EOS vs. EXG
EOS (Eaton Vance Enhanced Equity Income Fund II) and EXG (Eaton Vance Tax-Managed Global Diversified Equity Income Fund) are both mutual funds - EOS is a Derivative Income fund actively managed by Eaton Vance, while EXG is a Dividend fund actively managed by Eaton Vance. Both are actively managed. Over the past 10 years, EOS returned 12.87%/yr vs 10.94%/yr for EXG. Their 0.69 correlation means they have sometimes moved together and sometimes differently. EOS charges 1.09%/yr vs 1.07%/yr for EXG.
Performance
EOS vs. EXG - Performance Comparison
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Returns By Period
In the year-to-date period, EOS achieves a -3.09% return, which is significantly lower than EXG's 8.50% return. Over the past 10 years, EOS has outperformed EXG with an annualized return of 12.87%, while EXG has yielded a comparatively lower 10.94% annualized return.
EOS
- 1D
- 1.65%
- 1M
- -1.27%
- 6M
- -0.15%
- YTD
- -3.09%
- 1Y
- -1.33%
- 3Y*
- 15.19%
- 5Y*
- 6.59%
- 10Y*
- 12.87%
- ALL TIME*
- 9.38%
EXG
- 1D
- 0.72%
- 1M
- 1.29%
- 6M
- 5.44%
- YTD
- 8.50%
- 1Y
- 25.40%
- 3Y*
- 17.76%
- 5Y*
- 8.49%
- 10Y*
- 10.94%
- ALL TIME*
- 7.23%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $3.57M | $2.65M | $2.75M | |
| $3.84M | $3.76M | $4.16M |
EOS vs. EXG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EOS Eaton Vance Enhanced Equity Income Fund II | -3.09% | 5.77% | 38.69% | 22.59% | -26.50% | 20.30% | 29.45% | 30.32% | 2.77% | 27.89% |
EXG Eaton Vance Tax-Managed Global Diversified Equity Income Fund | 8.50% | 27.79% | 16.04% | 11.46% | -22.24% | 31.53% | 10.19% | 28.71% | -12.09% | 29.58% |
Correlation
The correlation between EOS and EXG is 0.73, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.73 |
Correlation (3Y) Balances recent behavior with more history. | 0.71 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.73 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.67 |
Correlation (All Time) Calculated using the full available price history since Apr 23, 2007 | 0.69 |
The correlation between EOS and EXG has been stable across timeframes, ranging from 0.67 to 0.73 - a consistent structural relationship.
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Return for Risk
EOS vs. EXG — Risk / Return Rank
EOS
EXG
EOS vs. EXG - 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 Tax-Managed Global Diversified Equity Income Fund (EXG). 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 | EXG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.91 | ||
| Sortino ratioReturn per unit of downside risk | -2.65 | ||
| Omega ratioGain probability vs. loss probability | 1.00 | 1.32 | -0.32 |
| Calmar ratioReturn relative to maximum drawdown | -0.08 | 1.79 | -1.87 |
| Martin ratioReturn relative to average drawdown | -0.23 | 8.13 | -8.36 |
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Drawdowns
EOS vs. EXG - Drawdown Comparison
The maximum EOS drawdown since its inception was -55.74%, roughly equal to the maximum EXG drawdown of -58.45%. Use the drawdown chart below to compare losses from any high point for EOS and EXG.
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Drawdown Indicators
| EOS | EXG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.74% | -58.45% | +2.71% |
Max Drawdown (1Y)Largest decline over 1 year | -17.12% | -14.28% | -2.84% |
Max Drawdown (3Y)Largest decline over 3 years | -24.31% | -15.12% | -9.19% |
Max Drawdown (5Y)Largest decline over 5 years | -34.32% | -27.82% | -6.50% |
Max Drawdown (10Y)Largest decline over 10 years | -41.12% | -45.36% | +4.24% |
Current DrawdownCurrent decline from peak | -5.31% | 0.00% | -5.31% |
Average DrawdownAverage peak-to-trough decline | -7.80% | -9.54% | +1.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 5.67% | 3.13% | +2.54% |
Volatility
EOS vs. EXG - Volatility Comparison
Eaton Vance Enhanced Equity Income Fund II (EOS) has a higher volatility of 4.67% compared to Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG) at 3.61%. This indicates that EOS's price experiences larger fluctuations and is considered to be riskier than EXG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EOS | EXG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.67% | 3.61% | +1.06% |
Volatility (6M)Calculated over the trailing 6-month period | 12.77% | 11.80% | +0.97% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.84% | 14.03% | +1.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.84% | 17.57% | +2.27% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 20.77% | 19.93% | +0.84% |
EOS vs. EXG - Expense Ratio Comparison
EOS has a 1.09% expense ratio, which is higher than EXG's 1.07% expense ratio.
Dividends
EOS vs. EXG - Dividend Comparison
EOS's dividend yield for the trailing twelve months is around 8.45%, more than EXG's 8.00% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EOS Eaton Vance Enhanced Equity Income Fund II | 8.45% | 7.81% | 7.17% | 7.38% | 9.69% | 5.60% | 5.01% | 6.65% | 7.16% | 6.90% | 8.20% | 7.70% |
EXG Eaton Vance Tax-Managed Global Diversified Equity Income Fund | 8.00% | 8.27% | 9.27% | 8.60% | 10.59% | 7.27% | 8.43% | 8.42% | 12.23% | 9.84% | 12.16% | 11.02% |
Frequently Asked Questions
EOS and EXG have a correlation of 0.73, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EOS has higher volatility (4.67%) compared to EXG (3.61%). In terms of maximum drawdown, EOS dropped -55.74% vs EXG's -58.45%.
EXG currently has the higher Sharpe Ratio (1.82 vs -0.08), 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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