US fixed income exchange-traded and closed-end funds, closing price calculations, March 15th

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
AGG2003-09-303.684.693.38-2.90397.412.840.4810.6680.540.890.460.771.290.64-0.166-0.149-0.206
BHK2001-11-296.5813.259.53-0.36320.130.70.3780.5250.640.780.380.921.090.53-0.0140.0740.087
BIV2007-04-114.685.834.07-0.3214.313.630.6410.9170.480.870.681.27-0.304-0.228-0.264
BLW2003-07-306.0115.0710.8-0.03224.344.580.2970.4150.480.730.290.691.030.40.3930.4010.398
BND2007-04-113.724.463.080.18127.79.310.630.9150.490.860.71.24-0.231-0.187-0.237
BNDX2013-06-053.652.791.92-0.3032.53.891.0391.5141.131.66-0.166-0.116-0.126
BOND2012-03-023.83.42.39-0.4072.46.170.9251.3180.71.01-0.136-0.082-0.177
BSV2007-04-112.573.132.24-1.8168.97.020.5410.7590.320.870.471.34-0.392-0.31-0.302
BTZ2006-12-262.5922.9515.743.309119.374.630.070.1030.551.220.791.840.3870.3050.326
DBL2012-01-305.2413.159.5-0.3952.121.290.3440.4760.410.560.310.1520.132
DMO2010-02-2512.913.819.86-0.5285.719.030.8431.180.751.060.2310.220.227
EDF2010-12-284.7518.6713.76-0.4932.645.780.2210.2990.410.550.3870.3950.426
EDI2012-10-311.318.5913.78-0.5324.549.00.0350.0480.290.390.4280.4010.415
EGF2005-10-282.4810.997.780.03512.621.430.1080.1530.280.310.40.440.1210.0920.069
EMB2007-12-205.7510.577.73-1.5742.134.70.4730.6470.650.980.931.430.4080.3810.407
GOF2007-07-3011.2721.5315.94-1.16627.954.680.4620.6240.691.180.921.650.4350.3550.334
HYG2007-04-125.2411.88.310.42940.534.250.3620.5130.451.00.661.450.8110.7170.699
IEF2002-07-314.746.594.55-0.0032.310.40.4970.720.350.470.420.50.670.61-0.432-0.342-0.371
IGSB2007-01-122.744.072.94-1.326267.611.470.4360.6050.861.211.341.82-0.083-0.078-0.05
JNK2007-12-055.2612.759.3-1.49979.738.480.3550.4870.381.070.561.550.7770.6880.685
LQD2002-07-315.57.615.5-1.11691.721.540.5250.7270.571.050.40.81.50.550.1290.049-0.046
MBB2007-03-193.483.422.330.0346.64.920.7471.0980.580.860.831.23-0.202-0.174-0.22
MCI1990-01-0212.8322.0114.950.80336.957.080.4180.6150.540.70.350.81.050.510.0090.0460.063
MFM1990-01-025.6117.6612.63-0.48825.254.240.1460.2050.520.660.210.760.940.29-0.047-0.0010.004
MINT2009-11-181.380.580.38-0.3745.01.091.5452.3421.552.47-0.119-0.092-0.129
MPV1990-01-0211.6724.0316.131.64653.749.930.340.5060.610.630.310.90.950.470.0610.0490.068
OIA2018-01-170.9411.597.850.2951.213.04-0.086-0.127-0.019
PCN2001-12-2011.6324.617.60.88482.061.140.3910.5470.651.090.360.871.540.510.4430.350.329
PCQ2001-06-287.2917.0312.62-1.71549.956.330.3310.4460.840.770.351.181.080.470.110.1080.053
PDI2012-05-2917.3212.238.87-0.8226.017.821.2571.7321.071.430.4710.3890.389
PFL2003-10-106.7622.0316.14-0.72829.777.350.2350.3210.821.160.231.151.660.320.3260.3220.341
PFN2018-01-1710.8911.07.82-0.3644.113.860.7651.0760.364
PMF2001-06-286.2918.213.030.71254.360.210.2580.360.520.670.250.690.90.350.2470.1030.078
PML2002-06-276.2917.7413.78-5.055162.964.340.2680.3440.950.940.261.331.330.330.0950.1130.046
PMX2002-10-305.6317.5712.790.078107.364.290.2350.3230.720.780.231.021.080.31-0.0970.005-0.015
PNF2001-06-285.3317.6812.261.8585.765.860.2140.3090.840.810.211.231.160.310.1140.1030.068
PTY2002-12-2712.9223.3917.09-0.36733.261.450.4620.6320.581.090.420.791.550.570.4220.3560.331
RCS1994-10-2810.2319.8314.32-0.3711.034.970.3660.5060.540.780.350.731.090.470.440.3230.301
TIP2003-12-083.766.044.180.0537.114.390.3850.5560.170.580.330.240.850.48-0.249-0.135-0.182
TLT2002-07-316.1913.349.37-0.0682.026.590.3490.4960.360.320.310.50.450.44-0.353-0.271-0.344
VBF1990-01-026.1213.379.42-0.19415.926.460.230.3260.450.470.310.640.660.440.0380.0750.085
WEA2002-03-288.0320.414.440.45248.657.750.3120.4410.380.810.280.561.160.40.0820.1350.184

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