ARCIX vs. VWO

Last updated Jun 24, 2026

ARCIX (AQR Risk-Balanced Commodities Strategy Fund) and VWO (Vanguard FTSE Emerging Markets ETF) are both funds - ARCIX is a Commodities fund managed by AQR Funds, while VWO is a Emerging Markets Equities fund tracking the FTSE Emerging Index. Over the past 10 years, ARCIX returned 11.20%/yr vs 8.97%/yr for VWO. At a 0.35 correlation, their price movements are largely independent. ARCIX charges 1.00%/yr vs 0.08%/yr for VWO.

Performance

ARCIX vs. VWO - Performance Comparison

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

Returns By Period

In the year-to-date period, ARCIX achieves a 12.51% return, which is significantly higher than VWO's 10.55% return. Over the past 10 years, ARCIX has outperformed VWO with an annualized return of 11.20%, while VWO has yielded a comparatively lower 8.97% 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%

VWO

• 1D: -3.07%
• 1M: 0.76%
• YTD: 10.55%
• 6M: 10.67%
• 1Y: 27.03%
• 3Y*: 17.42%
• 5Y*: 5.09%
• 10Y*: 8.97%

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

ARCIX vs. VWO - 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%
VWO Vanguard FTSE Emerging Markets ETF	10.55%	25.60%	10.59%	9.25%	-17.98%	1.26%	15.17%	20.75%	-14.76%	31.49%

Correlation

The correlation between ARCIX and VWO is 0.15, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.15
Correlation (3Y) Calculated over the trailing 3-year period	0.29
Correlation (5Y) Calculated over the trailing 5-year period	0.32
Correlation (10Y) Calculated over the trailing 10-year period	0.35
Correlation (All Time) Calculated using the full available price history since Jul 9, 2012	0.35

Over the past year, the correlation between ARCIX and VWO has dropped to 0.15 - well below their long-term average of 0.35, suggesting their price drivers have been diverging.

Return for Risk

ARCIX vs. VWO — 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

VWO

VWO Risk / Return Rank: 49
VWO Sharpe Ratio Rank: 48
VWO Sortino Ratio Rank: 46
VWO Omega Ratio Rank: 49
VWO Calmar Ratio Rank: 51
VWO Martin Ratio Rank: 51

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. VWO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and Vanguard FTSE Emerging Markets ETF (VWO). 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	VWO	Difference
Sharpe ratio: Return per unit of total volatility	1.64	1.60	+0.04
Sortino ratio: Return per unit of downside risk	2.18	2.22	-0.04
Omega ratio: Gain probability vs. loss probability	1.30	1.30	0.00
Calmar ratio: Return relative to maximum drawdown	2.26	2.43	-0.17
Martin ratio: Return relative to average drawdown	8.47	8.56	-0.09

ARCIX vs. VWO - Sharpe Ratio Comparison

The current ARCIX Sharpe Ratio is 1.64, which is comparable to the VWO Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of ARCIX and VWO, 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. VWO - Drawdown Comparison

The maximum ARCIX drawdown since its inception was -54.25%, smaller than the maximum VWO drawdown of -67.68%. Use the drawdown chart below to compare losses from any high point for ARCIX and VWO.

Drawdown Indicators

	ARCIX	VWO	Difference
Max Drawdown Largest peak-to-trough decline	-54.25%	-67.68%	+13.43%
Max Drawdown (1Y) Largest decline over 1 year	-11.08%	-11.17%	+0.09%
Max Drawdown (3Y) Largest decline over 3 years	-13.67%	-17.37%	+3.70%
Max Drawdown (5Y) Largest decline over 5 years	-20.29%	-32.60%	+12.31%
Max Drawdown (10Y) Largest decline over 10 years	-32.45%	-36.39%	+3.94%
Current Drawdown Current decline from peak	-11.08%	-3.07%	-8.01%
Average Drawdown Average peak-to-trough decline	-25.31%	-15.79%	-9.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.06%	3.17%	-0.11%

Volatility

ARCIX vs. VWO - Volatility Comparison

The current volatility for AQR Risk-Balanced Commodities Strategy Fund (ARCIX) is 3.96%, while Vanguard FTSE Emerging Markets ETF (VWO) has a volatility of 7.37%. This indicates that ARCIX experiences smaller price fluctuations and is considered to be less risky than VWO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ARCIX	VWO	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.96%	7.37%	-3.41%
Volatility (6M) Calculated over the trailing 6-month period	12.91%	14.62%	-1.71%
Volatility (1Y) Calculated over the trailing 1-year period	15.28%	16.94%	-1.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.91%	17.58%	+1.33%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.43%	19.18%	-1.75%

ARCIX vs. VWO - Expense Ratio Comparison

ARCIX has a 1.00% expense ratio, which is higher than VWO's 0.08% expense ratio.

Dividends

ARCIX vs. VWO - Dividend Comparison

ARCIX's dividend yield for the trailing twelve months is around 11.94%, more than VWO's 2.33% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
VWO Vanguard FTSE Emerging Markets ETF	2.33%	2.79%	3.20%	3.52%	4.11%	2.63%	1.91%	3.23%	2.88%	2.30%	2.52%	3.26%

Frequently Asked Questions

Can I hold both ARCIX and VWO in my portfolio?

ARCIX and VWO have a correlation of 0.15, 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 VWO?

VWO has higher volatility (7.37%) compared to ARCIX (3.96%). In terms of maximum drawdown, ARCIX dropped -54.25% vs VWO's -67.68%.

Which has better risk-adjusted returns?

ARCIX currently has the higher Sharpe Ratio (1.64 vs 1.60), 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.