ARCIX vs. VWO
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and Vanguard FTSE Emerging Markets ETF (VWO).
ARCIX is managed by AQR Funds. It was launched on Jul 8, 2012. VWO is a passively managed fund by Vanguard that tracks the performance of the FTSE Emerging Index. It was launched on Mar 4, 2005.
Performance
ARCIX vs. VWO - Performance Comparison
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ARCIX vs. VWO - 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% |
VWO Vanguard FTSE Emerging Markets ETF | 0.54% | 25.60% | 10.59% | 9.25% | -17.98% | 1.26% | 15.17% | 20.75% | -14.76% | 31.49% |
Returns By Period
In the year-to-date period, ARCIX achieves a 17.04% return, which is significantly higher than VWO's 0.54% return. Over the past 10 years, ARCIX has outperformed VWO with an annualized return of 12.98%, while VWO has yielded a comparatively lower 7.63% 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%
VWO
- 1D
- 3.11%
- 1M
- -6.97%
- YTD
- 0.54%
- 6M
- 1.72%
- 1Y
- 22.75%
- 3Y*
- 13.73%
- 5Y*
- 3.84%
- 10Y*
- 7.63%
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ARCIX vs. VWO - Expense Ratio Comparison
ARCIX has a 1.00% expense ratio, which is higher than VWO's 0.08% expense ratio.
Return for Risk
ARCIX vs. VWO — Risk / Return Rank
ARCIX
VWO
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.
| ARCIX | VWO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.98 | 1.28 | +0.69 |
Sortino ratioReturn per unit of downside risk | 2.48 | 1.81 | +0.67 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.26 | +0.11 |
Calmar ratioReturn relative to maximum drawdown | 3.08 | 1.85 | +1.23 |
Martin ratioReturn relative to average drawdown | 9.79 | 7.12 | +2.67 |
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 | VWO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.98 | 1.28 | +0.69 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.98 | 0.22 | +0.76 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.75 | 0.40 | +0.35 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.25 | +0.06 |
Correlation
The correlation between ARCIX and VWO is 0.35, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
ARCIX vs. VWO - Dividend Comparison
ARCIX's dividend yield for the trailing twelve months is around 11.48%, more than VWO's 2.68% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% |
VWO Vanguard FTSE Emerging Markets ETF | 2.68% | 2.79% | 3.20% | 3.52% | 4.11% | 2.63% | 1.91% | 3.23% | 2.88% | 2.30% | 2.52% | 3.26% |
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.
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Drawdown Indicators
| ARCIX | VWO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.25% | -67.68% | +13.43% |
Max Drawdown (1Y)Largest decline over 1 year | -10.19% | -12.23% | +2.04% |
Max Drawdown (5Y)Largest decline over 5 years | -20.29% | -32.80% | +12.51% |
Max Drawdown (10Y)Largest decline over 10 years | -32.45% | -36.39% | +3.94% |
Current DrawdownCurrent decline from peak | -1.09% | -8.41% | +7.32% |
Average DrawdownAverage peak-to-trough decline | -25.68% | -15.93% | -9.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 3.18% | +0.03% |
Volatility
ARCIX vs. VWO - Volatility Comparison
The current volatility for AQR Risk-Balanced Commodities Strategy Fund (ARCIX) is 5.41%, while Vanguard FTSE Emerging Markets ETF (VWO) has a volatility of 8.17%. 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.
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Volatility by Period
| ARCIX | VWO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.41% | 8.17% | -2.76% |
Volatility (6M)Calculated over the trailing 6-month period | 12.64% | 12.26% | +0.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.98% | 17.83% | -1.85% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.17% | 17.21% | +1.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.46% | 19.18% | -1.72% |