US fixed income exchange-traded and closed-end funds, closing price calculations, July 19th

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
AGG2003-09-303.874.663.35-2.90497.912.840.5190.7210.620.910.550.891.320.76-0.18-0.134-0.2
BHK2001-11-297.0413.149.44-0.3720.430.70.4120.5730.720.80.461.051.130.640.0120.0740.094
BIV2007-04-114.975.784.03-0.32514.413.630.6870.9850.580.890.831.28-0.283-0.206-0.258
BLW2003-07-306.2614.9410.71-0.03724.744.580.3140.4380.520.680.340.750.930.480.430.3860.409
BND2007-04-113.974.433.050.17327.89.310.680.9880.590.870.851.25-0.236-0.175-0.231
BNDX2013-06-054.222.761.88-0.3072.53.891.2131.7831.221.8-0.144-0.091-0.116
BOND2012-03-024.193.352.34-0.422.56.171.0251.4670.771.12-0.147-0.094-0.169
BSV2007-04-112.693.12.21-1.81969.87.020.5710.8020.50.850.761.28-0.333-0.294-0.303
BTZ2006-12-263.3122.6515.533.342122.374.630.10.1470.691.030.991.440.4030.3170.331
DBL2012-01-306.1113.09.35-0.3822.221.290.4050.5630.450.630.2390.2030.132
DMO2010-02-2513.6613.689.75-0.5315.819.030.8951.2560.741.050.2030.2160.227
EDF2010-12-285.7818.6313.68-0.4732.645.780.270.3680.30.410.4460.3850.435
EDI2012-10-311.7718.4113.63-0.5284.549.00.0560.0760.180.240.4630.3850.426
EGF2005-10-282.5410.887.70.03312.821.430.1110.1570.220.240.310.340.090.1040.075
EMB2007-12-206.0810.457.63-1.57942.734.70.5030.6890.570.880.821.250.4580.380.429
GOF2007-07-3011.6421.2515.73-1.1828.654.680.4820.6510.720.980.971.330.4780.3520.337
HYG2007-04-125.3211.668.210.43141.334.250.3690.5240.450.850.671.220.8120.710.707
IEF2002-07-314.956.554.52-0.0072.310.40.5270.7640.420.590.510.60.850.74-0.414-0.319-0.369
IGSB2007-01-122.834.022.9-1.339272.911.470.4550.6311.011.091.631.58-0.08-0.095-0.061
JNK2007-12-055.3712.589.17-1.51681.638.480.3630.4980.380.870.561.240.7910.6810.694
LQD2002-07-315.827.565.46-1.1292.221.540.5660.7840.670.980.490.941.390.680.1380.075-0.031
MBB2007-03-193.633.392.310.0266.74.920.7861.1550.60.90.861.29-0.188-0.165-0.208
MCI1990-01-0212.5921.9514.920.80136.957.080.410.6030.470.530.330.690.790.490.0470.0520.074
MFM1990-01-025.7217.5812.58-0.4925.454.240.1540.2150.550.540.240.790.770.33-0.08-0.0020.001
MINT2009-11-181.450.570.37-0.45.21.091.5812.4031.672.7-0.051-0.123-0.134
MPV1990-01-0211.8223.9416.071.64453.949.930.3470.5170.660.550.330.980.830.50.1010.050.076
MSD1993-07-197.9421.1615.48-0.70625.552.670.2410.330.470.650.390.650.880.540.4020.3480.45
OIA1990-01-025.6917.212.2-0.07228.955.210.1550.2180.550.70.310.81.00.430.0220.0780.06
PCN2001-12-2011.7524.417.460.88883.161.140.3980.5570.70.910.40.941.240.550.4880.3530.337
PCQ2001-06-287.8216.9712.55-1.749.856.330.360.4870.910.830.41.281.180.550.0910.1040.06
PDI2012-05-2916.4312.168.82-0.7985.817.821.1941.6470.931.250.5270.4020.409
PFL2003-08-287.0821.7415.92-0.73830.577.350.2510.3430.80.890.251.111.230.330.3940.2940.35
PFN2004-10-286.0120.4315.02-0.82725.279.790.2170.2960.860.931.211.310.370.3220.349
PMF2001-06-286.518.0912.940.7154.660.210.2690.3770.490.590.280.650.780.40.2130.1250.09
PML2002-06-276.7217.6113.67-5.065164.464.340.2910.3751.030.860.311.451.190.390.0830.1290.059
PMX2002-10-305.7617.4412.690.075108.564.290.2430.3330.760.670.261.080.920.36-0.090.019-0.006
PNF2001-06-285.3317.5812.211.83785.965.860.2140.3090.680.670.250.980.950.360.1330.110.067
PTY2002-12-2713.2723.216.95-0.37133.661.450.4780.6540.670.880.440.91.230.60.4690.3530.334
RCS1994-03-219.0119.9614.47-0.40610.834.970.3050.4210.450.610.370.60.830.510.3610.3070.292
TIP2003-12-083.936.04.150.057.214.390.4120.5960.150.580.410.210.830.59-0.168-0.13-0.167
TLT2002-07-316.613.279.32-0.0732.026.590.3780.5380.370.430.370.510.60.53-0.37-0.245-0.342
VBF1990-01-026.3513.349.4-0.19615.926.460.2470.350.50.570.370.70.80.520.0770.0820.089

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