EGRAX vs. OTRFX

Last updated Jun 23, 2026

EGRAX (Eaton Vance Global Macro Absolute Return Advantage Fund Class A) and OTRFX (OnTrack Core Fund) are both Macro Trading funds. Over the past 10 years, EGRAX returned 6.34%/yr vs 5.30%/yr for OTRFX. At a 0.23 correlation, their price movements are largely independent. EGRAX charges 2.22%/yr vs 2.58%/yr for OTRFX.

Performance

EGRAX vs. OTRFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX) and OnTrack Core Fund (OTRFX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EGRAX achieves a 7.67% return, which is significantly higher than OTRFX's 5.21% return. Over the past 10 years, EGRAX has outperformed OTRFX with an annualized return of 6.34%, while OTRFX has yielded a comparatively lower 5.30% annualized return.

EGRAX

• 1D: -0.08%
• 1M: 1.65%
• YTD: 7.67%
• 6M: 8.61%
• 1Y: 19.98%
• 3Y*: 13.20%
• 5Y*: 8.61%
• 10Y*: 6.34%

OTRFX

• 1D: 0.06%
• 1M: 0.93%
• YTD: 5.21%
• 6M: 5.21%
• 1Y: 11.69%
• 3Y*: 6.21%
• 5Y*: 1.99%
• 10Y*: 5.30%

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

EGRAX vs. OTRFX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EGRAX Eaton Vance Global Macro Absolute Return Advantage Fund Class A	7.67%	20.06%	9.19%	8.10%	-2.30%	3.35%	4.49%	14.43%	-8.66%	5.49%
OTRFX OnTrack Core Fund	5.21%	6.12%	-0.12%	5.37%	-5.82%	3.94%	29.03%	6.86%	-4.70%	6.49%

Correlation

The correlation between EGRAX and OTRFX is 0.61, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.61
Correlation (3Y) Calculated over the trailing 3-year period	0.49
Correlation (5Y) Calculated over the trailing 5-year period	0.31
Correlation (10Y) Calculated over the trailing 10-year period	0.24
Correlation (All Time) Calculated using the full available price history since Jan 16, 2013	0.23

Over the past year, EGRAX and OTRFX have become more correlated (0.61) than their long-term average of 0.23, meaning their price movements have been converging.

Return for Risk

EGRAX vs. OTRFX — Risk / Return Rank

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

EGRAX

EGRAX Risk / Return Rank: 98
EGRAX Sharpe Ratio Rank: 100
EGRAX Sortino Ratio Rank: 99
EGRAX Omega Ratio Rank: 99
EGRAX Calmar Ratio Rank: 96
EGRAX Martin Ratio Rank: 96

OTRFX

OTRFX Risk / Return Rank: 80
OTRFX Sharpe Ratio Rank: 92
OTRFX Sortino Ratio Rank: 87
OTRFX Omega Ratio Rank: 95
OTRFX Calmar Ratio Rank: 86
OTRFX Martin Ratio Rank: 42

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.

EGRAX vs. OTRFX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX) and OnTrack Core Fund (OTRFX). 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.

	EGRAX	OTRFX	Difference
Sharpe ratio: Return per unit of total volatility	5.56	2.85	+2.72
Sortino ratio: Return per unit of downside risk	8.03	3.87	+4.16
Omega ratio: Gain probability vs. loss probability	2.49	1.73	+0.76
Calmar ratio: Return relative to maximum drawdown	5.96	3.91	+2.05
Martin ratio: Return relative to average drawdown	20.95	8.50	+12.45

EGRAX vs. OTRFX - Sharpe Ratio Comparison

The current EGRAX Sharpe Ratio is 5.56, which is higher than the OTRFX Sharpe Ratio of 2.85. The chart below compares the historical Sharpe Ratios of EGRAX and OTRFX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

EGRAX vs. OTRFX - Drawdown Comparison

The maximum EGRAX drawdown since its inception was -14.15%, which is greater than OTRFX's maximum drawdown of -9.73%. Use the drawdown chart below to compare losses from any high point for EGRAX and OTRFX.

Drawdown Indicators

	EGRAX	OTRFX	Difference
Max Drawdown Largest peak-to-trough decline	-14.15%	-9.73%	-4.42%
Max Drawdown (1Y) Largest decline over 1 year	-3.35%	-3.02%	-0.33%
Max Drawdown (3Y) Largest decline over 3 years	-3.35%	-5.76%	+2.41%
Max Drawdown (5Y) Largest decline over 5 years	-10.31%	-9.51%	-0.80%
Max Drawdown (10Y) Largest decline over 10 years	-14.15%	-9.51%	-4.64%
Current Drawdown Current decline from peak	-0.08%	-0.95%	+0.87%
Average Drawdown Average peak-to-trough decline	-1.93%	-2.97%	+1.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.95%	1.39%	-0.44%

Volatility

EGRAX vs. OTRFX - Volatility Comparison

Eaton Vance Global Macro Absolute Return Advantage Fund Class A (EGRAX) has a higher volatility of 0.75% compared to OnTrack Core Fund (OTRFX) at 0.53%. This indicates that EGRAX's price experiences larger fluctuations and is considered to be riskier than OTRFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EGRAX	OTRFX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.75%	0.53%	+0.22%
Volatility (6M) Calculated over the trailing 6-month period	3.20%	2.85%	+0.35%
Volatility (1Y) Calculated over the trailing 1-year period	3.59%	4.15%	-0.56%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.01%	3.07%	+0.94%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.94%	3.60%	+0.34%

EGRAX vs. OTRFX - Expense Ratio Comparison

EGRAX has a 2.22% expense ratio, which is lower than OTRFX's 2.58% expense ratio.

Dividends

EGRAX vs. OTRFX - Dividend Comparison

EGRAX's dividend yield for the trailing twelve months is around 6.28%, less than OTRFX's 12.40% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EGRAX Eaton Vance Global Macro Absolute Return Advantage Fund Class A	6.28%	6.76%	5.86%	3.18%	4.53%	4.58%	5.61%	4.02%	0.00%	2.82%	1.47%	6.42%
OTRFX OnTrack Core Fund	12.40%	13.04%	8.01%	0.14%	1.39%	7.10%	2.36%	1.38%	7.15%	2.69%	7.05%	6.15%

Frequently Asked Questions

Can I hold both EGRAX and OTRFX in my portfolio?

EGRAX and OTRFX have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EGRAX or OTRFX?

EGRAX has higher volatility (0.75%) compared to OTRFX (0.53%). In terms of maximum drawdown, EGRAX dropped -14.15% vs OTRFX's -9.73%.

Which has better risk-adjusted returns?

EGRAX currently has the higher Sharpe Ratio (5.56 vs 2.85), 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.