EIPCX vs. TLT
EIPCX (Parametric Commodity Strategy Fund Class I) and TLT (iShares 20+ Year Treasury Bond ETF) are both funds - EIPCX is a Commodities fund managed by Eaton Vance, while TLT is a Government Bonds fund tracking the ICE U.S. Treasury 20+ Year Bond Index. Over the past 10 years, EIPCX returned 10.30%/yr vs -1.75%/yr for TLT. At a correlation of -0.13, they often move in opposite directions. EIPCX charges 0.66%/yr vs 0.15%/yr for TLT.
Performance
EIPCX vs. TLT - Performance Comparison
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Returns By Period
In the year-to-date period, EIPCX achieves a 16.44% return, which is significantly higher than TLT's 0.27% return. Over the past 10 years, EIPCX has outperformed TLT with an annualized return of 10.30%, while TLT has yielded a comparatively lower -1.75% annualized return.
EIPCX
- 1D
- -0.13%
- 1M
- -8.64%
- YTD
- 16.44%
- 6M
- 18.84%
- 1Y
- 32.48%
- 3Y*
- 16.67%
- 5Y*
- 13.32%
- 10Y*
- 10.30%
TLT
- 1D
- -0.24%
- 1M
- 1.54%
- YTD
- 0.27%
- 6M
- 0.45%
- 1Y
- 2.88%
- 3Y*
- -1.38%
- 5Y*
- -6.53%
- 10Y*
- -1.75%
EIPCX vs. TLT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EIPCX Parametric Commodity Strategy Fund Class I | 16.44% | 22.27% | 9.97% | -4.70% | 17.76% | 30.13% | 7.83% | 9.58% | -9.45% | 7.07% |
TLT iShares 20+ Year Treasury Bond ETF | 0.27% | 4.25% | -8.05% | 2.77% | -31.23% | -4.60% | 18.15% | 14.12% | -1.61% | 9.18% |
Correlation
The correlation between EIPCX and TLT is -0.15, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.15 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.06 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.09 |
Correlation (All Time) Calculated using the full available price history since May 26, 2011 | -0.13 |
The correlation between EIPCX and TLT shifts across timeframes, from -0.15 (1 year) to -0.04 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
EIPCX vs. TLT — Risk / Return Rank
EIPCX
TLT
EIPCX vs. TLT - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Commodity Strategy Fund Class I (EIPCX) and iShares 20+ Year Treasury Bond ETF (TLT). 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.
| EIPCX | TLT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.02 | ||
| Sortino ratioReturn per unit of downside risk | +2.52 | ||
| Omega ratioGain probability vs. loss probability | 1.41 | 1.06 | +0.36 |
| Calmar ratioReturn relative to maximum drawdown | 3.78 | 0.38 | +3.39 |
| Martin ratioReturn relative to average drawdown | 13.79 | 0.92 | +12.87 |
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Drawdowns
EIPCX vs. TLT - Drawdown Comparison
The maximum EIPCX drawdown since its inception was -54.05%, which is greater than TLT's maximum drawdown of -48.35%. Use the drawdown chart below to compare losses from any high point for EIPCX and TLT.
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Drawdown Indicators
| EIPCX | TLT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.05% | -48.35% | -5.70% |
Max Drawdown (1Y)Largest decline over 1 year | -8.64% | -7.58% | -1.06% |
Max Drawdown (3Y)Largest decline over 3 years | -10.46% | -19.18% | +8.72% |
Max Drawdown (5Y)Largest decline over 5 years | -18.00% | -43.70% | +25.70% |
Max Drawdown (10Y)Largest decline over 10 years | -28.53% | -48.35% | +19.82% |
Current DrawdownCurrent decline from peak | -8.64% | -40.12% | +31.48% |
Average DrawdownAverage peak-to-trough decline | -24.20% | -13.84% | -10.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.36% | 3.14% | -0.78% |
Volatility
EIPCX vs. TLT - Volatility Comparison
Parametric Commodity Strategy Fund Class I (EIPCX) has a higher volatility of 3.79% compared to iShares 20+ Year Treasury Bond ETF (TLT) at 2.83%. This indicates that EIPCX's price experiences larger fluctuations and is considered to be riskier than TLT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EIPCX | TLT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.79% | 2.83% | +0.96% |
Volatility (6M)Calculated over the trailing 6-month period | 11.89% | 6.64% | +5.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.04% | 9.68% | +4.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.66% | 15.85% | -1.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.27% | 14.91% | -1.64% |
EIPCX vs. TLT - Expense Ratio Comparison
EIPCX has a 0.66% expense ratio, which is higher than TLT's 0.15% expense ratio.
Dividends
EIPCX vs. TLT - Dividend Comparison
EIPCX's dividend yield for the trailing twelve months is around 11.45%, more than TLT's 4.56% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EIPCX Parametric Commodity Strategy Fund Class I | 11.45% | 13.33% | 5.65% | 3.69% | 14.93% | 13.83% | 3.10% | 1.54% | 0.87% | 5.14% | 6.59% | 0.00% |
TLT iShares 20+ Year Treasury Bond ETF | 4.56% | 4.43% | 4.30% | 3.38% | 2.67% | 1.50% | 1.50% | 2.27% | 2.63% | 2.43% | 2.60% | 2.61% |
Frequently Asked Questions
EIPCX and TLT have a correlation of -0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EIPCX has higher volatility (3.79%) compared to TLT (2.83%). In terms of maximum drawdown, EIPCX dropped -54.05% vs TLT's -48.35%.
EIPCX currently has the higher Sharpe Ratio (2.32 vs 0.30), 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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