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.
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.
Performance
EIVPX vs. SPY - Performance Comparison
Key characteristics
EIVPX:
1.90
SPY:
2.21
EIVPX:
2.39
SPY:
2.93
EIVPX:
1.42
SPY:
1.41
EIVPX:
2.84
SPY:
3.26
EIVPX:
13.85
SPY:
14.43
EIVPX:
1.05%
SPY:
1.90%
EIVPX:
7.65%
SPY:
12.41%
EIVPX:
-26.67%
SPY:
-55.19%
EIVPX:
-4.04%
SPY:
-2.74%
Returns By Period
In the year-to-date period, EIVPX achieves a 13.61% return, which is significantly lower than SPY's 25.54% return.
EIVPX
13.61%
-2.09%
3.69%
14.03%
7.99%
N/A
SPY
25.54%
-0.42%
8.90%
25.98%
14.66%
12.97%
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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.
Risk-Adjusted Performance
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.
Dividends
EIVPX vs. SPY - Dividend Comparison
EIVPX has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 0.86%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EIVPX Parametric Volatility Risk Premium - Defensive Fund | 0.00% | 2.27% | 0.94% | 0.30% | 0.75% | 1.23% | 1.24% | 0.53% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 0.86% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
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. For additional features, visit the drawdowns tool.
Volatility
EIVPX vs. SPY - Volatility Comparison
Parametric Volatility Risk Premium - Defensive Fund (EIVPX) and SPDR S&P 500 ETF (SPY) have volatilities of 3.83% and 3.72%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.