ADANX vs. EGRAX
ADANX (AQR Diversified Arbitrage Fund Class N) and EGRAX (Eaton Vance Global Macro Absolute Return Advantage Fund Class A) are both Multistrategy funds. Both are actively managed. Over the past 10 years, ADANX returned 6.39%/yr vs 6.26%/yr for EGRAX. Their 0.08 correlation means their historical movements had little consistent relationship. ADANX charges 2.12%/yr vs 2.22%/yr for EGRAX.
Performance
ADANX vs. EGRAX - Performance Comparison
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Returns By Period
In the year-to-date period, ADANX achieves a 2.97% return, which is significantly lower than EGRAX's 8.54% return. Both investments have delivered pretty close results over the past 10 years, with ADANX having a 6.39% annualized return and EGRAX not far behind at 6.26%.
ADANX
- 1D
- 0.08%
- 1M
- -0.30%
- 6M
- 2.25%
- YTD
- 2.97%
- 1Y
- 5.54%
- 3Y*
- 5.29%
- 5Y*
- 2.83%
- 10Y*
- 6.39%
- ALL TIME*
- 4.11%
EGRAX
- 1D
- 0.16%
- 1M
- 0.16%
- 6M
- 4.10%
- YTD
- 8.54%
- 1Y
- 18.58%
- 3Y*
- 13.01%
- 5Y*
- 8.74%
- 10Y*
- 6.26%
- ALL TIME*
- 4.99%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
ADANX vs. EGRAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ADANX AQR Diversified Arbitrage Fund Class N | 2.97% | 7.75% | 2.92% | 4.23% | -3.54% | 5.99% | 24.85% | 8.33% | 2.02% | 5.59% |
EGRAX Eaton Vance Global Macro Absolute Return Advantage Fund Class A | 8.54% | 20.06% | 9.19% | 8.10% | -2.30% | 3.35% | 4.49% | 14.43% | -8.66% | 5.49% |
Correlation
The correlation between ADANX and EGRAX is -0.02, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.02 |
Correlation (3Y) Balances recent behavior with more history. | 0.06 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.09 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.10 |
Correlation (All Time) Calculated using the full available price history since Sep 7, 2010 | 0.08 |
The correlation between ADANX and EGRAX shifts across timeframes, from -0.02 (1 year) to 0.10 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
ADANX vs. EGRAX — Risk / Return Rank
ADANX
EGRAX
ADANX vs. EGRAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Diversified Arbitrage Fund Class N (ADANX) and Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ADANX | EGRAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.41 | ||
| Sortino ratioReturn per unit of downside risk | -1.16 | ||
| Omega ratioGain probability vs. loss probability | 1.89 | 2.34 | -0.44 |
| Calmar ratioReturn relative to maximum drawdown | 9.36 | 5.67 | +3.69 |
| Martin ratioReturn relative to average drawdown | 37.41 | 19.83 | +17.58 |
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Drawdowns
ADANX vs. EGRAX - Drawdown Comparison
The maximum ADANX drawdown since its inception was -14.73%, roughly equal to the maximum EGRAX drawdown of -14.15%. Use the drawdown chart below to compare losses from any high point for ADANX and EGRAX.
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Drawdown Indicators
| ADANX | EGRAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.73% | -14.15% | -0.58% |
Max Drawdown (1Y)Largest decline over 1 year | -0.60% | -3.35% | +2.75% |
Max Drawdown (3Y)Largest decline over 3 years | -1.70% | -3.35% | +1.65% |
Max Drawdown (5Y)Largest decline over 5 years | -7.48% | -10.31% | +2.83% |
Max Drawdown (10Y)Largest decline over 10 years | -14.73% | -14.15% | -0.58% |
Current DrawdownCurrent decline from peak | -0.53% | -0.08% | -0.45% |
Average DrawdownAverage peak-to-trough decline | -3.00% | -1.92% | -1.08% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.15% | 0.96% | -0.81% |
Volatility
ADANX vs. EGRAX - Volatility Comparison
The current volatility for AQR Diversified Arbitrage Fund Class N (ADANX) is 0.61%, while Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX) has a volatility of 0.88%. This indicates that ADANX experiences smaller price fluctuations and is considered to be less risky than EGRAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ADANX | EGRAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.61% | 0.88% | -0.27% |
Volatility (6M)Calculated over the trailing 6-month period | 1.16% | 3.10% | -1.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.47% | 3.62% | -2.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.60% | 4.02% | -1.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.27% | 3.94% | +0.33% |
ADANX vs. EGRAX - Expense Ratio Comparison
ADANX has a 2.12% expense ratio, which is lower than EGRAX's 2.22% expense ratio.
Dividends
ADANX vs. EGRAX - Dividend Comparison
ADANX's dividend yield for the trailing twelve months is around 1.80%, less than EGRAX's 6.23% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ADANX AQR Diversified Arbitrage Fund Class N | 1.80% | 1.86% | 0.96% | 2.47% | 0.10% | 0.40% | 1.33% | 1.81% | 6.22% | 6.84% | 6.83% | 4.43% |
EGRAX Eaton Vance Global Macro Absolute Return Advantage Fund Class A | 6.23% | 6.76% | 5.86% | 3.18% | 4.53% | 4.58% | 5.61% | 4.02% | 0.00% | 2.82% | 1.47% | 6.42% |
Frequently Asked Questions
ADANX and EGRAX have a correlation of -0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EGRAX has higher volatility (0.88%) compared to ADANX (0.61%). In terms of maximum drawdown, ADANX dropped -14.73% vs EGRAX's -14.15%.
EGRAX currently has the higher Sharpe Ratio (5.24 vs 3.84), 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.
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