EICOX vs. VFSAX

Last updated Jun 23, 2026

EICOX (Eaton Vance Emerging and Frontier Countries Equity Fund) and VFSAX (Vanguard FTSE All-World ex-US Small-Cap Index Fund Admiral Shares) are both mutual funds - EICOX is a Emerging Markets Diversified fund managed by Eaton Vance, while VFSAX is a Foreign Small & Mid Cap Equities fund managed by Vanguard. Over the past 5 years, EICOX returned 16.74%/yr vs 6.34%/yr for VFSAX. A 0.80 correlation means they provide meaningful diversification when combined. EICOX charges 1.31%/yr vs 0.16%/yr for VFSAX.

Performance

EICOX vs. VFSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eaton Vance Emerging and Frontier Countries Equity Fund (EICOX) and Vanguard FTSE All-World ex-US Small-Cap Index Fund Admiral Shares (VFSAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EICOX achieves a 30.08% return, which is significantly higher than VFSAX's 10.38% return.

EICOX

• 1D: 2.98%
• 1M: 9.01%
• YTD: 30.08%
• 6M: 32.28%
• 1Y: 55.02%
• 3Y*: 27.47%
• 5Y*: 16.74%
• 10Y*: 13.70%

VFSAX

• 1D: 0.42%
• 1M: -0.55%
• YTD: 10.38%
• 6M: 10.91%
• 1Y: 26.34%
• 3Y*: 15.56%
• 5Y*: 6.34%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

EICOX vs. VFSAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
EICOX Eaton Vance Emerging and Frontier Countries Equity Fund	30.08%	33.22%	11.99%	25.78%	-14.59%	13.43%	13.46%	5.97%
VFSAX Vanguard FTSE All-World ex-US Small-Cap Index Fund Admiral Shares	10.38%	29.89%	2.58%	15.13%	-21.30%	12.68%	11.90%	13.47%

Correlation

The correlation between EICOX and VFSAX is 0.78, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.78
Correlation (3Y) Calculated over the trailing 3-year period	0.77
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (All Time) Calculated using the full available price history since Feb 7, 2019	0.80

The correlation between EICOX and VFSAX has been stable across timeframes, ranging from 0.77 to 0.80 - a consistent structural relationship.

Return for Risk

EICOX vs. VFSAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EICOX

EICOX Risk / Return Rank: 89
EICOX Sharpe Ratio Rank: 95
EICOX Sortino Ratio Rank: 86
EICOX Omega Ratio Rank: 90
EICOX Calmar Ratio Rank: 88
EICOX Martin Ratio Rank: 87

VFSAX

VFSAX Risk / Return Rank: 42
VFSAX Sharpe Ratio Rank: 44
VFSAX Sortino Ratio Rank: 41
VFSAX Omega Ratio Rank: 44
VFSAX Calmar Ratio Rank: 38
VFSAX Martin Ratio Rank: 40

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EICOX vs. VFSAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Emerging and Frontier Countries Equity Fund (EICOX) and Vanguard FTSE All-World ex-US Small-Cap Index Fund Admiral Shares (VFSAX). 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.

	EICOX	VFSAX	Difference
Sharpe ratio: Return per unit of total volatility	3.03	1.81	+1.22
Sortino ratio: Return per unit of downside risk	3.82	2.50	+1.32
Omega ratio: Gain probability vs. loss probability	1.61	1.33	+0.27
Calmar ratio: Return relative to maximum drawdown	4.10	2.21	+1.88
Martin ratio: Return relative to average drawdown	15.28	8.26	+7.03

EICOX vs. VFSAX - Sharpe Ratio Comparison

The current EICOX Sharpe Ratio is 3.03, which is higher than the VFSAX Sharpe Ratio of 1.81. The chart below compares the historical Sharpe Ratios of EICOX and VFSAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

EICOX vs. VFSAX - Drawdown Comparison

The maximum EICOX drawdown since its inception was -38.75%, roughly equal to the maximum VFSAX drawdown of -39.86%. Use the drawdown chart below to compare losses from any high point for EICOX and VFSAX.

Drawdown Indicators

	EICOX	VFSAX	Difference
Max Drawdown Largest peak-to-trough decline	-38.75%	-39.86%	+1.11%
Max Drawdown (1Y) Largest decline over 1 year	-13.40%	-11.48%	-1.92%
Max Drawdown (3Y) Largest decline over 3 years	-14.11%	-14.73%	+0.62%
Max Drawdown (5Y) Largest decline over 5 years	-22.46%	-33.81%	+11.35%
Max Drawdown (10Y) Largest decline over 10 years	-38.75%	—	—
Current Drawdown Current decline from peak	0.00%	-2.27%	+2.27%
Average Drawdown Average peak-to-trough decline	-8.66%	-9.21%	+0.55%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.59%	3.07%	+0.52%

Volatility

EICOX vs. VFSAX - Volatility Comparison

Eaton Vance Emerging and Frontier Countries Equity Fund (EICOX) has a higher volatility of 9.68% compared to Vanguard FTSE All-World ex-US Small-Cap Index Fund Admiral Shares (VFSAX) at 5.45%. This indicates that EICOX's price experiences larger fluctuations and is considered to be riskier than VFSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EICOX	VFSAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.68%	5.45%	+4.23%
Volatility (6M) Calculated over the trailing 6-month period	16.71%	12.10%	+4.61%
Volatility (1Y) Calculated over the trailing 1-year period	18.15%	14.03%	+4.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.25%	15.15%	-0.90%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.86%	17.06%	-3.20%

EICOX vs. VFSAX - Expense Ratio Comparison

EICOX has a 1.31% expense ratio, which is higher than VFSAX's 0.16% expense ratio.

Dividends

EICOX vs. VFSAX - Dividend Comparison

EICOX's dividend yield for the trailing twelve months is around 2.83%, less than VFSAX's 3.09% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EICOX Eaton Vance Emerging and Frontier Countries Equity Fund	2.83%	3.68%	2.02%	1.95%	5.72%	2.71%	0.10%	2.00%	2.95%	0.00%	0.59%	2.35%
VFSAX Vanguard FTSE All-World ex-US Small-Cap Index Fund Admiral Shares	3.09%	3.31%	3.36%	3.06%	2.22%	2.67%	1.85%	3.19%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both EICOX and VFSAX in my portfolio?

EICOX and VFSAX have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EICOX or VFSAX?

EICOX has higher volatility (9.68%) compared to VFSAX (5.45%). In terms of maximum drawdown, EICOX dropped -38.75% vs VFSAX's -39.86%.

Which has better risk-adjusted returns?

EICOX currently has the higher Sharpe Ratio (3.03 vs 1.81), 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.