ZROZ vs. SPY

Last updated Jul 23, 2026

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 -5.13%/yr vs 14.98%/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

The chart below illustrates the hypothetical performance of a $10,000 investment in PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ZROZ achieves a -4.35% return, which is significantly lower than SPY's 10.19% return. Over the past 10 years, ZROZ has underperformed SPY with an annualized return of -5.13%, while SPY has yielded a comparatively higher 14.98% annualized return.

ZROZ

• 1D: -0.30%
• 1M: -5.27%
• 6M: -4.38%
• YTD: -4.35%
• 1Y: -1.96%
• 3Y*: -8.67%
• 5Y*: -13.79%
• 10Y*: -5.13%
• ALL TIME*: 1.88%

SPY

• 1D: -0.12%
• 1M: 0.41%
• 6M: 9.63%
• YTD: 10.19%
• 1Y: 20.17%
• 3Y*: 19.71%
• 5Y*: 12.70%
• 10Y*: 14.98%
• ALL TIME*: 10.80%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
SPY State Street SPDR S&P 500 ETF	$32.36B	$36.77B	$38.40B
ZROZ PIMCO 25+ Year Zero Coupon US Treasury Index Fund	$47.36M	$45.66M	$38.49M

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	-4.35%	-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	10.19%	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 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.18
Correlation (3Y) Calculated over the trailing 3-year period	0.16
Correlation (5Y) Calculated over the trailing 5-year period	0.08
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 0.18 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

ZROZ vs. SPY — Risk / Return Rank

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

ZROZ

ZROZ Risk / Return Rank: 9
ZROZ Sharpe Ratio Rank: 9
ZROZ Sortino Ratio Rank: 9
ZROZ Omega Ratio Rank: 9
ZROZ Calmar Ratio Rank: 9
ZROZ Martin Ratio Rank: 9

SPY

SPY Risk / Return Rank: 64
SPY Sharpe Ratio Rank: 64
SPY Sortino Ratio Rank: 62
SPY Omega Ratio Rank: 62
SPY Calmar Ratio Rank: 60
SPY Martin Ratio Rank: 72

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. 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 ratio: Return per unit of total volatility	-0.13	1.60	-1.73
Sortino ratio: Return per unit of downside risk	-0.08	2.23	-2.30
Omega ratio: Gain probability vs. loss probability	0.99	1.29	-0.30
Calmar ratio: Return relative to maximum drawdown	-0.14	2.28	-2.42
Martin ratio: Return relative to average drawdown	-0.29	9.88	-10.16

ZROZ vs. SPY - Sharpe Ratio Comparison

The current ZROZ Sharpe Ratio is -0.13, which is lower than the SPY Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of ZROZ and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	ZROZ	SPY	Difference
Max Drawdown Largest 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	-26.73%	-18.76%	-7.97%
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 Drawdown Current decline from peak	-61.26%	-1.35%	-59.91%
Average Drawdown Average peak-to-trough decline	-24.32%	-9.02%	-15.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.85%	2.05%	+4.80%

Volatility

ZROZ vs. SPY - Volatility Comparison

PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a higher volatility of 3.86% compared to State Street SPDR S&P 500 ETF (SPY) at 3.38%. 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.

Volatility by Period

	ZROZ	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.86%	3.38%	+0.48%
Volatility (6M) Calculated over the trailing 6-month period	10.74%	9.86%	+0.88%
Volatility (1Y) Calculated over the trailing 1-year period	15.47%	12.64%	+2.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.73%	17.15%	+6.58%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.95%	17.93%	+4.02%

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 5.43%, 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	5.43%	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 SPY in my portfolio?

ZROZ and SPY have a correlation of 0.18, 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 SPY?

ZROZ has higher volatility (3.86%) compared to SPY (3.38%). In terms of maximum drawdown, ZROZ dropped -62.93% vs SPY's -55.19%.

Which ETF is better, ZROZ or SPY?

On 10-year performance, SPY leads with 14.98% vs -5.13% for ZROZ. On fees, SPY is cheaper at 0.09% per year. On volatility, SPY has been the lower-risk option at 3.38%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ZROZ or SPY?

Over the 10-year period, SPY has performed better with a 14.98% return vs -5.13%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ZROZ or SPY?

SPY is cheaper with a 0.09% expense ratio, compared with 0.15% for ZROZ.

Which ETF pays a higher dividend yield, ZROZ or SPY?

ZROZ has the higher dividend yield at 5.43%, compared with 1.01% for SPY.

What is the main difference between ZROZ and 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.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (1.60 vs -0.13), 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.