ZROZ vs. LDI
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 LDI (loanDepot, Inc.) is a stock. Over the past 5 years, ZROZ returned -13.56%/yr vs -36.90%/yr for LDI. At a 0.18 correlation, their price movements are largely independent.
Performance
ZROZ vs. LDI - Performance Comparison
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Returns By Period
In the year-to-date period, ZROZ achieves a -3.30% return, which is significantly higher than LDI's -45.89% return.
ZROZ
- 1D
- -0.20%
- 1M
- -3.94%
- 6M
- -5.17%
- YTD
- -3.30%
- 1Y
- 1.75%
- 3Y*
- -7.99%
- 5Y*
- -13.56%
- 10Y*
- -4.96%
LDI
- 1D
- 0.00%
- 1M
- -8.94%
- 6M
- -58.05%
- YTD
- -45.89%
- 1Y
- -33.33%
- 3Y*
- -20.63%
- 5Y*
- -36.90%
- 10Y*
- —
ZROZ vs. LDI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | -3.30% | -1.84% | -16.18% | 1.19% | -41.28% | 2.46% |
LDI loanDepot, Inc. | -45.89% | 1.47% | -42.05% | 113.33% | -64.95% | -63.41% |
Correlation
The correlation between ZROZ and LDI is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.39 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.31 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Feb 11, 2021 | 0.18 |
Over the past year, ZROZ and LDI have become more correlated (0.39) than their long-term average of 0.18, meaning their price movements have been converging.
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Return for Risk
ZROZ vs. LDI — Risk / Return Rank
ZROZ
LDI
ZROZ vs. LDI - 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 loanDepot, Inc. (LDI). 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 | LDI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.48 | ||
| Sortino ratioReturn per unit of downside risk | +0.31 | ||
| Omega ratioGain probability vs. loss probability | 1.03 | 1.00 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 0.13 | -0.44 | +0.56 |
| Martin ratioReturn relative to average drawdown | 0.26 | -0.65 | +0.91 |
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Drawdowns
ZROZ vs. LDI - Drawdown Comparison
The maximum ZROZ drawdown since its inception was -62.93%, smaller than the maximum LDI drawdown of -96.47%. Use the drawdown chart below to compare losses from any high point for ZROZ and LDI.
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Drawdown Indicators
| ZROZ | LDI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.93% | -96.47% | +33.54% |
Max Drawdown (1Y)Largest decline over 1 year | -14.02% | -76.32% | +62.30% |
Max Drawdown (3Y)Largest decline over 3 years | -28.21% | -76.32% | +48.11% |
Max Drawdown (5Y)Largest decline over 5 years | -57.98% | -90.89% | +32.91% |
Max Drawdown (10Y)Largest decline over 10 years | -62.93% | — | — |
Current DrawdownCurrent decline from peak | -60.83% | -96.13% | +35.30% |
Average DrawdownAverage peak-to-trough decline | -24.28% | -87.31% | +63.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.69% | 51.60% | -44.91% |
Volatility
ZROZ vs. LDI - Volatility Comparison
The current volatility for PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) is 4.21%, while loanDepot, Inc. (LDI) has a volatility of 15.51%. This indicates that ZROZ experiences smaller price fluctuations and is considered to be less risky than LDI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZROZ | LDI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.21% | 15.51% | -11.30% |
Volatility (6M)Calculated over the trailing 6-month period | 10.97% | 47.84% | -36.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.48% | 92.13% | -76.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.79% | 77.35% | -53.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.95% | 83.29% | -61.34% |
Dividends
ZROZ vs. LDI - Dividend Comparison
ZROZ's dividend yield for the trailing twelve months is around 5.37%, while LDI has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
LDI loanDepot, Inc. | 0.00% | 0.00% | 0.00% | 0.00% | 4.85% | 17.75% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 5.37% | 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
ZROZ and LDI have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
LDI has higher volatility (15.51%) compared to ZROZ (4.21%). In terms of maximum drawdown, ZROZ dropped -62.93% vs LDI's -96.47%.
ZROZ currently has the higher Sharpe Ratio (0.11 vs -0.37), 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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