US fixed income exchange-traded and closed-end funds, closing price calculations, September 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
AGG2003-09-304.184.963.67-3.12585.812.840.5520.7470.640.70.580.840.940.790.1280.0530.014
BHK2001-11-297.4713.59.7-0.31919.730.70.4330.6020.740.590.441.070.830.610.4070.3190.269
BIV2007-04-115.455.844.12-0.39814.613.630.7561.0730.790.771.111.07-0.032-0.113-0.139
BLW2003-07-306.1616.6612.41-1.545.744.580.2780.3730.40.350.30.50.460.40.640.5810.56
BND2007-04-114.454.963.54-1.06857.99.310.6980.9780.630.660.840.90.2080.1080.061
BNDX2013-06-054.143.132.31-2.01222.55.891.0381.4031.01.310.2660.1390.074
BOND2012-03-024.664.123.11-3.03551.710.880.9311.2350.730.940.2670.1750.12
BSV2007-04-112.933.122.22-1.5366.87.020.6410.90.670.721.021.070.022-0.079-0.115
BTZ2006-12-264.2122.7715.712.971111.274.630.1380.20.650.620.910.870.6510.5820.537
DBL2012-01-305.0515.9712.05-2.40162.926.450.2640.350.10.130.5740.4930.404
DMO2010-02-257.4119.8615.72-5.119125.549.160.330.416-0.070.3-0.080.370.4620.4120.385
EDF2010-12-28-1.1528.9323.11-3.79372.663.78-0.062-0.0780.030.040.6630.6030.584
EDI2012-10-31-3.4529.724.05-5.316116.164.5-0.144-0.1780.10.120.5820.5410.527
EGF2005-10-282.8111.378.14-0.25717.121.430.1320.1840.230.190.310.260.3230.2550.226
EMB2007-12-205.6811.378.65-2.53446.134.70.4270.5610.440.450.540.580.6730.6180.592
GOF2007-07-3010.4623.2917.73-2.46954.054.680.3930.5160.450.470.560.60.530.4930.474
HYG2007-04-124.9612.098.580.32936.234.250.3270.460.440.510.620.720.830.8090.79
IEF2002-07-315.346.64.570.0233.010.40.5840.8430.610.570.580.890.810.85-0.513-0.475-0.436
IGSB2007-01-123.034.483.29-1.472190.413.380.4510.6140.470.540.630.720.340.2680.24
JNK2007-12-054.9412.939.46-1.32369.538.480.320.4370.410.490.570.690.8330.8050.786
LQD2002-07-316.18.345.99-0.60375.621.760.5490.7640.590.640.480.850.910.670.3240.2710.226
MBB2007-03-193.713.552.46-0.09527.84.920.7681.1080.510.680.720.970.3210.1770.105
MCI1990-01-0211.5123.3916.20.59445.257.080.3460.50.030.220.210.050.310.290.4910.4030.352
MFM1990-01-025.3817.9613.12-0.88428.254.240.1360.1870.270.280.170.350.370.220.5350.3990.322
MINT2009-11-181.530.960.76-6.329186.94.620.9591.2090.750.880.911.10.3690.3010.263
MPV1990-01-0210.2125.8117.990.37165.354.020.2680.3850.080.190.160.10.260.220.390.3180.285
MSD1993-07-197.3921.5616.03-0.99927.652.670.2160.2910.340.230.240.420.290.330.6070.5490.541
OIA1990-01-025.4717.5412.69-0.43331.355.210.1450.20.350.40.210.450.530.280.5770.4370.358
PCN2001-12-2010.6726.5919.56-0.24870.761.140.330.4490.410.40.30.520.510.410.6840.6130.579
PCQ2001-06-287.2117.7613.31-1.77744.456.330.3140.4180.430.50.30.570.670.410.5850.4330.375
PDI2012-05-2912.1418.8814.75-2.92447.446.470.5680.7270.350.440.7670.6860.649
PFL2003-08-286.2123.8218.02-1.97650.477.350.1960.2590.410.390.210.50.50.280.610.5410.535
PFN2004-10-285.2122.6217.17-2.01646.279.790.1640.2160.430.430.20.530.550.260.6260.560.546
PMF2001-06-285.8118.7213.590.30350.960.210.2270.3120.150.310.20.190.410.280.5160.4310.34
PML2002-06-275.818.6214.59-4.755135.264.340.230.2940.390.460.20.50.60.260.5490.4540.388
PMX2002-10-305.0518.1813.47-0.594.264.290.1970.2660.320.380.160.420.50.220.5380.4070.343
PNF2001-06-284.5418.4213.041.22574.965.860.1650.2330.240.350.140.330.470.190.530.4250.363
PTY2002-12-2712.1125.2718.92-1.13336.361.450.3990.5330.510.430.350.650.560.460.6670.60.576
RCS1994-03-217.1621.6415.84-0.36918.046.70.2060.2810.10.210.180.130.290.240.6940.5980.552
TIP2003-12-084.36.194.320.13511.314.390.4610.6610.630.480.440.920.690.62-0.059-0.097-0.095
TLT2002-07-317.6113.99.73-0.0234.726.590.4310.6150.510.450.40.730.630.58-0.482-0.442-0.418
VBF1990-01-026.4913.669.77-0.35115.826.460.2560.3580.470.410.370.640.560.510.5010.3830.322

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