EAPCX vs. VOO
Compare and contrast key facts about Parametric Commodity Strategy Fund Class A (EAPCX) and Vanguard S&P 500 ETF (VOO).
EAPCX is managed by Eaton Vance. It was launched on May 25, 2011. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EAPCX or VOO.
Key characteristics
| EAPCX | VOO | |
|---|---|---|
| YTD Return | 8.02% | 26.88% |
| 1Y Return | 5.92% | 37.59% |
| 3Y Return (Ann) | 6.04% | 10.23% |
| 5Y Return (Ann) | 11.68% | 15.93% |
| 10Y Return (Ann) | 3.71% | 13.41% |
| Sharpe Ratio | 0.64 | 3.06 |
| Sortino Ratio | 0.96 | 4.08 |
| Omega Ratio | 1.11 | 1.58 |
| Calmar Ratio | 0.43 | 4.43 |
| Martin Ratio | 1.70 | 20.25 |
| Ulcer Index | 4.40% | 1.85% |
| Daily Std Dev | 11.70% | 12.23% |
| Max Drawdown | -50.10% | -33.99% |
| Current Drawdown | -8.01% | -0.30% |
Correlation
The correlation between EAPCX and VOO is 0.28, 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. VOO - Performance Comparison
In the year-to-date period, EAPCX achieves a 8.02% return, which is significantly lower than VOO's 26.88% return. Over the past 10 years, EAPCX has underperformed VOO with an annualized return of 3.71%, while VOO has yielded a comparatively higher 13.41% annualized 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. VOO - Expense Ratio Comparison
EAPCX has a 0.91% expense ratio, which is higher than VOO's 0.03% expense ratio.
Risk-Adjusted Performance
EAPCX vs. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Commodity Strategy Fund Class A (EAPCX) and Vanguard S&P 500 ETF (VOO). 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. VOO - Dividend Comparison
EAPCX's dividend yield for the trailing twelve months is around 3.18%, more than VOO's 1.23% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.23% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
EAPCX vs. VOO - Drawdown Comparison
The maximum EAPCX drawdown since its inception was -50.10%, which is greater than VOO's maximum drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for EAPCX and VOO. For additional features, visit the drawdowns tool.
Volatility
EAPCX vs. VOO - Volatility Comparison
Parametric Commodity Strategy Fund Class A (EAPCX) and Vanguard S&P 500 ETF (VOO) have volatilities of 3.99% and 3.89%, 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.