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Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG) Sharpe Ratio: 1.53

Mutual Fund · Currency in USD · Last updated Jun 24, 2026

The fund seeks to invest primarily in dividend-paying stocks of companies across diversified sectors globally, utilizing derivatives and writing call options on U.S. and foreign indices as part of its strategy.

EXG's Sharpe Ratio of 1.53 indicates that for each unit of volatility, it generates 1.53 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 24, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets. For how to read this number and when it can mislead, see Sharpe Ratio Explained.

EXG Sharpe Ratio Rank

EXG Sharpe Ratio Rank: 32.833
Below Average

EXG ranks above 32.8% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating below-average returns relative to volatility. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Returns may not adequately compensate for volatility taken
  • Consider smaller allocation given below-average risk-adjusted profile
  • Explore higher-ranked investments with better consistency
  • Assess whether the volatility profile aligns with your portfolio goals

EXG Sharpe Ratio Market Positioning

The chart shows EXG's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 1.30 or lower
  • Yellow zone (middle 50%): 1.30 to 2.32
  • Green zone (top 25%): 2.32 or higher
  • Top 1%: 4.27+
  • Median: 1.93 — half of all investments score higher

How it compares to other similar mutual funds

The table compares Eaton Vance Tax-Managed Global Diversified Equity Income Fund's Sharpe Ratio with other mutual funds in the Dividend, Global Equity Income category across multiple time periods, showing how EXG's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 24, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
FDGDXFidelity Advisor 529 Dividend Growth Portfolio Class D2.84
FDGFXFidelity Dividend Growth Fund2.76
VIHAXVanguard International High Dividend Yield Index Fund Admiral Shares2.71
EPDPXEuroPac International Dividend Income Fund Class A2.51
PMAIXPioneer Multi-Asset Income Fund A2.45
OIEJXJPMorgan Equity Income Fund R62.44
VHYAXVanguard High Dividend Yield Index Fund Admiral Shares2.41
PJDZXPGIM Jennison Rising Dividend Fund2.39
CDDYXColumbia Dividend Income Fund Institutional 3 Class2.36
HFQTXJanus Henderson Global Equity Income Fund Class T2.36
EXGEaton Vance Tax-Managed Global Diversified Equity Income Fund1.53

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows EXG's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when EXG consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

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