EIVPX vs. ESIIX

Last updated Jun 24, 2026

EIVPX (Parametric Volatility Risk Premium - Defensive Fund) and ESIIX (Eaton Vance Strategic Income Fund Class I) are both mutual funds - EIVPX is a Options Trading fund managed by Eaton Vance, while ESIIX is a Multisector Bonds fund actively managed by Eaton Vance. Over the past 5 years, EIVPX returned 9.84%/yr vs 5.43%/yr for ESIIX. At a 0.23 correlation, their price movements are largely independent. EIVPX charges 0.47%/yr vs 1.21%/yr for ESIIX.

Performance

EIVPX vs. ESIIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and Eaton Vance Strategic Income Fund Class I (ESIIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EIVPX achieves a 5.68% return, which is significantly higher than ESIIX's 2.33% return.

EIVPX

• 1D: -0.17%
• 1M: 0.11%
• YTD: 5.68%
• 6M: 5.30%
• 1Y: 16.52%
• 3Y*: 13.58%
• 5Y*: 9.84%
• 10Y*: —

ESIIX

• 1D: -0.15%
• 1M: 0.74%
• YTD: 2.33%
• 6M: 2.69%
• 1Y: 9.39%
• 3Y*: 8.76%
• 5Y*: 5.43%
• 10Y*: 5.26%

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

EIVPX vs. ESIIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EIVPX Parametric Volatility Risk Premium - Defensive Fund	5.68%	12.90%	16.45%	16.83%	-8.64%	17.96%	4.74%	15.46%	-2.80%	8.71%
ESIIX Eaton Vance Strategic Income Fund Class I	2.33%	12.46%	6.66%	8.52%	-2.32%	1.59%	7.80%	7.65%	-2.44%	4.11%

Correlation

The correlation between EIVPX and ESIIX is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (3Y) Calculated over the trailing 3-year period	0.26
Correlation (5Y) Calculated over the trailing 5-year period	0.22
Correlation (All Time) Calculated using the full available price history since Feb 15, 2017	0.23

The correlation between EIVPX and ESIIX shifts across timeframes, from 0.22 (5 years) to 0.42 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

EIVPX vs. ESIIX — Risk / Return Rank

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

EIVPX

EIVPX Risk / Return Rank: 87
EIVPX Sharpe Ratio Rank: 84
EIVPX Sortino Ratio Rank: 80
EIVPX Omega Ratio Rank: 85
EIVPX Calmar Ratio Rank: 91
EIVPX Martin Ratio Rank: 96

ESIIX

ESIIX Risk / Return Rank: 92
ESIIX Sharpe Ratio Rank: 97
ESIIX Sortino Ratio Rank: 96
ESIIX Omega Ratio Rank: 95
ESIIX Calmar Ratio Rank: 86
ESIIX Martin Ratio Rank: 85

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.

EIVPX vs. ESIIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and Eaton Vance Strategic Income Fund Class I (ESIIX). 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.

	EIVPX	ESIIX	Difference
Sharpe ratio: Return per unit of total volatility	2.53	3.35	-0.82
Sortino ratio: Return per unit of downside risk	3.47	4.90	-1.42
Omega ratio: Gain probability vs. loss probability	1.53	1.76	-0.24
Calmar ratio: Return relative to maximum drawdown	4.52	3.94	+0.58
Martin ratio: Return relative to average drawdown	22.72	14.84	+7.88

EIVPX vs. ESIIX - Sharpe Ratio Comparison

The current EIVPX Sharpe Ratio is 2.53, which is comparable to the ESIIX Sharpe Ratio of 3.35. The chart below compares the historical Sharpe Ratios of EIVPX and ESIIX, 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

EIVPX vs. ESIIX - Drawdown Comparison

The maximum EIVPX drawdown since its inception was -26.67%, roughly equal to the maximum ESIIX drawdown of -26.87%. Use the drawdown chart below to compare losses from any high point for EIVPX and ESIIX.

Drawdown Indicators

	EIVPX	ESIIX	Difference
Max Drawdown Largest peak-to-trough decline	-26.67%	-26.87%	+0.20%
Max Drawdown (1Y) Largest decline over 1 year	-3.81%	-2.44%	-1.37%
Max Drawdown (3Y) Largest decline over 3 years	-12.77%	-2.46%	-10.31%
Max Drawdown (5Y) Largest decline over 5 years	-14.07%	-6.18%	-7.89%
Max Drawdown (10Y) Largest decline over 10 years	—	-12.25%	—
Current Drawdown Current decline from peak	-0.67%	-0.44%	-0.23%
Average Drawdown Average peak-to-trough decline	-2.45%	-4.71%	+2.26%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.76%	0.65%	+0.11%

Volatility

EIVPX vs. ESIIX - Volatility Comparison

Parametric Volatility Risk Premium - Defensive Fund (EIVPX) has a higher volatility of 2.76% compared to Eaton Vance Strategic Income Fund Class I (ESIIX) at 0.90%. This indicates that EIVPX's price experiences larger fluctuations and is considered to be riskier than ESIIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EIVPX	ESIIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.76%	0.90%	+1.86%
Volatility (6M) Calculated over the trailing 6-month period	5.32%	2.30%	+3.02%
Volatility (1Y) Calculated over the trailing 1-year period	6.84%	2.87%	+3.97%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.84%	3.21%	+6.63%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.81%	3.17%	+8.64%

EIVPX vs. ESIIX - Expense Ratio Comparison

EIVPX has a 0.47% expense ratio, which is lower than ESIIX's 1.21% expense ratio.

Dividends

EIVPX vs. ESIIX - Dividend Comparison

EIVPX's dividend yield for the trailing twelve months is around 3.80%, less than ESIIX's 7.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EIVPX Parametric Volatility Risk Premium - Defensive Fund	3.80%	4.01%	2.67%	5.09%	7.95%	1.22%	0.75%	1.23%	1.24%	0.53%	0.00%	0.00%
ESIIX Eaton Vance Strategic Income Fund Class I	7.38%	7.01%	7.23%	7.19%	5.82%	4.57%	4.44%	5.29%	4.25%	3.95%	4.18%	4.59%

Frequently Asked Questions

Can I hold both EIVPX and ESIIX in my portfolio?

EIVPX and ESIIX have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EIVPX or ESIIX?

EIVPX has higher volatility (2.76%) compared to ESIIX (0.90%). In terms of maximum drawdown, EIVPX dropped -26.67% vs ESIIX's -26.87%.

Which has better risk-adjusted returns?

ESIIX currently has the higher Sharpe Ratio (3.35 vs 2.53), 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.