EAPCX vs. KMLM
Compare and contrast key facts about Parametric Commodity Strategy Fund Class A (EAPCX) and KFA Mount Lucas Index Strategy ETF (KMLM).
EAPCX is managed by Eaton Vance. It was launched on May 25, 2011. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EAPCX or KMLM.
Key characteristics
| EAPCX | KMLM | |
|---|---|---|
| YTD Return | 8.02% | -2.50% |
| 1Y Return | 5.41% | -8.74% |
| 3Y Return (Ann) | 6.03% | 2.74% |
| Sharpe Ratio | 0.51 | -1.05 |
| Sortino Ratio | 0.78 | -1.35 |
| Omega Ratio | 1.09 | 0.84 |
| Calmar Ratio | 0.34 | -0.45 |
| Martin Ratio | 1.34 | -1.72 |
| Ulcer Index | 4.42% | 6.62% |
| Daily Std Dev | 11.61% | 10.90% |
| Max Drawdown | -50.10% | -25.42% |
| Current Drawdown | -8.01% | -24.18% |
Correlation
The correlation between EAPCX and KMLM is 0.10, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
EAPCX vs. KMLM - Performance Comparison
In the year-to-date period, EAPCX achieves a 8.02% return, which is significantly higher than KMLM's -2.50% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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EAPCX vs. KMLM - Expense Ratio Comparison
EAPCX has a 0.91% expense ratio, which is higher than KMLM's 0.90% expense ratio.
Risk-Adjusted Performance
EAPCX vs. KMLM - Risk-Adjusted Performance 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.
Dividends
EAPCX vs. KMLM - Dividend Comparison
EAPCX's dividend yield for the trailing twelve months is around 3.18%, while KMLM has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
EAPCX Parametric Commodity Strategy Fund Class A | 3.18% | 3.43% | 14.80% | 13.74% | 2.92% | 1.12% | 0.41% | 4.98% | 6.50% | 0.00% | 1.52% |
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
EAPCX vs. KMLM - Drawdown Comparison
The maximum EAPCX drawdown since its inception was -50.10%, which is greater than KMLM's maximum drawdown of -25.42%. Use the drawdown chart below to compare losses from any high point for EAPCX and KMLM. For additional features, visit the drawdowns tool.
Volatility
EAPCX vs. KMLM - Volatility Comparison
Parametric Commodity Strategy Fund Class A (EAPCX) has a higher volatility of 3.89% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 2.88%. This indicates that EAPCX's price experiences larger fluctuations and is considered to be riskier than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.