PFMN.TO vs. ZROZ

Last updated Apr 16, 2026

PFMN.TO (PICTON Market Neutral Equity Alternative Fund) and ZROZ (PIMCO 25+ Year Zero Coupon US Treasury Index Fund) are both exchange-traded funds — PFMN.TO is a Long-Short fund actively managed by Picton Mahoney, while ZROZ is a Government Bonds fund tracking the BofA Merrill Lynch Long Treasury Principal STRIPS Index. PFMN.TO is actively managed, while ZROZ is passively managed. Over the past 5 years, PFMN.TO returned 6.35%/yr vs -9.55%/yr for ZROZ. At -0.02, they often move in opposite directions. PFMN.TO charges 4.27%/yr vs 0.15%/yr for ZROZ.

Performance

PFMN.TO vs. ZROZ - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in PICTON Market Neutral Equity Alternative Fund (PFMN.TO) and PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

PFMN.TO is traded in CAD, while ZROZ is traded in USD. To make them comparable, the ZROZ values have been converted to CAD using the latest available exchange rates.

Returns By Period

As of year-to-date, both investments have demonstrated similar returns, with PFMN.TO at 0.25% and ZROZ at 0.25%.

PFMN.TO

• 1D: -0.37%
• 1M: 1.25%
• YTD: 0.25%
• 6M: 1.17%
• 1Y: 5.16%
• 3Y*: 7.06%
• 5Y*: 6.35%
• 10Y*: —

ZROZ

• 1D: -0.99%
• 1M: 0.23%
• YTD: 0.25%
• 6M: -7.87%
• 1Y: -2.47%
• 3Y*: -7.17%
• 5Y*: -9.55%
• 10Y*: -3.18%

*Multi-year figures are annualized to reflect compound growth (CAGR)

PFMN.TO vs. ZROZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
PFMN.TO PICTON Market Neutral Equity Alternative Fund	0.25%	4.86%	15.06%	3.13%	5.43%	6.10%	16.70%	0.99%
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund	0.25%	-6.35%	-8.98%	-1.04%	-37.10%	-6.08%	22.47%	7.10%

Correlation

The correlation between PFMN.TO and ZROZ is 0.03, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.03
Correlation (3Y) Calculated over the trailing 3-year period	0.02
Correlation (5Y) Calculated over the trailing 5-year period	-0.02
Correlation (All Time) Calculated using the full available price history since Jul 17, 2019	-0.02

Return for Risk

PFMN.TO vs. ZROZ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

PFMN.TO

PFMN.TO Risk / Return Rank: 22
PFMN.TO Sharpe Ratio Rank: 22
PFMN.TO Sortino Ratio Rank: 22
PFMN.TO Omega Ratio Rank: 21
PFMN.TO Calmar Ratio Rank: 22
PFMN.TO Martin Ratio Rank: 22

ZROZ

ZROZ Risk / Return Rank: 6
ZROZ Sharpe Ratio Rank: 6
ZROZ Sortino Ratio Rank: 6
ZROZ Omega Ratio Rank: 6
ZROZ Calmar Ratio Rank: 6
ZROZ Martin Ratio Rank: 6

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

PFMN.TO vs. ZROZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PICTON Market Neutral Equity Alternative Fund (PFMN.TO) 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.

	PFMN.TO	ZROZ	Difference
Sharpe ratio Return per unit of total volatility	1.06	-0.14	+1.20
Sortino ratio Return per unit of downside risk	1.62	-0.08	+1.70
Omega ratio Gain probability vs. loss probability	1.19	0.99	+0.20
Calmar ratio Return relative to maximum drawdown	1.61	-0.08	+1.69
Martin ratio Return relative to average drawdown	4.61	-0.13	+4.74
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PFMN.TO vs. ZROZ - Sharpe Ratio Comparison

The current PFMN.TO Sharpe Ratio is 1.06, which is higher than the ZROZ Sharpe Ratio of -0.14. The chart below compares the historical Sharpe Ratios of PFMN.TO and ZROZ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PFMN.TO	ZROZ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.06	-0.14	+1.20
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.80	-0.39	+1.19
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	-0.14	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.78	0.15	+0.63

Drawdowns

PFMN.TO vs. ZROZ - Drawdown Comparison

The maximum PFMN.TO drawdown since its inception was -13.04%, smaller than the maximum ZROZ drawdown of -63.66%. Use the drawdown chart below to compare losses from any high point for PFMN.TO and ZROZ.

Drawdown Indicators

	PFMN.TO	ZROZ	Difference
Max Drawdown Largest peak-to-trough decline	-13.04%	-62.93%	+49.89%
Max Drawdown (1Y) Largest decline over 1 year	-3.49%	-10.83%	+7.34%
Max Drawdown (5Y) Largest decline over 5 years	-4.24%	-57.98%	+53.74%
Max Drawdown (10Y) Largest decline over 10 years	—	-62.93%	—
Current Drawdown Current decline from peak	-1.04%	-59.42%	+58.38%
Average Drawdown Average peak-to-trough decline	-1.19%	-23.74%	+22.55%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.22%	6.03%	-4.81%

Volatility

PFMN.TO vs. ZROZ - Volatility Comparison

The current volatility for PICTON Market Neutral Equity Alternative Fund (PFMN.TO) is 1.98%, while PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a volatility of 5.07%. This indicates that PFMN.TO 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.

Volatility by Period

	PFMN.TO	ZROZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.98%	5.07%	-3.09%
Volatility (6M) Calculated over the trailing 6-month period	3.34%	11.23%	-7.89%
Volatility (1Y) Calculated over the trailing 1-year period	4.91%	17.80%	-12.89%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.99%	24.34%	-16.35%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.85%	23.16%	-13.31%

PFMN.TO vs. ZROZ - Expense Ratio Comparison

PFMN.TO has a 4.27% expense ratio, which is higher than ZROZ's 0.15% expense ratio.

Dividends

PFMN.TO vs. ZROZ - Dividend Comparison

PFMN.TO's dividend yield for the trailing twelve months is around 0.79%, less than ZROZ's 5.08% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PFMN.TO PICTON Market Neutral Equity Alternative Fund	0.79%	0.80%	0.00%	1.28%	0.00%	0.00%	0.00%	0.09%	0.00%	0.00%	0.00%	0.00%
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund	5.08%	4.96%	4.58%	3.52%	2.76%	1.60%	1.68%	2.22%	2.06%	2.53%	3.00%	2.98%