ETB vs. GTSOX
ETB (Eaton Vance Tax-Managed Buy-Write Income Fund) and GTSOX (Glenmede Secured Options Portfolio) are both Options Trading funds. Over the past 10 years, ETB returned 8.43%/yr vs 7.43%/yr for GTSOX. Their 0.58 correlation means they have sometimes moved together and sometimes differently. ETB charges 0.01%/yr vs 0.85%/yr for GTSOX.
Performance
ETB vs. GTSOX - Performance Comparison
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Returns By Period
In the year-to-date period, ETB achieves a 6.27% return, which is significantly lower than GTSOX's 8.10% return. Over the past 10 years, ETB has outperformed GTSOX with an annualized return of 8.43%, while GTSOX has yielded a comparatively lower 7.43% annualized return.
ETB
- 1D
- 1.24%
- 1M
- 0.29%
- 6M
- 4.31%
- YTD
- 6.27%
- 1Y
- 16.83%
- 3Y*
- 13.38%
- 5Y*
- 7.45%
- 10Y*
- 8.43%
- ALL TIME*
- 8.15%
GTSOX
- 1D
- 1.10%
- 1M
- 0.95%
- 6M
- 6.54%
- YTD
- 8.10%
- 1Y
- 14.89%
- 3Y*
- 10.25%
- 5Y*
- 7.18%
- 10Y*
- 7.43%
- ALL TIME*
- 7.57%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $610.29K | $614.00K | $694.48K | |
| $0.00 | $0.00 | $0.00 |
ETB vs. GTSOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ETB Eaton Vance Tax-Managed Buy-Write Income Fund | 6.27% | 11.16% | 26.22% | 7.50% | -16.59% | 23.68% | 0.43% | 32.40% | -12.75% | 9.52% |
GTSOX Glenmede Secured Options Portfolio | 8.10% | 7.73% | 13.79% | 14.59% | -11.69% | 18.06% | 4.22% | 18.45% | -4.68% | 5.96% |
Correlation
The correlation between ETB and GTSOX is 0.67, 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. | 0.67 |
Correlation (3Y) Balances recent behavior with more history. | 0.65 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.62 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.57 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2011 | 0.58 |
The correlation between ETB and GTSOX has been stable across timeframes, ranging from 0.57 to 0.67 - a consistent structural relationship.
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Return for Risk
ETB vs. GTSOX — Risk / Return Rank
ETB
GTSOX
ETB vs. GTSOX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Tax-Managed Buy-Write Income Fund (ETB) and Glenmede Secured Options Portfolio (GTSOX). 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.
| ETB | GTSOX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.08 | ||
| Sortino ratioReturn per unit of downside risk | -1.75 | ||
| Omega ratioGain probability vs. loss probability | 1.25 | 1.66 | -0.41 |
| Calmar ratioReturn relative to maximum drawdown | 1.74 | 2.87 | -1.13 |
| Martin ratioReturn relative to average drawdown | 8.60 | 19.33 | -10.73 |
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Drawdowns
ETB vs. GTSOX - Drawdown Comparison
The maximum ETB drawdown since its inception was -51.09%, which is greater than GTSOX's maximum drawdown of -29.21%. Use the drawdown chart below to compare losses from any high point for ETB and GTSOX.
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Drawdown Indicators
| ETB | GTSOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -51.09% | -29.21% | -21.88% |
Max Drawdown (1Y)Largest decline over 1 year | -9.16% | -5.05% | -4.11% |
Max Drawdown (3Y)Largest decline over 3 years | -20.09% | -22.03% | +1.94% |
Max Drawdown (5Y)Largest decline over 5 years | -23.43% | -22.03% | -1.40% |
Max Drawdown (10Y)Largest decline over 10 years | -45.08% | -29.21% | -15.87% |
Current DrawdownCurrent decline from peak | -0.67% | 0.00% | -0.67% |
Average DrawdownAverage peak-to-trough decline | -6.67% | -2.94% | -3.73% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 0.75% | +1.10% |
Volatility
ETB vs. GTSOX - Volatility Comparison
Eaton Vance Tax-Managed Buy-Write Income Fund (ETB) has a higher volatility of 3.07% compared to Glenmede Secured Options Portfolio (GTSOX) at 1.69%. This indicates that ETB's price experiences larger fluctuations and is considered to be riskier than GTSOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ETB | GTSOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.07% | 1.69% | +1.38% |
Volatility (6M)Calculated over the trailing 6-month period | 9.69% | 5.51% | +4.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.77% | 5.96% | +5.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.30% | 13.20% | +3.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.95% | 13.40% | +4.55% |
ETB vs. GTSOX - Expense Ratio Comparison
ETB has a 0.01% expense ratio, which is lower than GTSOX's 0.85% expense ratio.
Dividends
ETB vs. GTSOX - Dividend Comparison
ETB's dividend yield for the trailing twelve months is around 8.21%, less than GTSOX's 14.85% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ETB Eaton Vance Tax-Managed Buy-Write Income Fund | 8.21% | 8.31% | 8.21% | 8.62% | 9.63% | 7.57% | 8.64% | 7.90% | 9.64% | 7.75% | 7.85% | 7.77% |
GTSOX Glenmede Secured Options Portfolio | 14.85% | 7.47% | 12.31% | 0.00% | 0.00% | 13.35% | 0.00% | 7.56% | 2.62% | 6.57% | 5.01% | 5.95% |
Frequently Asked Questions
ETB and GTSOX have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ETB has higher volatility (3.07%) compared to GTSOX (1.69%). In terms of maximum drawdown, ETB dropped -51.09% vs GTSOX's -29.21%.
GTSOX currently has the higher Sharpe Ratio (2.43 vs 1.35), 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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