ARCIX vs. EIPCX
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and Parametric Commodity Strategy Fund Class I (EIPCX).
ARCIX is managed by AQR Funds. It was launched on Jul 8, 2012. EIPCX is managed by Eaton Vance. It was launched on May 25, 2011.
Performance
ARCIX vs. EIPCX - Performance Comparison
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ARCIX vs. EIPCX - 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% |
EIPCX Parametric Commodity Strategy Fund Class I | 16.44% | 22.27% | 9.97% | -4.70% | 17.76% | 30.13% | 7.83% | 9.58% | -9.45% | 7.07% |
Returns By Period
The year-to-date returns for both stocks are quite close, with ARCIX having a 17.04% return and EIPCX slightly lower at 16.44%. Over the past 10 years, ARCIX has outperformed EIPCX with an annualized return of 12.98%, while EIPCX has yielded a comparatively lower 11.37% 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%
EIPCX
- 1D
- 0.52%
- 1M
- 5.61%
- YTD
- 16.44%
- 6M
- 25.65%
- 1Y
- 32.48%
- 3Y*
- 15.11%
- 5Y*
- 16.28%
- 10Y*
- 11.37%
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ARCIX vs. EIPCX - Expense Ratio Comparison
ARCIX has a 1.00% expense ratio, which is higher than EIPCX's 0.66% expense ratio.
Return for Risk
ARCIX vs. EIPCX — Risk / Return Rank
ARCIX
EIPCX
ARCIX vs. EIPCX - 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 I (EIPCX). 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 | EIPCX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.98 | 2.24 | -0.27 |
Sortino ratioReturn per unit of downside risk | 2.48 | 2.82 | -0.35 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.40 | -0.04 |
Calmar ratioReturn relative to maximum drawdown | 3.08 | 3.60 | -0.52 |
Martin ratioReturn relative to average drawdown | 9.79 | 12.73 | -2.94 |
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 | EIPCX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.98 | 2.24 | -0.27 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.98 | 1.12 | -0.14 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.75 | 0.86 | -0.11 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.24 | +0.07 |
Correlation
The correlation between ARCIX and EIPCX 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. EIPCX - Dividend Comparison
ARCIX's dividend yield for the trailing twelve months is around 11.48%, which matches EIPCX's 11.45% 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% |
EIPCX Parametric Commodity Strategy Fund Class I | 11.45% | 13.33% | 5.65% | 3.69% | 14.93% | 13.83% | 3.10% | 1.54% | 0.87% | 5.14% | 6.59% |
Drawdowns
ARCIX vs. EIPCX - Drawdown Comparison
The maximum ARCIX drawdown since its inception was -54.25%, roughly equal to the maximum EIPCX drawdown of -54.05%. Use the drawdown chart below to compare losses from any high point for ARCIX and EIPCX.
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Drawdown Indicators
| ARCIX | EIPCX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.25% | -54.05% | -0.20% |
Max Drawdown (1Y)Largest decline over 1 year | -10.19% | -9.15% | -1.04% |
Max Drawdown (5Y)Largest decline over 5 years | -20.29% | -18.00% | -2.29% |
Max Drawdown (10Y)Largest decline over 10 years | -32.45% | -28.53% | -3.92% |
Current DrawdownCurrent decline from peak | -1.09% | -1.15% | +0.06% |
Average DrawdownAverage peak-to-trough decline | -25.68% | -24.51% | -1.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 2.58% | +0.63% |
Volatility
ARCIX vs. EIPCX - Volatility Comparison
AQR Risk-Balanced Commodities Strategy Fund (ARCIX) has a higher volatility of 5.41% compared to Parametric Commodity Strategy Fund Class I (EIPCX) at 4.42%. This indicates that ARCIX's price experiences larger fluctuations and is considered to be riskier than EIPCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARCIX | EIPCX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.41% | 4.42% | +0.99% |
Volatility (6M)Calculated over the trailing 6-month period | 12.64% | 11.76% | +0.88% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.98% | 14.84% | +1.14% |
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% | 13.30% | +4.16% |