US fixed income exchange-traded and closed-end funds, closing price calculations, January 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
AGG2003-09-304.094.933.65-3.12186.412.840.5430.7350.620.750.590.811.00.790.1340.0540.023
BHK2001-11-297.6513.479.68-0.31919.530.70.4480.6230.840.740.471.21.050.660.3820.3010.265
BIV2007-04-115.335.794.08-0.39414.813.630.7451.0570.780.861.11.21-0.017-0.107-0.129
BLW2003-07-306.7316.5712.33-1.50345.944.580.3130.4210.560.440.330.710.570.440.6370.5820.569
BND2007-04-114.344.923.51-1.06458.39.310.6850.960.610.70.810.960.2110.1070.068
BNDX2013-06-054.073.12.29-1.99622.45.891.0331.3971.011.330.2690.1320.081
BOND2012-03-024.64.083.07-3.02152.110.880.9321.2390.811.030.2670.1720.135
BSV2007-04-112.893.092.2-1.54268.27.020.6390.8970.70.791.061.170.041-0.072-0.1
BTZ2006-12-264.6122.5515.562.989113.174.630.1570.2280.750.751.051.050.6350.5720.534
DBL2012-01-305.7415.811.89-2.39463.426.450.310.4110.130.170.5760.4950.409
DMO2010-02-258.3219.7715.59-5.048124.449.160.3740.4750.040.320.050.410.4630.4150.39
EDF2010-12-281.8928.6722.82-3.79473.163.780.0440.0550.260.040.320.060.660.6020.582
EDI2012-10-310.2529.4323.72-5.274116.064.5-0.017-0.0210.320.40.580.540.526
EGF2005-10-282.7211.338.12-0.26117.021.430.1270.1770.220.270.180.310.370.250.330.2570.229
EMB2007-12-205.8811.288.56-2.53346.534.70.4480.590.530.520.650.660.6760.6210.593
GOF2007-07-3011.4623.0817.55-2.48654.854.680.4360.5740.70.530.870.670.5310.4920.476
HYG2007-04-125.3511.998.50.32536.834.250.3620.510.690.530.980.750.8290.8110.796
IEF2002-07-315.096.574.550.0273.010.40.5540.7990.480.620.560.70.90.82-0.515-0.469-0.431
IGSB2007-01-123.054.433.25-1.487194.313.380.4630.6310.530.570.710.770.3420.2660.247
JNK2007-12-055.3812.819.36-1.33670.638.480.3570.4880.710.511.00.720.8320.8070.79
LQD2002-07-316.138.35.96-0.59975.721.760.5570.7750.670.710.510.961.010.710.330.2740.237
MBB2007-03-193.653.522.44-0.09328.44.920.7661.1050.50.720.71.020.3230.1780.119
MCI1990-01-0211.9223.416.160.61244.857.080.3630.5260.060.250.210.090.350.30.4760.3890.339
MFM1990-01-025.4717.8913.06-0.88528.354.240.1430.1960.210.40.180.270.530.240.5270.3940.324
MINT2009-11-181.510.950.75-6.404191.84.620.9731.2270.790.880.951.10.3630.2950.27
MPV1990-01-0210.7125.817.950.37564.854.020.2870.4120.130.220.190.170.30.270.3850.3160.285
MSD1993-07-197.6821.4615.95-1.00527.952.670.2310.310.460.320.270.580.410.360.6040.5490.537
OIA1990-01-025.7617.4812.64-0.43631.455.210.1620.2240.350.580.240.450.770.320.5730.4340.366
PCN2001-12-2011.2626.4419.44-0.25171.161.140.3530.480.490.440.320.620.560.440.6830.6140.579
PCQ2001-06-287.2417.6913.26-1.7844.456.330.3170.4230.390.650.30.510.880.40.5770.4210.375
PDI2012-05-2912.9718.7314.63-2.92147.346.470.6130.7850.420.530.7630.6850.652
PFL2003-08-287.0623.6417.88-1.99151.177.350.2320.3070.590.460.250.720.590.330.6070.5430.531
PFN2004-10-286.0122.4417.03-2.0346.879.790.20.2640.590.490.220.730.630.30.6220.5610.545
PMF2001-06-286.1218.6113.510.30251.360.210.2450.3380.130.470.20.170.610.280.520.4250.347
PML2002-06-276.2518.5214.5-4.762136.164.340.2550.3260.420.670.220.540.890.280.5510.4480.394
PMX2002-10-305.4618.0813.38-0.49894.764.290.2210.2990.320.530.180.410.70.250.5320.3980.347
PNF2001-06-284.7218.3412.981.21974.965.860.1760.2490.240.490.150.320.660.210.5510.4280.376
PTY2002-12-2712.7925.0918.77-1.14236.861.450.4270.5710.650.470.370.820.610.50.6640.5990.576
RCS1994-03-217.4821.5615.76-0.36918.146.70.2220.3030.140.250.230.180.330.310.6920.5970.55
TIP2003-12-084.316.154.290.13411.514.390.4680.6720.690.540.461.00.770.66-0.053-0.093-0.092
TLT2002-07-317.0213.889.74-0.0234.726.590.3930.560.360.490.370.520.70.52-0.479-0.438-0.411
VBF1990-01-026.6513.669.76-0.34515.726.460.2690.3760.540.550.40.730.750.560.5060.3780.327

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