EOI vs. AUEIX
EOI (Eaton Vance Enhanced Equity Income Fund) and AUEIX (AQR Large Cap Defensive Style Fund) are both Large Cap Blend Equities funds. Over the past 10 years, EOI returned 12.40%/yr vs 11.01%/yr for AUEIX. A 0.66 correlation means they provide meaningful diversification when combined. EOI charges 0.01%/yr vs 0.37%/yr for AUEIX.
Performance
EOI vs. AUEIX - Performance Comparison
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Returns By Period
In the year-to-date period, EOI achieves a -3.20% return, which is significantly lower than AUEIX's 5.27% return. Over the past 10 years, EOI has outperformed AUEIX with an annualized return of 12.40%, while AUEIX has yielded a comparatively lower 11.01% annualized return.
EOI
- 1D
- -0.93%
- 1M
- -2.52%
- YTD
- -3.20%
- 6M
- -2.34%
- 1Y
- 2.75%
- 3Y*
- 15.24%
- 5Y*
- 9.01%
- 10Y*
- 12.40%
AUEIX
- 1D
- -0.43%
- 1M
- -0.69%
- YTD
- 5.27%
- 6M
- 4.26%
- 1Y
- 6.78%
- 3Y*
- 10.91%
- 5Y*
- 6.39%
- 10Y*
- 11.01%
EOI vs. AUEIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EOI Eaton Vance Enhanced Equity Income Fund | -3.20% | 7.21% | 35.73% | 20.67% | -19.78% | 32.93% | 9.59% | 31.97% | -4.26% | 26.31% |
AUEIX AQR Large Cap Defensive Style Fund | 5.27% | 6.95% | 13.85% | 9.49% | -13.81% | 23.52% | 13.10% | 28.63% | -0.27% | 22.14% |
Correlation
The correlation between EOI and AUEIX is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.48 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.53 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.60 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.63 |
Correlation (All Time) Calculated using the full available price history since Jul 9, 2012 | 0.66 |
The correlation between EOI and AUEIX shifts across timeframes, from 0.48 (1 year) to 0.66 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
EOI vs. AUEIX — Risk / Return Rank
EOI
AUEIX
EOI vs. AUEIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Enhanced Equity Income Fund (EOI) and AQR Large Cap Defensive Style Fund (AUEIX). 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.
| EOI | AUEIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.72 | ||
| Sortino ratioReturn per unit of downside risk | -0.97 | ||
| Omega ratioGain probability vs. loss probability | 1.05 | 1.17 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 0.22 | 1.32 | -1.10 |
| Martin ratioReturn relative to average drawdown | 0.71 | 4.37 | -3.66 |
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Drawdowns
EOI vs. AUEIX - Drawdown Comparison
The maximum EOI drawdown since its inception was -53.72%, which is greater than AUEIX's maximum drawdown of -30.82%. Use the drawdown chart below to compare losses from any high point for EOI and AUEIX.
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Drawdown Indicators
| EOI | AUEIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -53.72% | -30.82% | -22.90% |
Max Drawdown (1Y)Largest decline over 1 year | -12.52% | -5.91% | -6.61% |
Max Drawdown (3Y)Largest decline over 3 years | -23.15% | -10.27% | -12.88% |
Max Drawdown (5Y)Largest decline over 5 years | -26.82% | -22.08% | -4.74% |
Max Drawdown (10Y)Largest decline over 10 years | -40.01% | -30.82% | -9.19% |
Current DrawdownCurrent decline from peak | -5.70% | -1.75% | -3.95% |
Average DrawdownAverage peak-to-trough decline | -7.38% | -3.41% | -3.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.87% | 1.79% | +2.08% |
Volatility
EOI vs. AUEIX - Volatility Comparison
Eaton Vance Enhanced Equity Income Fund (EOI) has a higher volatility of 3.95% compared to AQR Large Cap Defensive Style Fund (AUEIX) at 3.44%. This indicates that EOI's price experiences larger fluctuations and is considered to be riskier than AUEIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EOI | AUEIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.95% | 3.44% | +0.51% |
Volatility (6M)Calculated over the trailing 6-month period | 10.78% | 6.26% | +4.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.19% | 8.40% | +4.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.69% | 13.03% | +5.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.90% | 15.22% | +4.68% |
EOI vs. AUEIX - Expense Ratio Comparison
EOI has a 0.01% expense ratio, which is lower than AUEIX's 0.37% expense ratio.
Dividends
EOI vs. AUEIX - Dividend Comparison
EOI's dividend yield for the trailing twelve months is around 8.40%, less than AUEIX's 21.56% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 21.56% | 22.70% | 24.31% | 24.28% | 10.26% | 2.54% | 1.29% | 1.12% | 1.67% | 2.36% | 1.99% | 6.18% |
EOI Eaton Vance Enhanced Equity Income Fund | 8.40% | 7.81% | 7.38% | 7.93% | 8.80% | 5.83% | 6.66% | 6.78% | 8.01% | 7.15% | 8.36% | 7.73% |
Frequently Asked Questions
EOI and AUEIX have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EOI has higher volatility (3.95%) compared to AUEIX (3.44%). In terms of maximum drawdown, EOI dropped -53.72% vs AUEIX's -30.82%.
AUEIX currently has the higher Sharpe Ratio (0.93 vs 0.21), 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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