ZROZ vs. SPY
Compare and contrast key facts about PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) and SPDR S&P 500 ETF (SPY).
ZROZ and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both ZROZ and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ZROZ or SPY.
Key characteristics
| ZROZ | SPY | |
|---|---|---|
| YTD Return | -12.98% | 26.83% |
| 1Y Return | 1.84% | 34.88% |
| 3Y Return (Ann) | -19.49% | 10.16% |
| 5Y Return (Ann) | -9.77% | 15.71% |
| 10Y Return (Ann) | -1.57% | 13.33% |
| Sharpe Ratio | 0.22 | 3.08 |
| Sortino Ratio | 0.47 | 4.10 |
| Omega Ratio | 1.05 | 1.58 |
| Calmar Ratio | 0.09 | 4.46 |
| Martin Ratio | 0.50 | 20.22 |
| Ulcer Index | 10.18% | 1.85% |
| Daily Std Dev | 23.32% | 12.18% |
| Max Drawdown | -62.93% | -55.19% |
| Current Drawdown | -57.16% | -0.26% |
Correlation
The correlation between ZROZ and SPY is -0.28. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
ZROZ vs. SPY - Performance Comparison
In the year-to-date period, ZROZ achieves a -12.98% return, which is significantly lower than SPY's 26.83% return. Over the past 10 years, ZROZ has underperformed SPY with an annualized return of -1.57%, while SPY has yielded a comparatively higher 13.33% 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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ZROZ vs. SPY - Expense Ratio Comparison
ZROZ has a 0.15% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.
Risk-Adjusted Performance
ZROZ vs. SPY - 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 SPDR S&P 500 ETF (SPY). 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. SPY - Dividend Comparison
ZROZ's dividend yield for the trailing twelve months is around 4.27%, more than SPY's 1.17% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 4.27% | 3.52% | 2.76% | 1.60% | 1.68% | 2.22% | 2.91% | 2.53% | 3.00% | 2.98% | 2.00% | 4.28% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
ZROZ vs. SPY - Drawdown Comparison
The maximum ZROZ drawdown since its inception was -62.93%, which is greater than SPY's maximum drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ZROZ and SPY. For additional features, visit the drawdowns tool.
Volatility
ZROZ vs. SPY - Volatility Comparison
PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a higher volatility of 8.57% compared to SPDR S&P 500 ETF (SPY) at 3.77%. This indicates that ZROZ's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.