Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG) Sortino Ratio: 1.55
EXG's Sortino Ratio of 1.55 indicates that for each unit of downside volatility, it generates 1.55 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Apr 2, 2026).
Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.
EXG Sortino Ratio Rank
EXG ranks above 55.0% of all investments in our database based on Sortino Ratio over the past 12 months, indicating moderate downside protection relative to peers. Securities are ranked from 0 (worst) to 100 (best).
What moves the rank
- Strong returns with minimal downside volatility → Higher rank
- Severe or frequent drawdowns → Lower rank
- Upside volatility → No impact (Sortino doesn't penalize upside swings)
What you can do with this information
- Returns are proportional to downside risk—neither strong nor weak
- Evaluate whether downside volatility aligns with your risk tolerance
- Review higher-ranked alternatives in the same category
- Monitor rank direction to identify improving or deteriorating trends
EXG Sortino Ratio Market Positioning
The chart shows EXG's Sortino Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): 1.15 or lower
- Yellow zone (middle 50%): 1.15 to 2.08
- Green zone (top 25%): 2.08 or higher
- Top 1%: 7.10+
- Median: 1.60 — 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 Sortino 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 Apr 2, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| EPDPX | EuroPac International Dividend Income Fund Class A | 3.53 | |||
| PMAIX | Pioneer Multi-Asset Income Fund A | 3.08 | |||
| VIHAX | Vanguard International High Dividend Yield Index Fund Admiral Shares | 2.96 | |||
| HFQTX | Janus Henderson Global Equity Income Fund Class T | 2.50 | |||
| AMECX | American Funds The Income Fund of America Class A | 2.27 | |||
| CAIFX | American Funds Capital Income Builder Fund Class F-2 | 2.23 | |||
| FDGDX | Fidelity Advisor 529 Dividend Growth Portfolio Class D | 2.17 | |||
| GSAKX | Goldman Sachs International Equity Income Fund Class A | 2.07 | |||
| FINFX | American Funds Fundamental Investors® Class F-2 | 2.01 | |||
| SVAAX | Federated Hermes Strategic Value Dividend Fund Class A | 2.01 | |||
| EXG | Eaton Vance Tax-Managed Global Diversified Equity Income Fund | 1.55 |
Historical Sortino Ratio
The chart shows EXG's rolling Sortino ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to downside risk, while declining trends may signal deteriorating risk-adjusted performance or increased volatility during market stress. 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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Explore EXG risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.