FMSFX vs. ZROZ
FMSFX (Fidelity Mortgage Securities Fund) and ZROZ (PIMCO 25+ Year Zero Coupon US Treasury Index Fund) are both funds - FMSFX is a Total Bond Market fund managed by Fidelity, while ZROZ is a Government Bonds fund tracking the ICE BofA Long U.S. Treasury Principal STRIPS Index. Over the past 10 years, FMSFX returned 1.29%/yr vs -4.18%/yr for ZROZ. A 0.68 correlation means they provide meaningful diversification when combined. FMSFX charges 0.45%/yr vs 0.15%/yr for ZROZ.
Performance
FMSFX vs. ZROZ - Performance Comparison
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Returns By Period
In the year-to-date period, FMSFX achieves a 0.87% return, which is significantly lower than ZROZ's 0.97% return. Over the past 10 years, FMSFX has outperformed ZROZ with an annualized return of 1.29%, while ZROZ has yielded a comparatively lower -4.18% annualized return.
FMSFX
- 1D
- 0.20%
- 1M
- 0.83%
- YTD
- 0.87%
- 6M
- 1.17%
- 1Y
- 6.23%
- 3Y*
- 4.32%
- 5Y*
- 0.20%
- 10Y*
- 1.29%
ZROZ
- 1D
- -1.20%
- 1M
- 4.33%
- YTD
- 0.97%
- 6M
- 0.53%
- 1Y
- 3.18%
- 3Y*
- -7.55%
- 5Y*
- -11.93%
- 10Y*
- -4.18%
FMSFX vs. ZROZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
FMSFX Fidelity Mortgage Securities Fund | 0.87% | 8.29% | 1.00% | 4.91% | -12.61% | -1.20% | 4.41% | 6.43% | 0.79% | 2.35% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 0.97% | -1.84% | -16.18% | 1.19% | -41.28% | -5.22% | 24.57% | 21.22% | -5.43% | 14.77% |
Correlation
The correlation between FMSFX and ZROZ is 0.73, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.73 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.81 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.78 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.72 |
Correlation (All Time) Calculated using the full available price history since Nov 4, 2009 | 0.68 |
The correlation between FMSFX and ZROZ shifts across timeframes, from 0.68 (all time) to 0.81 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
FMSFX vs. ZROZ — Risk / Return Rank
FMSFX
ZROZ
FMSFX vs. ZROZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Fidelity Mortgage Securities Fund (FMSFX) and PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| FMSFX | ZROZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.39 | ||
| Sortino ratioReturn per unit of downside risk | +1.99 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.04 | +0.25 |
| Calmar ratioReturn relative to maximum drawdown | 2.22 | 0.23 | +1.99 |
| Martin ratioReturn relative to average drawdown | 6.98 | 0.50 | +6.48 |
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Drawdowns
FMSFX vs. ZROZ - Drawdown Comparison
The maximum FMSFX drawdown since its inception was -18.81%, smaller than the maximum ZROZ drawdown of -62.93%. Use the drawdown chart below to compare losses from any high point for FMSFX and ZROZ.
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Drawdown Indicators
| FMSFX | ZROZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.81% | -62.93% | +44.12% |
Max Drawdown (1Y)Largest decline over 1 year | -2.81% | -14.02% | +11.21% |
Max Drawdown (3Y)Largest decline over 3 years | -8.04% | -28.62% | +20.58% |
Max Drawdown (5Y)Largest decline over 5 years | -18.66% | -57.98% | +39.32% |
Max Drawdown (10Y)Largest decline over 10 years | -18.81% | -62.93% | +44.12% |
Current DrawdownCurrent decline from peak | -1.21% | -59.10% | +57.89% |
Average DrawdownAverage peak-to-trough decline | -1.92% | -24.14% | +22.22% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.89% | 6.39% | -5.50% |
Volatility
FMSFX vs. ZROZ - Volatility Comparison
The current volatility for Fidelity Mortgage Securities Fund (FMSFX) is 1.33%, while PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a volatility of 3.60%. This indicates that FMSFX experiences smaller price fluctuations and is considered to be less risky than ZROZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| FMSFX | ZROZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.33% | 3.60% | -2.27% |
Volatility (6M)Calculated over the trailing 6-month period | 2.89% | 10.77% | -7.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.92% | 15.76% | -11.84% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.80% | 23.83% | -17.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.13% | 22.06% | -16.93% |
FMSFX vs. ZROZ - Expense Ratio Comparison
FMSFX has a 0.45% expense ratio, which is higher than ZROZ's 0.15% expense ratio.
Dividends
FMSFX vs. ZROZ - Dividend Comparison
FMSFX's dividend yield for the trailing twelve months is around 3.91%, less than ZROZ's 5.04% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
FMSFX Fidelity Mortgage Securities Fund | 3.91% | 3.93% | 4.12% | 3.50% | 1.43% | 0.62% | 2.40% | 2.62% | 2.57% | 2.60% | 2.65% | 2.05% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 5.04% | 4.96% | 4.58% | 3.52% | 2.76% | 1.60% | 1.68% | 2.22% | 2.06% | 2.53% | 3.00% | 2.98% |
Frequently Asked Questions
FMSFX and ZROZ have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ZROZ has higher volatility (3.60%) compared to FMSFX (1.33%). In terms of maximum drawdown, FMSFX dropped -18.81% vs ZROZ's -62.93%.
FMSFX currently has the higher Sharpe Ratio (1.59 vs 0.20), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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