ARCIX vs. DBC
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and Invesco DB Commodity Index Tracking Fund (DBC).
ARCIX is managed by AQR Funds. It was launched on Jul 8, 2012. DBC is a passively managed fund by Invesco that tracks the performance of the DBIQ Optimum Yield Diversified Commodity Index Excess Return. It was launched on Feb 3, 2006.
Performance
ARCIX vs. DBC - Performance Comparison
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ARCIX vs. DBC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 17.69% | 20.99% | 7.43% | -0.22% | 21.39% | 39.74% | 8.15% | 18.15% | -17.56% | 10.41% |
DBC Invesco DB Commodity Index Tracking Fund | 28.26% | 8.10% | 2.18% | -6.19% | 19.34% | 41.36% | -7.84% | 11.84% | -11.63% | 4.86% |
Returns By Period
In the year-to-date period, ARCIX achieves a 17.69% return, which is significantly lower than DBC's 28.26% return. Over the past 10 years, ARCIX has outperformed DBC with an annualized return of 13.04%, while DBC has yielded a comparatively lower 10.02% annualized return.
ARCIX
- 1D
- 0.55%
- 1M
- 5.72%
- YTD
- 17.69%
- 6M
- 26.44%
- 1Y
- 30.70%
- 3Y*
- 14.59%
- 5Y*
- 18.69%
- 10Y*
- 13.04%
DBC
- 1D
- -0.93%
- 1M
- 11.12%
- YTD
- 28.26%
- 6M
- 31.82%
- 1Y
- 31.70%
- 3Y*
- 11.34%
- 5Y*
- 14.31%
- 10Y*
- 10.02%
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ARCIX vs. DBC - Expense Ratio Comparison
ARCIX has a 1.00% expense ratio, which is higher than DBC's 0.85% expense ratio.
Return for Risk
ARCIX vs. DBC — Risk / Return Rank
ARCIX
DBC
ARCIX vs. DBC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and Invesco DB Commodity Index Tracking Fund (DBC). 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.
| ARCIX | DBC | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.98 | 1.70 | +0.28 |
Sortino ratioReturn per unit of downside risk | 2.48 | 2.28 | +0.20 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.31 | +0.06 |
Calmar ratioReturn relative to maximum drawdown | 3.15 | 2.89 | +0.26 |
Martin ratioReturn relative to average drawdown | 10.01 | 7.43 | +2.58 |
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
| ARCIX | DBC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.98 | 1.70 | +0.28 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.98 | 0.76 | +0.22 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.75 | 0.57 | +0.18 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.10 | +0.20 |
Correlation
The correlation between ARCIX and DBC is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
ARCIX vs. DBC - Dividend Comparison
ARCIX's dividend yield for the trailing twelve months is around 11.42%, more than DBC's 2.59% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 11.42% | 13.44% | 2.11% | 7.56% | 9.51% | 18.23% | 0.09% | 5.19% | 0.67% | 0.01% | 4.82% |
DBC Invesco DB Commodity Index Tracking Fund | 2.59% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% |
Drawdowns
ARCIX vs. DBC - Drawdown Comparison
The maximum ARCIX drawdown since its inception was -54.25%, smaller than the maximum DBC drawdown of -76.36%. Use the drawdown chart below to compare losses from any high point for ARCIX and DBC.
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Drawdown Indicators
| ARCIX | DBC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.25% | -76.36% | +22.11% |
Max Drawdown (1Y)Largest decline over 1 year | -10.19% | -10.99% | +0.80% |
Max Drawdown (5Y)Largest decline over 5 years | -20.29% | -27.34% | +7.05% |
Max Drawdown (10Y)Largest decline over 10 years | -32.45% | -41.71% | +9.26% |
Current DrawdownCurrent decline from peak | -0.55% | -25.80% | +25.25% |
Average DrawdownAverage peak-to-trough decline | -25.68% | -46.42% | +20.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 4.27% | -1.06% |
Volatility
ARCIX vs. DBC - Volatility Comparison
The current volatility for AQR Risk-Balanced Commodities Strategy Fund (ARCIX) is 5.38%, while Invesco DB Commodity Index Tracking Fund (DBC) has a volatility of 8.30%. This indicates that ARCIX experiences smaller price fluctuations and is considered to be less risky than DBC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARCIX | DBC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.38% | 8.30% | -2.92% |
Volatility (6M)Calculated over the trailing 6-month period | 12.65% | 13.96% | -1.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.95% | 18.75% | -2.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.15% | 18.97% | +0.18% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.46% | 17.72% | -0.26% |