EIGMX vs. EOS
EIGMX (Eaton Vance Global Macro Absolute Return Fund) and EOS (Eaton Vance Enhanced Equity Income Fund II) are both mutual funds - EIGMX 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, EIGMX returned 4.94%/yr vs 13.08%/yr for EOS. At a 0.14 correlation, their price movements are largely independent. EIGMX charges 0.76%/yr vs 1.09%/yr for EOS.
Performance
EIGMX vs. EOS - Performance Comparison
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Returns By Period
In the year-to-date period, EIGMX achieves a 5.19% return, which is significantly higher than EOS's -2.55% return. Over the past 10 years, EIGMX has underperformed EOS with an annualized return of 4.94%, while EOS has yielded a comparatively higher 13.08% annualized return.
EIGMX
- 1D
- 0.00%
- 1M
- 0.33%
- 6M
- 4.06%
- YTD
- 5.19%
- 1Y
- 11.81%
- 3Y*
- 9.04%
- 5Y*
- 6.45%
- 10Y*
- 4.94%
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%
EIGMX vs. EOS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EIGMX Eaton Vance Global Macro Absolute Return Fund | 5.19% | 11.37% | 8.69% | 6.99% | -0.47% | 2.19% | 3.59% | 9.76% | -3.29% | 4.29% |
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 EIGMX and EOS is 0.11, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.16 |
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 Jun 27, 2007 | 0.14 |
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Return for Risk
EIGMX vs. EOS — Risk / Return Rank
EIGMX
EOS
EIGMX vs. EOS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Global Macro Absolute Return Fund (EIGMX) 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.
| EIGMX | EOS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +6.43 | ||
| Sortino ratioReturn per unit of downside risk | +10.08 | ||
| Omega ratioGain probability vs. loss probability | 3.00 | 0.99 | +2.01 |
| Calmar ratioReturn relative to maximum drawdown | 8.22 | -0.14 | +8.36 |
| Martin ratioReturn relative to average drawdown | 29.75 | -0.44 | +30.19 |
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Drawdowns
EIGMX vs. EOS - Drawdown Comparison
The maximum EIGMX drawdown since its inception was -9.42%, smaller than the maximum EOS drawdown of -55.74%. Use the drawdown chart below to compare losses from any high point for EIGMX and EOS.
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Drawdown Indicators
| EIGMX | EOS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -9.42% | -55.74% | +46.32% |
Max Drawdown (1Y)Largest decline over 1 year | -1.44% | -17.12% | +15.68% |
Max Drawdown (3Y)Largest decline over 3 years | -1.63% | -24.31% | +22.68% |
Max Drawdown (5Y)Largest decline over 5 years | -7.39% | -34.32% | +26.93% |
Max Drawdown (10Y)Largest decline over 10 years | -9.42% | -41.12% | +31.70% |
Current DrawdownCurrent decline from peak | -0.22% | -4.79% | +4.57% |
Average DrawdownAverage peak-to-trough decline | -0.92% | -7.80% | +6.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.40% | 5.51% | -5.11% |
Volatility
EIGMX vs. EOS - Volatility Comparison
The current volatility for Eaton Vance Global Macro Absolute Return Fund (EIGMX) is 0.53%, while Eaton Vance Enhanced Equity Income Fund II (EOS) has a volatility of 4.25%. This indicates that EIGMX 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
| EIGMX | EOS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.53% | 4.25% | -3.72% |
Volatility (6M)Calculated over the trailing 6-month period | 1.64% | 12.39% | -10.75% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.90% | 15.69% | -13.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.62% | 19.80% | -17.18% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 2.50% | 20.75% | -18.25% |
EIGMX vs. EOS - Expense Ratio Comparison
EIGMX has a 0.76% expense ratio, which is lower than EOS's 1.09% expense ratio.
Dividends
EIGMX vs. EOS - Dividend Comparison
EIGMX's dividend yield for the trailing twelve months is around 6.64%, less than EOS's 8.41% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EIGMX Eaton Vance Global Macro Absolute Return Fund | 6.64% | 5.72% | 6.16% | 5.79% | 4.78% | 4.18% | 4.37% | 5.44% | 3.72% | 3.42% | 4.02% | 5.54% |
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
EIGMX and EOS have a correlation of 0.11, 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 EIGMX (0.53%). In terms of maximum drawdown, EIGMX dropped -9.42% vs EOS's -55.74%.
EIGMX currently has the higher Sharpe Ratio (6.27 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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