US fixed income exchange-traded and closed-end funds, closing price calculations, June 25th

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
AGG2003-09-303.914.93.62-3.09686.212.840.5180.7010.390.640.620.50.860.830.1650.0780.051
BHK2001-11-297.6313.429.64-0.31819.430.70.450.6270.660.70.540.941.00.760.1310.3060.277
BIV2007-04-115.045.754.07-0.40114.813.630.7071.0010.460.740.631.030.19-0.065-0.082
BLW2003-07-307.1116.4312.22-1.50846.344.580.3390.4560.530.420.360.660.550.480.4480.5840.563
BND2007-04-114.114.893.49-1.0558.19.310.6510.9110.380.60.510.820.1270.1310.094
BNDX2013-06-053.583.12.3-1.90221.35.890.8951.2070.550.710.1430.1610.113
BOND2012-03-024.294.053.05-2.95351.210.880.8751.1610.620.790.190.1960.157
BSV2007-04-112.783.042.17-1.55369.87.020.620.870.50.690.751.020.249-0.033-0.068
BTZ2006-12-264.9122.2715.373.001115.374.630.1730.2510.680.730.941.030.2690.5690.534
DBL2012-01-305.9315.5511.69-2.39264.526.450.3280.4360.030.040.3320.5020.44
DMO2010-02-259.719.6215.41-4.969123.249.160.4430.5640.110.410.140.520.1530.4110.385
EDF2010-12-282.828.3922.62-3.78773.063.780.0760.0950.110.070.130.090.4340.6080.578
EDI2012-10-310.8628.9323.28-5.278118.064.50.0050.0060.170.210.4570.5450.522
EGF2005-10-282.5411.298.1-0.25616.721.430.1150.160.110.190.190.150.260.260.0280.2430.224
EMB2007-12-205.7111.198.5-2.51846.534.70.4390.5780.330.470.410.610.580.6250.589
GOF2007-07-3012.0822.9817.51-2.51954.554.680.4630.6080.640.560.80.70.2370.4870.462
HYG2007-04-125.3811.828.380.32837.734.250.3710.5240.60.550.840.770.7620.8140.795
IEF2002-07-314.826.544.540.0253.010.40.5210.7510.170.50.590.250.720.85-0.005-0.421-0.382
IGSB2007-01-122.964.373.21-1.501199.213.380.4580.6240.460.530.610.710.3630.2830.258
JNK2007-12-055.4712.629.22-1.35372.638.480.370.5070.620.540.860.760.7480.8120.789
LQD2002-07-315.938.275.94-0.59675.121.760.5390.7510.450.640.540.640.910.750.3240.2870.259
MBB2007-03-193.463.482.42-0.09228.94.920.7271.0480.310.590.440.830.2290.2180.146
MCI1990-01-0212.1123.316.090.60944.957.080.3740.5410.130.270.230.180.390.33-0.0130.3930.35
MFM1990-01-025.7817.8112.99-0.88728.554.240.1620.2230.220.410.230.270.540.320.2040.4080.355
MINT2009-11-181.460.930.74-6.481197.84.620.9561.2050.680.820.811.020.0620.3080.276
MPV1990-01-0210.8825.6917.860.37665.054.020.2960.4260.140.240.210.190.320.30.0690.3180.281
MSD1993-07-197.6921.3115.85-1.00928.252.670.2350.3160.340.320.330.420.410.440.3710.5530.528
OIA1990-01-025.8517.4112.59-0.43631.555.210.170.2350.260.540.230.340.730.320.190.4410.383
PCN2001-12-2011.6826.2319.3-0.26671.861.140.3710.5040.440.440.360.550.570.490.3850.6290.582
PCQ2001-06-287.4817.5713.16-1.77944.656.330.3340.4460.380.610.330.50.820.440.2290.4420.386
PDI2012-05-2914.0218.4614.4-2.93847.946.470.6740.8640.470.590.4610.70.654
PFL2003-08-287.823.4317.72-2.01151.777.350.2650.350.570.470.270.710.590.350.4320.5610.528
PFN2004-10-286.6822.2116.85-2.04847.679.790.2320.3060.570.510.250.70.650.320.4260.5720.543
PMF2001-06-286.4818.4713.390.29951.860.210.2670.3680.090.440.220.110.580.30.1850.4330.362
PML2002-06-276.4118.3614.36-4.775137.764.340.2670.3420.330.610.260.430.810.340.2530.4520.409
PMX2002-10-305.8717.9313.26-0.50395.764.290.2460.3330.280.530.240.370.710.330.2120.4040.357
PNF2001-06-285.1218.2412.891.21275.065.860.20.2830.140.490.190.180.670.270.2730.4330.384
PTY2002-12-2713.3724.9118.65-1.16437.161.450.4520.6030.630.450.410.80.580.540.4420.6120.573
RCS1994-03-218.0221.4815.68-0.37118.146.70.2480.3390.140.250.30.190.340.410.3050.5970.547
TIP2003-12-084.286.134.280.12711.414.390.4720.6760.540.470.530.780.670.760.189-0.057-0.063
TLT2002-07-316.5113.869.72-0.014.626.590.3610.5150.110.410.380.150.580.55-0.101-0.413-0.369
VBF1990-01-026.5913.619.73-0.34315.726.460.2690.3760.460.50.430.620.690.60.1430.3740.327

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