ARCIX vs. EAPCX
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and Parametric Commodity Strategy Fund Class A (EAPCX).
ARCIX is managed by AQR Funds. It was launched on Jul 8, 2012. EAPCX is managed by Eaton Vance. It was launched on May 25, 2011.
Performance
ARCIX vs. EAPCX - Performance Comparison
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ARCIX vs. EAPCX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 17.04% | 20.99% | 7.43% | -0.22% | 21.39% | 39.74% | 8.15% | 18.15% | -17.56% | 10.41% |
EAPCX Parametric Commodity Strategy Fund Class A | 16.34% | 22.06% | 9.63% | -4.87% | 17.26% | 29.92% | 7.77% | 9.19% | -9.60% | 6.71% |
Returns By Period
The year-to-date returns for both stocks are quite close, with ARCIX having a 17.04% return and EAPCX slightly lower at 16.34%. Over the past 10 years, ARCIX has outperformed EAPCX with an annualized return of 12.98%, while EAPCX has yielded a comparatively lower 11.09% annualized return.
ARCIX
- 1D
- 0.56%
- 1M
- 6.06%
- YTD
- 17.04%
- 6M
- 26.39%
- 1Y
- 30.67%
- 3Y*
- 14.38%
- 5Y*
- 18.72%
- 10Y*
- 12.98%
EAPCX
- 1D
- 0.40%
- 1M
- 5.69%
- YTD
- 16.34%
- 6M
- 25.33%
- 1Y
- 32.23%
- 3Y*
- 14.77%
- 5Y*
- 16.00%
- 10Y*
- 11.09%
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ARCIX vs. EAPCX - Expense Ratio Comparison
ARCIX has a 1.00% expense ratio, which is higher than EAPCX's 0.91% expense ratio.
Return for Risk
ARCIX vs. EAPCX — Risk / Return Rank
ARCIX
EAPCX
ARCIX vs. EAPCX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and Parametric Commodity Strategy Fund Class A (EAPCX). 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 | EAPCX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.98 | 2.21 | -0.23 |
Sortino ratioReturn per unit of downside risk | 2.48 | 2.79 | -0.31 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.40 | -0.03 |
Calmar ratioReturn relative to maximum drawdown | 3.08 | 3.57 | -0.49 |
Martin ratioReturn relative to average drawdown | 9.79 | 12.49 | -2.71 |
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 | EAPCX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.98 | 2.21 | -0.23 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.98 | 1.10 | -0.12 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.75 | 0.84 | -0.09 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.28 | +0.03 |
Correlation
The correlation between ARCIX and EAPCX is 0.91, 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. EAPCX - Dividend Comparison
ARCIX's dividend yield for the trailing twelve months is around 11.48%, which matches EAPCX's 11.37% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 11.48% | 13.44% | 2.11% | 7.56% | 9.51% | 18.23% | 0.09% | 5.19% | 0.67% | 0.01% | 4.82% |
EAPCX Parametric Commodity Strategy Fund Class A | 11.37% | 13.23% | 5.46% | 3.43% | 14.80% | 13.74% | 3.01% | 1.11% | 0.41% | 4.98% | 6.49% |
Drawdowns
ARCIX vs. EAPCX - Drawdown Comparison
The maximum ARCIX drawdown since its inception was -54.25%, roughly equal to the maximum EAPCX drawdown of -52.59%. Use the drawdown chart below to compare losses from any high point for ARCIX and EAPCX.
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Drawdown Indicators
| ARCIX | EAPCX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.25% | -52.59% | -1.66% |
Max Drawdown (1Y)Largest decline over 1 year | -10.19% | -9.09% | -1.10% |
Max Drawdown (5Y)Largest decline over 5 years | -20.29% | -18.05% | -2.24% |
Max Drawdown (10Y)Largest decline over 10 years | -32.45% | -28.81% | -3.64% |
Current DrawdownCurrent decline from peak | -1.09% | -1.17% | +0.08% |
Average DrawdownAverage peak-to-trough decline | -25.68% | -23.03% | -2.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 2.60% | +0.61% |
Volatility
ARCIX vs. EAPCX - Volatility Comparison
AQR Risk-Balanced Commodities Strategy Fund (ARCIX) has a higher volatility of 5.41% compared to Parametric Commodity Strategy Fund Class A (EAPCX) at 4.61%. This indicates that ARCIX's price experiences larger fluctuations and is considered to be riskier than EAPCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARCIX | EAPCX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.41% | 4.61% | +0.80% |
Volatility (6M)Calculated over the trailing 6-month period | 12.64% | 11.77% | +0.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.98% | 14.87% | +1.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.17% | 14.64% | +4.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.46% | 13.29% | +4.17% |