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.
Performance
EAPCX vs. VOO - Performance Comparison
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EAPCX vs. VOO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EAPCX Parametric Commodity Strategy Fund Class A | 17.25% | 22.06% | 9.63% | -4.87% | 17.26% | 29.92% | 7.77% | 9.19% | -9.60% | 6.71% |
VOO Vanguard S&P 500 ETF | -3.66% | 17.82% | 24.98% | 26.32% | -18.17% | 28.79% | 18.32% | 31.37% | -4.50% | 21.77% |
Returns By Period
In the year-to-date period, EAPCX achieves a 17.25% return, which is significantly higher than VOO's -3.66% return. Over the past 10 years, EAPCX has underperformed VOO with an annualized return of 11.17%, while VOO has yielded a comparatively higher 14.14% annualized return.
EAPCX
- 1D
- 0.79%
- 1M
- 5.49%
- YTD
- 17.25%
- 6M
- 25.77%
- 1Y
- 32.66%
- 3Y*
- 15.07%
- 5Y*
- 16.10%
- 10Y*
- 11.17%
VOO
- 1D
- 0.79%
- 1M
- -4.29%
- YTD
- -3.66%
- 6M
- -1.41%
- 1Y
- 18.17%
- 3Y*
- 18.58%
- 5Y*
- 11.93%
- 10Y*
- 14.14%
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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.
Return for Risk
EAPCX vs. VOO — Risk / Return Rank
EAPCX
VOO
EAPCX vs. VOO - Risk-Adjusted Trends 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.
| EAPCX | VOO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.25 | 1.01 | +1.24 |
Sortino ratioReturn per unit of downside risk | 2.83 | 1.53 | +1.30 |
Omega ratioGain probability vs. loss probability | 1.41 | 1.23 | +0.17 |
Calmar ratioReturn relative to maximum drawdown | 3.70 | 1.55 | +2.15 |
Martin ratioReturn relative to average drawdown | 12.97 | 7.31 | +5.66 |
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 | VOO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.25 | 1.01 | +1.24 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.11 | 0.71 | +0.39 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.84 | 0.79 | +0.06 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.83 | -0.55 |
Correlation
The correlation between EAPCX and VOO is 0.26, 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.
Dividends
EAPCX vs. VOO - Dividend Comparison
EAPCX's dividend yield for the trailing twelve months is around 11.28%, more than VOO's 1.18% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EAPCX Parametric Commodity Strategy Fund Class A | 11.28% | 13.23% | 5.46% | 3.43% | 14.80% | 13.74% | 3.01% | 1.11% | 0.41% | 4.98% | 6.49% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.18% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
Drawdowns
EAPCX vs. VOO - Drawdown Comparison
The maximum EAPCX drawdown since its inception was -52.59%, 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.
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Drawdown Indicators
| EAPCX | VOO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.59% | -33.99% | -18.60% |
Max Drawdown (1Y)Largest decline over 1 year | -9.09% | -11.98% | +2.89% |
Max Drawdown (5Y)Largest decline over 5 years | -18.05% | -24.52% | +6.47% |
Max Drawdown (10Y)Largest decline over 10 years | -28.81% | -33.99% | +5.18% |
Current DrawdownCurrent decline from peak | -0.39% | -5.55% | +5.16% |
Average DrawdownAverage peak-to-trough decline | -23.03% | -3.72% | -19.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.60% | 2.55% | +0.05% |
Volatility
EAPCX vs. VOO - Volatility Comparison
The current volatility for Parametric Commodity Strategy Fund Class A (EAPCX) is 4.58%, while Vanguard S&P 500 ETF (VOO) has a volatility of 5.34%. This indicates that EAPCX experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EAPCX | VOO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.58% | 5.34% | -0.76% |
Volatility (6M)Calculated over the trailing 6-month period | 11.78% | 9.47% | +2.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.85% | 18.11% | -3.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.64% | 16.82% | -2.18% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.29% | 17.99% | -4.70% |