US fixed income exchange-traded and closed-end funds, closing price calculations, July 2nd

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
AGG2003-09-304.224.993.65-3.11885.212.840.5540.7560.660.740.570.871.00.770.1040.048-0.006
BHK2001-11-297.513.59.66-0.30219.830.70.4330.6050.760.650.431.110.930.610.4110.3290.274
BIV2007-04-115.515.884.12-0.39714.413.630.7571.0810.80.841.141.19-0.07-0.124-0.161
BLW2003-07-305.8616.7212.44-1.49945.544.580.2590.3480.280.360.270.350.470.360.6360.5840.559
BND2007-04-114.524.993.54-1.06657.49.310.7030.9930.650.710.870.970.1840.1060.043
BNDX2013-06-054.113.152.31-2.03222.65.891.0151.381.021.360.2250.1330.064
BOND2012-03-024.634.163.12-3.02651.110.880.9121.2160.680.880.2460.1710.101
BSV2007-04-112.983.152.22-1.52165.77.020.6440.9120.690.791.061.2-0.007-0.087-0.133
BTZ2006-12-263.7222.9215.82.965110.174.630.1160.1680.510.670.710.940.6480.5880.532
DBL2012-01-305.0416.1212.16-2.39862.226.450.260.3450.160.210.5690.4970.393
DMO2010-02-258.8919.8815.74-5.228127.849.160.3970.5020.070.40.090.510.4850.4290.394
EDF2010-12-28-0.2129.1423.26-3.80272.363.78-0.03-0.037-0.02-0.020.6660.6080.584
EDI2012-10-31-3.1930.024.28-5.308114.864.5-0.134-0.1660.020.020.5810.5430.526
EGF2005-10-282.5811.428.15-0.25917.121.430.1110.1550.180.170.250.230.3360.2710.23
EMB2007-12-205.6911.448.69-2.53345.834.70.4240.5580.370.530.450.680.6620.6130.581
GOF2007-07-3010.1923.4617.85-2.45653.354.680.3790.4980.330.510.410.640.5360.4980.471
HYG2007-04-124.9112.178.610.3335.934.250.3190.4510.280.560.390.790.8330.8120.786
IEF2002-07-315.396.644.560.0222.910.40.5840.8510.660.620.560.980.90.83-0.522-0.481-0.448
IGSB2007-01-123.054.523.3-1.462187.413.380.4470.6120.450.560.60.750.3280.2670.235
JNK2007-12-054.8513.029.51-1.31968.838.480.310.4250.230.540.320.750.8350.8070.784
LQD2002-07-316.28.365.98-0.60375.521.760.5560.7770.610.710.480.891.020.670.3060.2660.207
MBB2007-03-193.773.582.45-0.09727.44.920.7751.1320.570.690.820.990.3040.1740.087
MCI1990-01-0211.8523.4416.150.59445.157.080.3580.5190.10.310.220.140.440.310.5080.420.357
MFM1990-01-025.2918.013.08-0.88328.154.240.130.1790.230.280.150.290.360.20.5350.4020.315
MINT2009-11-181.520.970.76-6.275183.44.620.931.1790.660.90.81.140.370.3060.255
MPV1990-01-0210.6625.7917.890.37766.054.020.2840.4090.190.270.190.250.360.270.3860.3230.282
MSD1993-07-197.4921.6416.02-0.99727.452.670.2190.2950.260.320.270.330.410.360.6090.5540.546
OIA1990-01-025.4117.5912.65-0.43231.155.210.140.1940.350.430.210.450.570.280.570.4420.351
PCN2001-12-2010.9826.719.62-0.24870.361.140.3380.4610.380.440.320.480.560.430.6920.6210.578
PCQ2001-06-286.6317.813.32-1.78544.556.330.2810.3760.380.450.270.50.610.360.5570.4330.362
PDI2012-05-2912.4219.0514.88-2.92646.946.470.5750.7360.350.440.7690.6950.649
PFL2003-08-286.0723.9518.1-1.96849.977.350.1890.250.30.420.20.370.530.270.6170.5470.534
PFN2004-10-285.0322.7417.25-2.00845.879.790.1550.2040.320.420.180.390.540.240.630.5660.539
PMF2001-06-286.0318.7713.60.30450.960.210.2370.3260.240.350.20.310.450.270.5140.4430.342
PML2002-06-275.918.6914.62-4.766135.164.340.2330.2980.460.490.20.580.650.260.5410.4590.38
PMX2002-10-305.2218.2513.5-0.50294.164.290.2040.2760.390.430.170.50.570.230.5310.4090.333
PNF2001-06-284.618.513.071.22374.465.860.1660.2360.30.380.140.40.520.190.520.4280.35
PTY2002-12-2711.9825.4119.0-1.12835.961.450.3920.5240.410.420.330.530.550.440.6690.6060.573
RCS1994-03-217.2721.7115.82-0.36917.946.690.2090.2870.10.220.190.130.290.250.6880.60.541
TIP2003-12-084.226.234.310.13711.214.390.4420.640.460.50.410.670.720.59-0.086-0.112-0.112
TLT2002-07-317.6513.939.72-0.0214.726.590.4310.6180.550.470.390.80.670.56-0.5-0.451-0.429
VBF1990-01-026.513.699.71-0.35215.826.460.2550.3590.510.430.360.680.580.50.4910.3890.321

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