LDI vs. ZROZ
LDI (loanDepot, Inc.) is a stock, while ZROZ (PIMCO 25+ Year Zero Coupon US Treasury Index Fund) is Government Bonds fund tracking the ICE BofA Long U.S. Treasury Principal STRIPS Index. Over the past 5 years, LDI returned -37.99%/yr vs -13.08%/yr for ZROZ. At a 0.18 correlation, their price movements are largely independent.
Performance
LDI vs. ZROZ - Performance Comparison
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Returns By Period
In the year-to-date period, LDI achieves a -45.89% return, which is significantly lower than ZROZ's -2.28% return.
LDI
- 1D
- -1.75%
- 1M
- -0.88%
- 6M
- -61.51%
- YTD
- -45.89%
- 1Y
- -24.32%
- 3Y*
- -19.29%
- 5Y*
- -37.99%
- 10Y*
- —
ZROZ
- 1D
- 0.02%
- 1M
- -2.17%
- 6M
- -3.43%
- YTD
- -2.28%
- 1Y
- 1.16%
- 3Y*
- -7.12%
- 5Y*
- -13.08%
- 10Y*
- -5.05%
LDI vs. ZROZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
LDI loanDepot, Inc. | -45.89% | 1.47% | -42.05% | 113.33% | -64.95% | -63.41% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | -2.28% | -1.84% | -16.18% | 1.19% | -41.28% | 2.46% |
Correlation
The correlation between LDI and ZROZ is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.39 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.31 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Feb 11, 2021 | 0.18 |
Over the past year, LDI and ZROZ have become more correlated (0.39) than their long-term average of 0.18, meaning their price movements have been converging.
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Return for Risk
LDI vs. ZROZ — Risk / Return Rank
LDI
ZROZ
LDI vs. ZROZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for loanDepot, Inc. (LDI) 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.
| LDI | ZROZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.21 | ||
| Sortino ratioReturn per unit of downside risk | +0.18 | ||
| Omega ratioGain probability vs. loss probability | 1.02 | 1.00 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | -0.35 | -0.09 | -0.26 |
| Martin ratioReturn relative to average drawdown | -0.52 | -0.19 | -0.33 |
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Drawdowns
LDI vs. ZROZ - Drawdown Comparison
The maximum LDI drawdown since its inception was -96.47%, which is greater than ZROZ's maximum drawdown of -62.93%. Use the drawdown chart below to compare losses from any high point for LDI and ZROZ.
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Drawdown Indicators
| LDI | ZROZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -96.47% | -62.93% | -33.54% |
Max Drawdown (1Y)Largest decline over 1 year | -75.88% | -14.02% | -61.86% |
Max Drawdown (3Y)Largest decline over 3 years | -75.88% | -28.21% | -47.67% |
Max Drawdown (5Y)Largest decline over 5 years | -91.15% | -57.98% | -33.17% |
Max Drawdown (10Y)Largest decline over 10 years | — | -62.93% | — |
Current DrawdownCurrent decline from peak | -96.13% | -60.42% | -35.71% |
Average DrawdownAverage peak-to-trough decline | -87.28% | -24.25% | -63.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 50.71% | 6.57% | +44.14% |
Volatility
LDI vs. ZROZ - Volatility Comparison
loanDepot, Inc. (LDI) has a higher volatility of 17.75% compared to PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) at 4.74%. This indicates that LDI'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.
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Volatility by Period
| LDI | ZROZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 17.75% | 4.74% | +13.01% |
Volatility (6M)Calculated over the trailing 6-month period | 51.27% | 11.10% | +40.17% |
Volatility (1Y)Calculated over the trailing 1-year period | 92.15% | 15.67% | +76.48% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 77.31% | 23.81% | +53.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 83.38% | 21.98% | +61.40% |
Dividends
LDI vs. ZROZ - Dividend Comparison
LDI has not paid dividends to shareholders, while ZROZ's dividend yield for the trailing twelve months is around 5.31%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
LDI loanDepot, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 4.85% | 17.75% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 5.31% | 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
LDI and ZROZ have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LDI has higher volatility (17.75%) compared to ZROZ (4.74%). In terms of maximum drawdown, LDI dropped -96.47% vs ZROZ's -62.93%.
ZROZ currently has the higher Sharpe Ratio (-0.08 vs -0.29), 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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