EGRAX vs. EXG
EGRAX (Eaton Vance Global Macro Absolute Return Advantage Fund Class A) and EXG (Eaton Vance Tax-Managed Global Diversified Equity Income Fund) are both mutual funds - EGRAX is a Macro Trading fund actively managed by Eaton Vance, while EXG is a Dividend fund actively managed by Eaton Vance. Both are actively managed. Over the past 10 years, EGRAX returned 6.26%/yr vs 10.39%/yr for EXG. At a 0.19 correlation, their price movements are largely independent. EGRAX charges 2.22%/yr vs 1.07%/yr for EXG.
Performance
EGRAX vs. EXG - 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 EXG's 2.69% return. Over the past 10 years, EGRAX has underperformed EXG with an annualized return of 6.26%, while EXG has yielded a comparatively higher 10.39% annualized return.
EGRAX
- 1D
- 0.16%
- 1M
- 0.91%
- YTD
- 6.63%
- 6M
- 8.00%
- 1Y
- 19.57%
- 3Y*
- 13.29%
- 5Y*
- 8.35%
- 10Y*
- 6.26%
EXG
- 1D
- -1.25%
- 1M
- 1.88%
- YTD
- 2.69%
- 6M
- 7.01%
- 1Y
- 19.37%
- 3Y*
- 16.30%
- 5Y*
- 7.69%
- 10Y*
- 10.39%
EGRAX vs. EXG - 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% |
EXG Eaton Vance Tax-Managed Global Diversified Equity Income Fund | 2.69% | 27.79% | 16.04% | 11.46% | -22.24% | 31.53% | 10.19% | 28.71% | -12.09% | 29.58% |
Correlation
The correlation between EGRAX and EXG is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.25 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.13 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.14 |
Correlation (All Time) Calculated using the full available price history since Sep 8, 2010 | 0.19 |
The correlation between EGRAX and EXG shifts across timeframes, from 0.13 (5 years) to 0.28 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
EGRAX vs. EXG — Risk / Return Rank
EGRAX
EXG
EGRAX vs. EXG - 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 Global Diversified Equity Income Fund (EXG). 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 | EXG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +4.08 | ||
| Sortino ratioReturn per unit of downside risk | +5.82 | ||
| Omega ratioGain probability vs. loss probability | 2.49 | 1.26 | +1.23 |
| Calmar ratioReturn relative to maximum drawdown | 5.84 | 1.36 | +4.48 |
| Martin ratioReturn relative to average drawdown | 20.53 | 6.21 | +14.32 |
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 | EXG | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 5.50 | 1.42 | +4.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 2.09 | 0.44 | +1.65 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.59 | 0.52 | +1.07 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.24 | 0.31 | +0.94 |
Drawdowns
EGRAX vs. EXG - Drawdown Comparison
The maximum EGRAX drawdown since its inception was -14.15%, smaller than the maximum EXG drawdown of -58.45%. Use the drawdown chart below to compare losses from any high point for EGRAX and EXG.
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Drawdown Indicators
| EGRAX | EXG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.15% | -58.45% | +44.30% |
Max Drawdown (1Y)Largest decline over 1 year | -3.35% | -14.28% | +10.93% |
Max Drawdown (3Y)Largest decline over 3 years | -3.35% | -15.12% | +11.77% |
Max Drawdown (5Y)Largest decline over 5 years | -10.31% | -27.82% | +17.51% |
Max Drawdown (10Y)Largest decline over 10 years | -14.15% | -45.36% | +31.21% |
Current DrawdownCurrent decline from peak | -0.16% | -1.25% | +1.09% |
Average DrawdownAverage peak-to-trough decline | -1.93% | -9.62% | +7.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.95% | 3.12% | -2.17% |
Volatility
EGRAX vs. EXG - 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 Global Diversified Equity Income Fund (EXG) has a volatility of 4.35%. This indicates that EGRAX experiences smaller price fluctuations and is considered to be less risky than EXG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EGRAX | EXG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.87% | 4.35% | -3.48% |
Volatility (6M)Calculated over the trailing 6-month period | 3.18% | 10.97% | -7.79% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.56% | 13.68% | -10.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.01% | 17.50% | -13.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.95% | 19.99% | -16.04% |
EGRAX vs. EXG - Expense Ratio Comparison
EGRAX has a 2.22% expense ratio, which is higher than EXG's 1.07% expense ratio.
Dividends
EGRAX vs. EXG - Dividend Comparison
EGRAX's dividend yield for the trailing twelve months is around 6.34%, less than EXG's 8.34% 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% |
EXG Eaton Vance Tax-Managed Global Diversified Equity Income Fund | 8.34% | 8.27% | 9.27% | 8.60% | 10.59% | 7.27% | 8.43% | 8.42% | 12.23% | 9.84% | 12.16% | 11.02% |
Frequently Asked Questions
EGRAX and EXG have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EXG has higher volatility (4.35%) compared to EGRAX (0.87%). In terms of maximum drawdown, EGRAX dropped -14.15% vs EXG's -58.45%.
EGRAX currently has the higher Sharpe Ratio (5.50 vs 1.42), 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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