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GOVZ vs. ZROZ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GOVZ and ZROZ is 0.99, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.


-0.50.00.51.01.0

Performance

GOVZ vs. ZROZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares 25+ Year Treasury STRIPS Bond ETF (GOVZ) and PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-5.19%
-5.21%
GOVZ
ZROZ

Key characteristics

Sharpe Ratio

GOVZ:

-0.53

ZROZ:

-0.54

Sortino Ratio

GOVZ:

-0.61

ZROZ:

-0.63

Omega Ratio

GOVZ:

0.93

ZROZ:

0.93

Calmar Ratio

GOVZ:

-0.21

ZROZ:

-0.20

Martin Ratio

GOVZ:

-1.10

ZROZ:

-1.10

Ulcer Index

GOVZ:

10.88%

ZROZ:

10.90%

Daily Std Dev

GOVZ:

22.58%

ZROZ:

22.19%

Max Drawdown

GOVZ:

-59.65%

ZROZ:

-62.93%

Current Drawdown

GOVZ:

-52.53%

ZROZ:

-56.33%

Returns By Period

The year-to-date returns for both stocks are quite close, with GOVZ having a -11.16% return and ZROZ slightly lower at -11.30%.


GOVZ

YTD

-11.16%

1M

1.41%

6M

-5.18%

1Y

-10.80%

5Y (annualized)

N/A

10Y (annualized)

N/A

ZROZ

YTD

-11.30%

1M

1.39%

6M

-5.21%

1Y

-10.75%

5Y (annualized)

-9.32%

10Y (annualized)

-2.26%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


GOVZ vs. ZROZ - Expense Ratio Comparison

Both GOVZ and ZROZ have an expense ratio of 0.15%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.


GOVZ
iShares 25+ Year Treasury STRIPS Bond ETF
Expense ratio chart for GOVZ: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
Expense ratio chart for ZROZ: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%

Risk-Adjusted Performance

GOVZ vs. ZROZ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares 25+ Year Treasury STRIPS Bond ETF (GOVZ) 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.


Sharpe ratio
The chart of Sharpe ratio for GOVZ, currently valued at -0.53, compared to the broader market0.002.004.00-0.53-0.54
The chart of Sortino ratio for GOVZ, currently valued at -0.61, compared to the broader market-2.000.002.004.006.008.0010.00-0.61-0.63
The chart of Omega ratio for GOVZ, currently valued at 0.93, compared to the broader market0.501.001.502.002.503.000.930.93
The chart of Calmar ratio for GOVZ, currently valued at -0.21, compared to the broader market0.005.0010.0015.00-0.21-0.21
The chart of Martin ratio for GOVZ, currently valued at -1.10, compared to the broader market0.0020.0040.0060.0080.00100.00-1.10-1.10
GOVZ
ZROZ

The current GOVZ Sharpe Ratio is -0.53, which is comparable to the ZROZ Sharpe Ratio of -0.54. The chart below compares the historical Sharpe Ratios of GOVZ and ZROZ, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-0.500.000.501.00JulyAugustSeptemberOctoberNovemberDecember
-0.53
-0.54
GOVZ
ZROZ

Dividends

GOVZ vs. ZROZ - Dividend Comparison

GOVZ's dividend yield for the trailing twelve months is around 4.00%, less than ZROZ's 4.19% yield.


TTM20232022202120202019201820172016201520142013
GOVZ
iShares 25+ Year Treasury STRIPS Bond ETF
4.00%3.85%3.70%1.76%0.39%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
ZROZ
PIMCO 25+ Year Zero Coupon US Treasury Index Fund
4.19%3.52%2.76%1.60%1.68%2.22%2.91%2.53%3.00%2.98%2.00%4.28%

Drawdowns

GOVZ vs. ZROZ - Drawdown Comparison

The maximum GOVZ drawdown since its inception was -59.65%, smaller than the maximum ZROZ drawdown of -62.93%. Use the drawdown chart below to compare losses from any high point for GOVZ and ZROZ. For additional features, visit the drawdowns tool.


-54.00%-52.00%-50.00%-48.00%-46.00%-44.00%JulyAugustSeptemberOctoberNovemberDecember
-52.53%
-52.87%
GOVZ
ZROZ

Volatility

GOVZ vs. ZROZ - Volatility Comparison

iShares 25+ Year Treasury STRIPS Bond ETF (GOVZ) has a higher volatility of 7.81% compared to PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) at 6.41%. This indicates that GOVZ's price experiences larger fluctuations and is considered to be riskier than ZROZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


4.00%5.00%6.00%7.00%8.00%9.00%JulyAugustSeptemberOctoberNovemberDecember
7.81%
6.41%
GOVZ
ZROZ
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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