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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Parametric Volatility Risk Premium - Defensive Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Parametric Volatility Risk Premium - Defensive Fund (EIVPX) has returned -2.03% so far this year and 12.43% over the past 12 months.
Parametric Volatility Risk Premium - Defensive Fund
- 1D
- -0.12%
- 1M
- -3.53%
- YTD
- -2.03%
- 6M
- 1.22%
- 1Y
- 12.43%
- 3Y*
- 12.57%
- 5Y*
- 9.07%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Feb 15, 2017, EIVPX's average daily return is +0.03%, while the average monthly return is +0.70%. At this rate, your investment would double in approximately 8.3 years.
Historically, 72% of months were positive and 28% were negative. The best month was Nov 2020 with a return of +5.9%, while the worst month was Mar 2020 at -10.2%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 3 months.
On a daily basis, EIVPX closed higher 54% of trading days. The best single day was Mar 13, 2020 with a return of +8.2%, while the worst single day was Mar 16, 2020 at -9.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.14% | 0.41% | -3.53% | -2.03% | |||||||||
| 2025 | 1.82% | -0.32% | -3.07% | -0.40% | 2.98% | 2.70% | 1.63% | 1.79% | 1.94% | 1.60% | 0.99% | 0.69% | 12.90% |
| 2024 | 1.32% | 2.83% | 2.12% | -1.87% | 2.89% | 2.12% | 0.80% | 0.93% | 1.38% | 0.07% | 3.64% | -0.78% | 16.45% |
| 2023 | 3.60% | -0.63% | 2.46% | 1.78% | 0.99% | 3.24% | 1.83% | -0.22% | -2.66% | -0.37% | 3.56% | 2.28% | 16.83% |
| 2022 | -3.18% | -1.00% | 2.38% | -4.79% | 0.22% | -4.58% | 4.72% | -2.51% | -5.53% | 4.82% | 3.45% | -2.22% | -8.64% |
| 2021 | -0.00% | 1.85% | 3.16% | 2.38% | 0.82% | 1.49% | 1.32% | 1.95% | -2.20% | 3.41% | -0.35% | 2.95% | 17.96% |
Benchmark Metrics
Parametric Volatility Risk Premium - Defensive Fund has an annualized alpha of 0.97%, beta of 0.61, and R² of 0.92 versus S&P 500 Index. Calculated based on daily prices since February 16, 2017.
- This fund participated in 57.13% of S&P 500 Index downside but only 54.78% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.61 indicates this fund moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 0.97%
- Beta
- 0.61
- R²
- 0.92
- Upside Capture
- 54.78%
- Downside Capture
- 57.13%
Expense Ratio
EIVPX has an expense ratio of 0.47%, placing it in the medium range.
Return for Risk
Risk / Return Rank
EIVPX ranks 68 for risk / return — better than 68% of mutual funds on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and compare them to a chosen benchmark (S&P 500 Index).
| EIVPX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.12 | 0.90 | +0.23 |
Sortino ratioReturn per unit of downside risk | 1.66 | 1.39 | +0.27 |
Omega ratioGain probability vs. loss probability | 1.31 | 1.21 | +0.10 |
Calmar ratioReturn relative to maximum drawdown | 1.28 | 1.40 | -0.12 |
Martin ratioReturn relative to average drawdown | 8.56 | 6.61 | +1.95 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore EIVPX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
Parametric Volatility Risk Premium - Defensive Fund provided a 4.10% dividend yield over the last twelve months, with an annual payout of $0.67 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.67 | $0.67 | $0.41 | $0.69 | $0.97 | $0.18 | $0.09 | $0.15 | $0.13 | $0.06 |
Dividend yield | 4.10% | 4.01% | 2.67% | 5.09% | 7.95% | 1.22% | 0.75% | 1.23% | 1.24% | 0.53% |
Monthly Dividends
The table displays the monthly dividend distributions for Parametric Volatility Risk Premium - Defensive Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | |||||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.67 | $0.67 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.41 | $0.41 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.69 | $0.69 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.97 | $0.97 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.18 | $0.18 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Parametric Volatility Risk Premium - Defensive Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Parametric Volatility Risk Premium - Defensive Fund was 26.67%, occurring on Mar 23, 2020. Recovery took 177 trading sessions.
The current Parametric Volatility Risk Premium - Defensive Fund drawdown is 3.81%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -26.67% | Feb 20, 2020 | 23 | Mar 23, 2020 | 177 | Dec 2, 2020 | 200 |
| -14.07% | Jan 4, 2022 | 187 | Sep 30, 2022 | 170 | Jun 6, 2023 | 357 |
| -12.97% | Oct 4, 2018 | 56 | Dec 24, 2018 | 89 | May 3, 2019 | 145 |
| -12.77% | Feb 20, 2025 | 34 | Apr 8, 2025 | 54 | Jun 26, 2025 | 88 |
| -6.86% | Jan 29, 2018 | 9 | Feb 8, 2018 | 102 | Jul 6, 2018 | 111 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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