Correlation
The correlation between EIVPX and SPY is 0.97, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
EIVPX vs. SPY
Compare and contrast key facts about Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and SPDR S&P 500 ETF (SPY).
EIVPX is managed by Eaton Vance. It was launched on Feb 8, 2017. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EIVPX or SPY.
Performance
EIVPX vs. SPY - Performance Comparison
Loading data...
Key characteristics
EIVPX:
0.73
SPY:
0.70
EIVPX:
1.04
SPY:
1.02
EIVPX:
1.18
SPY:
1.15
EIVPX:
0.69
SPY:
0.68
EIVPX:
3.07
SPY:
2.57
EIVPX:
2.88%
SPY:
4.93%
EIVPX:
12.75%
SPY:
20.42%
EIVPX:
-26.67%
SPY:
-55.19%
EIVPX:
-2.14%
SPY:
-3.55%
Returns By Period
The year-to-date returns for both stocks are quite close, with EIVPX having a 0.91% return and SPY slightly lower at 0.87%.
EIVPX
0.91%
2.71%
-0.16%
9.08%
6.65%
8.76%
N/A
SPY
0.87%
5.54%
-1.56%
13.18%
14.25%
15.81%
12.73%
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
EIVPX vs. SPY - Expense Ratio Comparison
EIVPX has a 0.47% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
EIVPX vs. SPY — Risk-Adjusted Performance Rank
EIVPX
SPY
EIVPX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and SPDR S&P 500 ETF (SPY). 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.
Loading data...
Dividends
EIVPX vs. SPY - Dividend Comparison
EIVPX's dividend yield for the trailing twelve months is around 2.65%, more than SPY's 1.22% yield.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EIVPX Parametric Volatility Risk Premium - Defensive Fund | 2.65% | 2.67% | 5.10% | 7.95% | 1.22% | 0.75% | 1.23% | 1.24% | 0.53% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.22% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% |
Drawdowns
EIVPX vs. SPY - Drawdown Comparison
The maximum EIVPX drawdown since its inception was -26.67%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EIVPX and SPY.
Loading data...
Volatility
EIVPX vs. SPY - Volatility Comparison
The current volatility for Parametric Volatility Risk Premium - Defensive Fund (EIVPX) is 1.85%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.86%. This indicates that EIVPX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading data...