As for now, I haven't read any contemporary study on Zarathustra, which contains so many references to all of the available sources on the topic. Even the bibliography of the Loeb's work could be awarded with 5 stars, not to mention his innovative approach to the problem of eternal recurrence. If we speak about the depth of Loeb's insights, perhaphs only the much praised Lampert's work (Nietzsche's Teaching) comes to my mind.