ETY vs. SOR

Last updated Jun 4, 2026

ETY (Eaton Vance Tax Managed Diversified Equity Income Closed Fund) is Large Cap Growth Equities fund actively managed by Eaton Vance, while SOR (Source Capital, Inc.) is a stock. Over the past 10 years, ETY returned 12.47%/yr vs 9.41%/yr for SOR. A 0.56 correlation means they provide meaningful diversification when combined.

Performance

ETY vs. SOR - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eaton Vance Tax Managed Diversified Equity Income Closed Fund (ETY) and Source Capital, Inc. (SOR). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ETY achieves a -0.63% return, which is significantly lower than SOR's 1.32% return. Over the past 10 years, ETY has outperformed SOR with an annualized return of 12.47%, while SOR has yielded a comparatively lower 9.41% annualized return.

ETY

• 1D: -0.47%
• 1M: -0.48%
• YTD: -0.63%
• 6M: -2.04%
• 1Y: 6.12%
• 3Y*: 16.76%
• 5Y*: 9.79%
• 10Y*: 12.47%

SOR

• 1D: -1.11%
• 1M: -1.95%
• YTD: 1.32%
• 6M: -4.36%
• 1Y: 12.22%
• 3Y*: 15.42%
• 5Y*: 8.76%
• 10Y*: 9.41%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ETY vs. SOR - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ETY Eaton Vance Tax Managed Diversified Equity Income Closed Fund	-0.63%	11.02%	33.11%	21.83%	-21.21%	32.61%	7.27%	33.68%	-8.96%	28.72%
SOR Source Capital, Inc.	1.32%	11.47%	21.28%	12.59%	-5.24%	20.66%	7.68%	22.20%	-10.41%	18.52%

Correlation

The correlation between ETY and SOR is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (3Y) Calculated over the trailing 3-year period	0.42
Correlation (5Y) Calculated over the trailing 5-year period	0.50
Correlation (10Y) Calculated over the trailing 10-year period	0.55
Correlation (All Time) Calculated using the full available price history since Nov 29, 2006	0.56

The correlation between ETY and SOR shifts across timeframes, from 0.42 (3 years) to 0.56 (all time), reflecting how their relationship changes across market environments.

Return for Risk

ETY vs. SOR — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ETY

ETY Risk / Return Rank: 6
ETY Sharpe Ratio Rank: 6
ETY Sortino Ratio Rank: 6
ETY Omega Ratio Rank: 6
ETY Calmar Ratio Rank: 5
ETY Martin Ratio Rank: 6

SOR

SOR Risk / Return Rank: 65
SOR Sharpe Ratio Rank: 69
SOR Sortino Ratio Rank: 61
SOR Omega Ratio Rank: 61
SOR Calmar Ratio Rank: 66
SOR Martin Ratio Rank: 69

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ETY vs. SOR - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Tax Managed Diversified Equity Income Closed Fund (ETY) and Source Capital, Inc. (SOR). 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.

	ETY	SOR	Difference
Sharpe ratio: Return per unit of total volatility	0.47	0.90	-0.43
Sortino ratio: Return per unit of downside risk	0.79	1.31	-0.52
Omega ratio: Gain probability vs. loss probability	1.09	1.17	-0.08
Calmar ratio: Return relative to maximum drawdown	0.43	1.34	-0.91
Martin ratio: Return relative to average drawdown	1.64	3.67	-2.03
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ETY vs. SOR - Sharpe Ratio Comparison

The current ETY Sharpe Ratio is 0.47, which is lower than the SOR Sharpe Ratio of 0.90. The chart below compares the historical Sharpe Ratios of ETY and SOR, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ETY	SOR	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.47	0.90	-0.43
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.55	0.58	-0.03
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.63	0.57	+0.06
Sharpe Ratio (All Time) Calculated using the full available price history	0.40	0.48	-0.08

Drawdowns

ETY vs. SOR - Drawdown Comparison

The maximum ETY drawdown since its inception was -53.06%, smaller than the maximum SOR drawdown of -65.51%. Use the drawdown chart below to compare losses from any high point for ETY and SOR.

Drawdown Indicators

	ETY	SOR	Difference
Max Drawdown Largest peak-to-trough decline	-53.06%	-65.51%	+12.45%
Max Drawdown (1Y) Largest decline over 1 year	-14.40%	-9.18%	-5.22%
Max Drawdown (3Y) Largest decline over 3 years	-21.28%	-9.18%	-12.10%
Max Drawdown (5Y) Largest decline over 5 years	-24.06%	-17.47%	-6.59%
Max Drawdown (10Y) Largest decline over 10 years	-42.46%	-39.13%	-3.33%
Current Drawdown Current decline from peak	-2.82%	-6.61%	+3.79%
Average Drawdown Average peak-to-trough decline	-7.59%	-8.43%	+0.84%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.73%	3.34%	+0.39%

Volatility

ETY vs. SOR - Volatility Comparison

Eaton Vance Tax Managed Diversified Equity Income Closed Fund (ETY) has a higher volatility of 3.20% compared to Source Capital, Inc. (SOR) at 2.68%. This indicates that ETY's price experiences larger fluctuations and is considered to be riskier than SOR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ETY	SOR	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.20%	2.68%	+0.52%
Volatility (6M) Calculated over the trailing 6-month period	10.52%	11.86%	-1.34%
Volatility (1Y) Calculated over the trailing 1-year period	12.99%	13.67%	-0.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.88%	15.30%	+2.58%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.88%	16.48%	+3.40%

Dividends

ETY vs. SOR - Dividend Comparison

ETY's dividend yield for the trailing twelve months is around 8.08%, more than SOR's 5.51% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ETY Eaton Vance Tax Managed Diversified Equity Income Closed Fund	8.08%	7.76%	7.59%	7.92%	10.04%	7.01%	8.26%	8.08%	9.92%	8.30%	9.77%	9.03%
SOR Source Capital, Inc.	5.51%	5.46%	11.86%	7.22%	5.74%	11.09%	4.11%	2.58%	12.90%	4.24%	98.00%	6.04%

Frequently Asked Questions

Can I hold both ETY and SOR in my portfolio?

ETY and SOR have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ETY or SOR?

ETY has higher volatility (3.20%) compared to SOR (2.68%). In terms of maximum drawdown, ETY dropped -53.06% vs SOR's -65.51%.

Which has better risk-adjusted returns?

SOR currently has the higher Sharpe Ratio (0.90 vs 0.47), 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.