ZROZ vs. FMSFX

Last updated Jun 4, 2026

ZROZ (PIMCO 25+ Year Zero Coupon US Treasury Index Fund) and FMSFX (Fidelity Mortgage Securities Fund) are both funds - ZROZ is a Government Bonds fund tracking the ICE BofA Long U.S. Treasury Principal STRIPS Index, while FMSFX is a Total Bond Market fund managed by Fidelity. Over the past 10 years, ZROZ returned -4.15%/yr vs 1.30%/yr for FMSFX. A 0.68 correlation means they provide meaningful diversification when combined. ZROZ charges 0.15%/yr vs 0.45%/yr for FMSFX.

Performance

ZROZ vs. FMSFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) and Fidelity Mortgage Securities Fund (FMSFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ZROZ achieves a -1.07% return, which is significantly lower than FMSFX's 0.97% return. Over the past 10 years, ZROZ has underperformed FMSFX with an annualized return of -4.15%, while FMSFX has yielded a comparatively higher 1.30% annualized return.

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%

FMSFX

• 1D: 0.00%
• 1M: 0.52%
• YTD: 0.97%
• 6M: 1.07%
• 1Y: 6.99%
• 3Y*: 4.46%
• 5Y*: 0.22%
• 10Y*: 1.30%

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

ZROZ vs. FMSFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund	-1.07%	-1.84%	-16.18%	1.19%	-41.28%	-5.22%	24.57%	21.22%	-5.43%	14.77%
FMSFX Fidelity Mortgage Securities Fund	0.97%	8.29%	1.00%	4.91%	-12.61%	-1.20%	4.41%	6.43%	0.79%	2.35%

Correlation

The correlation between ZROZ and FMSFX is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.74
Correlation (3Y) Calculated over the trailing 3-year period	0.81
Correlation (5Y) Calculated over the trailing 5-year period	0.78
Correlation (10Y) Calculated over the trailing 10-year period	0.72
Correlation (All Time) Calculated using the full available price history since Nov 5, 2009	0.68

The correlation between ZROZ and FMSFX shifts across timeframes, from 0.68 (all time) to 0.81 (3 years), reflecting how their relationship changes across market environments.

Return for Risk

ZROZ vs. FMSFX — Risk / Return Rank

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

ZROZ

ZROZ Risk / Return Rank: 12
ZROZ Sharpe Ratio Rank: 12
ZROZ Sortino Ratio Rank: 12
ZROZ Omega Ratio Rank: 11
ZROZ Calmar Ratio Rank: 12
ZROZ Martin Ratio Rank: 12

FMSFX

FMSFX Risk / Return Rank: 39
FMSFX Sharpe Ratio Rank: 37
FMSFX Sortino Ratio Rank: 40
FMSFX Omega Ratio Rank: 37
FMSFX Calmar Ratio Rank: 43
FMSFX Martin Ratio Rank: 38

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.

ZROZ vs. FMSFX - 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 Fidelity Mortgage Securities Fund (FMSFX). 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.

	ZROZ	FMSFX	Difference
Sharpe ratio: Return per unit of total volatility	0.24	1.76	-1.52
Sortino ratio: Return per unit of downside risk	0.47	2.66	-2.19
Omega ratio: Gain probability vs. loss probability	1.05	1.32	-0.27
Calmar ratio: Return relative to maximum drawdown	0.28	2.50	-2.22
Martin ratio: Return relative to average drawdown	0.64	8.25	-7.61
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ZROZ vs. FMSFX - Sharpe Ratio Comparison

The current ZROZ Sharpe Ratio is 0.24, which is lower than the FMSFX Sharpe Ratio of 1.76. The chart below compares the historical Sharpe Ratios of ZROZ and FMSFX, 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

	ZROZ	FMSFX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.24	1.76	-1.52
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	-0.49	0.03	-0.52
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	-0.19	0.25	-0.44
Sharpe Ratio (All Time) Calculated using the full available price history	0.09	1.02	-0.93

Drawdowns

ZROZ vs. FMSFX - Drawdown Comparison

The maximum ZROZ drawdown since its inception was -62.93%, which is greater than FMSFX's maximum drawdown of -18.81%. Use the drawdown chart below to compare losses from any high point for ZROZ and FMSFX.

Drawdown Indicators

	ZROZ	FMSFX	Difference
Max Drawdown Largest peak-to-trough decline	-62.93%	-18.81%	-44.12%
Max Drawdown (1Y) Largest decline over 1 year	-14.02%	-2.81%	-11.21%
Max Drawdown (3Y) Largest decline over 3 years	-28.62%	-8.04%	-20.58%
Max Drawdown (5Y) Largest decline over 5 years	-57.98%	-18.66%	-39.32%
Max Drawdown (10Y) Largest decline over 10 years	-62.93%	-18.81%	-44.12%
Current Drawdown Current decline from peak	-59.93%	-1.11%	-58.82%
Average Drawdown Average peak-to-trough decline	-24.04%	-1.92%	-22.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.12%	0.85%	+5.27%

Volatility

ZROZ vs. FMSFX - Volatility Comparison

PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a higher volatility of 4.46% compared to Fidelity Mortgage Securities Fund (FMSFX) at 1.49%. This indicates that ZROZ's price experiences larger fluctuations and is considered to be riskier than FMSFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ZROZ	FMSFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.46%	1.49%	+2.97%
Volatility (6M) Calculated over the trailing 6-month period	10.54%	2.80%	+7.74%
Volatility (1Y) Calculated over the trailing 1-year period	16.25%	3.99%	+12.26%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.90%	6.79%	+17.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.06%	5.13%	+16.93%

ZROZ vs. FMSFX - Expense Ratio Comparison

ZROZ has a 0.15% expense ratio, which is lower than FMSFX's 0.45% expense ratio.

Dividends

ZROZ vs. FMSFX - Dividend Comparison

ZROZ's dividend yield for the trailing twelve months is around 5.15%, more than FMSFX's 3.90% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FMSFX Fidelity Mortgage Securities Fund	3.90%	3.93%	4.12%	3.50%	1.43%	0.62%	2.40%	2.62%	2.57%	2.60%	2.65%	2.05%
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

Can I hold both ZROZ and FMSFX in my portfolio?

ZROZ and FMSFX have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ZROZ or FMSFX?

ZROZ has higher volatility (4.46%) compared to FMSFX (1.49%). In terms of maximum drawdown, ZROZ dropped -62.93% vs FMSFX's -18.81%.

Which has better risk-adjusted returns?

FMSFX currently has the higher Sharpe Ratio (1.76 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.