EGRIX vs. JSOSX
Compare and contrast key facts about Eaton Vance Global Macro Absolute Return Advantage Fund (EGRIX) and JPMorgan Strategic Income Opportunities Fund Class I (JSOSX).
EGRIX is managed by Eaton Vance. It was launched on Aug 30, 2010. JSOSX is managed by JPMorgan. It was launched on Oct 10, 2008.
Performance
EGRIX vs. JSOSX - Performance Comparison
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EGRIX vs. JSOSX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EGRIX Eaton Vance Global Macro Absolute Return Advantage Fund | 3.59% | 20.36% | 9.50% | 8.37% | -1.94% | 3.66% | 4.71% | 14.80% | -8.34% | 5.78% |
JSOSX JPMorgan Strategic Income Opportunities Fund Class I | 0.41% | 3.70% | 5.45% | 5.25% | 0.46% | 0.64% | 1.55% | 3.97% | 0.77% | 3.34% |
Returns By Period
In the year-to-date period, EGRIX achieves a 3.59% return, which is significantly higher than JSOSX's 0.41% return. Over the past 10 years, EGRIX has outperformed JSOSX with an annualized return of 6.33%, while JSOSX has yielded a comparatively lower 3.32% annualized return.
EGRIX
- 1D
- -0.49%
- 1M
- -2.81%
- YTD
- 3.59%
- 6M
- 10.03%
- 1Y
- 19.05%
- 3Y*
- 13.09%
- 5Y*
- 8.55%
- 10Y*
- 6.33%
JSOSX
- 1D
- 0.00%
- 1M
- -0.26%
- YTD
- 0.41%
- 6M
- 1.32%
- 1Y
- 3.43%
- 3Y*
- 4.66%
- 5Y*
- 3.10%
- 10Y*
- 3.32%
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EGRIX vs. JSOSX - Expense Ratio Comparison
EGRIX has a 1.05% expense ratio, which is higher than JSOSX's 0.77% expense ratio.
Return for Risk
EGRIX vs. JSOSX — Risk / Return Rank
EGRIX
JSOSX
EGRIX vs. JSOSX - 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 JPMorgan Strategic Income Opportunities Fund Class I (JSOSX). 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.
| EGRIX | JSOSX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 5.14 | 5.06 | +0.07 |
Sortino ratioReturn per unit of downside risk | 6.91 | 9.95 | -3.04 |
Omega ratioGain probability vs. loss probability | 2.37 | 3.85 | -1.48 |
Calmar ratioReturn relative to maximum drawdown | 6.28 | 13.42 | -7.14 |
Martin ratioReturn relative to average drawdown | 25.82 | 93.93 | -68.12 |
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
| EGRIX | JSOSX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 5.14 | 5.06 | +0.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 2.15 | 3.99 | -1.84 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.61 | 2.59 | -0.98 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.29 | 1.98 | -0.69 |
Correlation
The correlation between EGRIX and JSOSX is 0.22, 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
EGRIX vs. JSOSX - Dividend Comparison
EGRIX's dividend yield for the trailing twelve months is around 6.42%, more than JSOSX's 3.74% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EGRIX Eaton Vance Global Macro Absolute Return Advantage Fund | 6.42% | 6.65% | 6.00% | 3.40% | 4.82% | 4.89% | 5.82% | 4.15% | 0.06% | 3.22% | 1.78% | 6.67% |
JSOSX JPMorgan Strategic Income Opportunities Fund Class I | 3.74% | 3.82% | 5.05% | 4.77% | 1.69% | 0.55% | 1.26% | 2.85% | 3.00% | 3.21% | 4.30% | 3.44% |
Drawdowns
EGRIX vs. JSOSX - Drawdown Comparison
The maximum EGRIX drawdown since its inception was -14.17%, which is greater than JSOSX's maximum drawdown of -6.40%. Use the drawdown chart below to compare losses from any high point for EGRIX and JSOSX.
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Drawdown Indicators
| EGRIX | JSOSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.17% | -6.40% | -7.77% |
Max Drawdown (1Y)Largest decline over 1 year | -2.96% | -0.26% | -2.70% |
Max Drawdown (5Y)Largest decline over 5 years | -10.18% | -0.98% | -9.20% |
Max Drawdown (10Y)Largest decline over 10 years | -14.17% | -6.19% | -7.98% |
Current DrawdownCurrent decline from peak | -2.96% | -0.26% | -2.70% |
Average DrawdownAverage peak-to-trough decline | -1.85% | -0.47% | -1.38% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.72% | 0.04% | +0.68% |
Volatility
EGRIX vs. JSOSX - Volatility Comparison
Eaton Vance Global Macro Absolute Return Advantage Fund (EGRIX) has a higher volatility of 1.98% compared to JPMorgan Strategic Income Opportunities Fund Class I (JSOSX) at 0.34%. This indicates that EGRIX's price experiences larger fluctuations and is considered to be riskier than JSOSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EGRIX | JSOSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.98% | 0.34% | +1.64% |
Volatility (6M)Calculated over the trailing 6-month period | 2.96% | 0.50% | +2.46% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.67% | 0.68% | +2.99% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.99% | 0.78% | +3.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.95% | 1.29% | +2.66% |