GSY vs. ZROZ
GSY (Invesco Ultra Short Duration ETF) and ZROZ (PIMCO 25+ Year Zero Coupon US Treasury Index Fund) are both exchange-traded funds - GSY is a Ultrashort Bond fund actively managed by Invesco, while ZROZ is a Government Bonds fund tracking the ICE BofA Long U.S. Treasury Principal STRIPS Index. GSY is actively managed, while ZROZ is passively managed. Over the past 10 years, GSY returned 2.86%/yr vs -4.28%/yr for ZROZ. At a 0.14 correlation, their price movements are largely independent. GSY charges 0.22%/yr vs 0.15%/yr for ZROZ.
Performance
GSY vs. ZROZ - Performance Comparison
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Returns By Period
In the year-to-date period, GSY achieves a 1.72% return, which is significantly higher than ZROZ's -0.11% return. Over the past 10 years, GSY has outperformed ZROZ with an annualized return of 2.86%, while ZROZ has yielded a comparatively lower -4.28% annualized return.
GSY
- 1D
- 0.00%
- 1M
- 0.37%
- YTD
- 1.72%
- 6M
- 1.96%
- 1Y
- 4.52%
- 3Y*
- 5.48%
- 5Y*
- 3.68%
- 10Y*
- 2.86%
ZROZ
- 1D
- -0.31%
- 1M
- 3.23%
- YTD
- -0.11%
- 6M
- -0.09%
- 1Y
- 0.65%
- 3Y*
- -6.87%
- 5Y*
- -11.89%
- 10Y*
- -4.28%
GSY vs. ZROZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GSY Invesco Ultra Short Duration ETF | 1.72% | 4.96% | 5.95% | 5.99% | 0.01% | 0.03% | 1.88% | 3.39% | 2.18% | 1.86% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | -0.11% | -1.84% | -16.18% | 1.19% | -41.28% | -5.22% | 24.57% | 21.22% | -5.43% | 14.77% |
Correlation
The correlation between GSY and ZROZ is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.27 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.39 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.36 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.21 |
Correlation (All Time) Calculated using the full available price history since Nov 4, 2009 | 0.14 |
The correlation between GSY and ZROZ shifts across timeframes, from 0.14 (all time) to 0.39 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
GSY vs. ZROZ — Risk / Return Rank
GSY
ZROZ
GSY vs. ZROZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco Ultra Short Duration ETF (GSY) 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.
| GSY | ZROZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +11.16 | ||
| Sortino ratioReturn per unit of downside risk | +27.17 | ||
| Omega ratioGain probability vs. loss probability | 6.54 | 1.02 | +5.52 |
| Calmar ratioReturn relative to maximum drawdown | 75.72 | 0.05 | +75.67 |
| Martin ratioReturn relative to average drawdown | 373.96 | 0.10 | +373.85 |
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Drawdowns
GSY vs. ZROZ - Drawdown Comparison
The maximum GSY drawdown since its inception was -12.14%, smaller than the maximum ZROZ drawdown of -62.93%. Use the drawdown chart below to compare losses from any high point for GSY and ZROZ.
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Drawdown Indicators
| GSY | ZROZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -12.14% | -62.93% | +50.79% |
Max Drawdown (1Y)Largest decline over 1 year | -0.06% | -14.02% | +13.96% |
Max Drawdown (3Y)Largest decline over 3 years | -0.18% | -28.62% | +28.44% |
Max Drawdown (5Y)Largest decline over 5 years | -1.48% | -57.98% | +56.50% |
Max Drawdown (10Y)Largest decline over 10 years | -5.25% | -62.93% | +57.68% |
Current DrawdownCurrent decline from peak | 0.00% | -59.54% | +59.54% |
Average DrawdownAverage peak-to-trough decline | -2.38% | -24.10% | +21.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.01% | 6.31% | -6.30% |
Volatility
GSY vs. ZROZ - Volatility Comparison
The current volatility for Invesco Ultra Short Duration ETF (GSY) is 0.15%, while PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a volatility of 4.59%. This indicates that GSY 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
| GSY | ZROZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.15% | 4.59% | -4.44% |
Volatility (6M)Calculated over the trailing 6-month period | 0.31% | 10.78% | -10.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 0.40% | 16.12% | -15.72% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 0.58% | 23.89% | -23.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 1.22% | 22.06% | -20.84% |
GSY vs. ZROZ - Expense Ratio Comparison
GSY has a 0.22% expense ratio, which is higher than ZROZ's 0.15% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Dividends
GSY vs. ZROZ - Dividend Comparison
GSY's dividend yield for the trailing twelve months is around 4.34%, less than ZROZ's 5.10% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GSY Invesco Ultra Short Duration ETF | 4.34% | 4.56% | 5.31% | 4.95% | 1.70% | 0.58% | 1.45% | 2.71% | 2.30% | 1.80% | 1.21% | 1.17% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 5.10% | 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
GSY and ZROZ have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ZROZ has higher volatility (4.59%) compared to GSY (0.15%). In terms of maximum drawdown, GSY dropped -12.14% vs ZROZ's -62.93%.
On 10-year performance, GSY leads with 2.86% vs -4.28% for ZROZ. On fees, ZROZ is cheaper at 0.15% per year. On volatility, GSY has been the lower-risk option at 0.15%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, GSY has performed better with a 2.86% return vs -4.28%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ZROZ is cheaper with a 0.15% expense ratio, compared with 0.22% for GSY.
ZROZ has the higher dividend yield at 5.10%, compared with 4.34% for GSY.
GSY is categorized as Ultrashort Bond, while ZROZ is Government Bonds. They also come from different issuers: Invesco and PIMCO. Their fees differ too: 0.22% for GSY and 0.15% for ZROZ.
GSY currently has the higher Sharpe Ratio (11.20 vs 0.04), 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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