.395-0.37
IGSB2007-01-122.913.962.85-1.355280.311.470.4720.6561.131.091.871.63-0.242-0.167-0.091
JNK2007-12-055.4812.359.0-1.54284.638.480.3750.5150.620.710.911.00.8060.7340.701
LQD2002-07-315.997.515.41-1.11892.121.540.590.8190.70.980.490.991.380.68-0.0390.018-0.031
MBB2007-03-193.643.342.270.0246.94.920.7891.1610.490.830.71.2-0.228-0.199-0.202
MCI1990-01-0212.721.8514.840.837.057.080.4170.6140.40.490.290.60.740.430.1240.0560.076
MFM1990-01-025.817.4612.49-0.49325.754.240.160.2240.510.450.240.740.630.33-0.062-0.0240.007
MINT2009-11-181.510.560.36-0.425.51.091.6132.462.051.63.542.44-0.13-0.142-0.121
MPV1990-01-0211.8523.8716.021.63253.649.930.350.5210.620.520.290.920.780.440.0120.0280.066
MSD1993-07-197.9920.9815.35-0.71125.952.670.2460.3360.740.50.351.020.670.490.3880.3390.431
OIA1990-01-025.8117.112.13-0.07429.155.210.1640.2310.580.650.280.830.920.39-0.0260.0330.055
PCN2001-12-2012.3324.2317.350.86483.261.140.4220.590.870.770.41.171.040.560.3150.3510.341
PCQ2001-06-287.7216.8412.45-1.69550.056.330.3560.4820.670.760.380.941.070.51-0.1390.0390.038
PDI2012-05-2916.7911.948.66-0.8095.917.821.2361.7051.081.450.3570.3880.402
PFL2003-08-287.1921.4815.74-0.75131.177.350.2590.3530.890.680.241.240.930.320.3160.2820.358
PFN2004-10-286.220.1714.83-0.84125.879.790.2280.311.020.750.241.421.040.320.3310.3130.346
PMF2001-06-286.7517.9412.830.70255.060.210.2840.3970.450.60.270.60.80.38-0.0770.0830.071
PML2002-06-276.7217.4513.54-5.062165.764.340.2930.3780.90.80.281.261.120.36-0.0940.0720.05
PMX2002-10-305.7317.312.60.068108.664.290.2420.3320.640.620.220.90.850.310.021-0.0090.008
PNF2001-06-285.4117.5112.151.81385.065.860.2190.3150.630.610.220.90.870.32-0.0640.070.055
PTY2002-12-2713.5122.9316.77-0.38434.361.450.4920.6730.910.760.431.251.050.590.2750.3550.356
RCS1994-03-218.619.8814.41-0.40110.734.970.2890.3980.420.460.30.560.620.410.1390.2810.282
TIP2003-12-083.975.954.110.0497.214.390.4190.6050.260.50.380.370.720.55-0.182-0.206-0.16
TLT2002-07-316.7613.39.33-0.071.926.590.3870.5520.150.470.350.210.670.5-0.435-0.333-0.34
VBF1990-01-026.5613.339.38-0.19715.726.460.2630.3730.560.50.380.790.710.540.0380.0620.071

Closing prices are dividend and split-adjusted. Keep in mind, historical performance is a poor predictor of future returns. You should consult your investment advisor before making any investments. † Pearson correlations based on daily returns

GM: geometric return
SD: standard deviation
DD: downside deviation
MD: maximum drawdown