DCMSX vs. EIPCX
Compare and contrast key facts about DFA Commodity Strategy Portfolio (DCMSX) and Parametric Commodity Strategy Fund Class I (EIPCX).
DCMSX is managed by Dimensional. It was launched on Nov 8, 2010. EIPCX is managed by Eaton Vance. It was launched on May 25, 2011.
Performance
DCMSX vs. EIPCX - Performance Comparison
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DCMSX vs. EIPCX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DCMSX DFA Commodity Strategy Portfolio | 25.97% | 15.15% | 5.90% | -9.14% | 11.36% | 33.54% | -1.78% | 7.96% | -11.22% | 2.73% |
EIPCX Parametric Commodity Strategy Fund Class I | 16.44% | 22.27% | 9.97% | -4.70% | 17.76% | 30.13% | 7.83% | 9.58% | -9.45% | 7.07% |
Returns By Period
In the year-to-date period, DCMSX achieves a 25.97% return, which is significantly higher than EIPCX's 16.44% return. Over the past 10 years, DCMSX has underperformed EIPCX with an annualized return of 8.45%, while EIPCX has yielded a comparatively higher 11.37% annualized return.
DCMSX
- 1D
- 0.47%
- 1M
- 9.69%
- YTD
- 25.97%
- 6M
- 32.29%
- 1Y
- 33.46%
- 3Y*
- 13.72%
- 5Y*
- 14.21%
- 10Y*
- 8.45%
EIPCX
- 1D
- 0.52%
- 1M
- 5.61%
- YTD
- 16.44%
- 6M
- 25.65%
- 1Y
- 32.48%
- 3Y*
- 15.11%
- 5Y*
- 16.28%
- 10Y*
- 11.37%
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DCMSX vs. EIPCX - Expense Ratio Comparison
DCMSX has a 0.31% expense ratio, which is lower than EIPCX's 0.66% expense ratio.
Return for Risk
DCMSX vs. EIPCX — Risk / Return Rank
DCMSX
EIPCX
DCMSX vs. EIPCX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for DFA Commodity Strategy Portfolio (DCMSX) and Parametric Commodity Strategy Fund Class I (EIPCX). 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.
| DCMSX | EIPCX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.10 | 2.24 | -0.14 |
Sortino ratioReturn per unit of downside risk | 2.71 | 2.82 | -0.11 |
Omega ratioGain probability vs. loss probability | 1.39 | 1.40 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 3.77 | 3.60 | +0.17 |
Martin ratioReturn relative to average drawdown | 10.61 | 12.73 | -2.12 |
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
| DCMSX | EIPCX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.10 | 2.24 | -0.14 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.88 | 1.12 | -0.23 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.59 | 0.86 | -0.27 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.10 | 0.24 | -0.14 |
Correlation
The correlation between DCMSX and EIPCX is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
DCMSX vs. EIPCX - Dividend Comparison
DCMSX's dividend yield for the trailing twelve months is around 8.36%, less than EIPCX's 11.45% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DCMSX DFA Commodity Strategy Portfolio | 8.36% | 10.75% | 2.83% | 2.52% | 7.46% | 49.44% | 0.37% | 1.51% | 1.63% | 3.09% | 0.47% | 0.15% |
EIPCX Parametric Commodity Strategy Fund Class I | 11.45% | 13.33% | 5.65% | 3.69% | 14.93% | 13.83% | 3.10% | 1.54% | 0.87% | 5.14% | 6.59% | 0.00% |
Drawdowns
DCMSX vs. EIPCX - Drawdown Comparison
The maximum DCMSX drawdown since its inception was -60.94%, which is greater than EIPCX's maximum drawdown of -54.05%. Use the drawdown chart below to compare losses from any high point for DCMSX and EIPCX.
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Drawdown Indicators
| DCMSX | EIPCX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.94% | -54.05% | -6.89% |
Max Drawdown (1Y)Largest decline over 1 year | -9.24% | -9.15% | -0.09% |
Max Drawdown (5Y)Largest decline over 5 years | -27.93% | -18.00% | -9.93% |
Max Drawdown (10Y)Largest decline over 10 years | -32.52% | -28.53% | -3.99% |
Current DrawdownCurrent decline from peak | -0.21% | -1.15% | +0.94% |
Average DrawdownAverage peak-to-trough decline | -32.13% | -24.51% | -7.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.28% | 2.58% | +0.70% |
Volatility
DCMSX vs. EIPCX - Volatility Comparison
DFA Commodity Strategy Portfolio (DCMSX) has a higher volatility of 6.55% compared to Parametric Commodity Strategy Fund Class I (EIPCX) at 4.42%. This indicates that DCMSX's price experiences larger fluctuations and is considered to be riskier than EIPCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| DCMSX | EIPCX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.55% | 4.42% | +2.13% |
Volatility (6M)Calculated over the trailing 6-month period | 13.13% | 11.76% | +1.37% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.48% | 14.84% | +1.64% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.17% | 14.64% | +1.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.44% | 13.30% | +1.14% |