CAPEX vs. WFSPX
CAPEX (Eaton Vance Tax Managed Growth 1.0 Fund) and WFSPX (iShares S&P 500 Index Fund) are both mutual funds - CAPEX is a Large Cap Growth Equities fund managed by BlackRock, while WFSPX is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, CAPEX returned 15.23%/yr vs 15.54%/yr for WFSPX. With a 0.98 correlation, they move nearly in lockstep. CAPEX charges 0.45%/yr vs 0.03%/yr for WFSPX.
Performance
CAPEX vs. WFSPX - Performance Comparison
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Returns By Period
In the year-to-date period, CAPEX achieves a 8.85% return, which is significantly lower than WFSPX's 11.69% return. Both investments have delivered pretty close results over the past 10 years, with CAPEX having a 15.23% annualized return and WFSPX not far ahead at 15.54%.
CAPEX
- 1D
- -0.24%
- 1M
- 4.21%
- YTD
- 8.85%
- 6M
- 8.51%
- 1Y
- 24.08%
- 3Y*
- 21.72%
- 5Y*
- 13.15%
- 10Y*
- 15.23%
WFSPX
- 1D
- 0.13%
- 1M
- 5.80%
- YTD
- 11.69%
- 6M
- 11.72%
- 1Y
- 28.93%
- 3Y*
- 22.71%
- 5Y*
- 14.24%
- 10Y*
- 15.54%
CAPEX vs. WFSPX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CAPEX Eaton Vance Tax Managed Growth 1.0 Fund | 8.85% | 16.83% | 25.45% | 28.62% | -19.92% | 25.05% | 23.49% | 29.70% | -4.95% | 22.72% |
WFSPX iShares S&P 500 Index Fund | 11.69% | 17.83% | 24.94% | 26.25% | -18.14% | 28.63% | 18.43% | 31.45% | -4.83% | 21.27% |
Correlation
The correlation between CAPEX and WFSPX is 0.97 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.97 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.98 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.99 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.98 |
Correlation (All Time) Calculated using the full available price history since Jun 21, 1996 | 0.98 |
The correlation between CAPEX and WFSPX has been stable across timeframes, ranging from 0.97 to 0.99 - a consistent structural relationship.
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Return for Risk
CAPEX vs. WFSPX — Risk / Return Rank
CAPEX
WFSPX
CAPEX vs. WFSPX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Tax Managed Growth 1.0 Fund (CAPEX) and iShares S&P 500 Index Fund (WFSPX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| CAPEX | WFSPX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.49 | ||
| Sortino ratioReturn per unit of downside risk | -0.58 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.46 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 2.34 | 3.35 | -1.01 |
| Martin ratioReturn relative to average drawdown | 10.65 | 15.65 | -5.01 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CAPEX | WFSPX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.02 | 2.52 | -0.49 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.76 | 0.85 | -0.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.83 | 0.87 | -0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.57 | 0.13 | +0.43 |
Drawdowns
CAPEX vs. WFSPX - Drawdown Comparison
The maximum CAPEX drawdown since its inception was -51.71%, smaller than the maximum WFSPX drawdown of -58.21%. Use the drawdown chart below to compare losses from any high point for CAPEX and WFSPX.
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Drawdown Indicators
| CAPEX | WFSPX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -51.71% | -58.21% | +6.50% |
Max Drawdown (1Y)Largest decline over 1 year | -10.52% | -8.90% | -1.62% |
Max Drawdown (3Y)Largest decline over 3 years | -19.05% | -18.74% | -0.31% |
Max Drawdown (5Y)Largest decline over 5 years | -25.87% | -24.51% | -1.36% |
Max Drawdown (10Y)Largest decline over 10 years | -32.94% | -33.74% | +0.80% |
Current DrawdownCurrent decline from peak | -0.24% | 0.00% | -0.24% |
Average DrawdownAverage peak-to-trough decline | -8.38% | -12.77% | +4.39% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.31% | 1.90% | +0.41% |
Volatility
CAPEX vs. WFSPX - Volatility Comparison
Eaton Vance Tax Managed Growth 1.0 Fund (CAPEX) has a higher volatility of 3.01% compared to iShares S&P 500 Index Fund (WFSPX) at 2.82%. This indicates that CAPEX's price experiences larger fluctuations and is considered to be riskier than WFSPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CAPEX | WFSPX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.01% | 2.82% | +0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 9.36% | 8.97% | +0.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.20% | 11.85% | +0.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.32% | 16.88% | +0.44% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.35% | 18.02% | +0.33% |
CAPEX vs. WFSPX - Expense Ratio Comparison
CAPEX has a 0.45% expense ratio, which is higher than WFSPX's 0.03% expense ratio.
Dividends
CAPEX vs. WFSPX - Dividend Comparison
CAPEX's dividend yield for the trailing twelve months is around 3.06%, more than WFSPX's 1.56% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CAPEX Eaton Vance Tax Managed Growth 1.0 Fund | 3.06% | 3.19% | 2.40% | 0.83% | 0.97% | 0.63% | 0.88% | 1.15% | 1.36% | 1.20% | 1.41% | 1.39% |
WFSPX iShares S&P 500 Index Fund | 1.56% | 1.72% | 1.41% | 1.50% | 2.02% | 1.82% | 1.66% | 1.99% | 2.00% | 1.62% | 2.37% | 2.49% |
Frequently Asked Questions
With a correlation of 0.97, CAPEX and WFSPX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
CAPEX has higher volatility (3.01%) compared to WFSPX (2.82%). In terms of maximum drawdown, CAPEX dropped -51.71% vs WFSPX's -58.21%.
WFSPX currently has the higher Sharpe Ratio (2.52 vs 2.02), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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