US fixed income exchange-traded and closed-end funds, closing price calculations, November 29th

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
AGG2003-09-303.984.643.33-2.87597.312.840.540.7510.630.870.560.911.260.77-0.299-0.201-0.216
BHK2001-11-297.1713.059.37-0.37320.630.70.4230.590.780.770.451.131.090.64-0.0830.0440.075
BIV2007-04-115.125.744.0-0.32414.313.630.711.0190.580.850.841.21-0.361-0.269-0.275
BLW2003-07-306.5614.8110.6-0.0425.144.580.3360.4690.780.670.331.140.920.460.4220.3590.406
BND2007-04-114.214.413.030.16527.59.310.7281.060.660.870.961.25-0.348-0.242-0.249
BNDX2013-06-054.172.811.92-0.3132.33.891.1511.6831.011.47-0.213-0.156-0.133
BOND2012-03-024.383.322.3-0.3762.36.171.0711.5420.721.04-0.273-0.15-0.173
BSV2007-04-112.773.072.18-1.82470.77.020.5940.8340.520.820.791.22-0.413-0.348-0.325
BTZ2006-12-263.6622.3615.323.375125.374.630.1160.1690.80.971.151.360.3270.2950.313
DBL2012-01-305.9512.829.22-0.3912.321.290.3940.5480.310.420.1040.1790.121
DMO2010-02-2512.9313.699.78-0.5345.619.030.8441.180.660.930.1770.2350.234
EDF2010-12-285.6318.7413.79-0.4892.745.780.2580.350.420.580.4180.3840.431
EDI2012-10-311.0318.5713.72-0.4824.249.00.0130.0180.230.310.4380.3820.428
EGF2005-10-282.5310.787.630.0313.021.430.1110.1560.20.20.280.270.0720.0890.065
EMB2007-12-205.9210.357.56-1.58143.234.70.490.670.580.740.821.040.4050.4010.427
GOF2007-07-3011.1121.0415.57-1.1828.954.680.4620.6250.610.830.821.110.4110.360.344
HYG2007-04-125.3411.518.110.43442.334.250.3720.5280.570.760.851.090.8350.7610.714
IEF2002-07-314.996.544.51-0.0092.310.40.5320.7710.370.570.510.530.820.74-0.481-0.383-0.385
IGSB2007-01-122.883.972.86-1.35278.111.470.4660.6461.051.071.711.59-0.189-0.158-0.098
JNK2007-12-055.3812.419.05-1.53383.738.480.3660.5020.520.760.761.080.8210.7330.704
LQD2002-07-315.967.535.43-1.11891.921.540.5850.8110.750.950.51.051.330.690.0150.029-0.04
MBB2007-03-193.643.362.280.0246.84.920.7871.1560.510.810.731.16-0.303-0.188-0.214
MCI1990-01-0212.821.8814.860.79837.057.080.420.6180.50.540.320.740.810.470.0770.0440.077
MFM1990-01-025.7617.512.51-0.49225.654.240.1570.2190.550.470.230.790.670.32-0.071-0.0120.005
MINT2009-11-181.490.560.37-0.4125.41.091.5892.4221.821.563.012.38-0.043-0.147-0.13
MPV1990-01-0211.923.9116.051.63153.549.930.3510.5230.640.580.310.950.860.460.0210.0250.068
MSD1993-07-197.8921.0315.39-0.70925.852.670.2410.3290.580.490.350.790.660.490.370.3380.448
OIA1990-01-025.7317.1312.15-0.07329.155.210.1590.2240.570.640.290.830.910.41-0.0340.0340.053
PCN2001-12-2012.1624.317.40.86482.861.140.4150.5790.780.80.41.041.070.560.4050.3510.346
PCQ2001-06-288.0316.8612.46-1.750.156.330.3730.5050.890.810.411.271.140.55-0.0440.0470.039
PDI2012-05-2916.9712.038.72-0.8085.817.821.241.711.021.370.4620.3940.407
PFL2003-08-286.9321.5615.8-0.74630.977.350.2460.3360.770.740.241.061.020.320.330.2850.366
PFN2004-10-285.9620.2514.9-0.83625.579.790.2160.2940.880.780.221.231.080.30.3310.3140.358
PMF2001-06-286.7417.9912.870.70154.860.210.2830.3950.50.610.290.670.820.4-0.0250.0930.071
PML2002-06-276.817.513.58-5.057165.064.340.2970.3831.010.850.31.411.190.39-0.0950.0740.043
PMX2002-10-305.8517.3612.640.066108.264.290.2480.3410.740.650.251.050.90.35-0.066-0.0060.001
PNF2001-06-285.8217.5412.161.81685.165.860.240.3470.820.710.261.191.010.380.0130.080.059
PTY2002-12-2713.2223.0216.83-0.38134.061.450.4790.6560.70.780.430.941.090.590.3770.3510.359
RCS1994-03-218.6119.9114.44-0.40110.734.970.2880.3970.360.510.340.480.690.460.2590.2880.285
TIP2003-12-083.955.964.130.0487.214.390.4150.60.270.470.390.390.670.56-0.209-0.195-0.172
TLT2002-07-316.913.39.34-0.0741.926.590.3970.5660.350.450.390.490.640.55-0.46-0.322-0.356
VBF1990-01-026.5313.319.37-0.19315.926.460.2610.3710.610.470.390.870.670.560.0130.0670.075

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