EGRAX vs. FARYX
Compare and contrast key facts about Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX) and Fulcrum Diversified Absolute Return Fund (FARYX).
EGRAX is an actively managed fund by Eaton Vance. It was launched on Dec 28, 2012. FARYX is managed by Fulcrum. It was launched on Jul 30, 2015.
Performance
EGRAX vs. FARYX - Performance Comparison
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EGRAX vs. FARYX - 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 | 3.40% | 20.06% | 9.19% | 8.10% | -2.30% | 3.35% | 4.49% | 14.43% | -8.66% | 5.49% |
FARYX Fulcrum Diversified Absolute Return Fund | 6.08% | 13.34% | 7.19% | 0.79% | 2.19% | 4.30% | 9.81% | 7.62% | -1.91% | 1.90% |
Returns By Period
In the year-to-date period, EGRAX achieves a 3.40% return, which is significantly lower than FARYX's 6.08% return. Over the past 10 years, EGRAX has outperformed FARYX with an annualized return of 6.02%, while FARYX has yielded a comparatively lower 5.27% annualized return.
EGRAX
- 1D
- -0.17%
- 1M
- -2.06%
- YTD
- 3.40%
- 6M
- 9.63%
- 1Y
- 18.56%
- 3Y*
- 12.71%
- 5Y*
- 8.23%
- 10Y*
- 6.02%
FARYX
- 1D
- -0.19%
- 1M
- -1.60%
- YTD
- 6.08%
- 6M
- 9.13%
- 1Y
- 19.59%
- 3Y*
- 9.84%
- 5Y*
- 5.75%
- 10Y*
- 5.27%
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EGRAX vs. FARYX - Expense Ratio Comparison
EGRAX has a 2.22% expense ratio, which is higher than FARYX's 1.04% expense ratio.
Return for Risk
EGRAX vs. FARYX — Risk / Return Rank
EGRAX
FARYX
EGRAX vs. FARYX - 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 Fulcrum Diversified Absolute Return Fund (FARYX). 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 | FARYX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 5.02 | 2.56 | +2.46 |
Sortino ratioReturn per unit of downside risk | 6.79 | 3.66 | +3.13 |
Omega ratioGain probability vs. loss probability | 2.33 | 1.47 | +0.86 |
Calmar ratioReturn relative to maximum drawdown | 5.73 | 6.28 | -0.55 |
Martin ratioReturn relative to average drawdown | 23.99 | 21.12 | +2.86 |
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 | FARYX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 5.02 | 2.56 | +2.46 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 2.08 | 0.92 | +1.16 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.53 | 0.92 | +0.62 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.21 | 0.87 | +0.33 |
Correlation
The correlation between EGRAX and FARYX is 0.20, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
EGRAX vs. FARYX - Dividend Comparison
EGRAX's dividend yield for the trailing twelve months is around 6.54%, less than FARYX's 6.77% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EGRAX Eaton Vance Global Macro Absolute Return Advantage Fund Class A | 6.54% | 6.76% | 5.86% | 3.18% | 4.53% | 4.58% | 5.61% | 4.02% | 0.00% | 2.82% | 1.47% | 6.42% |
FARYX Fulcrum Diversified Absolute Return Fund | 6.77% | 7.18% | 4.39% | 0.89% | 1.28% | 8.96% | 7.79% | 0.63% | 8.88% | 3.39% | 0.40% | 0.00% |
Drawdowns
EGRAX vs. FARYX - Drawdown Comparison
The maximum EGRAX drawdown since its inception was -14.15%, which is greater than FARYX's maximum drawdown of -7.41%. Use the drawdown chart below to compare losses from any high point for EGRAX and FARYX.
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Drawdown Indicators
| EGRAX | FARYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.15% | -7.41% | -6.74% |
Max Drawdown (1Y)Largest decline over 1 year | -3.18% | -3.26% | +0.08% |
Max Drawdown (5Y)Largest decline over 5 years | -10.31% | -6.87% | -3.44% |
Max Drawdown (10Y)Largest decline over 10 years | -14.15% | -7.41% | -6.74% |
Current DrawdownCurrent decline from peak | -3.18% | -2.42% | -0.76% |
Average DrawdownAverage peak-to-trough decline | -1.94% | -1.85% | -0.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.76% | 0.97% | -0.21% |
Volatility
EGRAX vs. FARYX - Volatility Comparison
The current volatility for Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX) is 1.77%, while Fulcrum Diversified Absolute Return Fund (FARYX) has a volatility of 2.71%. This indicates that EGRAX experiences smaller price fluctuations and is considered to be less risky than FARYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EGRAX | FARYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.77% | 2.71% | -0.94% |
Volatility (6M)Calculated over the trailing 6-month period | 2.99% | 6.46% | -3.47% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.73% | 7.89% | -4.16% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.98% | 6.30% | -2.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.94% | 5.75% | -1.81% |