ARCIX vs. AQMIX

Last updated Jun 24, 2026

ARCIX (AQR Risk-Balanced Commodities Strategy Fund) and AQMIX (AQR Managed Futures Strategy Fund) are both mutual funds - ARCIX is a Commodities fund managed by AQR Funds, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 10 years, ARCIX returned 11.20%/yr vs 4.55%/yr for AQMIX. At a 0.00 correlation, their price movements are largely independent. ARCIX charges 1.00%/yr vs 1.25%/yr for AQMIX.

Performance

ARCIX vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and AQR Managed Futures Strategy Fund (AQMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with ARCIX having a 12.51% return and AQMIX slightly lower at 11.91%. Over the past 10 years, ARCIX has outperformed AQMIX with an annualized return of 11.20%, while AQMIX has yielded a comparatively lower 4.55% annualized return.

ARCIX

• 1D: -0.76%
• 1M: -7.86%
• YTD: 12.51%
• 6M: 11.71%
• 1Y: 26.15%
• 3Y*: 14.07%
• 5Y*: 14.70%
• 10Y*: 11.20%

AQMIX

• 1D: 1.13%
• 1M: -0.37%
• YTD: 11.91%
• 6M: 12.39%
• 1Y: 25.63%
• 3Y*: 11.91%
• 5Y*: 13.30%
• 10Y*: 4.55%

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

ARCIX vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ARCIX AQR Risk-Balanced Commodities Strategy Fund	12.51%	20.99%	7.43%	-0.22%	21.39%	39.74%	8.15%	18.15%	-17.56%	10.41%
AQMIX AQR Managed Futures Strategy Fund	11.91%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-8.88%	-0.97%

Correlation

The correlation between ARCIX and AQMIX is 0.51, 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	0.51
Correlation (3Y) Calculated over the trailing 3-year period	0.14
Correlation (5Y) Calculated over the trailing 5-year period	0.06
Correlation (10Y) Calculated over the trailing 10-year period	0.08
Correlation (All Time) Calculated using the full available price history since Jul 9, 2012	0.00

Over the past year, ARCIX and AQMIX have become more correlated (0.51) than their long-term average of 0.00, meaning their price movements have been converging.

Return for Risk

ARCIX vs. AQMIX — Risk / Return Rank

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

ARCIX

ARCIX Risk / Return Rank: 37
ARCIX Sharpe Ratio Rank: 37
ARCIX Sortino Ratio Rank: 32
ARCIX Omega Ratio Rank: 36
ARCIX Calmar Ratio Rank: 39
ARCIX Martin Ratio Rank: 42

AQMIX

AQMIX Risk / Return Rank: 92
AQMIX Sharpe Ratio Rank: 93
AQMIX Sortino Ratio Rank: 89
AQMIX Omega Ratio Rank: 84
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 97

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.

ARCIX vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and AQR Managed Futures Strategy Fund (AQMIX). 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.

	ARCIX	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.64	2.93	-1.28
Sortino ratio: Return per unit of downside risk	2.18	4.00	-1.82
Omega ratio: Gain probability vs. loss probability	1.30	1.52	-0.22
Calmar ratio: Return relative to maximum drawdown	2.26	8.58	-6.32
Martin ratio: Return relative to average drawdown	8.47	25.60	-17.13

ARCIX vs. AQMIX - Sharpe Ratio Comparison

The current ARCIX Sharpe Ratio is 1.64, which is lower than the AQMIX Sharpe Ratio of 2.93. The chart below compares the historical Sharpe Ratios of ARCIX and AQMIX, 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

ARCIX vs. AQMIX - Drawdown Comparison

The maximum ARCIX drawdown since its inception was -54.25%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for ARCIX and AQMIX.

Drawdown Indicators

	ARCIX	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-54.25%	-26.52%	-27.73%
Max Drawdown (1Y) Largest decline over 1 year	-11.08%	-3.03%	-8.05%
Max Drawdown (3Y) Largest decline over 3 years	-13.67%	-13.57%	-0.10%
Max Drawdown (5Y) Largest decline over 5 years	-20.29%	-13.57%	-6.72%
Max Drawdown (10Y) Largest decline over 10 years	-32.45%	-23.34%	-9.11%
Current Drawdown Current decline from peak	-11.08%	-1.65%	-9.43%
Average Drawdown Average peak-to-trough decline	-25.31%	-9.98%	-15.33%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.06%	1.01%	+2.05%

Volatility

ARCIX vs. AQMIX - Volatility Comparison

AQR Risk-Balanced Commodities Strategy Fund (ARCIX) has a higher volatility of 3.96% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.83%. This indicates that ARCIX's price experiences larger fluctuations and is considered to be riskier than AQMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ARCIX	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.96%	2.83%	+1.13%
Volatility (6M) Calculated over the trailing 6-month period	12.91%	6.82%	+6.09%
Volatility (1Y) Calculated over the trailing 1-year period	15.28%	8.90%	+6.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.91%	11.60%	+7.31%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.43%	10.36%	+7.07%

ARCIX vs. AQMIX - Expense Ratio Comparison

ARCIX has a 1.00% expense ratio, which is lower than AQMIX's 1.25% expense ratio.

Dividends

ARCIX vs. AQMIX - Dividend Comparison

ARCIX's dividend yield for the trailing twelve months is around 11.94%, more than AQMIX's 2.02% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	2.02%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
ARCIX AQR Risk-Balanced Commodities Strategy Fund	11.94%	13.44%	2.11%	7.56%	9.51%	18.23%	0.09%	5.19%	0.67%	0.01%	4.82%	0.00%

Frequently Asked Questions

Can I hold both ARCIX and AQMIX in my portfolio?

ARCIX and AQMIX have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ARCIX or AQMIX?

ARCIX has higher volatility (3.96%) compared to AQMIX (2.83%). In terms of maximum drawdown, ARCIX dropped -54.25% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.93 vs 1.64), 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.