EAPCX vs. VIIIX
EAPCX (Parametric Commodity Strategy Fund Class A) and VIIIX (Vanguard Institutional Index Fund Institutional Plus Shares) are both mutual funds - EAPCX is a Commodities fund managed by Eaton Vance, while VIIIX is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, EAPCX returned 10.84%/yr vs 15.74%/yr for VIIIX. At a 0.26 correlation, their price movements are largely independent. EAPCX charges 0.91%/yr vs 0.02%/yr for VIIIX.
Performance
EAPCX vs. VIIIX - Performance Comparison
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Returns By Period
In the year-to-date period, EAPCX achieves a 22.29% return, which is significantly higher than VIIIX's 11.70% return. Over the past 10 years, EAPCX has underperformed VIIIX with an annualized return of 10.84%, while VIIIX has yielded a comparatively higher 15.74% annualized return.
EAPCX
- 1D
- 0.50%
- 1M
- -1.11%
- YTD
- 22.29%
- 6M
- 24.53%
- 1Y
- 41.38%
- 3Y*
- 18.36%
- 5Y*
- 14.60%
- 10Y*
- 10.84%
VIIIX
- 1D
- 0.13%
- 1M
- 5.80%
- YTD
- 11.70%
- 6M
- 11.74%
- 1Y
- 28.99%
- 3Y*
- 23.17%
- 5Y*
- 14.42%
- 10Y*
- 15.74%
EAPCX vs. VIIIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EAPCX Parametric Commodity Strategy Fund Class A | 22.29% | 22.06% | 9.63% | -4.87% | 17.26% | 29.92% | 7.77% | 9.19% | -9.60% | 6.71% |
VIIIX Vanguard Institutional Index Fund Institutional Plus Shares | 11.70% | 17.87% | 26.29% | 25.79% | -18.14% | 28.69% | 18.41% | 31.48% | -4.41% | 21.82% |
Correlation
The correlation between EAPCX and VIIIX is 0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.06 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.15 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.21 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.25 |
Correlation (All Time) Calculated using the full available price history since Jan 4, 2012 | 0.26 |
Over the past year, the correlation between EAPCX and VIIIX has dropped to 0.06 - well below their long-term average of 0.26, suggesting their price drivers have been diverging.
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Return for Risk
EAPCX vs. VIIIX — Risk / Return Rank
EAPCX
VIIIX
EAPCX vs. VIIIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Commodity Strategy Fund Class A (EAPCX) and Vanguard Institutional Index Fund Institutional Plus Shares (VIIIX). 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.
| EAPCX | VIIIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.54 | ||
| Sortino ratioReturn per unit of downside risk | +0.45 | ||
| Omega ratioGain probability vs. loss probability | 1.54 | 1.46 | +0.09 |
| Calmar ratioReturn relative to maximum drawdown | 5.85 | 3.36 | +2.49 |
| Martin ratioReturn relative to average drawdown | 20.87 | 15.69 | +5.18 |
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
| EAPCX | VIIIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.06 | 2.52 | +0.54 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.00 | 0.86 | +0.15 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.82 | 0.87 | -0.05 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.50 | -0.19 |
Drawdowns
EAPCX vs. VIIIX - Drawdown Comparison
The maximum EAPCX drawdown since its inception was -52.59%, roughly equal to the maximum VIIIX drawdown of -55.18%. Use the drawdown chart below to compare losses from any high point for EAPCX and VIIIX.
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Drawdown Indicators
| EAPCX | VIIIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.59% | -55.18% | +2.59% |
Max Drawdown (1Y)Largest decline over 1 year | -7.22% | -8.90% | +1.68% |
Max Drawdown (3Y)Largest decline over 3 years | -10.57% | -18.75% | +8.18% |
Max Drawdown (5Y)Largest decline over 5 years | -18.05% | -24.50% | +6.45% |
Max Drawdown (10Y)Largest decline over 10 years | -28.81% | -33.79% | +4.98% |
Current DrawdownCurrent decline from peak | -3.96% | 0.00% | -3.96% |
Average DrawdownAverage peak-to-trough decline | -22.77% | -10.02% | -12.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.02% | 1.90% | +0.12% |
Volatility
EAPCX vs. VIIIX - Volatility Comparison
Parametric Commodity Strategy Fund Class A (EAPCX) has a higher volatility of 4.17% compared to Vanguard Institutional Index Fund Institutional Plus Shares (VIIIX) at 2.83%. This indicates that EAPCX's price experiences larger fluctuations and is considered to be riskier than VIIIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EAPCX | VIIIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.17% | 2.83% | +1.34% |
Volatility (6M)Calculated over the trailing 6-month period | 11.59% | 8.97% | +2.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.90% | 11.86% | +2.04% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.64% | 16.89% | -2.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.26% | 18.06% | -4.80% |
EAPCX vs. VIIIX - Expense Ratio Comparison
EAPCX has a 0.91% expense ratio, which is higher than VIIIX's 0.02% expense ratio.
Dividends
EAPCX vs. VIIIX - Dividend Comparison
EAPCX's dividend yield for the trailing twelve months is around 10.82%, more than VIIIX's 2.41% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EAPCX Parametric Commodity Strategy Fund Class A | 10.82% | 13.23% | 5.46% | 3.43% | 14.80% | 13.74% | 3.01% | 1.11% | 0.41% | 4.98% | 6.49% | 0.00% |
VIIIX Vanguard Institutional Index Fund Institutional Plus Shares | 2.41% | 2.11% | 3.66% | 2.66% | 3.39% | 4.79% | 3.07% | 2.86% | 2.45% | 1.84% | 2.38% | 2.47% |
Frequently Asked Questions
EAPCX and VIIIX have a correlation of 0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EAPCX has higher volatility (4.17%) compared to VIIIX (2.83%). In terms of maximum drawdown, EAPCX dropped -52.59% vs VIIIX's -55.18%.
EAPCX currently has the higher Sharpe Ratio (3.06 vs 2.52), 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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