EGRAX vs. ETY
EGRAX (Eaton Vance Global Macro Absolute Return Advantage Fund Class A) and ETY (Eaton Vance Tax Managed Diversified Equity Income Closed Fund) are both mutual funds - EGRAX is a Macro Trading fund actively managed by Eaton Vance, while ETY is a Large Cap Growth Equities fund actively managed by Eaton Vance. Both are actively managed. Over the past 10 years, EGRAX returned 6.26%/yr vs 12.54%/yr for ETY. At a 0.18 correlation, their price movements are largely independent. EGRAX charges 2.22%/yr vs 1.06%/yr for ETY.
Performance
EGRAX vs. ETY - Performance Comparison
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Returns By Period
In the year-to-date period, EGRAX achieves a 6.63% return, which is significantly higher than ETY's -0.36% return. Over the past 10 years, EGRAX has underperformed ETY with an annualized return of 6.26%, while ETY has yielded a comparatively higher 12.54% annualized return.
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%
ETY
- 1D
- 0.27%
- 1M
- -0.68%
- YTD
- -0.36%
- 6M
- -1.58%
- 1Y
- 6.47%
- 3Y*
- 16.83%
- 5Y*
- 9.84%
- 10Y*
- 12.54%
EGRAX vs. ETY - 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% |
ETY Eaton Vance Tax Managed Diversified Equity Income Closed Fund | -0.36% | 11.02% | 33.11% | 21.83% | -21.21% | 32.61% | 7.27% | 33.68% | -8.96% | 28.72% |
Correlation
The correlation between EGRAX and ETY is 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.18 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.21 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.10 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.12 |
Correlation (All Time) Calculated using the full available price history since Sep 8, 2010 | 0.18 |
The correlation between EGRAX and ETY shifts across timeframes, from 0.10 (5 years) to 0.21 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
EGRAX vs. ETY — Risk / Return Rank
EGRAX
ETY
EGRAX vs. ETY - 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 Tax Managed Diversified Equity Income Closed Fund (ETY). 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 | ETY | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +5.04 | ||
| Sortino ratioReturn per unit of downside risk | +7.12 | ||
| Omega ratioGain probability vs. loss probability | 2.51 | 1.10 | +1.41 |
| Calmar ratioReturn relative to maximum drawdown | 5.87 | 0.45 | +5.42 |
| Martin ratioReturn relative to average drawdown | 20.65 | 1.74 | +18.91 |
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 | ETY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 5.54 | 0.50 | +5.04 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 2.10 | 0.55 | +1.55 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.59 | 0.63 | +0.96 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.24 | 0.40 | +0.85 |
Drawdowns
EGRAX vs. ETY - Drawdown Comparison
The maximum EGRAX drawdown since its inception was -14.15%, smaller than the maximum ETY drawdown of -53.06%. Use the drawdown chart below to compare losses from any high point for EGRAX and ETY.
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Drawdown Indicators
| EGRAX | ETY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.15% | -53.06% | +38.91% |
Max Drawdown (1Y)Largest decline over 1 year | -3.35% | -14.40% | +11.05% |
Max Drawdown (3Y)Largest decline over 3 years | -3.35% | -21.28% | +17.93% |
Max Drawdown (5Y)Largest decline over 5 years | -10.31% | -24.06% | +13.75% |
Max Drawdown (10Y)Largest decline over 10 years | -14.15% | -42.46% | +28.31% |
Current DrawdownCurrent decline from peak | -0.16% | -2.56% | +2.40% |
Average DrawdownAverage peak-to-trough decline | -1.93% | -7.59% | +5.66% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.95% | 3.73% | -2.78% |
Volatility
EGRAX vs. ETY - Volatility Comparison
The current volatility for Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX) is 0.87%, while Eaton Vance Tax Managed Diversified Equity Income Closed Fund (ETY) has a volatility of 3.17%. This indicates that EGRAX experiences smaller price fluctuations and is considered to be less risky than ETY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EGRAX | ETY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.87% | 3.17% | -2.30% |
Volatility (6M)Calculated over the trailing 6-month period | 3.18% | 10.48% | -7.30% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.55% | 12.99% | -9.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.01% | 17.88% | -13.87% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.95% | 19.88% | -15.93% |
EGRAX vs. ETY - Expense Ratio Comparison
EGRAX has a 2.22% expense ratio, which is higher than ETY's 1.06% expense ratio.
Dividends
EGRAX vs. ETY - Dividend Comparison
EGRAX's dividend yield for the trailing twelve months is around 6.34%, less than ETY's 8.05% 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% |
ETY Eaton Vance Tax Managed Diversified Equity Income Closed Fund | 8.05% | 7.76% | 7.59% | 7.92% | 10.04% | 7.01% | 8.26% | 8.08% | 9.92% | 8.30% | 9.77% | 9.03% |
Frequently Asked Questions
EGRAX and ETY have a correlation of 0.18, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ETY has higher volatility (3.17%) compared to EGRAX (0.87%). In terms of maximum drawdown, EGRAX dropped -14.15% vs ETY's -53.06%.
EGRAX currently has the higher Sharpe Ratio (5.54 vs 0.50), 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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