US fixed income exchange-traded and closed-end funds, closing price calculations, March 20th

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
AGG2003-09-303.794.963.67-3.33687.812.840.4690.6330.270.640.50.330.850.670.0840.022-0.034
BHK2001-11-296.0513.299.65-0.48320.330.70.3370.4640.230.520.360.310.710.490.5130.3590.278
BIV2007-04-114.785.864.16-0.52314.213.630.6390.9010.280.720.371.0-0.094-0.15-0.181
BLW2003-07-304.0915.9712.07-1.85248.544.580.1640.217-0.10.190.17-0.120.230.230.6420.5720.542
BND2007-04-113.974.963.56-1.22859.69.310.5990.8350.270.610.350.820.2250.1220.045
BNDX2013-06-053.613.122.33-2.21724.15.890.8561.1480.530.690.2350.1190.046
BOND2012-03-023.594.063.14-3.59356.810.880.6820.8820.170.220.3260.2080.105
BSV2007-04-112.713.152.24-1.58866.57.020.5560.7810.310.670.450.98-0.094-0.162-0.194
BTZ2006-12-261.2822.6615.833.009117.074.630.0110.016-0.060.41-0.080.520.720.6190.536
DBL2012-01-303.5515.711.97-2.72870.426.470.1750.229-0.0-0.00.5660.4790.36
DMO2010-02-259.0718.0414.16-6.071180.842.770.4460.5690.10.450.120.570.4590.3970.36
EDF2010-12-28-1.4825.9321.13-5.13103.263.78-0.084-0.103-0.09-0.110.6510.5810.553
EDI2012-10-31-7.4327.1222.67-7.336169.864.5-0.315-0.377-0.19-0.230.5150.4810.473
EGF2005-10-282.4611.248.04-0.31218.221.430.0990.1390.130.170.180.230.3640.2760.22
EMB2007-12-204.1111.258.67-2.78949.534.70.2960.384-0.050.32-0.060.390.6350.5710.54
GOF2007-07-308.8923.1617.67-2.56456.954.680.3320.4360.140.440.180.550.4950.4590.429
HYG2007-04-123.5611.818.530.09339.334.250.2180.302-0.140.37-0.180.490.9020.8590.801
IEF2002-07-315.326.654.570.0192.910.40.5710.8310.480.680.580.70.990.84-0.532-0.484-0.439
IGSB2007-01-122.054.343.32-2.661211.813.380.2360.309-0.290.13-0.320.150.360.2790.236
JNK2007-12-053.3912.79.46-1.6776.138.480.2060.277-0.210.33-0.260.440.9010.8490.798
LQD2002-07-314.838.05.98-1.67879.821.760.4170.558-0.060.470.33-0.070.60.430.3240.2610.178
MBB2007-03-193.593.592.47-0.11227.54.920.7181.0440.310.670.440.950.3090.1530.06
MCI1990-01-0210.8922.4915.710.13540.757.080.3340.478-0.120.230.18-0.150.320.250.4820.3570.283
MFM1990-01-024.917.8713.01-0.92228.954.240.1090.150.040.240.160.040.310.210.5090.3530.263
MINT2009-11-181.060.880.77-11.124226.74.620.490.565-0.170.46-0.180.530.5010.3920.311
MPV1990-01-029.7924.817.280.26670.052.350.2620.3760.040.190.170.050.250.240.2550.1980.175
MSD1993-07-196.7921.5515.98-1.00728.052.670.1880.2540.020.180.230.020.220.310.5770.5110.51
OIA1990-01-024.7417.4512.62-0.51231.855.210.1030.1420.040.330.170.050.420.230.5470.3820.292
PCN2001-12-208.8426.1119.42-0.38277.161.140.2710.3640.080.310.250.090.380.340.7110.6160.558
PCQ2001-06-285.9117.2713.01-1.95748.456.330.2490.3310.140.440.250.180.580.340.5190.3680.289
PDI2012-05-299.1916.2113.3-4.80671.341.220.4950.6030.180.210.8070.6970.634
PFL2003-08-284.4223.5417.88-2.09153.977.350.1250.1640.040.280.110.050.360.140.5950.5150.5
PFN2004-10-283.3922.2216.99-2.2150.279.790.0860.1130.090.340.10.110.430.130.6370.5550.518
PMF2001-06-284.7718.513.570.13653.060.210.1740.238-0.160.240.16-0.190.30.210.5290.440.316
PML2002-06-274.718.3914.53-5.126145.364.340.1740.220.150.390.160.190.50.20.5060.4170.325
PMX2002-10-304.018.0213.47-0.64799.764.290.1410.1880.080.320.130.10.420.170.5360.3790.291
PNF2001-06-283.418.1412.961.09578.965.860.1050.148-0.010.270.1-0.020.350.140.4890.3860.301
PTY2002-12-2710.3124.518.46-1.24339.861.450.3440.4570.170.350.30.210.450.40.6480.5760.532
RCS1994-03-216.6221.1315.52-0.49818.541.960.1850.251-0.080.150.16-0.110.20.220.7640.6490.558
TIP2003-12-083.866.194.30.12111.514.390.3860.5560.170.440.370.250.620.53-0.078-0.117-0.118
TLT2002-07-317.5913.859.69-0.0454.926.590.4280.6110.370.530.410.530.760.59-0.493-0.432-0.407
VBF1990-01-025.6713.559.68-0.41716.426.460.1970.2760.050.240.280.060.330.380.4340.3190.253

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