EXG vs. EGRIX
Compare and contrast key facts about Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG) and Eaton Vance Global Macro Absolute Return Advantage Fund (EGRIX).
EXG is an actively managed fund by Eaton Vance. It was launched on Feb 27, 2007. EGRIX is managed by Eaton Vance. It was launched on Aug 30, 2010.
Performance
EXG vs. EGRIX - Performance Comparison
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EXG vs. EGRIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EXG Eaton Vance Tax-Managed Global Diversified Equity Income Fund | -5.16% | 27.79% | 16.04% | 11.46% | -22.24% | 31.53% | 10.19% | 28.71% | -12.09% | 29.58% |
EGRIX Eaton Vance Global Macro Absolute Return Advantage Fund | 3.42% | 20.36% | 9.50% | 8.37% | -1.94% | 3.66% | 4.71% | 14.80% | -8.34% | 5.78% |
Returns By Period
In the year-to-date period, EXG achieves a -5.16% return, which is significantly lower than EGRIX's 3.42% return. Over the past 10 years, EXG has outperformed EGRIX with an annualized return of 9.93%, while EGRIX has yielded a comparatively lower 6.32% annualized return.
EXG
- 1D
- 2.19%
- 1M
- -6.94%
- YTD
- -5.16%
- 6M
- 0.81%
- 1Y
- 18.78%
- 3Y*
- 14.03%
- 5Y*
- 8.06%
- 10Y*
- 9.93%
EGRIX
- 1D
- -0.17%
- 1M
- -2.03%
- YTD
- 3.42%
- 6M
- 9.75%
- 1Y
- 18.85%
- 3Y*
- 13.02%
- 5Y*
- 8.53%
- 10Y*
- 6.32%
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EXG vs. EGRIX - Expense Ratio Comparison
EXG has a 1.07% expense ratio, which is higher than EGRIX's 1.05% expense ratio.
Return for Risk
EXG vs. EGRIX — Risk / Return Rank
EXG
EGRIX
EXG vs. EGRIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG) and Eaton Vance Global Macro Absolute Return Advantage Fund (EGRIX). 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.
| EXG | EGRIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.03 | 5.18 | -4.16 |
Sortino ratioReturn per unit of downside risk | 1.55 | 6.98 | -5.43 |
Omega ratioGain probability vs. loss probability | 1.23 | 2.39 | -1.16 |
Calmar ratioReturn relative to maximum drawdown | 1.32 | 5.93 | -4.61 |
Martin ratioReturn relative to average drawdown | 5.81 | 24.80 | -18.99 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EXG | EGRIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.03 | 5.18 | -4.16 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.47 | 2.15 | -1.68 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.50 | 1.60 | -1.10 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 1.29 | -0.99 |
Correlation
The correlation between EXG and EGRIX is 0.19, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
EXG vs. EGRIX - Dividend Comparison
EXG's dividend yield for the trailing twelve months is around 8.91%, more than EGRIX's 6.43% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EXG Eaton Vance Tax-Managed Global Diversified Equity Income Fund | 8.91% | 8.27% | 9.27% | 8.60% | 10.59% | 7.27% | 8.43% | 8.42% | 12.23% | 9.84% | 12.16% | 11.02% |
EGRIX Eaton Vance Global Macro Absolute Return Advantage Fund | 6.43% | 6.65% | 6.00% | 3.40% | 4.82% | 4.89% | 5.82% | 4.15% | 0.06% | 3.22% | 1.78% | 6.67% |
Drawdowns
EXG vs. EGRIX - Drawdown Comparison
The maximum EXG drawdown since its inception was -58.45%, which is greater than EGRIX's maximum drawdown of -14.17%. Use the drawdown chart below to compare losses from any high point for EXG and EGRIX.
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Drawdown Indicators
| EXG | EGRIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -58.45% | -14.17% | -44.28% |
Max Drawdown (1Y)Largest decline over 1 year | -14.28% | -3.13% | -11.15% |
Max Drawdown (5Y)Largest decline over 5 years | -27.82% | -10.18% | -17.64% |
Max Drawdown (10Y)Largest decline over 10 years | -45.36% | -14.17% | -31.19% |
Current DrawdownCurrent decline from peak | -8.37% | -3.12% | -5.25% |
Average DrawdownAverage peak-to-trough decline | -9.68% | -1.85% | -7.83% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.23% | 0.75% | +2.48% |
Volatility
EXG vs. EGRIX - Volatility Comparison
Eaton Vance Tax-Managed Global Diversified Equity Income Fund (EXG) has a higher volatility of 7.47% compared to Eaton Vance Global Macro Absolute Return Advantage Fund (EGRIX) at 1.78%. This indicates that EXG's price experiences larger fluctuations and is considered to be riskier than EGRIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| EXG | EGRIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.47% | 1.78% | +5.69% |
Volatility (6M)Calculated over the trailing 6-month period | 10.65% | 2.97% | +7.68% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.36% | 3.67% | +14.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.38% | 4.00% | +13.38% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 19.94% | 3.95% | +15.99% |