ZROZ vs. SPY
ZROZ (PIMCO 25+ Year Zero Coupon US Treasury Index Fund) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - ZROZ is a Government Bonds fund tracking the ICE BofA Long U.S. Treasury Principal STRIPS Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past 10 years, ZROZ returned -4.85%/yr vs 15.35%/yr for SPY. At a correlation of -0.24, they often move in opposite directions. ZROZ charges 0.15%/yr vs 0.09%/yr for SPY.
Performance
ZROZ vs. SPY - Performance Comparison
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Returns By Period
In the year-to-date period, ZROZ achieves a -0.02% return, which is significantly lower than SPY's 9.94% return. Over the past 10 years, ZROZ has underperformed SPY with an annualized return of -4.85%, while SPY has yielded a comparatively higher 15.35% annualized return.
ZROZ
- 1D
- -1.07%
- 1M
- 1.02%
- 6M
- -0.02%
- YTD
- -0.02%
- 1Y
- -1.24%
- 3Y*
- -7.80%
- 5Y*
- -12.45%
- 10Y*
- -4.85%
SPY
- 1D
- -0.14%
- 1M
- -1.43%
- 6M
- 9.94%
- YTD
- 9.94%
- 1Y
- 22.08%
- 3Y*
- 20.42%
- 5Y*
- 12.97%
- 10Y*
- 15.35%
ZROZ vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | -0.02% | -1.84% | -16.18% | 1.19% | -41.28% | -5.22% | 24.57% | 21.22% | -5.43% | 14.77% |
SPY State Street SPDR S&P 500 ETF | 9.94% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Correlation
The correlation between ZROZ and SPY is 0.19, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.19 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.17 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.07 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.08 |
Correlation (All Time) Calculated using the full available price history since Nov 4, 2009 | -0.24 |
The correlation between ZROZ and SPY shifts across timeframes, from -0.24 (all time) to 0.19 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
ZROZ vs. SPY — Risk / Return Rank
ZROZ
SPY
ZROZ vs. SPY - 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 State Street 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.
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 | SPY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.85 | ||
| Sortino ratioReturn per unit of downside risk | -2.43 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.32 | -0.32 |
| Calmar ratioReturn relative to maximum drawdown | -0.09 | 2.50 | -2.59 |
| Martin ratioReturn relative to average drawdown | -0.19 | 10.92 | -11.11 |
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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.
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Drawdown Indicators
| ZROZ | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.93% | -55.19% | -7.74% |
Max Drawdown (1Y)Largest decline over 1 year | -14.02% | -8.88% | -5.14% |
Max Drawdown (3Y)Largest decline over 3 years | -28.21% | -18.76% | -9.45% |
Max Drawdown (5Y)Largest decline over 5 years | -57.98% | -24.50% | -33.48% |
Max Drawdown (10Y)Largest decline over 10 years | -62.93% | -33.72% | -29.21% |
Current DrawdownCurrent decline from peak | -59.51% | -1.57% | -57.94% |
Average DrawdownAverage peak-to-trough decline | -24.20% | -9.03% | -15.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 6.48% | 2.03% | +4.45% |
Volatility
ZROZ vs. SPY - Volatility Comparison
The current volatility for PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) is 4.67%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 5.16%. This indicates that ZROZ experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ZROZ | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.67% | 5.16% | -0.49% |
Volatility (6M)Calculated over the trailing 6-month period | 11.08% | 9.96% | +1.12% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.85% | 12.54% | +3.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 23.84% | 17.17% | +6.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.99% | 17.93% | +4.06% |
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%.
Dividends
ZROZ vs. SPY - Dividend Comparison
ZROZ's dividend yield for the trailing twelve months is around 5.19%, more than SPY's 1.01% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPY State Street SPDR S&P 500 ETF | 1.01% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund | 5.19% | 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 SPY have a correlation of 0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPY has higher volatility (5.16%) compared to ZROZ (4.67%). In terms of maximum drawdown, ZROZ dropped -62.93% vs SPY's -55.19%.
On 10-year performance, SPY leads with 15.35% vs -4.85% for ZROZ. On fees, SPY is cheaper at 0.09% per year. On volatility, ZROZ has been the lower-risk option at 4.67%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 10-year period, SPY has performed better with a 15.35% return vs -4.85%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPY is cheaper with a 0.09% expense ratio, compared with 0.15% for ZROZ.
ZROZ has the higher dividend yield at 5.19%, compared with 1.01% for SPY.
ZROZ is categorized as Government Bonds, while SPY is S&P 500. ZROZ tracks ICE BofA Long U.S. Treasury Principal STRIPS Index, while SPY tracks S&P 500 Index. They also come from different issuers: PIMCO and State Street. Their fees differ too: 0.15% for ZROZ and 0.09% for SPY.
SPY currently has the higher Sharpe Ratio (1.77 vs -0.08), 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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