ZROZ vs. TLT
Compare and contrast key facts about PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) and iShares 20+ Year Treasury Bond ETF (TLT).
ZROZ and TLT 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. TLT is a passively managed fund by iShares that tracks the performance of the Barclays Capital U.S. 20+ Year Treasury Bond Index. It was launched on Jul 26, 2002. Both ZROZ and TLT 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 TLT.
Key characteristics
| ZROZ | TLT | |
|---|---|---|
| YTD Return | -12.98% | -6.14% |
| 1Y Return | 1.84% | 4.03% |
| 3Y Return (Ann) | -19.49% | -12.58% |
| 5Y Return (Ann) | -9.77% | -5.92% |
| 10Y Return (Ann) | -1.57% | -0.37% |
| Sharpe Ratio | 0.22 | 0.43 |
| Sortino Ratio | 0.47 | 0.70 |
| Omega Ratio | 1.05 | 1.08 |
| Calmar Ratio | 0.09 | 0.14 |
| Martin Ratio | 0.50 | 1.05 |
| Ulcer Index | 10.18% | 6.10% |
| Daily Std Dev | 23.32% | 15.01% |
| Max Drawdown | -62.93% | -48.35% |
| Current Drawdown | -57.16% | -41.52% |
Correlation
The correlation between ZROZ and TLT is 0.97, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
ZROZ vs. TLT - Performance Comparison
In the year-to-date period, ZROZ achieves a -12.98% return, which is significantly lower than TLT's -6.14% return. Over the past 10 years, ZROZ has underperformed TLT with an annualized return of -1.57%, while TLT has yielded a comparatively higher -0.37% 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. TLT - Expense Ratio Comparison
Both ZROZ and TLT have an expense ratio of 0.15%, making them cost-effective options compared to the broader market, where average expense ratios typically range from 0.3% to 0.9%.
Risk-Adjusted Performance
ZROZ vs. TLT - 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 iShares 20+ Year Treasury Bond ETF (TLT). 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. TLT - Dividend Comparison
ZROZ's dividend yield for the trailing twelve months is around 4.27%, more than TLT's 4.10% 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% |
TLT iShares 20+ Year Treasury Bond ETF | 4.10% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% | 2.67% | 3.26% |
Drawdowns
ZROZ vs. TLT - Drawdown Comparison
The maximum ZROZ drawdown since its inception was -62.93%, which is greater than TLT's maximum drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for ZROZ and TLT. For additional features, visit the drawdowns tool.
Volatility
ZROZ vs. TLT - Volatility Comparison
PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a higher volatility of 8.57% compared to iShares 20+ Year Treasury Bond ETF (TLT) at 5.07%. This indicates that ZROZ's price experiences larger fluctuations and is considered to be riskier than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.