ZROZ vs. ^TNX
Compare and contrast key facts about PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) and Treasury Yield 10 Years (^TNX).
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 ^TNX.
Key characteristics
| ZROZ | ^TNX | |
|---|---|---|
| YTD Return | -11.19% | 14.64% |
| 1Y Return | 7.27% | -4.32% |
| 3Y Return (Ann) | -18.96% | 41.23% |
| 5Y Return (Ann) | -9.43% | 19.63% |
| 10Y Return (Ann) | -1.37% | 6.71% |
| Sharpe Ratio | 0.30 | -0.18 |
| Sortino Ratio | 0.58 | -0.10 |
| Omega Ratio | 1.07 | 0.99 |
| Calmar Ratio | 0.12 | -0.08 |
| Martin Ratio | 0.69 | -0.36 |
| Ulcer Index | 10.13% | 11.89% |
| Daily Std Dev | 23.24% | 23.47% |
| Max Drawdown | -62.93% | -93.78% |
| Current Drawdown | -56.28% | -44.76% |
Correlation
The correlation between ZROZ and ^TNX is -0.86. 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. ^TNX - Performance Comparison
In the year-to-date period, ZROZ achieves a -11.19% return, which is significantly lower than ^TNX's 14.64% return. Over the past 10 years, ZROZ has underperformed ^TNX with an annualized return of -1.37%, while ^TNX has yielded a comparatively higher 6.71% 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. ^TNX - 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 Treasury Yield 10 Years (^TNX). 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.
Drawdowns
ZROZ vs. ^TNX - Drawdown Comparison
The maximum ZROZ drawdown since its inception was -62.93%, smaller than the maximum ^TNX drawdown of -93.78%. Use the drawdown chart below to compare losses from any high point for ZROZ and ^TNX. For additional features, visit the drawdowns tool.
Volatility
ZROZ vs. ^TNX - Volatility Comparison
PIMCO 25+ Year Zero Coupon US Treasury Index Fund (ZROZ) has a higher volatility of 8.83% compared to Treasury Yield 10 Years (^TNX) at 6.64%. This indicates that ZROZ's price experiences larger fluctuations and is considered to be riskier than ^TNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.