ETV vs. ^GSPC
Compare and contrast key facts about Eaton Vance Tax-Managed Buy-Write Opportunities Fund (ETV) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ETV or ^GSPC.
Performance
ETV vs. ^GSPC - Performance Comparison
Returns By Period
The year-to-date returns for both stocks are quite close, with ETV having a 24.92% return and ^GSPC slightly lower at 24.72%. Over the past 10 years, ETV has underperformed ^GSPC with an annualized return of 8.72%, while ^GSPC has yielded a comparatively higher 11.16% annualized return.
ETV
24.92%
2.87%
15.05%
26.19%
8.44%
8.72%
^GSPC
24.72%
1.67%
12.93%
30.55%
13.88%
11.16%
Key characteristics
| ETV | ^GSPC | |
|---|---|---|
| Sharpe Ratio | 2.27 | 2.54 |
| Sortino Ratio | 3.09 | 3.40 |
| Omega Ratio | 1.42 | 1.47 |
| Calmar Ratio | 1.97 | 3.66 |
| Martin Ratio | 13.88 | 16.26 |
| Ulcer Index | 1.91% | 1.91% |
| Daily Std Dev | 11.68% | 12.23% |
| Max Drawdown | -52.11% | -56.78% |
| Current Drawdown | 0.00% | -0.88% |
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Correlation
The correlation between ETV and ^GSPC is 0.67, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
ETV vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Tax-Managed Buy-Write Opportunities Fund (ETV) and S&P 500 (^GSPC). 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.
Drawdowns
ETV vs. ^GSPC - Drawdown Comparison
The maximum ETV drawdown since its inception was -52.11%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ETV and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ETV vs. ^GSPC - Volatility Comparison
The current volatility for Eaton Vance Tax-Managed Buy-Write Opportunities Fund (ETV) is 2.42%, while S&P 500 (^GSPC) has a volatility of 3.96%. This indicates that ETV experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.