- ISIN
- US27826A1447
- CUSIP
- 27826A144
- Issuer
- Eaton Vance
- Inception Date
- Feb 8, 2017
- Category
- Options Trading
- Min. Investment
- $1,000,000
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
Share Price Chart
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Performance
EIVPX Performance Chart
Parametric Volatility Risk Premium - Defensive Fund (EIVPX) is up 5.9% since the beginning of the year. EIVPX is currently trading at $18 per share. Investors who bought $1,000 worth of EIVPX shares 5 years ago would now be looking at an investment worth $1,620.
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Returns By Period
Parametric Volatility Risk Premium - Defensive Fund (EIVPX) has returned 5.86% so far this year and 17.38% over the past 12 months.
Parametric Volatility Risk Premium - Defensive Fund
- 1D
- 0.68%
- 1M
- 0.28%
- YTD
- 5.86%
- 6M
- 5.73%
- 1Y
- 17.38%
- 3Y*
- 13.56%
- 5Y*
- 10.13%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
EIVPX Monthly Returns History
Based on dividend-adjusted daily data since Feb 15, 2017, EIVPX's average daily return is +0.04%, while the average monthly return is +0.75%. At this rate, an investment would double in approximately 7.7 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% | -1.82% | 4.08% | 2.42% | -0.39% | 5.86% | ||||||
| 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 0.66%, beta of 0.61, and R2 of 0.92 versus S&P 500 Index. Calculated based on daily prices since February 15, 2017.
- This fund participated in 56.59% of S&P 500 Index downside but only 53.53% 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
- 0.66%
- Beta
- 0.61
- R²
- 0.92
- Upside Capture
- 53.53%
- Downside Capture
- 56.59%
Expense Ratio
EIVPX has an expense ratio of 0.47%, placing it in the medium range.
Return for Risk
Risk / Return Rank
EIVPX ranks 88 for risk / return — in the top 88% of mutual funds on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EIVPX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.53 | ||
| Sortino ratioReturn per unit of downside risk | +0.76 | ||
| Omega ratioGain probability vs. loss probability | 1.54 | 1.37 | +0.17 |
| Calmar ratioReturn relative to maximum drawdown | 4.58 | 2.78 | +1.79 |
| Martin ratioReturn relative to average drawdown | 23.02 | 12.44 | +10.58 |
Dividends
Dividend History
Parametric Volatility Risk Premium - Defensive Fund provided a 3.79% 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 | 3.79% | 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 | $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 0.51%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -26.67%Mar 2020 | 1mo 2d | 8mo 14d | 9mo 16dFeb 2020 - Dec 2020 |
Bear market2022 | -14.07%Sep 2022 | 8mo 29d | 8mo 9d | 1y 5moJan 2022 - Jun 2023 |
Rate-hike selloffLate 2018 | -12.97%Dec 2018 | 2mo 21d | 4mo 10d | 7mo 1dOct 2018 - May 2019 |
2025 selloff2025 | -12.77%Apr 2025 | 1mo 17d | 2mo 19d | 4mo 6dFeb 2025 - Jun 2025 |
2018 pullback2018 | -6.86%Feb 2018 | 10d | 4mo 28d | 5mo 8dJan 2018 - Jul 2018 |
Drawdown Indicators
| EIVPX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.67% | -56.78% | +30.11% |
Max Drawdown (1Y)Largest decline over 1 year | -3.81% | -9.10% | +5.29% |
Max Drawdown (3Y)Largest decline over 3 years | -12.77% | -18.90% | +6.13% |
Max Drawdown (5Y)Largest decline over 5 years | -14.07% | -25.43% | +11.36% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -0.51% | -1.80% | +1.29% |
Average DrawdownAverage peak-to-trough decline | -2.46% | -10.71% | +8.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.76% | 2.03% | -1.27% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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