US fixed income exchange-traded and closed-end funds, closing price calculations, February 20th

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
AGG2003-09-303.664.73.38-2.90297.212.840.4770.6620.530.840.470.761.210.65-0.162-0.158-0.211
BHK2001-11-296.613.269.53-0.36420.130.70.3790.5270.660.770.390.951.080.550.0150.0890.09
BIV2007-04-114.635.844.08-0.31914.313.630.6330.9050.460.80.651.16-0.294-0.233-0.268
BLW2003-07-305.9715.110.82-0.03224.244.580.2940.4110.410.710.290.590.990.410.4060.4180.398
BND2007-04-113.694.473.080.18227.79.310.6260.9080.480.810.691.18-0.215-0.195-0.241
BNDX2013-06-053.572.81.92-0.3032.53.891.0151.4771.141.68-0.154-0.106-0.126
BOND2012-03-023.733.412.39-0.4042.46.170.9061.290.690.99-0.132-0.089-0.183
BSV2007-04-112.543.142.24-1.80668.57.020.5350.7490.280.80.411.22-0.38-0.314-0.305
BTZ2006-12-262.523.0115.783.302118.774.630.0670.0970.61.110.851.640.3890.3140.327
DBL2012-01-305.1513.29.54-0.3922.121.290.3380.4670.380.530.2890.1410.134
DMO2010-02-2512.9513.839.87-0.5285.719.030.8471.1860.741.050.2220.2140.227
EDF2010-12-284.7818.6913.77-0.4912.645.780.2230.3030.430.580.3820.390.424
EDI2012-10-311.2518.5913.8-0.5424.549.00.0340.0460.30.40.4290.4040.416
EGF2005-10-282.5410.987.770.03312.621.430.1130.160.30.270.430.390.1280.1050.072
EMB2007-12-205.6710.597.75-1.56641.934.70.4660.6370.640.980.921.440.4220.3920.409
GOF2007-07-3011.3221.5815.98-1.16527.754.680.4640.6260.711.130.961.580.4350.3490.33
HYG2007-04-125.211.838.340.42940.234.250.3580.5090.440.920.641.330.8080.7090.698
IEF2002-07-314.726.594.55-0.0032.310.40.4940.7150.340.440.430.490.630.63-0.425-0.354-0.376
IGSB2007-01-122.694.082.94-1.321266.411.470.4260.590.741.041.151.53-0.077-0.078-0.051
JNK2007-12-055.2212.799.32-1.49579.238.480.3520.4820.371.020.541.470.7780.6810.684
LQD2002-07-315.467.625.51-1.11591.421.540.5210.7210.550.930.410.761.320.570.140.043-0.051
MBB2007-03-193.453.432.330.0366.64.920.741.0870.570.870.811.24-0.198-0.185-0.225
MCI1990-01-0212.6622.014.960.80237.057.080.4110.6050.430.590.340.630.860.50.0190.0390.067
MFM1990-01-025.617.6812.65-0.48825.154.240.1460.2040.540.70.220.780.990.3-0.035-0.0090.005
MINT2009-11-181.360.580.38-0.3695.01.091.5312.3191.532.43-0.122-0.103-0.128
MPV1990-01-0211.8224.0416.141.64553.749.930.3450.5140.60.530.330.890.780.490.0640.0460.07
OIA2018-01-170.611.447.760.3061.513.04-0.114-0.168-0.003
PCN2001-12-2011.3524.6417.630.88581.761.140.3810.5320.580.850.360.771.160.510.440.3470.33
PCQ2001-06-287.2417.0612.64-1.71349.856.330.3280.4420.820.860.361.141.220.480.1230.1010.053
PDI2012-05-2916.8712.278.91-0.8185.917.821.2231.6831.041.40.4670.3950.388
PFL2003-10-106.6722.0716.17-0.72629.577.350.2310.3160.780.870.231.081.160.320.3240.3320.342
PFN2018-01-1710.1811.227.99-0.353.913.860.6950.9760.36
PMF2001-06-286.0718.2313.050.71354.160.210.2460.3440.470.630.250.630.840.340.2640.10.078
PML2002-06-276.1517.7613.8-5.05162.564.340.260.3350.940.90.261.311.280.330.1090.1070.047
PMX2002-10-305.5117.612.820.079107.164.290.2280.3130.740.780.231.061.10.32-0.0640.004-0.009
PNF2001-06-285.1817.712.281.85185.665.860.2060.2970.830.760.211.221.090.310.1330.1030.072
PTY2002-12-2712.7423.4317.12-0.36533.161.450.4540.6220.550.880.420.751.240.570.4180.3650.332
RCS1994-10-2810.1119.8414.34-0.36911.034.970.360.4980.510.680.340.690.940.470.4380.3280.3
TIP2003-12-083.726.054.190.0547.114.390.3790.5470.170.530.360.250.780.52-0.242-0.139-0.188
TLT2002-07-316.2113.359.38-0.0682.026.590.350.4980.380.290.320.540.410.46-0.351-0.284-0.349
VBF1990-01-026.2213.389.43-0.19515.926.460.2360.3350.510.550.340.720.770.480.0560.070.086
WEA2002-03-287.9520.4414.460.45248.457.750.3080.4350.320.760.280.471.10.40.0910.1480.186

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