EAPCX vs. KMLM
EAPCX (Parametric Commodity Strategy Fund Class A) and KMLM (KFA Mount Lucas Index Strategy ETF) are both funds - EAPCX is a Commodities fund managed by Eaton Vance, while KMLM is a Systematic Trend fund tracking the KFA MLM Index. Over the past 5 years, EAPCX returned 13.40%/yr vs 5.77%/yr for KMLM. Their 0.18 correlation means their historical movements had little consistent relationship. EAPCX charges 0.91%/yr vs 0.90%/yr for KMLM.
Performance
EAPCX vs. KMLM - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, EAPCX achieves a 19.85% return, which is significantly higher than KMLM's 12.95% return.
EAPCX
- 1D
- 0.13%
- 1M
- 5.51%
- 6M
- 11.51%
- YTD
- 19.85%
- 1Y
- 36.85%
- 3Y*
- 14.64%
- 5Y*
- 13.40%
- 10Y*
- 10.62%
- ALL TIME*
- 3.73%
KMLM
- 1D
- 0.24%
- 1M
- 6.85%
- 6M
- 12.90%
- YTD
- 12.95%
- 1Y
- 18.19%
- 3Y*
- 0.08%
- 5Y*
- 5.77%
- 10Y*
- —
- ALL TIME*
- 7.46%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $14.29M | $9.53M | $7.83M |
EAPCX vs. KMLM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
EAPCX Parametric Commodity Strategy Fund Class A | 19.85% | 22.06% | 9.63% | -4.87% | 17.26% | 29.92% | 4.59% |
KMLM KFA Mount Lucas Index Strategy ETF | 12.95% | -2.98% | -1.69% | -5.66% | 30.61% | 7.04% | 5.74% |
Correlation
The correlation between EAPCX and KMLM is 0.40, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.40 |
Correlation (3Y) Balances recent behavior with more history. | 0.13 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.13 |
Correlation (All Time) Calculated using the full available price history since Dec 2, 2020 | 0.18 |
Over the past year, EAPCX and KMLM have become more correlated (0.40) than their long-term average of 0.18, meaning their price movements have been converging.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
EAPCX vs. KMLM — Risk / Return Rank
EAPCX
KMLM
EAPCX vs. KMLM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Commodity Strategy Fund Class A (EAPCX) and KFA Mount Lucas Index Strategy ETF (KMLM). 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.
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.
| EAPCX | KMLM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.81 | ||
| Sortino ratioReturn per unit of downside risk | +0.94 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.28 | +0.13 |
| Calmar ratioReturn relative to maximum drawdown | 2.77 | 1.86 | +0.92 |
| Martin ratioReturn relative to average drawdown | 9.01 | 6.03 | +2.98 |
Loading charts...
Drawdowns
EAPCX vs. KMLM - Drawdown Comparison
The maximum EAPCX drawdown since its inception was -52.59%, which is greater than KMLM's maximum drawdown of -27.47%. Use the drawdown chart below to compare losses from any high point for EAPCX and KMLM.
Loading charts...
Drawdown Indicators
| EAPCX | KMLM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.59% | -27.47% | -25.12% |
Max Drawdown (1Y)Largest decline over 1 year | -12.23% | -9.61% | -2.62% |
Max Drawdown (3Y)Largest decline over 3 years | -12.23% | -22.28% | +10.05% |
Max Drawdown (5Y)Largest decline over 5 years | -18.05% | -27.47% | +9.42% |
Max Drawdown (10Y)Largest decline over 10 years | -28.81% | — | — |
Current DrawdownCurrent decline from peak | -5.88% | -11.93% | +6.05% |
Average DrawdownAverage peak-to-trough decline | -22.60% | -12.79% | -9.81% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.78% | 2.95% | +0.83% |
Volatility
EAPCX vs. KMLM - Volatility Comparison
Parametric Commodity Strategy Fund Class A (EAPCX) and KFA Mount Lucas Index Strategy ETF (KMLM) have volatilities of 3.54% and 3.70%, 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.
Loading charts...
Volatility by Period
| EAPCX | KMLM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.54% | 3.70% | -0.16% |
Volatility (6M)Calculated over the trailing 6-month period | 11.27% | 10.31% | +0.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.37% | 11.49% | +2.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.55% | 14.53% | +0.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.27% | 14.66% | -1.39% |
EAPCX vs. KMLM - Expense Ratio Comparison
EAPCX has a 0.91% expense ratio, which is higher than KMLM's 0.90% expense ratio.
Dividends
EAPCX vs. KMLM - Dividend Comparison
EAPCX's dividend yield for the trailing twelve months is around 11.04%, more than KMLM's 4.45% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|---|
EAPCX Parametric Commodity Strategy Fund Class A | 11.04% | 13.23% | 5.46% | 3.43% | 14.80% | 13.74% | 3.01% | 1.11% | 0.41% | 4.98% | 6.49% |
KMLM KFA Mount Lucas Index Strategy ETF | 4.45% | 5.02% | 0.82% | 0.00% | 13.22% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
EAPCX and KMLM have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
KMLM has higher volatility (3.70%) compared to EAPCX (3.54%). In terms of maximum drawdown, EAPCX dropped -52.59% vs KMLM's -27.47%.
EAPCX currently has the higher Sharpe Ratio (2.36 vs 1.55), 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.
Find the right allocation for EAPCX and KMLM
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer