EGRAX vs. EGRIX
EGRAX (Eaton Vance Global Macro Absolute Return Advantage Fund Class A) and EGRIX (Eaton Vance Global Macro Absolute Return Advantage Fund) are both mutual funds - EGRAX is a Macro Trading fund actively managed by Eaton Vance, while EGRIX is a Nontraditional Bonds fund managed by Eaton Vance. Over the past 10 years, EGRAX returned 6.26%/yr vs 6.56%/yr for EGRIX. With a 0.96 correlation, they move nearly in lockstep. EGRAX charges 2.22%/yr vs 1.05%/yr for EGRIX.
Performance
EGRAX vs. EGRIX - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with EGRAX having a 6.63% return and EGRIX slightly higher at 6.67%. Both investments have delivered pretty close results over the past 10 years, with EGRAX having a 6.26% annualized return and EGRIX not far ahead at 6.56%.
EGRAX
- 1D
- 0.00%
- 1M
- 0.49%
- YTD
- 6.63%
- 6M
- 7.91%
- 1Y
- 19.14%
- 3Y*
- 13.29%
- 5Y*
- 8.37%
- 10Y*
- 6.26%
EGRIX
- 1D
- 0.00%
- 1M
- 0.48%
- YTD
- 6.67%
- 6M
- 8.05%
- 1Y
- 19.40%
- 3Y*
- 13.54%
- 5Y*
- 8.66%
- 10Y*
- 6.56%
EGRAX vs. EGRIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EGRAX Eaton Vance Global Macro Absolute Return Advantage Fund Class A | 6.63% | 20.06% | 9.19% | 8.10% | -2.30% | 3.35% | 4.49% | 14.43% | -8.66% | 5.49% |
EGRIX Eaton Vance Global Macro Absolute Return Advantage Fund | 6.67% | 20.36% | 9.50% | 8.37% | -1.94% | 3.66% | 4.71% | 14.80% | -8.34% | 5.78% |
Correlation
The correlation between EGRAX and EGRIX is 0.96 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.96 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.95 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.96 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.96 |
Correlation (All Time) Calculated using the full available price history since Sep 8, 2010 | 0.96 |
The correlation between EGRAX and EGRIX has been stable across timeframes, ranging from 0.95 to 0.96 - a consistent structural relationship.
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Return for Risk
EGRAX vs. EGRIX — Risk / Return Rank
EGRAX
EGRIX
EGRAX vs. EGRIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX) and Eaton Vance Global Macro Absolute Return Advantage Fund (EGRIX). 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.
| EGRAX | EGRIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.09 | ||
| Sortino ratioReturn per unit of downside risk | -0.06 | ||
| Omega ratioGain probability vs. loss probability | 2.51 | 2.53 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 5.87 | 5.92 | -0.04 |
| Martin ratioReturn relative to average drawdown | 20.65 | 21.41 | -0.76 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EGRAX | EGRIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 5.54 | 5.63 | -0.09 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 2.10 | 2.16 | -0.06 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.59 | 1.66 | -0.07 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.24 | 1.32 | -0.08 |
Drawdowns
EGRAX vs. EGRIX - Drawdown Comparison
The maximum EGRAX drawdown since its inception was -14.15%, roughly equal to the maximum EGRIX drawdown of -14.17%. Use the drawdown chart below to compare losses from any high point for EGRAX and EGRIX.
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Drawdown Indicators
| EGRAX | EGRIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.15% | -14.17% | +0.02% |
Max Drawdown (1Y)Largest decline over 1 year | -3.35% | -3.37% | +0.02% |
Max Drawdown (3Y)Largest decline over 3 years | -3.35% | -3.37% | +0.02% |
Max Drawdown (5Y)Largest decline over 5 years | -10.31% | -10.18% | -0.13% |
Max Drawdown (10Y)Largest decline over 10 years | -14.15% | -14.17% | +0.02% |
Current DrawdownCurrent decline from peak | -0.16% | -0.08% | -0.08% |
Average DrawdownAverage peak-to-trough decline | -1.93% | -1.84% | -0.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.95% | 0.93% | +0.02% |
Volatility
EGRAX vs. EGRIX - Volatility Comparison
The current volatility for Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX) is 0.87%, while Eaton Vance Global Macro Absolute Return Advantage Fund (EGRIX) has a volatility of 0.93%. This indicates that EGRAX experiences smaller price fluctuations and is considered to be less risky than EGRIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EGRAX | EGRIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.87% | 0.93% | -0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 3.18% | 3.20% | -0.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.55% | 3.54% | +0.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.01% | 4.03% | -0.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.95% | 3.97% | -0.02% |
EGRAX vs. EGRIX - Expense Ratio Comparison
EGRAX has a 2.22% expense ratio, which is higher than EGRIX's 1.05% expense ratio.
Dividends
EGRAX vs. EGRIX - Dividend Comparison
EGRAX's dividend yield for the trailing twelve months is around 6.34%, more than EGRIX's 6.24% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EGRAX Eaton Vance Global Macro Absolute Return Advantage Fund Class A | 6.34% | 6.76% | 5.86% | 3.18% | 4.53% | 4.58% | 5.61% | 4.02% | 0.00% | 2.82% | 1.47% | 6.42% |
EGRIX Eaton Vance Global Macro Absolute Return Advantage Fund | 6.24% | 6.65% | 6.00% | 3.40% | 4.82% | 4.89% | 5.82% | 4.15% | 0.06% | 3.22% | 1.78% | 6.67% |
Frequently Asked Questions
With a correlation of 0.96, EGRAX and EGRIX 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.
EGRIX has higher volatility (0.93%) compared to EGRAX (0.87%). In terms of maximum drawdown, EGRAX dropped -14.15% vs EGRIX's -14.17%.
EGRIX currently has the higher Sharpe Ratio (5.63 vs 5.54), 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.
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