SEMPX vs. EIGMX

Last updated Jun 5, 2026

SEMPX (Semper MBS Total Return Fund) and EIGMX (Eaton Vance Global Macro Absolute Return Fund) are both Nontraditional Bonds funds. Over the past 10 years, SEMPX returned 3.55%/yr vs 4.94%/yr for EIGMX. At a 0.03 correlation, their price movements are largely independent. SEMPX charges 1.07%/yr vs 0.76%/yr for EIGMX.

Performance

SEMPX vs. EIGMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Semper MBS Total Return Fund (SEMPX) and Eaton Vance Global Macro Absolute Return Fund (EIGMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SEMPX achieves a 0.90% return, which is significantly lower than EIGMX's 4.26% return. Over the past 10 years, SEMPX has underperformed EIGMX with an annualized return of 3.55%, while EIGMX has yielded a comparatively higher 4.94% annualized return.

SEMPX

• 1D: -0.12%
• 1M: 0.00%
• YTD: 0.90%
• 6M: 1.36%
• 1Y: 6.21%
• 3Y*: 9.67%
• 5Y*: 4.34%
• 10Y*: 3.55%

EIGMX

• 1D: 0.00%
• 1M: 0.33%
• YTD: 4.26%
• 6M: 5.06%
• 1Y: 12.12%
• 3Y*: 9.38%
• 5Y*: 6.23%
• 10Y*: 4.94%

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

SEMPX vs. EIGMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SEMPX Semper MBS Total Return Fund	0.90%	8.57%	12.84%	12.51%	-13.26%	6.70%	-7.09%	4.52%	3.75%	5.93%
EIGMX Eaton Vance Global Macro Absolute Return Fund	4.26%	11.37%	8.69%	6.99%	-0.47%	2.19%	3.59%	9.76%	-3.29%	4.29%

Correlation

The correlation between SEMPX and EIGMX is 0.11, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.11
Correlation (3Y) Calculated over the trailing 3-year period	0.12
Correlation (5Y) Calculated over the trailing 5-year period	0.05
Correlation (10Y) Calculated over the trailing 10-year period	0.03
Correlation (All Time) Calculated using the full available price history since Jan 3, 2014	0.03

Return for Risk

SEMPX vs. EIGMX — Risk / Return Rank

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

SEMPX

SEMPX Risk / Return Rank: 73
SEMPX Sharpe Ratio Rank: 69
SEMPX Sortino Ratio Rank: 90
SEMPX Omega Ratio Rank: 82
SEMPX Calmar Ratio Rank: 73
SEMPX Martin Ratio Rank: 53

EIGMX

EIGMX Risk / Return Rank: 99
EIGMX Sharpe Ratio Rank: 100
EIGMX Sortino Ratio Rank: 99
EIGMX Omega Ratio Rank: 99
EIGMX Calmar Ratio Rank: 98
EIGMX Martin Ratio Rank: 98

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.

SEMPX vs. EIGMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Semper MBS Total Return Fund (SEMPX) and Eaton Vance Global Macro Absolute Return Fund (EIGMX). 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.

	SEMPX	EIGMX	Difference
Sharpe ratio: Return per unit of total volatility	2.38	6.67	-4.29
Sortino ratio: Return per unit of downside risk	4.39	10.67	-6.28
Omega ratio: Gain probability vs. loss probability	1.54	3.29	-1.75
Calmar ratio: Return relative to maximum drawdown	3.24	8.52	-5.29
Martin ratio: Return relative to average drawdown	10.49	30.93	-20.44
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SEMPX vs. EIGMX - Sharpe Ratio Comparison

The current SEMPX Sharpe Ratio is 2.38, which is lower than the EIGMX Sharpe Ratio of 6.67. The chart below compares the historical Sharpe Ratios of SEMPX and EIGMX, 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

	SEMPX	EIGMX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.38	6.67	-4.29
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.40	2.39	-1.00
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.91	1.98	-1.07
Sharpe Ratio (All Time) Calculated using the full available price history	1.09	1.60	-0.50

Drawdowns

SEMPX vs. EIGMX - Drawdown Comparison

The maximum SEMPX drawdown since its inception was -25.02%, which is greater than EIGMX's maximum drawdown of -9.42%. Use the drawdown chart below to compare losses from any high point for SEMPX and EIGMX.

Drawdown Indicators

	SEMPX	EIGMX	Difference
Max Drawdown Largest peak-to-trough decline	-25.02%	-9.42%	-15.60%
Max Drawdown (1Y) Largest decline over 1 year	-2.04%	-1.44%	-0.60%
Max Drawdown (3Y) Largest decline over 3 years	-2.04%	-1.63%	-0.41%
Max Drawdown (5Y) Largest decline over 5 years	-14.67%	-7.39%	-7.28%
Max Drawdown (10Y) Largest decline over 10 years	-25.02%	-9.42%	-15.60%
Current Drawdown Current decline from peak	-0.80%	0.00%	-0.80%
Average Drawdown Average peak-to-trough decline	-3.27%	-0.92%	-2.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.63%	0.40%	+0.23%

Volatility

SEMPX vs. EIGMX - Volatility Comparison

Semper MBS Total Return Fund (SEMPX) has a higher volatility of 0.94% compared to Eaton Vance Global Macro Absolute Return Fund (EIGMX) at 0.45%. This indicates that SEMPX's price experiences larger fluctuations and is considered to be riskier than EIGMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SEMPX	EIGMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.94%	0.45%	+0.49%
Volatility (6M) Calculated over the trailing 6-month period	2.06%	1.61%	+0.45%
Volatility (1Y) Calculated over the trailing 1-year period	2.78%	1.84%	+0.94%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.12%	2.61%	+0.51%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.92%	2.50%	+1.42%

SEMPX vs. EIGMX - Expense Ratio Comparison

SEMPX has a 1.07% expense ratio, which is higher than EIGMX's 0.76% expense ratio.

Dividends

SEMPX vs. EIGMX - Dividend Comparison

SEMPX's dividend yield for the trailing twelve months is around 5.71%, less than EIGMX's 6.67% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EIGMX Eaton Vance Global Macro Absolute Return Fund	6.67%	5.72%	6.16%	5.79%	4.78%	4.18%	4.37%	5.44%	3.72%	3.42%	4.02%	5.54%
SEMPX Semper MBS Total Return Fund	5.71%	5.83%	6.66%	8.75%	6.15%	2.97%	4.07%	4.72%	5.65%	5.00%	5.94%	5.10%

Frequently Asked Questions

Can I hold both SEMPX and EIGMX in my portfolio?

SEMPX and EIGMX have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SEMPX or EIGMX?

SEMPX has higher volatility (0.94%) compared to EIGMX (0.45%). In terms of maximum drawdown, SEMPX dropped -25.02% vs EIGMX's -9.42%.

Which has better risk-adjusted returns?

EIGMX currently has the higher Sharpe Ratio (6.67 vs 2.38), 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.