PMBS vs. ZROZ
PMBS (PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund) and ZROZ (PIMCO 25+ Year Zero Coupon US Treasury Index Fund) are both exchange-traded funds - PMBS is a Mortgage Backed Securities fund actively managed by PIMCO, while ZROZ is a Government Bonds fund tracking the ICE BofA Long U.S. Treasury Principal STRIPS Index. PMBS is actively managed, while ZROZ is passively managed. Over the past year, PMBS returned 7.55% vs 3.89% for ZROZ. Their correlation of 0.81 suggests significant overlap in exposure. PMBS charges 0.71%/yr vs 0.15%/yr for ZROZ.
Performance
PMBS vs. ZROZ - Performance Comparison
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Returns By Period
In the year-to-date period, PMBS achieves a 0.90% return, which is significantly higher than ZROZ's -1.07% return.
PMBS
- 1D
- -0.21%
- 1M
- 0.11%
- YTD
- 0.90%
- 6M
- 1.15%
- 1Y
- 7.55%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
ZROZ
- 1D
- -0.48%
- 1M
- 1.55%
- YTD
- -1.07%
- 6M
- -4.36%
- 1Y
- 3.89%
- 3Y*
- -7.39%
- 5Y*
- -11.62%
- 10Y*
- -4.15%
PMBS vs. ZROZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
PMBS PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund | 0.90% | 8.92% | -2.75% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | -1.07% | -1.84% | -15.54% |
Correlation
The correlation between PMBS and ZROZ is 0.80, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.80 |
Correlation (All Time) Calculated using the full available price history since Sep 24, 2024 | 0.81 |
The correlation between PMBS and ZROZ has been stable across timeframes, ranging from 0.80 to 0.81 - a consistent structural relationship.
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Return for Risk
PMBS vs. ZROZ — Risk / Return Rank
PMBS
ZROZ
PMBS vs. ZROZ - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund (PMBS) 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.
| PMBS | ZROZ | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.56 | ||
| Sortino ratioReturn per unit of downside risk | +2.20 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.05 | +0.28 |
| Calmar ratioReturn relative to maximum drawdown | 2.56 | 0.28 | +2.28 |
| Martin ratioReturn relative to average drawdown | 8.70 | 0.64 | +8.06 |
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
| PMBS | ZROZ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.80 | 0.24 | +1.56 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | -0.49 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | -0.19 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.83 | 0.09 | +0.74 |
Drawdowns
PMBS vs. ZROZ - Drawdown Comparison
The maximum PMBS drawdown since its inception was -4.35%, smaller than the maximum ZROZ drawdown of -62.93%. Use the drawdown chart below to compare losses from any high point for PMBS and ZROZ.
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Drawdown Indicators
| PMBS | ZROZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -4.35% | -62.93% | +58.58% |
Max Drawdown (1Y)Largest decline over 1 year | -2.97% | -14.02% | +11.05% |
Max Drawdown (3Y)Largest decline over 3 years | — | -28.62% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -57.98% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -62.93% | — |
Current DrawdownCurrent decline from peak | -1.55% | -59.93% | +58.38% |
Average DrawdownAverage peak-to-trough decline | -1.14% | -24.04% | +22.90% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.87% | 6.12% | -5.25% |
Volatility
PMBS vs. ZROZ - Volatility Comparison
The current volatility for PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund (PMBS) is 1.52%, while PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a volatility of 4.46%. This indicates that PMBS 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
| PMBS | ZROZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.52% | 4.46% | -2.94% |
Volatility (6M)Calculated over the trailing 6-month period | 3.10% | 10.54% | -7.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.22% | 16.25% | -12.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.88% | 23.90% | -19.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.88% | 22.06% | -17.18% |
PMBS vs. ZROZ - Expense Ratio Comparison
PMBS has a 0.71% expense ratio, which is higher than ZROZ's 0.15% expense ratio.
Dividends
PMBS vs. ZROZ - Dividend Comparison
PMBS's dividend yield for the trailing twelve months is around 4.98%, less than ZROZ's 5.15% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
PMBS PIMCO Mortgage-Backed Securities Active Exchange-Traded Fund | 4.98% | 4.73% | 1.59% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 5.15% | 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
PMBS and ZROZ have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ZROZ has higher volatility (4.46%) compared to PMBS (1.52%). In terms of maximum drawdown, PMBS dropped -4.35% vs ZROZ's -62.93%.
On 1-year performance, PMBS leads with 7.55% vs 3.89% for ZROZ. On fees, ZROZ is cheaper at 0.15% per year. On volatility, PMBS has been the lower-risk option at 1.52%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, PMBS has performed better with a 7.55% return vs 3.89%. 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 0.71% for PMBS.
ZROZ has the higher dividend yield at 5.15%, compared with 4.98% for PMBS.
PMBS is categorized as Mortgage Backed Securities, while ZROZ is Government Bonds. Their fees differ too: 0.71% for PMBS and 0.15% for ZROZ.
PMBS currently has the higher Sharpe Ratio (1.80 vs 0.24), 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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