US fixed income exchange-traded and closed-end funds, closing price calculations, June 14th

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
AGG2003-09-303.844.673.36-2.90597.912.840.5140.7140.630.950.560.91.370.77-0.214-0.166-0.209
BHK2001-11-296.8913.179.46-0.36820.330.70.4010.5580.650.820.470.941.160.66-0.010.070.087
BIV2007-04-114.945.794.04-0.32414.413.630.6820.9780.590.930.851.33-0.334-0.242-0.267
BLW2003-07-306.1514.9810.73-0.03624.644.580.3070.4290.460.70.340.660.970.470.4260.4010.407
BND2007-04-113.934.443.050.17627.89.310.6730.9790.590.90.861.29-0.275-0.205-0.24
BNDX2013-06-054.042.761.89-0.3182.53.891.1611.6981.211.78-0.172-0.123-0.123
BOND2012-03-024.113.362.35-0.4182.56.171.0051.4360.751.08-0.178-0.093-0.175
BSV2007-04-112.693.112.22-1.81969.67.020.5720.8030.510.930.781.4-0.39-0.332-0.313
BTZ2006-12-263.0922.7315.593.333121.574.630.0910.1330.620.990.891.380.3980.3170.327
DBL2012-01-305.9813.049.39-0.3862.221.290.3960.550.40.550.2720.1650.133
DMO2010-02-2513.4813.699.77-0.5365.819.030.8841.2390.731.030.2140.2120.229
EDF2010-12-285.4818.6913.74-0.4722.645.780.2550.3460.290.390.4540.3980.433
EDI2012-10-311.6418.513.7-0.5264.549.00.050.0680.180.240.4610.40.423
EGF2005-10-282.5110.927.730.03412.721.430.1090.1540.170.280.240.380.0770.0950.073
EMB2007-12-205.9210.487.65-1.57942.734.70.4890.670.560.890.81.260.4610.3890.425
GOF2007-07-3011.5921.3315.79-1.17628.354.680.4780.6460.71.020.941.40.4510.3550.335
HYG2007-04-125.2911.78.240.43141.134.250.3670.520.410.880.61.270.8140.7260.706
IEF2002-07-314.956.564.52-0.0062.310.40.5270.7650.450.610.520.660.870.76-0.459-0.358-0.376
IGSB2007-01-122.864.032.91-1.338271.511.470.4620.6411.091.111.761.61-0.115-0.105-0.069
JNK2007-12-055.3112.639.21-1.51281.138.480.3590.4920.330.880.481.260.7910.6970.694
LQD2002-07-315.737.575.46-1.12192.321.540.5550.7690.641.010.490.91.430.680.1090.052-0.042
MBB2007-03-193.593.42.310.0286.74.920.7761.140.590.910.841.32-0.222-0.185-0.218
MCI1990-01-0212.621.9714.930.80236.957.080.410.6030.470.540.330.690.80.490.0560.0610.073
MFM1990-01-025.7717.6112.59-0.4925.354.240.1560.2180.540.590.260.770.840.36-0.075-0.0050.001
MINT2009-11-181.430.570.37-0.3935.21.091.5722.3871.632.62-0.07-0.105-0.135
MPV1990-01-0211.8723.9616.091.64453.849.930.3480.5190.690.550.331.020.820.50.1350.0540.078
OIA2017-11-032.6510.877.580.0721.513.040.0570.0820.02
PCN2001-12-2011.8724.4517.490.88782.961.140.4020.5620.670.920.410.91.260.570.4820.3530.336
PCQ2001-06-287.8316.9712.56-1.70650.056.330.360.4870.930.890.421.321.260.560.0950.0990.057
PDI2012-05-2917.4112.158.81-0.8185.917.821.2661.7470.981.320.5330.40.404
PFL2003-10-107.0521.8616.01-0.73630.177.350.2490.340.780.910.241.091.260.330.3690.310.346
PFN2017-11-037.989.666.88-0.434.913.860.5890.8270.371
PMF2001-06-286.7218.1212.960.70854.560.210.280.3920.540.670.320.720.890.440.2240.0950.086
PML2002-06-276.7717.6413.69-5.068164.264.340.2930.3781.010.920.331.421.290.420.0440.1010.047
PMX2002-10-305.7417.4712.720.075108.264.290.2420.3320.750.710.281.060.980.38-0.106-0.001-0.008
PNF2001-06-285.3917.6212.231.83585.665.860.2170.3130.690.740.260.991.050.380.1330.0950.062
PTY2002-12-2713.4223.2516.98-0.37133.561.450.4830.6610.70.930.460.941.310.640.440.3570.335
RCS1994-10-289.8419.8914.41-0.42111.234.970.3470.4790.390.620.370.520.840.50.3670.3070.295
TIP2003-12-083.876.014.160.0517.214.390.4020.5810.170.580.410.240.830.59-0.225-0.155-0.178
TLT2002-07-316.6213.299.33-0.0722.026.590.3790.540.410.430.390.570.610.55-0.403-0.28-0.347
VBF1990-01-026.3213.349.39-0.19415.926.460.2450.3470.480.560.380.690.790.540.0830.0880.092

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