US fixed income exchange-traded and closed-end funds, closing price calculations, May 24th

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
AGG2003-09-303.774.673.36-2.90697.912.840.4990.6940.530.90.530.761.290.74-0.231-0.164-0.207
BHK2001-11-296.8113.199.48-0.36620.230.70.3950.550.630.820.450.911.170.63-0.0170.0720.087
BIV2007-04-114.815.84.05-0.32114.413.630.6610.9470.490.890.71.28-0.357-0.242-0.266
BLW2003-07-306.0914.9910.74-0.03324.644.580.3030.4230.430.690.330.620.960.460.4070.3980.404
BND2007-04-113.844.443.060.17927.89.310.6540.950.50.860.721.23-0.291-0.202-0.238
BNDX2013-06-053.842.771.9-0.312.53.891.0951.5991.141.67-0.174-0.128-0.123
BOND2012-03-023.993.372.36-0.4142.56.170.9731.3890.71.01-0.21-0.096-0.176
BSV2007-04-112.633.112.22-1.81869.57.020.5540.7770.370.850.561.26-0.4-0.332-0.312
BTZ2006-12-262.9322.7815.623.328121.074.630.0840.1230.580.990.831.390.3950.3120.327
DBL2012-01-305.913.099.42-0.3852.121.290.390.5420.440.60.2630.1580.131
DMO2010-02-2513.1413.729.8-0.5335.819.030.8611.2060.731.030.210.2130.228
EDF2010-12-285.1418.7213.77-0.4712.645.780.2380.3240.280.380.4420.3960.431
EDI2012-10-311.2918.5213.71-0.524.549.00.0320.0430.170.230.4480.3950.418
EGF2005-10-282.510.947.740.03412.621.430.1090.1530.210.230.30.320.0850.1010.075
EMB2007-12-205.7610.57.67-1.57542.534.70.4750.650.50.850.711.20.4350.3860.422
GOF2007-07-3011.4521.3815.83-1.17428.254.680.4720.6370.681.020.911.410.440.3510.332
HYG2007-04-125.2211.728.260.43141.034.250.360.5110.390.890.581.280.810.7220.703
IEF2002-07-314.846.574.53-0.0042.310.40.5120.7420.360.560.50.520.790.73-0.468-0.357-0.375
IGSB2007-01-122.84.042.92-1.334270.711.470.4490.6230.921.091.471.57-0.118-0.104-0.065
JNK2007-12-055.2312.659.23-1.50980.938.480.3530.4840.330.890.471.270.7860.6930.691
LQD2002-07-315.637.585.47-1.11992.221.540.5420.750.541.010.470.761.440.650.0750.049-0.042
MBB2007-03-193.543.42.310.0316.74.920.7631.1210.520.860.751.23-0.243-0.185-0.216
MCI1990-01-0212.6621.9714.930.80236.957.080.4120.6060.480.520.340.710.760.50.0310.0450.066
MFM1990-01-025.6617.6212.6-0.4925.354.240.150.210.470.570.260.680.80.35-0.070.0020.003
MINT2009-11-181.420.570.38-0.3895.11.091.5692.3821.632.61-0.093-0.105-0.136
MPV1990-01-0211.8623.9816.091.64553.849.930.3480.5180.670.530.331.00.80.50.1310.0510.076
OIA2017-11-031.610.827.520.1261.313.04-0.037-0.053-0.001
PCN2001-12-2011.724.4817.520.88782.761.140.3960.5530.640.920.40.861.260.560.4810.3550.335
PCQ2001-06-287.716.9912.57-1.70550.056.330.3530.4770.840.730.41.191.020.540.0840.0970.054
PDI2012-05-2916.8912.188.84-0.8145.917.821.2281.6920.951.280.5360.3980.403
PFL2003-10-106.9121.916.04-0.73330.077.350.2430.3310.770.940.241.071.30.330.3640.3140.345
PFN2017-11-037.029.626.82-0.3944.913.860.4990.7040.367
PMF2001-06-286.5618.1412.980.70954.560.210.2720.3810.480.60.30.640.790.420.2240.0970.085
PML2002-06-276.5917.6613.71-5.065163.964.340.2840.3660.940.860.321.321.190.410.0520.1010.046
PMX2002-10-305.6417.512.740.076107.964.290.2360.3240.720.690.271.020.950.37-0.1010.002-0.01
PNF2001-06-285.3417.6212.231.84485.965.860.2150.3090.680.660.260.980.940.370.1540.1010.067
PTY2002-12-2713.1623.2817.01-0.36933.461.450.4730.6470.620.950.450.841.330.620.4510.3650.337
RCS1994-10-289.7319.914.43-0.42411.234.970.3420.4710.360.630.360.480.860.490.370.3060.294
TIP2003-12-083.826.014.160.0527.214.390.3950.5710.110.560.390.150.810.56-0.236-0.147-0.175
TLT2002-07-316.4513.299.34-0.072.026.590.3670.5230.350.410.370.490.580.53-0.406-0.276-0.344
VBF1990-01-026.3313.359.4-0.19415.926.460.2450.3480.520.490.370.740.680.520.0760.0880.092

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