ARCIX vs. GLD

Last updated Jun 13, 2026

ARCIX (AQR Risk-Balanced Commodities Strategy Fund) and GLD (SPDR Gold Shares) are both funds - ARCIX is a Commodities fund managed by AQR Funds, while GLD is a Gold fund tracking the LBMA Gold Price PM. Over the past 10 years, ARCIX returned 11.10%/yr vs 12.15%/yr for GLD. At a 0.44 correlation, their price movements are largely independent. ARCIX charges 1.00%/yr vs 0.40%/yr for GLD.

Performance

ARCIX vs. GLD - Performance Comparison

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

Returns By Period

In the year-to-date period, ARCIX achieves a 13.81% return, which is significantly higher than GLD's -2.47% return. Over the past 10 years, ARCIX has underperformed GLD with an annualized return of 11.10%, while GLD has yielded a comparatively higher 12.15% annualized return.

ARCIX

• 1D: -0.57%
• 1M: -7.21%
• YTD: 13.81%
• 6M: 16.46%
• 1Y: 26.93%
• 3Y*: 14.90%
• 5Y*: 13.69%
• 10Y*: 11.10%

GLD

• 1D: 0.06%
• 1M: -9.52%
• YTD: -2.47%
• 6M: -2.25%
• 1Y: 22.21%
• 3Y*: 28.89%
• 5Y*: 17.08%
• 10Y*: 12.15%

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

ARCIX vs. GLD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ARCIX AQR Risk-Balanced Commodities Strategy Fund	13.81%	20.99%	7.43%	-0.22%	21.39%	39.74%	8.15%	18.15%	-17.56%	10.41%
GLD SPDR Gold Shares	-2.47%	63.68%	26.66%	12.69%	-0.77%	-4.15%	24.81%	17.86%	-1.94%	12.81%

Correlation

The correlation between ARCIX and GLD is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.41
Correlation (3Y) Calculated over the trailing 3-year period	0.50
Correlation (5Y) Calculated over the trailing 5-year period	0.49
Correlation (10Y) Calculated over the trailing 10-year period	0.44
Correlation (All Time) Calculated using the full available price history since Jul 9, 2012	0.44

The correlation between ARCIX and GLD has been stable across timeframes, ranging from 0.41 to 0.50 - a consistent structural relationship.

Return for Risk

ARCIX vs. GLD — Risk / Return Rank

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

ARCIX

ARCIX Risk / Return Rank: 70
ARCIX Sharpe Ratio Rank: 69
ARCIX Sortino Ratio Rank: 61
ARCIX Omega Ratio Rank: 66
ARCIX Calmar Ratio Rank: 78
ARCIX Martin Ratio Rank: 74

GLD

GLD Risk / Return Rank: 26
GLD Sharpe Ratio Rank: 27
GLD Sortino Ratio Rank: 25
GLD Omega Ratio Rank: 30
GLD Calmar Ratio Rank: 24
GLD Martin Ratio Rank: 24

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. GLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and SPDR Gold Shares (GLD). 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	GLD	Difference
Sharpe ratio: Return per unit of total volatility	1.95	0.87	+1.08
Sortino ratio: Return per unit of downside risk	2.55	1.24	+1.32
Omega ratio: Gain probability vs. loss probability	1.35	1.18	+0.17
Calmar ratio: Return relative to maximum drawdown	2.96	0.98	+1.98
Martin ratio: Return relative to average drawdown	10.98	2.81	+8.17

ARCIX vs. GLD - Sharpe Ratio Comparison

The current ARCIX Sharpe Ratio is 1.95, which is higher than the GLD Sharpe Ratio of 0.87. The chart below compares the historical Sharpe Ratios of ARCIX and GLD, 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. GLD - Drawdown Comparison

The maximum ARCIX drawdown since its inception was -54.25%, which is greater than GLD's maximum drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for ARCIX and GLD.

Drawdown Indicators

	ARCIX	GLD	Difference
Max Drawdown Largest peak-to-trough decline	-54.25%	-45.56%	-8.69%
Max Drawdown (1Y) Largest decline over 1 year	-10.06%	-24.46%	+14.40%
Max Drawdown (3Y) Largest decline over 3 years	-13.67%	-24.46%	+10.79%
Max Drawdown (5Y) Largest decline over 5 years	-20.29%	-24.46%	+4.17%
Max Drawdown (10Y) Largest decline over 10 years	-32.45%	-24.46%	-7.99%
Current Drawdown Current decline from peak	-10.06%	-22.05%	+11.99%
Average Drawdown Average peak-to-trough decline	-25.34%	-16.16%	-9.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.71%	8.49%	-5.78%

Volatility

ARCIX vs. GLD - Volatility Comparison

The current volatility for AQR Risk-Balanced Commodities Strategy Fund (ARCIX) is 4.51%, while SPDR Gold Shares (GLD) has a volatility of 7.79%. This indicates that ARCIX experiences smaller price fluctuations and is considered to be less risky than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ARCIX	GLD	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.51%	7.79%	-3.28%
Volatility (6M) Calculated over the trailing 6-month period	13.01%	24.10%	-11.09%
Volatility (1Y) Calculated over the trailing 1-year period	15.27%	27.37%	-12.10%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.05%	18.22%	+0.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.43%	16.08%	+1.35%

ARCIX vs. GLD - Expense Ratio Comparison

ARCIX has a 1.00% expense ratio, which is higher than GLD's 0.40% expense ratio.

Dividends

ARCIX vs. GLD - Dividend Comparison

ARCIX's dividend yield for the trailing twelve months is around 11.81%, while GLD has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ARCIX AQR Risk-Balanced Commodities Strategy Fund	11.81%	13.44%	2.11%	7.56%	9.51%	18.23%	0.09%	5.19%	0.67%	0.01%	4.82%
GLD SPDR Gold Shares	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ARCIX and GLD in my portfolio?

ARCIX and GLD have a correlation of 0.41, 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 GLD?

GLD has higher volatility (7.79%) compared to ARCIX (4.51%). In terms of maximum drawdown, ARCIX dropped -54.25% vs GLD's -45.56%.

Which has better risk-adjusted returns?

ARCIX currently has the higher Sharpe Ratio (1.95 vs 0.87), 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.