EOS vs. EIGMX
EOS (Eaton Vance Enhanced Equity Income Fund II) and EIGMX (Eaton Vance Global Macro Absolute Return Fund) are both mutual funds - EOS is a Derivative Income fund actively managed by Eaton Vance, while EIGMX is a Nontraditional Bonds fund managed by Eaton Vance. Over the past 10 years, EOS returned 13.44%/yr vs 4.97%/yr for EIGMX. At a 0.14 correlation, their price movements are largely independent. EOS charges 1.09%/yr vs 0.76%/yr for EIGMX.
Performance
EOS vs. EIGMX - Performance Comparison
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Returns By Period
In the year-to-date period, EOS achieves a -1.12% return, which is significantly lower than EIGMX's 5.42% return. Over the past 10 years, EOS has outperformed EIGMX with an annualized return of 13.44%, while EIGMX has yielded a comparatively lower 4.97% annualized return.
EOS
- 1D
- 0.59%
- 1M
- 1.38%
- 6M
- -0.61%
- YTD
- -1.12%
- 1Y
- -0.74%
- 3Y*
- 16.06%
- 5Y*
- 7.21%
- 10Y*
- 13.44%
EIGMX
- 1D
- 0.11%
- 1M
- 0.89%
- 6M
- 4.52%
- YTD
- 5.42%
- 1Y
- 11.80%
- 3Y*
- 9.34%
- 5Y*
- 6.49%
- 10Y*
- 4.97%
EOS vs. EIGMX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EOS Eaton Vance Enhanced Equity Income Fund II | -1.12% | 5.77% | 38.69% | 22.59% | -26.50% | 20.30% | 29.45% | 30.32% | 2.77% | 27.89% |
EIGMX Eaton Vance Global Macro Absolute Return Fund | 5.42% | 11.37% | 8.69% | 6.99% | -0.47% | 2.19% | 3.59% | 9.76% | -3.29% | 4.29% |
Correlation
The correlation between EOS and EIGMX is 0.10, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.10 |
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
EOS vs. EIGMX — Risk / Return Rank
EOS
EIGMX
EOS vs. EIGMX - 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 Fund (EIGMX). 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 | EIGMX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -6.51 | ||
| Sortino ratioReturn per unit of downside risk | -10.30 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 3.08 | -2.07 |
| Calmar ratioReturn relative to maximum drawdown | -0.07 | 8.39 | -8.46 |
| Martin ratioReturn relative to average drawdown | -0.20 | 30.37 | -30.58 |
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Drawdowns
EOS vs. EIGMX - Drawdown Comparison
The maximum EOS drawdown since its inception was -55.74%, which is greater than EIGMX's maximum drawdown of -9.42%. Use the drawdown chart below to compare losses from any high point for EOS and EIGMX.
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Drawdown Indicators
| EOS | EIGMX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.74% | -9.42% | -46.32% |
Max Drawdown (1Y)Largest decline over 1 year | -17.12% | -1.44% | -15.68% |
Max Drawdown (3Y)Largest decline over 3 years | -24.31% | -1.63% | -22.68% |
Max Drawdown (5Y)Largest decline over 5 years | -34.32% | -7.39% | -26.93% |
Max Drawdown (10Y)Largest decline over 10 years | -41.12% | -9.42% | -31.70% |
Current DrawdownCurrent decline from peak | -3.39% | 0.00% | -3.39% |
Average DrawdownAverage peak-to-trough decline | -7.81% | -0.92% | -6.89% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.48% | 0.40% | +5.08% |
Volatility
EOS vs. EIGMX - Volatility Comparison
Eaton Vance Enhanced Equity Income Fund II (EOS) has a higher volatility of 4.38% compared to Eaton Vance Global Macro Absolute Return Fund (EIGMX) at 0.50%. This indicates that EOS's price experiences larger fluctuations and is considered to be riskier than EIGMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EOS | EIGMX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.38% | 0.50% | +3.88% |
Volatility (6M)Calculated over the trailing 6-month period | 12.37% | 1.62% | +10.75% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.59% | 1.88% | +13.71% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.79% | 2.61% | +17.18% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.74% | 2.50% | +18.24% |
EOS vs. EIGMX - Expense Ratio Comparison
EOS has a 1.09% expense ratio, which is higher than EIGMX's 0.76% expense ratio.
Dividends
EOS vs. EIGMX - Dividend Comparison
EOS's dividend yield for the trailing twelve months is around 8.23%, more than EIGMX's 6.63% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EIGMX Eaton Vance Global Macro Absolute Return Fund | 6.63% | 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 | 8.23% | 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 EIGMX have a correlation of 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EOS has higher volatility (4.38%) compared to EIGMX (0.50%). In terms of maximum drawdown, EOS dropped -55.74% vs EIGMX's -9.42%.
EIGMX currently has the higher Sharpe Ratio (6.44 vs -0.07), 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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