SOR vs. ETY
Compare and contrast key facts about Source Capital, Inc. (SOR) and Eaton Vance Tax Managed Diversified Equity Income Closed Fund (ETY).
ETY is an actively managed fund by Eaton Vance. It was launched on Nov 27, 2006.
Performance
SOR vs. ETY - Performance Comparison
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SOR vs. ETY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SOR Source Capital, Inc. | 2.56% | 11.47% | 21.28% | 12.59% | -5.24% | 20.66% | 7.68% | 22.20% | -10.41% | 18.52% |
ETY Eaton Vance Tax Managed Diversified Equity Income Closed Fund | -8.28% | 11.02% | 33.11% | 21.83% | -21.21% | 32.61% | 7.27% | 33.68% | -8.96% | 28.72% |
Returns By Period
In the year-to-date period, SOR achieves a 2.56% return, which is significantly higher than ETY's -8.28% return. Over the past 10 years, SOR has underperformed ETY with an annualized return of 10.00%, while ETY has yielded a comparatively higher 11.56% annualized return.
SOR
- 1D
- 3.88%
- 1M
- -3.53%
- YTD
- 2.56%
- 6M
- 5.69%
- 1Y
- 18.01%
- 3Y*
- 16.32%
- 5Y*
- 10.06%
- 10Y*
- 10.00%
ETY
- 1D
- 4.79%
- 1M
- -6.99%
- YTD
- -8.28%
- 6M
- -9.79%
- 1Y
- 4.64%
- 3Y*
- 14.60%
- 5Y*
- 10.08%
- 10Y*
- 11.56%
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Return for Risk
SOR vs. ETY — Risk / Return Rank
SOR
ETY
SOR vs. ETY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Source Capital, Inc. (SOR) and Eaton Vance Tax Managed Diversified Equity Income Closed Fund (ETY). 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.
| SOR | ETY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.10 | 0.23 | +0.87 |
Sortino ratioReturn per unit of downside risk | 1.59 | 0.49 | +1.10 |
Omega ratioGain probability vs. loss probability | 1.23 | 1.07 | +0.16 |
Calmar ratioReturn relative to maximum drawdown | 1.94 | 0.35 | +1.60 |
Martin ratioReturn relative to average drawdown | 7.47 | 1.31 | +6.16 |
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
| SOR | ETY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.10 | 0.23 | +0.87 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.66 | 0.57 | +0.09 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.61 | 0.58 | +0.02 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.33 | 0.38 | -0.05 |
Correlation
The correlation between SOR and ETY is 0.56, 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.
Dividends
SOR vs. ETY - Dividend Comparison
SOR's dividend yield for the trailing twelve months is around 5.40%, less than ETY's 8.63% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SOR Source Capital, Inc. | 5.40% | 5.46% | 11.86% | 7.22% | 5.74% | 11.09% | 4.11% | 2.58% | 12.90% | 4.24% | 4.40% | 6.04% |
ETY Eaton Vance Tax Managed Diversified Equity Income Closed Fund | 8.63% | 7.76% | 7.59% | 7.92% | 10.04% | 7.01% | 8.26% | 8.08% | 9.92% | 8.30% | 9.77% | 9.03% |
Drawdowns
SOR vs. ETY - Drawdown Comparison
The maximum SOR drawdown since its inception was -65.51%, which is greater than ETY's maximum drawdown of -53.06%. Use the drawdown chart below to compare losses from any high point for SOR and ETY.
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Drawdown Indicators
| SOR | ETY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -65.51% | -53.06% | -12.45% |
Max Drawdown (1Y)Largest decline over 1 year | -9.18% | -14.40% | +5.22% |
Max Drawdown (5Y)Largest decline over 5 years | -17.47% | -24.06% | +6.59% |
Max Drawdown (10Y)Largest decline over 10 years | -39.13% | -42.46% | +3.33% |
Current DrawdownCurrent decline from peak | -5.47% | -10.30% | +4.83% |
Average DrawdownAverage peak-to-trough decline | -15.74% | -7.62% | -8.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.39% | 3.82% | -1.43% |
Volatility
SOR vs. ETY - Volatility Comparison
The current volatility for Source Capital, Inc. (SOR) is 6.45%, while Eaton Vance Tax Managed Diversified Equity Income Closed Fund (ETY) has a volatility of 6.94%. This indicates that SOR experiences smaller price fluctuations and is considered to be less risky than ETY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SOR | ETY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.45% | 6.94% | -0.49% |
Volatility (6M)Calculated over the trailing 6-month period | 12.39% | 10.41% | +1.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.48% | 20.26% | -3.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.29% | 17.85% | -2.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.53% | 19.85% | -3.32% |