EAEAX vs. WFSPX
EAEAX (Eaton Vance Tax-Managed Equity Asset Allocation Fund) and WFSPX (iShares S&P 500 Index Fund) are both mutual funds - EAEAX is a Diversified Portfolio fund managed by BlackRock, while WFSPX is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, EAEAX returned 11.63%/yr vs 15.46%/yr for WFSPX. With a 0.97 correlation, they move nearly in lockstep. EAEAX charges 1.25%/yr vs 0.03%/yr for WFSPX.
Performance
EAEAX vs. WFSPX - Performance Comparison
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Returns By Period
In the year-to-date period, EAEAX achieves a 8.70% return, which is significantly lower than WFSPX's 10.87% return. Over the past 10 years, EAEAX has underperformed WFSPX with an annualized return of 11.63%, while WFSPX has yielded a comparatively higher 15.46% annualized return.
EAEAX
- 1D
- -0.50%
- 1M
- 2.64%
- YTD
- 8.70%
- 6M
- 8.82%
- 1Y
- 20.70%
- 3Y*
- 16.77%
- 5Y*
- 9.12%
- 10Y*
- 11.63%
WFSPX
- 1D
- -0.74%
- 1M
- 4.17%
- YTD
- 10.87%
- 6M
- 10.77%
- 1Y
- 27.97%
- 3Y*
- 22.41%
- 5Y*
- 13.88%
- 10Y*
- 15.46%
EAEAX vs. WFSPX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EAEAX Eaton Vance Tax-Managed Equity Asset Allocation Fund | 8.70% | 12.06% | 17.99% | 20.69% | -18.19% | 21.24% | 15.47% | 27.44% | -5.86% | 19.16% |
WFSPX iShares S&P 500 Index Fund | 10.87% | 17.83% | 24.94% | 26.25% | -18.14% | 28.63% | 18.43% | 31.45% | -4.83% | 21.27% |
Correlation
The correlation between EAEAX 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 | 0.97 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.98 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.97 |
Correlation (All Time) Calculated using the full available price history since Mar 5, 2002 | 0.97 |
The correlation between EAEAX and WFSPX has been stable across timeframes, ranging from 0.97 to 0.98 - a consistent structural relationship.
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Return for Risk
EAEAX vs. WFSPX — Risk / Return Rank
EAEAX
WFSPX
EAEAX vs. WFSPX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Tax-Managed Equity Asset Allocation Fund (EAEAX) 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.
| EAEAX | WFSPX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.52 | ||
| Sortino ratioReturn per unit of downside risk | -0.59 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.43 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 2.23 | 3.16 | -0.93 |
| Martin ratioReturn relative to average drawdown | 10.17 | 14.75 | -4.58 |
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
| EAEAX | WFSPX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.85 | 2.37 | -0.52 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.59 | 0.83 | -0.24 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.69 | 0.86 | -0.17 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.47 | 0.13 | +0.34 |
Drawdowns
EAEAX vs. WFSPX - Drawdown Comparison
The maximum EAEAX drawdown since its inception was -53.71%, smaller than the maximum WFSPX drawdown of -58.21%. Use the drawdown chart below to compare losses from any high point for EAEAX and WFSPX.
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Drawdown Indicators
| EAEAX | WFSPX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.71% | -58.21% | +4.50% |
Max Drawdown (1Y)Largest decline over 1 year | -9.37% | -8.90% | -0.47% |
Max Drawdown (3Y)Largest decline over 3 years | -17.69% | -18.74% | +1.05% |
Max Drawdown (5Y)Largest decline over 5 years | -24.72% | -24.51% | -0.21% |
Max Drawdown (10Y)Largest decline over 10 years | -34.74% | -33.74% | -1.00% |
Current DrawdownCurrent decline from peak | -0.50% | -0.74% | +0.24% |
Average DrawdownAverage peak-to-trough decline | -7.82% | -12.77% | +4.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.05% | 1.90% | +0.15% |
Volatility
EAEAX vs. WFSPX - Volatility Comparison
Eaton Vance Tax-Managed Equity Asset Allocation Fund (EAEAX) and iShares S&P 500 Index Fund (WFSPX) have volatilities of 2.98% and 2.92%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EAEAX | WFSPX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.98% | 2.92% | +0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 8.63% | 8.99% | -0.36% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.30% | 11.88% | -0.58% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.67% | 16.88% | -1.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.84% | 18.02% | -1.18% |
EAEAX vs. WFSPX - Expense Ratio Comparison
EAEAX has a 1.25% expense ratio, which is higher than WFSPX's 0.03% expense ratio.
Dividends
EAEAX vs. WFSPX - Dividend Comparison
EAEAX's dividend yield for the trailing twelve months is around 3.95%, more than WFSPX's 1.58% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EAEAX Eaton Vance Tax-Managed Equity Asset Allocation Fund | 3.95% | 4.29% | 0.80% | 0.53% | 0.79% | 2.58% | 0.57% | 1.87% | 2.12% | 3.13% | 1.10% | 6.32% |
WFSPX iShares S&P 500 Index Fund | 1.58% | 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, EAEAX 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.
EAEAX has higher volatility (2.98%) compared to WFSPX (2.92%). In terms of maximum drawdown, EAEAX dropped -53.71% vs WFSPX's -58.21%.
WFSPX currently has the higher Sharpe Ratio (2.37 vs 1.85), 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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