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EAEAX vs. VEIEX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between EAEAX and VEIEX is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

EAEAX vs. VEIEX - 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 Vanguard Emerging Markets Stock Index Fund Investor Shares (VEIEX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

EAEAX:

0.44

VEIEX:

0.63

Sortino Ratio

EAEAX:

0.74

VEIEX:

1.10

Omega Ratio

EAEAX:

1.11

VEIEX:

1.14

Calmar Ratio

EAEAX:

0.42

VEIEX:

0.61

Martin Ratio

EAEAX:

1.56

VEIEX:

2.15

Ulcer Index

EAEAX:

4.94%

VEIEX:

5.35%

Daily Std Dev

EAEAX:

17.79%

VEIEX:

15.97%

Max Drawdown

EAEAX:

-57.02%

VEIEX:

-65.96%

Current Drawdown

EAEAX:

-3.75%

VEIEX:

-3.75%

Returns By Period

In the year-to-date period, EAEAX achieves a 1.42% return, which is significantly lower than VEIEX's 8.19% return. Over the past 10 years, EAEAX has outperformed VEIEX with an annualized return of 7.92%, while VEIEX has yielded a comparatively lower 3.67% annualized return.


EAEAX

YTD

1.42%

1M

11.67%

6M

-0.79%

1Y

7.73%

3Y*

12.83%

5Y*

12.33%

10Y*

7.92%

VEIEX

YTD

8.19%

1M

10.26%

6M

7.58%

1Y

9.96%

3Y*

7.78%

5Y*

8.18%

10Y*

3.67%

*Annualized

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EAEAX vs. VEIEX - Expense Ratio Comparison

EAEAX has a 1.25% expense ratio, which is higher than VEIEX's 0.29% expense ratio.


Risk-Adjusted Performance

EAEAX vs. VEIEX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

EAEAX
The Risk-Adjusted Performance Rank of EAEAX is 4747
Overall Rank
The Sharpe Ratio Rank of EAEAX is 4646
Sharpe Ratio Rank
The Sortino Ratio Rank of EAEAX is 4444
Sortino Ratio Rank
The Omega Ratio Rank of EAEAX is 4646
Omega Ratio Rank
The Calmar Ratio Rank of EAEAX is 5252
Calmar Ratio Rank
The Martin Ratio Rank of EAEAX is 4646
Martin Ratio Rank

VEIEX
The Risk-Adjusted Performance Rank of VEIEX is 6262
Overall Rank
The Sharpe Ratio Rank of VEIEX is 6161
Sharpe Ratio Rank
The Sortino Ratio Rank of VEIEX is 6565
Sortino Ratio Rank
The Omega Ratio Rank of VEIEX is 6060
Omega Ratio Rank
The Calmar Ratio Rank of VEIEX is 6666
Calmar Ratio Rank
The Martin Ratio Rank of VEIEX is 5858
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

EAEAX vs. VEIEX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Tax-Managed Equity Asset Allocation Fund (EAEAX) and Vanguard Emerging Markets Stock Index Fund Investor Shares (VEIEX). 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.


The current EAEAX Sharpe Ratio is 0.44, which is lower than the VEIEX Sharpe Ratio of 0.63. The chart below compares the historical Sharpe Ratios of EAEAX and VEIEX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Dividends

EAEAX vs. VEIEX - Dividend Comparison

EAEAX's dividend yield for the trailing twelve months is around 0.10%, less than VEIEX's 2.76% yield.


TTM20242023202220212020201920182017201620152014
EAEAX
Eaton Vance Tax-Managed Equity Asset Allocation Fund
0.10%0.11%0.53%0.56%0.33%0.57%0.66%0.88%0.85%0.93%0.75%0.60%
VEIEX
Vanguard Emerging Markets Stock Index Fund Investor Shares
2.76%2.98%3.31%3.87%2.41%1.72%3.07%2.67%2.14%2.33%3.04%2.67%

Drawdowns

EAEAX vs. VEIEX - Drawdown Comparison

The maximum EAEAX drawdown since its inception was -57.02%, smaller than the maximum VEIEX drawdown of -65.96%. Use the drawdown chart below to compare losses from any high point for EAEAX and VEIEX. For additional features, visit the drawdowns tool.


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Volatility

EAEAX vs. VEIEX - Volatility Comparison

Eaton Vance Tax-Managed Equity Asset Allocation Fund (EAEAX) has a higher volatility of 5.01% compared to Vanguard Emerging Markets Stock Index Fund Investor Shares (VEIEX) at 3.47%. This indicates that EAEAX's price experiences larger fluctuations and is considered to be riskier than VEIEX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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