ZROZ vs. ^TNX
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, while ^TNX (Cboe 10-Year Treasury Note Yield Index) is an index. Over the past 10 years, ZROZ returned -5.40%/yr vs 11.93%/yr for ^TNX. Their -0.85 correlation means they have often moved in opposite directions in the past.
Performance
ZROZ vs. ^TNX - Performance Comparison
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Returns By Period
In the year-to-date period, ZROZ achieves a -7.23% return, which is significantly lower than ^TNX's 13.98% return. Over the past 10 years, ZROZ has underperformed ^TNX with an annualized return of -5.40%, while ^TNX has yielded a comparatively higher 11.93% annualized return.
ZROZ
- 1D
- -1.24%
- 1M
- -7.20%
- 6M
- -6.41%
- YTD
- -7.23%
- 1Y
- -7.54%
- 3Y*
- -8.06%
- 5Y*
- -14.47%
- 10Y*
- -5.40%
- ALL TIME*
- 1.69%
^TNX
- 1D
- 1.76%
- 1M
- 5.80%
- 6M
- 11.88%
- YTD
- 13.98%
- 1Y
- 12.44%
- 3Y*
- 5.41%
- 5Y*
- 30.81%
- 10Y*
- 11.93%
- ALL TIME*
- -0.89%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $41.31M | $45.82M | $40.38M |
ZROZ vs. ^TNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | -7.23% | -1.84% | -16.18% | 1.19% | -41.28% | -5.22% | 24.57% | 21.22% | -5.43% | 14.77% |
^TNX Cboe 10-Year Treasury Note Yield Index | 13.98% | -8.97% | 18.29% | -0.34% | 156.55% | 64.89% | -52.21% | -28.56% | 11.68% | -1.68% |
Correlation
The correlation between ZROZ and ^TNX is -0.80, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.80 |
Correlation (3Y) Balances recent behavior with more history. | -0.86 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.84 |
Correlation (10Y) Provides a long-term view across more market conditions. | -0.84 |
Correlation (All Time) Calculated using the full available price history since Nov 4, 2009 | -0.85 |
The correlation between ZROZ and ^TNX has been stable across timeframes, ranging from -0.86 to -0.80 - a consistent structural relationship.
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Return for Risk
ZROZ vs. ^TNX — Risk / Return Rank
ZROZ
^TNX
ZROZ vs. ^TNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) and Cboe 10-Year Treasury Note Yield Index (^TNX). 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.
| ZROZ | ^TNX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.98 | ||
| Sortino ratioReturn per unit of downside risk | -1.37 | ||
| Omega ratioGain probability vs. loss probability | 0.95 | 1.11 | -0.16 |
| Calmar ratioReturn relative to maximum drawdown | -0.39 | 0.99 | -1.39 |
| Martin ratioReturn relative to average drawdown | -0.82 | 2.04 | -2.86 |
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Drawdowns
ZROZ vs. ^TNX - Drawdown Comparison
The maximum ZROZ drawdown since its inception was -62.93%, smaller than the maximum ^TNX drawdown of -96.85%. Use the drawdown chart below to compare losses from any high point for ZROZ and ^TNX.
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Drawdown Indicators
| ZROZ | ^TNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.93% | -96.85% | +33.92% |
Max Drawdown (1Y)Largest decline over 1 year | -14.90% | -8.94% | -5.96% |
Max Drawdown (3Y)Largest decline over 3 years | -26.42% | -27.41% | +0.99% |
Max Drawdown (5Y)Largest decline over 5 years | -57.98% | -27.41% | -30.57% |
Max Drawdown (10Y)Largest decline over 10 years | -62.93% | -84.57% | +21.64% |
Current DrawdownCurrent decline from peak | -62.42% | -70.04% | +7.62% |
Average DrawdownAverage peak-to-trough decline | -24.38% | -55.04% | +30.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 7.18% | 4.64% | +2.54% |
Volatility
ZROZ vs. ^TNX - Volatility Comparison
PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a higher volatility of 4.20% compared to Cboe 10-Year Treasury Note Yield Index (^TNX) at 3.64%. This indicates that ZROZ's price experiences larger fluctuations and is considered to be riskier than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZROZ | ^TNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.20% | 3.64% | +0.56% |
Volatility (6M)Calculated over the trailing 6-month period | 11.11% | 11.05% | +0.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.45% | 14.89% | +0.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.76% | 31.23% | -7.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.96% | 47.62% | -25.66% |
Frequently Asked Questions
ZROZ and ^TNX 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 (4.20%) compared to ^TNX (3.64%). In terms of maximum drawdown, ZROZ dropped -62.93% vs ^TNX's -96.85%.
^TNX currently has the higher Sharpe Ratio (0.60 vs -0.38), 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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