EIVPX vs. SPY
Compare and contrast key facts about Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and State Street 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.
Performance
EIVPX vs. SPY - Performance Comparison
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EIVPX vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EIVPX Parametric Volatility Risk Premium - Defensive Fund | -0.30% | 12.90% | 16.45% | 16.83% | -8.64% | 17.96% | 4.74% | 15.46% | -2.80% | 8.71% |
SPY State Street SPDR S&P 500 ETF | -3.65% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 15.80% |
Returns By Period
In the year-to-date period, EIVPX achieves a -0.30% return, which is significantly higher than SPY's -3.65% return.
EIVPX
- 1D
- 1.77%
- 1M
- -1.82%
- YTD
- -0.30%
- 6M
- 2.89%
- 1Y
- 14.12%
- 3Y*
- 13.23%
- 5Y*
- 9.33%
- 10Y*
- —
SPY
- 1D
- 0.75%
- 1M
- -4.28%
- YTD
- -3.65%
- 6M
- -1.42%
- 1Y
- 18.14%
- 3Y*
- 18.48%
- 5Y*
- 11.86%
- 10Y*
- 14.06%
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EIVPX vs. SPY - Expense Ratio Comparison
EIVPX has a 0.47% expense ratio, which is higher than SPY's 0.09% expense ratio.
Return for Risk
EIVPX vs. SPY — Risk / Return Rank
EIVPX
SPY
EIVPX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and State Street 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.
| EIVPX | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.24 | 0.96 | +0.29 |
Sortino ratioReturn per unit of downside risk | 1.84 | 1.49 | +0.35 |
Omega ratioGain probability vs. loss probability | 1.34 | 1.23 | +0.11 |
Calmar ratioReturn relative to maximum drawdown | 1.63 | 1.53 | +0.10 |
Martin ratioReturn relative to average drawdown | 10.84 | 7.27 | +3.57 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EIVPX | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.24 | 0.96 | +0.29 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.95 | 0.70 | +0.26 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.79 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.72 | 0.56 | +0.16 |
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.
Dividends
EIVPX vs. SPY - Dividend Comparison
EIVPX's dividend yield for the trailing twelve months is around 4.03%, more than SPY's 1.13% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EIVPX Parametric Volatility Risk Premium - Defensive Fund | 4.03% | 4.01% | 2.67% | 5.09% | 7.95% | 1.22% | 0.75% | 1.23% | 1.24% | 0.53% | 0.00% | 0.00% |
SPY State Street SPDR S&P 500 ETF | 1.13% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
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.
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Drawdown Indicators
| EIVPX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.67% | -55.19% | +28.52% |
Max Drawdown (1Y)Largest decline over 1 year | -9.11% | -12.05% | +2.94% |
Max Drawdown (5Y)Largest decline over 5 years | -14.07% | -24.50% | +10.43% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.72% | — |
Current DrawdownCurrent decline from peak | -2.11% | -5.53% | +3.42% |
Average DrawdownAverage peak-to-trough decline | -2.51% | -9.09% | +6.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.37% | 2.54% | -1.17% |
Volatility
EIVPX vs. SPY - Volatility Comparison
The current volatility for Parametric Volatility Risk Premium - Defensive Fund (EIVPX) is 3.21%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 5.35%. 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.
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Volatility by Period
| EIVPX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.21% | 5.35% | -2.14% |
Volatility (6M)Calculated over the trailing 6-month period | 5.57% | 9.50% | -3.93% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.64% | 19.06% | -7.42% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.84% | 17.06% | -7.22% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.90% | 17.92% | -6.02% |