ZROZ vs. PHYS
Compare and contrast key facts about PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) and Sprott Physical Gold Trust (PHYS).
ZROZ is a passively managed fund by PIMCO that tracks the performance of the BofA Merrill Lynch Long Treasury Principal STRIPS Index. It was launched on Oct 30, 2009.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ZROZ or PHYS.
Key characteristics
| ZROZ | PHYS | |
|---|---|---|
| YTD Return | -11.19% | 24.92% |
| 1Y Return | 7.27% | 30.41% |
| 3Y Return (Ann) | -18.96% | 10.69% |
| 5Y Return (Ann) | -9.43% | 11.04% |
| 10Y Return (Ann) | -1.37% | 7.30% |
| Sharpe Ratio | 0.30 | 2.14 |
| Sortino Ratio | 0.58 | 2.77 |
| Omega Ratio | 1.07 | 1.37 |
| Calmar Ratio | 0.12 | 3.87 |
| Martin Ratio | 0.69 | 13.34 |
| Ulcer Index | 10.13% | 2.36% |
| Daily Std Dev | 23.24% | 14.71% |
| Max Drawdown | -62.93% | -48.16% |
| Current Drawdown | -56.28% | -8.13% |
Correlation
The correlation between ZROZ and PHYS is 0.21, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
ZROZ vs. PHYS - Performance Comparison
In the year-to-date period, ZROZ achieves a -11.19% return, which is significantly lower than PHYS's 24.92% return. Over the past 10 years, ZROZ has underperformed PHYS with an annualized return of -1.37%, while PHYS has yielded a comparatively higher 7.30% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ZROZ vs. PHYS - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) and Sprott Physical Gold Trust (PHYS). 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.
Dividends
ZROZ vs. PHYS - Dividend Comparison
ZROZ's dividend yield for the trailing twelve months is around 4.19%, while PHYS has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 4.19% | 3.52% | 2.76% | 1.60% | 1.68% | 2.22% | 2.91% | 2.53% | 3.00% | 2.98% | 2.00% | 4.28% |
PHYS Sprott Physical Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
ZROZ vs. PHYS - Drawdown Comparison
The maximum ZROZ drawdown since its inception was -62.93%, which is greater than PHYS's maximum drawdown of -48.16%. Use the drawdown chart below to compare losses from any high point for ZROZ and PHYS. For additional features, visit the drawdowns tool.
Volatility
ZROZ vs. PHYS - Volatility Comparison
PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a higher volatility of 8.83% compared to Sprott Physical Gold Trust (PHYS) at 5.67%. This indicates that ZROZ's price experiences larger fluctuations and is considered to be riskier than PHYS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.