EAEAX vs. SPY

Last updated Aug 1, 2026

EAEAX (Eaton Vance Tax-Managed Equity Asset Allocation Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - EAEAX is a Diversified Portfolio fund managed by BlackRock, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 10 years, EAEAX returned 11.49%/yr vs 15.07%/yr for SPY. Their 0.96 correlation means they have historically moved very closely together. EAEAX charges 1.25%/yr vs 0.09%/yr for SPY.

Performance

EAEAX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eaton Vance Tax-Managed Equity Asset Allocation Fund (EAEAX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with EAEAX having a 9.94% return and SPY slightly higher at 10.13%. Over the past 10 years, EAEAX has underperformed SPY with an annualized return of 11.49%, while SPY has yielded a comparatively higher 15.07% annualized return.

EAEAX

• 1D: 1.24%
• 1M: 0.00%
• 6M: 7.38%
• YTD: 9.94%
• 1Y: 18.80%
• 3Y*: 14.82%
• 5Y*: 8.72%
• 10Y*: 11.49%
• ALL TIME*: 8.64%

SPY

• 1D: 0.72%
• 1M: 0.30%
• 6M: 8.53%
• YTD: 10.13%
• 1Y: 21.49%
• 3Y*: 19.32%
• 5Y*: 12.76%
• 10Y*: 15.07%
• ALL TIME*: 10.79%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
EAEAX Eaton Vance Tax-Managed Equity Asset Allocation Fund	$0.00	$0.00	$0.00
SPY State Street SPDR S&P 500 ETF	$37.27B	$35.99B	$39.23B

EAEAX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EAEAX Eaton Vance Tax-Managed Equity Asset Allocation Fund	9.94%	12.06%	17.99%	20.69%	-18.19%	21.24%	15.47%	27.44%	-5.86%	19.16%
SPY State Street SPDR S&P 500 ETF	10.13%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between EAEAX and SPY is 0.96 - they have historically moved very closely together. At this level, their price movements offset little of one another.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.96
Correlation (3Y) Balances recent behavior with more history.	0.96
Correlation (5Y) Shows whether the relationship held over a longer period.	0.98
Correlation (10Y) Provides a long-term view across more market conditions.	0.98
Correlation (All Time) Calculated using the full available price history since Mar 4, 2002	0.96

The correlation between EAEAX and SPY has been stable across timeframes, ranging from 0.96 to 0.98 - a consistent structural relationship.

Return for Risk

EAEAX vs. SPY — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

EAEAX

EAEAX Risk / Return Rank: 52
EAEAX Sharpe Ratio Rank: 53
EAEAX Sortino Ratio Rank: 52
EAEAX Omega Ratio Rank: 50
EAEAX Calmar Ratio Rank: 45
EAEAX Martin Ratio Rank: 62

SPY

SPY Risk / Return Rank: 67
SPY Sharpe Ratio Rank: 67
SPY Sortino Ratio Rank: 64
SPY Omega Ratio Rank: 65
SPY Calmar Ratio Rank: 64
SPY Martin Ratio Rank: 76

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

EAEAX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Tax-Managed Equity Asset Allocation Fund (EAEAX) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	EAEAX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	1.36	1.52	-0.16
Sortino ratio: Return per unit of downside risk	1.95	2.11	-0.16
Omega ratio: Gain probability vs. loss probability	1.24	1.27	-0.03
Calmar ratio: Return relative to maximum drawdown	1.75	2.20	-0.45
Martin ratio: Return relative to average drawdown	7.89	9.40	-1.51

EAEAX vs. SPY - Sharpe Ratio Comparison

The current EAEAX Sharpe Ratio is 1.36, which is comparable to the SPY Sharpe Ratio of 1.52. The chart below compares the historical Sharpe Ratios of EAEAX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

EAEAX vs. SPY - Drawdown Comparison

The maximum EAEAX drawdown since its inception was -53.71%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for EAEAX and SPY.

Drawdown Indicators

	EAEAX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-53.71%	-55.19%	+1.48%
Max Drawdown (1Y) Largest decline over 1 year	-9.37%	-8.88%	-0.49%
Max Drawdown (3Y) Largest decline over 3 years	-17.69%	-18.76%	+1.07%
Max Drawdown (5Y) Largest decline over 5 years	-24.72%	-24.50%	-0.22%
Max Drawdown (10Y) Largest decline over 10 years	-34.74%	-33.72%	-1.02%
Current Drawdown Current decline from peak	-1.03%	-1.40%	+0.37%
Average Drawdown Average peak-to-trough decline	-7.78%	-9.01%	+1.23%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.08%	2.08%	0.00%

Volatility

EAEAX vs. SPY - Volatility Comparison

The current volatility for Eaton Vance Tax-Managed Equity Asset Allocation Fund (EAEAX) is 2.98%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 3.58%. This indicates that EAEAX 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.

Volatility by Period

	EAEAX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.98%	3.58%	-0.60%
Volatility (6M) Calculated over the trailing 6-month period	9.50%	10.14%	-0.64%
Volatility (1Y) Calculated over the trailing 1-year period	12.08%	12.89%	-0.81%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.75%	17.18%	-1.43%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.83%	17.95%	-1.12%

EAEAX vs. SPY - Expense Ratio Comparison

EAEAX has a 1.25% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

EAEAX vs. SPY - Dividend Comparison

EAEAX's dividend yield for the trailing twelve months is around 3.90%, more than SPY's 1.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EAEAX Eaton Vance Tax-Managed Equity Asset Allocation Fund	3.90%	4.29%	0.80%	0.53%	0.79%	2.58%	0.57%	1.87%	2.12%	3.13%	1.10%	6.32%
SPY State Street SPDR S&P 500 ETF	1.01%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both EAEAX and SPY in my portfolio?

With a correlation of 0.96, EAEAX and SPY move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, EAEAX or SPY?

SPY has higher volatility (3.58%) compared to EAEAX (2.98%). In terms of maximum drawdown, EAEAX dropped -53.71% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (1.52 vs 1.36), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.