US fixed income exchange-traded and closed-end funds, closing price calculations, August 16th

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
AGG2003-09-304.014.663.34-2.89297.712.840.5470.7620.730.970.561.061.410.77-0.219-0.153-0.211
BHK2001-11-297.2413.139.42-0.37120.430.70.4260.5940.810.80.461.191.140.640.0140.0680.083
BIV2007-04-115.175.774.02-0.32314.413.630.7181.0310.670.930.981.33-0.315-0.221-0.268
BLW2003-07-306.3114.9110.68-0.03724.844.580.3180.4430.580.680.320.840.940.450.4330.3870.411
BND2007-04-114.164.433.040.17427.79.310.721.0490.710.931.041.34-0.278-0.193-0.243
BNDX2013-06-054.592.771.88-0.2922.53.891.3311.9671.341.98-0.197-0.115-0.127
BOND2012-03-024.373.352.33-0.4172.56.171.0711.5370.821.2-0.197-0.118-0.176
BSV2007-04-112.763.12.2-1.81969.97.020.590.8290.570.90.881.34-0.355-0.308-0.313
BTZ2006-12-263.5822.5915.493.345122.874.630.1120.1630.790.981.141.380.3980.3130.324
DBL2012-01-305.7912.999.36-0.3922.221.290.3810.5290.420.580.2290.20.129
DMO2010-02-2513.3213.749.82-0.5395.719.030.8691.2160.721.010.2590.2290.233
EDF2010-12-285.5618.7513.82-0.512.745.780.2560.3480.280.380.4780.4040.441
EDI2012-10-310.9518.5813.8-0.5364.349.00.0110.0140.130.180.4930.4020.434
EGF2005-10-282.6510.867.680.03212.821.430.1210.1710.230.240.320.330.0490.0840.063
EMB2007-12-206.1210.437.62-1.5842.834.70.5070.6940.60.860.851.220.4890.3990.432
GOF2007-07-3011.5621.2115.7-1.17828.654.680.4790.6470.680.930.921.260.5160.3740.347
HYG2007-04-125.2711.638.20.43141.534.250.3650.5180.410.830.61.190.8280.730.711
IEF2002-07-315.166.554.51-0.0042.310.40.5570.8090.520.660.520.750.950.76-0.457-0.341-0.381
IGSB2007-01-122.884.012.89-1.341273.811.470.4650.6451.071.161.751.72-0.108-0.108-0.073
JNK2007-12-055.3212.559.15-1.51881.938.480.360.4930.340.840.491.20.8080.7010.697
LQD2002-07-316.017.565.45-1.12292.221.540.590.8180.781.020.51.111.450.690.1170.072-0.032
MBB2007-03-193.663.382.30.0266.74.920.7931.1670.620.920.891.33-0.209-0.17-0.212
MCI1990-01-0212.821.9314.910.79936.957.080.4180.6160.50.540.330.730.80.490.0710.0560.085
MFM1990-01-025.7817.5712.56-0.49125.454.240.1570.2190.580.530.240.840.750.33-0.064-0.0010.003
MINT2009-11-181.460.570.37-0.4015.31.091.5772.3991.692.75-0.073-0.135-0.132
MPV1990-01-0212.0623.9416.071.63853.749.930.3560.530.690.570.331.020.860.50.0770.0420.077
MSD1993-07-197.8121.1315.47-0.70625.552.670.2360.3220.420.590.370.580.790.510.4270.360.449
OIA1990-01-025.7617.1812.19-0.07329.055.210.1590.2250.60.680.310.870.980.430.0310.0730.055
PCN2001-12-2011.5224.4417.510.86782.261.140.3890.5430.620.840.380.821.130.530.4840.3610.338
PCQ2001-06-287.9216.9412.53-1.749.956.330.3660.4940.910.80.41.291.130.530.0630.090.052
PDI2012-05-2916.3112.188.83-0.7925.717.821.1831.6310.911.220.5270.4080.41
PFL2003-08-286.7821.7315.93-0.7430.477.350.2380.3250.710.710.230.980.960.310.4220.310.353
PFN2004-10-285.7620.4315.03-0.82925.179.790.2060.2790.780.831.081.150.3880.3340.35
PMF2001-06-286.5318.0512.910.71154.860.210.2710.3790.490.550.270.650.730.380.2110.1210.087
PML2002-06-276.9217.5813.64-5.068164.764.340.3020.3891.090.870.31.531.220.390.0790.1270.058
PMX2002-10-305.7517.4112.670.075108.864.290.2420.3330.770.650.251.10.890.34-0.0560.030.0
PNF2001-06-285.6117.5612.191.83686.165.860.230.3310.780.690.251.130.980.370.1330.1130.067
PTY2002-12-2712.923.216.97-0.37633.561.450.4640.6340.590.820.420.791.130.570.4770.3630.341
RCS1994-03-218.819.9614.48-0.40710.734.970.2960.4080.390.580.330.510.790.450.3890.3180.294
TIP2003-12-084.045.994.140.0487.214.390.430.6220.220.610.40.320.880.58-0.187-0.143-0.17
TLT2002-07-317.2413.299.3-0.0682.026.590.4220.6030.510.50.410.720.70.59-0.428-0.275-0.355
VBF1990-01-026.413.339.39-0.19615.926.460.250.3550.510.520.370.720.740.520.0510.0730.078

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