EOS vs. EGRIX
EOS (Eaton Vance Enhanced Equity Income Fund II) and EGRIX (Eaton Vance Global Macro Absolute Return Advantage Fund) are both mutual funds - EOS is a Derivative Income fund actively managed by Eaton Vance, while EGRIX is a Nontraditional Bonds fund managed by Eaton Vance. Over the past 10 years, EOS returned 13.37%/yr vs 6.51%/yr for EGRIX. At a 0.18 correlation, their price movements are largely independent. EOS charges 1.09%/yr vs 1.05%/yr for EGRIX.
Performance
EOS vs. EGRIX - Performance Comparison
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Returns By Period
In the year-to-date period, EOS achieves a -0.89% return, which is significantly lower than EGRIX's 8.21% return. Over the past 10 years, EOS has outperformed EGRIX with an annualized return of 13.37%, while EGRIX has yielded a comparatively lower 6.51% annualized return.
EOS
- 1D
- -0.63%
- 1M
- 1.42%
- 6M
- 1.44%
- YTD
- -0.89%
- 1Y
- -0.56%
- 3Y*
- 15.30%
- 5Y*
- 7.28%
- 10Y*
- 13.37%
EGRIX
- 1D
- -0.16%
- 1M
- 0.40%
- 6M
- 6.21%
- YTD
- 8.21%
- 1Y
- 19.09%
- 3Y*
- 13.11%
- 5Y*
- 9.04%
- 10Y*
- 6.51%
EOS vs. EGRIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EOS Eaton Vance Enhanced Equity Income Fund II | -0.89% | 5.77% | 38.69% | 22.59% | -26.50% | 20.30% | 29.45% | 30.32% | 2.77% | 27.89% |
EGRIX Eaton Vance Global Macro Absolute Return Advantage Fund | 8.21% | 20.36% | 9.50% | 8.37% | -1.94% | 3.66% | 4.71% | 14.80% | -8.34% | 5.78% |
Correlation
The correlation between EOS and EGRIX is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.21 |
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
EOS vs. EGRIX — Risk / Return Rank
EOS
EGRIX
EOS vs. EGRIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Enhanced Equity Income Fund II (EOS) and Eaton Vance Global Macro Absolute Return Advantage Fund (EGRIX). 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.
| EOS | EGRIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -5.36 | ||
| Sortino ratioReturn per unit of downside risk | -7.53 | ||
| Omega ratioGain probability vs. loss probability | 1.01 | 2.39 | -1.38 |
| Calmar ratioReturn relative to maximum drawdown | -0.03 | 5.67 | -5.70 |
| Martin ratioReturn relative to average drawdown | -0.10 | 20.48 | -20.58 |
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Drawdowns
EOS vs. EGRIX - Drawdown Comparison
The maximum EOS drawdown since its inception was -55.74%, which is greater than EGRIX's maximum drawdown of -14.17%. Use the drawdown chart below to compare losses from any high point for EOS and EGRIX.
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Drawdown Indicators
| EOS | EGRIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.74% | -14.17% | -41.57% |
Max Drawdown (1Y)Largest decline over 1 year | -17.12% | -3.37% | -13.75% |
Max Drawdown (3Y)Largest decline over 3 years | -24.31% | -3.37% | -20.94% |
Max Drawdown (5Y)Largest decline over 5 years | -34.32% | -10.18% | -24.14% |
Max Drawdown (10Y)Largest decline over 10 years | -41.12% | -14.17% | -26.95% |
Current DrawdownCurrent decline from peak | -3.17% | -0.47% | -2.70% |
Average DrawdownAverage peak-to-trough decline | -7.81% | -1.83% | -5.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.50% | 0.93% | +4.57% |
Volatility
EOS vs. EGRIX - Volatility Comparison
Eaton Vance Enhanced Equity Income Fund II (EOS) has a higher volatility of 4.02% compared to Eaton Vance Global Macro Absolute Return Advantage Fund (EGRIX) at 0.90%. This indicates that EOS's price experiences larger fluctuations and is considered to be riskier than EGRIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EOS | EGRIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.02% | 0.90% | +3.12% |
Volatility (6M)Calculated over the trailing 6-month period | 12.39% | 3.18% | +9.21% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.60% | 3.58% | +12.02% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.80% | 4.04% | +15.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.74% | 3.96% | +16.78% |
EOS vs. EGRIX - Expense Ratio Comparison
EOS has a 1.09% expense ratio, which is higher than EGRIX's 1.05% expense ratio.
Dividends
EOS vs. EGRIX - Dividend Comparison
EOS's dividend yield for the trailing twelve months is around 8.27%, more than EGRIX's 6.15% 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 | 8.27% | 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
EOS and EGRIX have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EOS has higher volatility (4.02%) compared to EGRIX (0.90%). In terms of maximum drawdown, EOS dropped -55.74% vs EGRIX's -14.17%.
EGRIX currently has the higher Sharpe Ratio (5.33 vs -0.04), 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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