Parametric Volatility Risk Premium - Defensive Fund (EIVPX)
The investment seeks total return. The fund pursues its objective by investing in a base portfolio that is generally comprised of an approximately equal mix of equity securities and money market instruments. It writes (sells) call options on the S&P 500 Index, a broad-based U.S. stock market index, and/or a substitute for the S&P 500 Index on substantially the full value of the fund's equity securities. The fund's equity investments consist of a diversified portfolio of common stocks that seeks to approximate the pretax total return performance of the S&P 500 Index.
Fund Info
| ISIN | US27826A1447 |
|---|---|
| CUSIP | 27826A144 |
| Issuer | Eaton Vance |
| Inception Date | Feb 8, 2017 |
| Category | Options Trading |
| Min. Investment | $1,000,000 |
| Asset Class | Alternatives |
Expense Ratio
EIVPX features an expense ratio of 0.47%, falling within the medium range.
Share Price Chart
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Compare to other instruments
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Popular comparisons: EIVPX vs. PPFIX, EIVPX vs. SPY
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.
Returns By Period
Parametric Volatility Risk Premium - Defensive Fund had a return of 16.48% year-to-date (YTD) and 18.03% in the last 12 months.
| Period | Return | Benchmark |
|---|---|---|
| Year-To-Date | 16.48% | 25.45% |
| 1 month | 2.13% | 2.91% |
| 6 months | 8.95% | 14.05% |
| 1 year | 18.03% | 35.64% |
| 5 years (annualized) | 8.96% | 14.13% |
| 10 years (annualized) | N/A | 11.39% |
Monthly Returns
The table below presents the monthly returns of EIVPX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 1.32% | 2.83% | 2.12% | -1.87% | 2.89% | 2.12% | 0.80% | 0.93% | 1.38% | 0.07% | 16.48% | ||
| 2023 | 3.60% | -0.63% | 2.46% | 1.78% | 0.99% | 3.24% | 1.83% | -0.22% | -2.66% | -0.37% | 3.56% | 0.02% | 14.25% |
| 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% | -8.65% |
| 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% |
| 2020 | -0.00% | -6.53% | -10.22% | 5.89% | 2.83% | 1.56% | 3.61% | 3.31% | -1.52% | -1.54% | 5.92% | 2.67% | 4.74% |
| 2019 | 3.74% | 1.48% | 1.46% | 1.79% | -3.35% | 3.46% | 0.79% | -0.52% | 1.41% | 1.65% | 1.53% | 1.50% | 15.80% |
| 2018 | 1.10% | -1.72% | -1.48% | 0.84% | 1.49% | 0.55% | 2.00% | 1.61% | 0.79% | -4.53% | 1.64% | -5.08% | -3.07% |
| 2017 | 1.10% | 0.30% | 0.99% | 0.78% | 0.68% | 1.25% | 0.47% | 1.04% | 0.75% | 1.30% | 0.53% | 9.58% |
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of EIVPX is 70, suggesting that the investment has average results relative to other mutual funds in terms of risk-adjusted performance. This ranking is determined by the cumulative values of the indicators listed below.
Risk-Adjusted Performance Indicators
The charts below present risk-adjusted performance metrics for Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.
Dividends
Dividend History
Parametric Volatility Risk Premium - Defensive Fund provided a 1.95% dividend yield over the last twelve months, with an annual payout of $0.31 per share. The fund has been increasing its distributions for 2 consecutive years.
| Period | TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|
| Dividend | $0.31 | $0.31 | $0.12 | $0.04 | $0.09 | $0.15 | $0.13 | $0.06 |
Dividend yield | 1.95% | 2.27% | 0.94% | 0.30% | 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.31 | $0.31 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.12 | $0.12 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.04 | $0.04 |
| 2020 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.01 | $0.00 | $0.00 | $0.00 | $0.08 | $0.09 |
| 2019 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.15 | $0.15 |
| 2018 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.13 | $0.13 |
| 2017 | $0.06 | $0.06 |
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.
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 0.06%.
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 |
| -6.86% | Jan 29, 2018 | 9 | Feb 8, 2018 | 102 | Jul 6, 2018 | 111 |
| -5.13% | Jul 17, 2024 | 14 | Aug 5, 2024 | 30 | Sep 17, 2024 | 44 |
Volatility
Volatility Chart
The current Parametric Volatility Risk Premium - Defensive Fund volatility is 2.01%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.