MFUS vs. ZROZ
MFUS (PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF) and ZROZ (PIMCO 25+ Year Zero Coupon US Treasury Index Fund) are both exchange-traded funds - MFUS is a Large Cap Growth Equities fund tracking the RAFI Dynamic Multi-Factor U.S. Index, while ZROZ is a Government Bonds fund tracking the ICE BofA Long U.S. Treasury Principal STRIPS Index. Both are passively managed. Over the past 5 years, MFUS returned 12.86%/yr vs -11.57%/yr for ZROZ. At a correlation of -0.08, they often move in opposite directions. MFUS charges 0.30%/yr vs 0.15%/yr for ZROZ.
Performance
MFUS vs. ZROZ - Performance Comparison
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Returns By Period
In the year-to-date period, MFUS achieves a 16.59% return, which is significantly higher than ZROZ's -0.75% return.
MFUS
- 1D
- 0.19%
- 1M
- 4.47%
- YTD
- 16.59%
- 6M
- 16.69%
- 1Y
- 28.65%
- 3Y*
- 22.52%
- 5Y*
- 12.86%
- 10Y*
- —
ZROZ
- 1D
- 0.32%
- 1M
- 0.90%
- YTD
- -0.75%
- 6M
- -3.22%
- 1Y
- 1.47%
- 3Y*
- -7.14%
- 5Y*
- -11.57%
- 10Y*
- -4.00%
MFUS vs. ZROZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MFUS PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF | 16.59% | 16.02% | 20.17% | 12.19% | -5.82% | 24.10% | 10.64% | 26.17% | -7.30% | 11.20% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | -0.75% | -1.84% | -16.18% | 1.19% | -41.28% | -5.22% | 24.57% | 21.22% | -5.43% | 2.12% |
Correlation
The correlation between MFUS and ZROZ is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.23 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.22 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.06 |
Correlation (All Time) Calculated using the full available price history since Sep 7, 2017 | -0.08 |
The correlation between MFUS and ZROZ shifts across timeframes, from -0.08 (all time) to 0.23 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
MFUS vs. ZROZ — Risk / Return Rank
MFUS
ZROZ
MFUS vs. ZROZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF (MFUS) 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.
| MFUS | ZROZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.60 | ||
| Sortino ratioReturn per unit of downside risk | +3.60 | ||
| Omega ratioGain probability vs. loss probability | 1.48 | 1.03 | +0.46 |
| Calmar ratioReturn relative to maximum drawdown | 4.51 | 0.11 | +4.40 |
| Martin ratioReturn relative to average drawdown | 18.52 | 0.24 | +18.28 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| MFUS | ZROZ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.69 | 0.09 | +2.60 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.86 | -0.49 | +1.35 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | -0.18 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.79 | 0.09 | +0.70 |
Drawdowns
MFUS vs. ZROZ - Drawdown Comparison
The maximum MFUS drawdown since its inception was -35.21%, smaller than the maximum ZROZ drawdown of -62.93%. Use the drawdown chart below to compare losses from any high point for MFUS and ZROZ.
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Drawdown Indicators
| MFUS | ZROZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.21% | -62.93% | +27.72% |
Max Drawdown (1Y)Largest decline over 1 year | -6.39% | -14.02% | +7.63% |
Max Drawdown (3Y)Largest decline over 3 years | -15.39% | -28.62% | +13.23% |
Max Drawdown (5Y)Largest decline over 5 years | -18.22% | -57.98% | +39.76% |
Max Drawdown (10Y)Largest decline over 10 years | — | -62.93% | — |
Current DrawdownCurrent decline from peak | 0.00% | -59.80% | +59.80% |
Average DrawdownAverage peak-to-trough decline | -3.99% | -24.05% | +20.06% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.55% | 6.15% | -4.60% |
Volatility
MFUS vs. ZROZ - Volatility Comparison
The current volatility for PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF (MFUS) is 2.97%, while PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a volatility of 4.37%. This indicates that MFUS 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
| MFUS | ZROZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.97% | 4.37% | -1.40% |
Volatility (6M)Calculated over the trailing 6-month period | 8.22% | 10.54% | -2.32% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.71% | 16.25% | -5.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.03% | 23.89% | -8.86% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.35% | 22.05% | -4.70% |
MFUS vs. ZROZ - Expense Ratio Comparison
MFUS has a 0.30% expense ratio, which is higher than ZROZ's 0.15% expense ratio.
Dividends
MFUS vs. ZROZ - Dividend Comparison
MFUS's dividend yield for the trailing twelve months is around 1.35%, less than ZROZ's 5.13% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MFUS PIMCO RAFI Dynamic Multi-Factor U.S. Equity ETF | 1.35% | 1.54% | 1.45% | 1.96% | 2.07% | 1.35% | 1.72% | 1.89% | 1.69% | 1.01% | 0.00% | 0.00% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 5.13% | 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
MFUS and ZROZ have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ZROZ has higher volatility (4.37%) compared to MFUS (2.97%). In terms of maximum drawdown, MFUS dropped -35.21% vs ZROZ's -62.93%.
On 5-year performance, MFUS leads with 12.86% vs -11.57% for ZROZ. On fees, ZROZ is cheaper at 0.15% per year. On volatility, MFUS has been the lower-risk option at 2.97%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, MFUS has performed better with a 12.86% return vs -11.57%. 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 0.30% for MFUS.
ZROZ has the higher dividend yield at 5.13%, compared with 1.35% for MFUS.
MFUS is categorized as Large Cap Growth Equities, while ZROZ is Government Bonds. MFUS tracks RAFI Dynamic Multi-Factor U.S. Index, while ZROZ tracks ICE BofA Long U.S. Treasury Principal STRIPS Index. Their fees differ too: 0.30% for MFUS and 0.15% for ZROZ.
MFUS currently has the higher Sharpe Ratio (2.69 vs 0.09), 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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