EIVPX vs. PPFIX
Compare and contrast key facts about Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and Princeton Premium Fund (PPFIX).
EIVPX is managed by Eaton Vance. It was launched on Feb 8, 2017. PPFIX is managed by Princeton. It was launched on Nov 15, 2016.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EIVPX or PPFIX.
Key characteristics
| EIVPX | PPFIX | |
|---|---|---|
| YTD Return | 16.56% | 3.14% |
| 1Y Return | 18.11% | 0.51% |
| 3Y Return (Ann) | 7.41% | 0.52% |
| 5Y Return (Ann) | 8.99% | 3.59% |
| Sharpe Ratio | 2.69 | 0.14 |
| Sortino Ratio | 3.46 | 0.16 |
| Omega Ratio | 1.60 | 1.09 |
| Calmar Ratio | 3.68 | 0.18 |
| Martin Ratio | 17.69 | 0.34 |
| Ulcer Index | 1.07% | 1.74% |
| Daily Std Dev | 7.01% | 4.33% |
| Max Drawdown | -26.67% | -15.64% |
| Current Drawdown | 0.00% | -0.80% |
Correlation
The correlation between EIVPX and PPFIX is 0.33, 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
EIVPX vs. PPFIX - Performance Comparison
In the year-to-date period, EIVPX achieves a 16.56% return, which is significantly higher than PPFIX's 3.14% 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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EIVPX vs. PPFIX - Expense Ratio Comparison
EIVPX has a 0.47% expense ratio, which is lower than PPFIX's 1.95% expense ratio.
Risk-Adjusted Performance
EIVPX vs. PPFIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and Princeton Premium Fund (PPFIX). 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
EIVPX vs. PPFIX - Dividend Comparison
EIVPX's dividend yield for the trailing twelve months is around 1.94%, less than PPFIX's 3.66% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|
EIVPX Parametric Volatility Risk Premium - Defensive Fund | 1.94% | 2.27% | 0.94% | 0.30% | 0.75% | 1.23% | 1.24% | 0.53% |
PPFIX Princeton Premium Fund | 3.66% | 3.68% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
EIVPX vs. PPFIX - Drawdown Comparison
The maximum EIVPX drawdown since its inception was -26.67%, which is greater than PPFIX's maximum drawdown of -15.64%. Use the drawdown chart below to compare losses from any high point for EIVPX and PPFIX. For additional features, visit the drawdowns tool.
Volatility
EIVPX vs. PPFIX - Volatility Comparison
Parametric Volatility Risk Premium - Defensive Fund (EIVPX) has a higher volatility of 2.01% compared to Princeton Premium Fund (PPFIX) at 0.33%. This indicates that EIVPX's price experiences larger fluctuations and is considered to be riskier than PPFIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.