EGRIX vs. EOS
EGRIX (Eaton Vance Global Macro Absolute Return Advantage Fund) and EOS (Eaton Vance Enhanced Equity Income Fund II) are both mutual funds - EGRIX is a Nontraditional Bonds fund managed by Eaton Vance, while EOS is a Derivative Income fund actively managed by Eaton Vance. Over the past 10 years, EGRIX returned 6.50%/yr vs 13.08%/yr for EOS. At a 0.18 correlation, their price movements are largely independent. EGRIX charges 1.05%/yr vs 1.09%/yr for EOS.
Performance
EGRIX vs. EOS - Performance Comparison
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Returns By Period
In the year-to-date period, EGRIX achieves a 8.13% return, which is significantly higher than EOS's -2.55% return. Over the past 10 years, EGRIX has underperformed EOS with an annualized return of 6.50%, while EOS has yielded a comparatively higher 13.08% annualized return.
EGRIX
- 1D
- -0.08%
- 1M
- 0.32%
- 6M
- 6.13%
- YTD
- 8.13%
- 1Y
- 19.10%
- 3Y*
- 13.08%
- 5Y*
- 9.02%
- 10Y*
- 6.50%
EOS
- 1D
- -1.67%
- 1M
- 0.23%
- 6M
- 0.18%
- YTD
- -2.55%
- 1Y
- -2.42%
- 3Y*
- 14.33%
- 5Y*
- 6.92%
- 10Y*
- 13.08%
EGRIX vs. EOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EGRIX Eaton Vance Global Macro Absolute Return Advantage Fund | 8.13% | 20.36% | 9.50% | 8.37% | -1.94% | 3.66% | 4.71% | 14.80% | -8.34% | 5.78% |
EOS Eaton Vance Enhanced Equity Income Fund II | -2.55% | 5.77% | 38.69% | 22.59% | -26.50% | 20.30% | 29.45% | 30.32% | 2.77% | 27.89% |
Correlation
The correlation between EGRIX and EOS is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.21 |
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 1, 2010 | 0.18 |
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Return for Risk
EGRIX vs. EOS — Risk / Return Rank
EGRIX
EOS
EGRIX vs. EOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Global Macro Absolute Return Advantage Fund (EGRIX) and Eaton Vance Enhanced Equity Income Fund II (EOS). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| EGRIX | EOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +5.49 | ||
| Sortino ratioReturn per unit of downside risk | +7.70 | ||
| Omega ratioGain probability vs. loss probability | 2.39 | 0.99 | +1.40 |
| Calmar ratioReturn relative to maximum drawdown | 5.67 | -0.14 | +5.81 |
| Martin ratioReturn relative to average drawdown | 20.48 | -0.44 | +20.92 |
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Drawdowns
EGRIX vs. EOS - Drawdown Comparison
The maximum EGRIX drawdown since its inception was -14.17%, smaller than the maximum EOS drawdown of -55.74%. Use the drawdown chart below to compare losses from any high point for EGRIX and EOS.
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Drawdown Indicators
| EGRIX | EOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.17% | -55.74% | +41.57% |
Max Drawdown (1Y)Largest decline over 1 year | -3.37% | -17.12% | +13.75% |
Max Drawdown (3Y)Largest decline over 3 years | -3.37% | -24.31% | +20.94% |
Max Drawdown (5Y)Largest decline over 5 years | -10.18% | -34.32% | +24.14% |
Max Drawdown (10Y)Largest decline over 10 years | -14.17% | -41.12% | +26.95% |
Current DrawdownCurrent decline from peak | -0.55% | -4.79% | +4.24% |
Average DrawdownAverage peak-to-trough decline | -1.83% | -7.80% | +5.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.93% | 5.51% | -4.58% |
Volatility
EGRIX vs. EOS - Volatility Comparison
The current volatility for Eaton Vance Global Macro Absolute Return Advantage Fund (EGRIX) is 0.86%, while Eaton Vance Enhanced Equity Income Fund II (EOS) has a volatility of 4.25%. This indicates that EGRIX experiences smaller price fluctuations and is considered to be less risky than EOS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EGRIX | EOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.86% | 4.25% | -3.39% |
Volatility (6M)Calculated over the trailing 6-month period | 3.18% | 12.39% | -9.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.58% | 15.69% | -12.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.04% | 19.80% | -15.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.96% | 20.75% | -16.79% |
EGRIX vs. EOS - Expense Ratio Comparison
EGRIX has a 1.05% expense ratio, which is lower than EOS's 1.09% expense ratio.
Dividends
EGRIX vs. EOS - Dividend Comparison
EGRIX's dividend yield for the trailing twelve months is around 6.15%, less than EOS's 8.41% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EGRIX Eaton Vance Global Macro Absolute Return Advantage Fund | 6.15% | 6.65% | 6.00% | 3.40% | 4.82% | 4.89% | 5.82% | 4.15% | 0.06% | 3.22% | 1.78% | 6.67% |
EOS Eaton Vance Enhanced Equity Income Fund II | 8.41% | 7.81% | 7.17% | 7.38% | 9.69% | 5.60% | 5.01% | 6.65% | 7.16% | 6.90% | 8.20% | 7.70% |
Frequently Asked Questions
EGRIX and EOS have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EOS has higher volatility (4.25%) compared to EGRIX (0.86%). In terms of maximum drawdown, EGRIX dropped -14.17% vs EOS's -55.74%.
EGRIX currently has the higher Sharpe Ratio (5.33 vs -0.16), 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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