US fixed income exchange-traded and closed-end funds, closing price calculations, April 12th

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
AGG2003-09-303.724.693.37-2.997.412.840.4880.6770.530.880.50.761.260.7-0.189-0.164-0.208
BHK2001-11-296.7513.239.51-0.36520.130.70.390.5430.670.860.440.971.230.61-0.0050.0770.09
BIV2007-04-114.725.824.06-0.31914.313.630.6480.9270.490.850.711.22-0.313-0.239-0.267
BLW2003-07-306.1115.0410.77-0.03324.444.580.3040.4240.510.720.330.731.00.460.3980.4010.401
BND2007-04-113.764.463.070.18127.79.310.6370.9250.50.830.711.19-0.242-0.203-0.239
BNDX2013-06-053.722.781.91-0.3042.53.891.0561.541.141.67-0.151-0.129-0.126
BOND2012-03-023.893.392.38-0.4082.46.170.9471.3510.731.05-0.162-0.096-0.178
BSV2007-04-112.583.132.23-1.81269.17.020.5430.7610.350.830.521.25-0.383-0.33-0.312
BTZ2006-12-262.8122.8815.693.317120.074.630.080.1160.61.120.851.60.3880.3010.324
DBL2012-01-305.4613.139.47-0.3892.121.290.3590.4980.430.590.2790.1560.131
DMO2010-02-2513.1613.779.83-0.535.819.030.8611.2070.781.10.2120.2110.227
EDF2010-12-285.4118.6413.72-0.4972.645.780.2540.3450.390.520.410.3980.433
EDI2012-10-311.8618.5213.72-0.5344.549.00.0640.0870.280.380.4510.4030.419
EGF2005-10-282.4710.987.770.03412.521.430.1070.1510.240.290.340.40.0920.0960.073
EMB2007-12-205.7810.547.7-1.57142.234.70.4760.6520.580.910.821.310.4010.3750.414
GOF2007-07-3011.4221.4715.9-1.16928.054.680.4690.6340.721.140.971.590.4370.3530.334
HYG2007-04-125.3611.768.290.42940.734.250.3720.5280.480.970.711.390.7960.7160.698
IEF2002-07-314.746.584.54-0.0032.310.40.4970.720.340.440.470.480.630.68-0.424-0.354-0.375
IGSB2007-01-122.784.062.93-1.33268.911.470.4450.6160.921.221.461.79-0.111-0.096-0.065
JNK2007-12-055.4112.719.27-1.50680.238.480.3660.5020.411.020.61.460.7680.6860.686
LQD2002-07-315.617.65.49-1.11891.821.540.5390.7460.581.030.450.821.470.620.0940.04-0.048
MBB2007-03-193.493.412.320.0336.64.920.751.1010.550.830.791.19-0.203-0.187-0.221
MCI1990-01-0212.5421.9914.950.80336.957.080.4070.5980.470.590.340.690.880.50.0250.0480.065
MFM1990-01-025.717.6512.62-0.48925.254.240.1510.2120.570.650.250.820.920.35-0.069-0.0040.004
MINT2009-11-181.40.570.38-0.3815.11.091.5562.361.582.54-0.078-0.097-0.136
MPV1990-01-0211.724.016.111.64753.849.930.3410.5090.640.620.310.960.930.470.1130.0550.066
OIA2017-11-035.6110.657.150.241.213.040.3290.49-0.011
PCN2001-12-2011.5524.5617.570.88682.361.140.3890.5440.670.960.390.91.320.550.4570.3530.33
PCQ2001-06-287.5217.012.59-1.71950.156.330.3430.4630.90.780.391.261.090.530.0990.1080.057
PDI2012-05-2917.0412.198.85-0.826.017.821.241.7081.021.370.5170.3920.399
PFL2003-10-106.8421.9816.1-0.7329.877.350.2390.3260.821.10.241.141.550.330.330.3150.345
PFN2017-11-036.829.967.06-0.3834.313.860.4670.6580.344
PMF2001-06-286.4118.1713.010.7154.460.210.2640.3690.550.610.280.720.80.390.2360.1030.079
PML2002-06-276.3217.713.75-5.063163.564.340.2690.3470.980.910.291.371.270.370.070.1090.05
PMX2002-10-305.7117.5512.780.075107.464.290.2390.3280.820.720.261.160.990.36-0.1090.0-0.014
PNF2001-06-285.2717.6512.251.8585.965.860.2110.3040.810.740.241.181.050.350.160.1030.072
PTY2002-12-2712.9523.3417.06-0.36833.361.450.4640.6340.640.980.440.861.360.60.4280.3580.334
RCS1994-10-289.8119.9214.44-0.42411.234.970.3450.4760.430.670.360.570.920.490.3640.3020.291
TIP2003-12-083.776.034.170.0547.214.390.3870.5590.170.530.380.240.750.55-0.219-0.155-0.18
TLT2002-07-316.2213.329.36-0.0682.026.590.3510.4990.330.30.340.460.420.49-0.346-0.276-0.343
VBF1990-01-026.2613.369.41-0.19415.926.460.240.340.520.520.360.730.720.50.0630.0760.088
WEA2002-03-288.220.3714.410.45248.757.750.320.4520.40.770.310.591.090.450.0660.140.19

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