ZROZ Fund Description

The PIMCO 25+ Year Zero Coupon U.S. Treasury Index Fund tracks a market-weighted index comprising separate trading of registered interest and principal of Securities (STRIPs), with a remaining maturity of 25 years+.

ZROZ ETF.com Insight

Expect a wild ride here: ZROZ’s high-duration play makes it hypersensitive to every twitch in interest rates. It tracks an index of long-term Treasurys with coupon cash flows removed,particularly sensitive to interest-rate risk leaving only the principal repayment at the end. Called STRIPs, these securities are sold at deep discount to face value and make no interest payments until they mature at par. Since STRIPs are zero coupon bonds, they are particularly sensitive to interest-rate risk. As a result, the fund's effective duration is much higher than our benchmark, which in turn produces volatile results compared with vanilla long-dated Treasurys. Costs are also unpredictable as ZROZ tracks its index poorly and isn’t easy to trade. Despite the lack of coupons from the underlying zeroes, the fund itself makes quarterly distributions with proceeds from bonds sold at rebalance. (Insight updated 09/30/2014)

1 Year

Performance [as of 12/18/14]
1 Month
3 Month
YTD
1 Year
3 Years
5 Years
10 Years

ZROZ
7.62% 18.22% 45.34% 45.22% 4.80% 14.67% --

ZROZ (NAV)
7.53% 17.62% 46.05% 44.71% 4.69% 14.48% --

-- -- -- -- -- -- --
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

ZROZ Top 10 Countries

ZROZ Top 10 Sectors

ZROZ Top 10 Holdings

ZROZ Summary Data

Issuer PIMCO

A company that produces and manages ETFs.

Inception Date 10/30/09

The first date of a fund's operations, as documented by the issuer.

Legal Structure Open-Ended Fund

The organizational structure of the fund or ETN.

Expense Ratio 0.15%

The net total annual fee a fund holder pays to the issuer.

Assets Under Management $90.47 M

The market value of total assets that a fund has accumulated and now manages on behalf of investors.

Average Daily $ Volume $4.34 M

It is the daily dollar value of shares traded, averaged over the past 45 trading days.

(60-Day) | The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 60 days, as a percent." href="javascript:void(0)" class="term">Average Spread (60-Day) 0.39%

The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 60 days, as a percent.

ZROZ Portfolio Data

Duration 29.2

Price sensitivity in percentage to a 100 basis point parallel shift (up or down) in interest rates.

Weighted Avg. Maturity 27.4 Years

The weighted average of remaining time until maturity for all securities in the portfolio.

Yield to Maturity 3.31%

The weighted average yield if all securities in the portfolio were held until maturity. Assumes that interest can be reinvested at YTM rate.

Next Ex-Dividend Date 12/29/14

The date on which a security's price excludes an upcoming dividend.

Number of Holdings 20

The number of securities held in the fund as of ETF.com’s analysis date, based on issuer portfolios or the creation basket. If an ETF holds other ETFs, we count every constituent, looking through the ETF wrapper.

ZROZ Index Data

Index Tracked BofA Merrill Lynch Long Treasury Principal STRIPS Index

This is the benchmark an ETF is desigend to track or replicate.

Index Weighting Methodology Market Value

A set of rules that the underlying index provider follows to weight its constituent securities.

Index Selection Methodology Market Value

A set of rules that the underlying index provider follows to select its constituent securities.

Segment Benchmark Barclays Long U.S.
Treasury Index

This is the index that we have chosen as the best-in-class gauge for each segment's broad market.

Related ETFs to ZROZ

Top Competing ETFs TLT, EDV, TLH, TLO

ETFs from within the same segment or closely related segments with similar investment objectives or market exposures.

ZROZ Commentary & News

4 November 2014
10 Best Performing ETFs Year To Date | ETF.com
Cinthia Murphy

ZROZ ETF.com Efficiency Insight

ZROZ tracks its index well on a median basis but has shown wide variability. Rolling 12 month return differences between the fund and its index vary across a staggering 3% range. Tracking volatility is a common issue for STRIPS funds. Due to a structural mismatch in index and NAV valuation timing, a slight change to yields can result in huge tracking error for ultra-long duration products like ZROZ. (Insight updated 09/30/2014)

Total Return - 09/30/2014

Performance [as of 09/30/14]
1 Month
3 Month
YTD
1 Year
3 Years
5 Years
10 Years

ZROZ
-3.27% 5.46% 28.99% 23.02% 1.73% -- --

ZROZ (NAV)
-3.10% 5.53% 29.90% 23.14% 1.59% -- --

BofA Merrill Lynch Long Treasury Principal STRIPS Index
-2.92% 5.25% 29.33% 23.01% 1.66% 8.94% 8.72%

Barclays Long U.S. Treasury Index
-1.86% 2.69% 15.15% 11.60% 1.99% 6.98% 6.80%
All returns over 1 year are annualized. All returns are total returns unless otherwise stated.

ZROZ Portfolio Management

Expense Ratio 0.15%

The net total annual fee a fund holder pays to the issuer.

(12 Mo) | Compares returns of the fund's NAV to its underlying index for a daily series of overlapping 12 month periods. The median is the middle value of the results." href="javascript:void(0)" class="term">Median Tracking Difference (12 Mo) -0.06%

Compares returns of the fund's NAV to its underlying index for a daily series of overlapping 12 month periods. The median is the middle value of the results.

ZROZ Tax exposures

Max LT/ST Capital Gains Rate 20.00% / 39.60%

The maximum long-term and short-term U.S. tax rates applicable to a realized capital gain.

Tax on Distributions N/A

IRS treatment of the majority of the fund's distributions.

Distributes K1 No

ETFs that are structured as commodities pools and classified as limited partnerships by the IRS will issue K-1 forms to holders.

ZROZ Fund Structure

Legal Structure Open-Ended Fund

The organizational structure of the fund or ETN.

OTC Derivative Use No

An indicator of whether a fund uses over-the-counter derivatives such as swaps or forwards to achieve its objectives.

Securities Lending Active No

An indicator of whether or not a fund actively lends its portfolio holdings.

ETN Counterparty N/A

The institution responsible for providing the return of the stated index and whose credit is the sole backing of the ETN.

ETN Counterparty Risk N/A

The risk of default by the ETN counterparty.

Fund Closure Risk Low

The likelihood that an issuer will shut down a fund for business or regulatory reasons.

Portfolio Disclosure Daily

The frequency of an issuer's disclosure of all fund holdings.

ZROZ ETF.com Tradability Insight

ZROZ has decent liquidity. On a typical day about $1M changes hands at wide spreads, making the fund comparatively expensive for retail investors to access. Well-placed limit orders can help smaller investors managing costs. Large traders may fare better with the help of liquidity providers. Despite the STRIPS market is less liquid than coupon-bearing Treasury, liquidity providers can always assemble or disassemble STRIPS as necessary. (Insight updated 09/30/2014)

Average Spread

Premium/Discount

Volume

ZROZ ETF.com/ Block LiquidityAs of 12/19/2014

5
4
3
2
1

This measurement shows how easy it is to trade 25,000 shares of ZROZ. ZROZ is rated a 5 out of 5.

ZROZ Tradability

Avg. Daily Share Volume 38,709

It is the daily number of shares traded, averaged over the past 45 trading days.

Average Daily $ Volume $4.34 M

It is the daily dollar value of shares traded, averaged over the past 45 trading days.

Median Daily Share Volume 12,365

Median number of shares traded over the past 45 trading days.

(%) | The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 45 days, as a percent." href="javascript:void(0)" class="term">Average Spread (%) 0.39%

The difference between the highest price a market participant is willing to pay to buy an ETF and the lowest price at which a market participant is willing to sell an ETF, averaged over the past 45 days, as a percent.

($) | The difference between the highest and lowest posted prices for an ETF, averaged over the past 45 days, in dollars." href="javascript:void(0)" class="term">Average Spread ($) $0.45

The difference between the highest and lowest posted prices for an ETF, averaged over the past 45 days, in dollars.

(12 Mo) | The greatest amount that the market price exceeded (premium) and fell below (discount) its fair value/net asset value (NAV) over a maximum 12-month period." href="javascript:void(0)" class="term">Max. Premium / Discount (12 Mo) 1.47% / -1.01%

The greatest amount that the market price exceeded (premium) and fell below (discount) its fair value/net asset value (NAV) over a maximum 12-month period.

Impediment to Creations None

This flags whether there is currently a systemic issue that has restricted the ability to create or redeem shares of the fund. This may be imposed by the fund's issuer, or by external circumstances.

Market Hours Overlap 100.00%

The percent of time that the underlying securities of an ETF are open to trading while US exchanges are open.

(Shares) | The smallest block of ETF shares that an Authorized Participant can either create or redeem at net asset value (NAV) with the issuer in exchange for the underlying shares of the fund." href="javascript:void(0)" class="term">Creation Unit Size (Shares) 80,000

The smallest block of ETF shares that an Authorized Participant can either create or redeem at net asset value (NAV) with the issuer in exchange for the underlying shares of the fund.

(45 Day Average) | The median 45 day share volume divided by the creation unit size of the fund. The higher the number, the more likely that liquidity providers will trade the fund in size, or in odd lots." href="javascript:void(0)" class="term">Creation Unit/Day (45 Day Average) 0.15

The median 45 day share volume divided by the creation unit size of the fund. The higher the number, the more likely that liquidity providers will trade the fund in size, or in odd lots.

(%) | The standard fee to create or redeem 1 creation unit of an ETF as a percentage of the dollar value of 1 creation unit." href="javascript:void(0)" class="term">Creation Unit Cost (%) 0.01%

The standard fee to create or redeem 1 creation unit of an ETF as a percentage of the dollar value of 1 creation unit.

Open Interest on ETF Options 301

The total number of net outstanding options contracts for an ETF.

ETF.com Implied Liquidity 5

An estimate of liquidity for the underlying baskets of securities, scaled 1 to 5.

ZROZ ETF.com Fit Insight

ZROZ tracks an index of long-term zero-coupon Treasurys. By design, the fund heavily overweights the long end of the curve—its entire portfolio is invested in zero-coupon bonds due to mature in 25+ years, without any interim coupon payments. Not surprisingly, ZROZ’s duration approaches twice of our benchmark, which in turn produces very volatile performance. However, for investors looking for pure duration bet, look no further. (Insight updated 09/30/2014)

ZROZ Sector/Industry Breakdown

Sector ZROZ Segment Benchmark
Treasury 100.00% 100.00%

ZROZ Top 10 Holdings

ZROZ Top 5 Countries

United States 100.00% 100.00%

ZROZ Top 5 Currencies

USD 100.00% 100.00%

Developed Market Currencies 100.00% 100.00%

ZROZ Performance Statistics

Beta 1.77

The sensitivity of the returns of the fund to the movement of the ETF.com segment benchmark. Beta of 1.0 means magnitude of fund returns equals that of IU benchmark returns.

Up Beta 1.72

The comparison of a fund's return to our benchmark's for days when the benchmark is up. Ideally down beta is less than up beta while beta of 1.0 means they're equal.

Down Beta 1.75

The comparison of a fund's return to our benchmark's for days when the benchmark is down. Ideally down beta is less than up beta while beta of 1.0 means they're equal.

Downside Standard Deviation 0.48%

A measure of the variability between the fund's returns and the ETF.com segment benchmark returns on days when the fund underperforms the benchmark.

ZROZ Holdings Statistics

Sector ZROZ Segment Benchmark
Weighted Avg. Maturity 24.82 27.42

The weighted average of remaining time until maturity for all securities in the portfolio.

Effective Duration 16.83 29.22

A measure of interest rate risk. Estimates change in value to the portfolio based on a 1% parallel shift in the yield curve.

(2 year) | A measure of interest rate risk. Estimates the portfolio's sensitivity to changes in 2 year interest rates holding other rates constant." href="javascript:void(0)" class="term">Key Rate Duration (2 year) -0.03 -0.16

A measure of interest rate risk. Estimates the portfolio's sensitivity to changes in 2 year interest rates holding other rates constant.

(10 year) | A measure of interest rate risk. Estimates the portfolio's sensitivity to changes in 10 year interest rates holding other rates constant." href="javascript:void(0)" class="term">Key Rate Duration (10 year) 17.72 31.19

A measure of interest rate risk. Estimates the portfolio's sensitivity to changes in 10 year interest rates holding other rates constant.

Yield to Maturity 3.08% 3.31%

The weighted average yield if all securities in the portfolio were held until maturity. Assumes that interest can be reinvested at YTM rate.

Credit Spread Duration 0.00 0.00

Price sensitivity in percentage to a 100 basis point change (widening or narrowing) of spread relative to Treasury spot curve.

Concentration Medium High

The Herfindahl Index number – a metric of portfolio concentration where higher numbers mean higher concentration of holdings.

Number of Holdings 43 20

The number of securities held in the fund as of ETF.com’s analysis date, based on issuer portfolios or the creation basket. If an ETF holds other ETFs, we count every constituent, looking through the ETF wrapper.

Weighted Avg. Credit AAA AAA

Market–value–weighted average credit quality of the portfolio.

ZROZ Maturity Distribution

0 - 1 Year 0.00% 0.00%

Percent of the portfolio's exposure to securities with 0 - 1 years until maturity.

1 - 3 Years 0.00% 0.00%

Percent of the portfolio's exposure to securities with 1 - 3 years until maturity.

3 - 5 Years 0.00% 0.00%

Percent of the portfolio's exposure to securities with 3 - 5 years until maturity.

5 - 7 Years 0.00% 0.00%

Percent of the portfolio's exposure to securities with 5 - 7 years until maturity.

7 - 10 Years 0.00% 0.00%

Percent of the portfolio's exposure to securities with 7 - 10 years until maturity

10+ Years 100.00% 100.00%

Percent of the portfolio's exposure to securities with 10+ years until maturity.

ZROZ Credit Breakdown

AAA 100.00% 100.00%

Percent of portfolio's exposure to AAA rated bonds (Investment Grade).

AA 0.00% 0.00%

Percent of portfolio's exposure to AA rated bonds (Investment Grade).

A 0.00% 0.00%

Percent of portfolio's exposure to A rated bonds (Investment Grade).

BBB 0.00% 0.00%

Percent of portfolio's exposure to BBB rated bonds (Investment Grade).

BB 0.00% 0.00%

Percent of portfolio's exposure to BB rated bonds (High Yield).

B 0.00% 0.00%

Percent of portfolio's exposure to B rated bonds (High Yield).

CCC 0.00% 0.00%

Percent of portfolio's exposure to CCC rated bonds (High Yield).

CC 0.00% 0.00%

Percent of portfolio's exposure to CC rated bonds (High Yield).

C 0.00% 0.00%

Percent of portfolio's exposure to C rated bonds (High Yield).