ARCNX vs. COM

Last updated Aug 1, 2026

ARCNX (AQR Risk-Balanced Commodities Strategy Fund Class N) and COM (Direxion Auspice Broad Commodity Strategy ETF) are both Commodities funds. Over the past 5 years, ARCNX returned 14.23%/yr vs 8.21%/yr for COM. Their 0.67 correlation means they have sometimes moved together and sometimes differently. ARCNX charges 1.28%/yr vs 0.70%/yr for COM.

Performance

ARCNX vs. COM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and Direxion Auspice Broad Commodity Strategy ETF (COM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with ARCNX having a 16.04% return and COM slightly lower at 15.99%.

ARCNX

• 1D: 0.29%
• 1M: 5.32%
• 6M: 7.37%
• YTD: 16.04%
• 1Y: 33.40%
• 3Y*: 13.01%
• 5Y*: 14.23%
• 10Y*: 11.32%
• ALL TIME*: 4.59%

COM

• 1D: -0.07%
• 1M: 3.63%
• 6M: 10.51%
• YTD: 15.99%
• 1Y: 25.72%
• 3Y*: 7.73%
• 5Y*: 8.21%
• 10Y*: —
• ALL TIME*: 7.04%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	$0.00	$0.00	$0.00
COM Direxion Auspice Broad Commodity Strategy ETF	$1.30M	$1.76M	$5.12M

ARCNX vs. COM - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	16.04%	20.76%	7.19%	-0.50%	20.97%	39.48%	8.11%	17.68%	-17.83%	7.09%
COM Direxion Auspice Broad Commodity Strategy ETF	15.99%	7.72%	5.81%	-2.09%	9.17%	28.00%	6.63%	-0.18%	-0.03%	-1.97%

Correlation

The correlation between ARCNX and COM is 0.79, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.79
Correlation (3Y) Balances recent behavior with more history.	0.73
Correlation (5Y) Shows whether the relationship held over a longer period.	0.72
Correlation (All Time) Calculated using the full available price history since Mar 30, 2017	0.67

The correlation between ARCNX and COM shifts across timeframes, from 0.67 (all time) to 0.79 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

ARCNX vs. COM — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ARCNX

ARCNX Risk / Return Rank: 70
ARCNX Sharpe Ratio Rank: 82
ARCNX Sortino Ratio Rank: 75
ARCNX Omega Ratio Rank: 77
ARCNX Calmar Ratio Rank: 65
ARCNX Martin Ratio Rank: 52

COM

COM Risk / Return Rank: 89
COM Sharpe Ratio Rank: 93
COM Sortino Ratio Rank: 92
COM Omega Ratio Rank: 93
COM Calmar Ratio Rank: 86
COM Martin Ratio Rank: 79

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ARCNX vs. COM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and Direxion Auspice Broad Commodity Strategy ETF (COM). 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.

	ARCNX	COM	Difference
Sharpe ratio: Return per unit of total volatility	1.98	2.52	-0.54
Sortino ratio: Return per unit of downside risk	2.58	3.44	-0.86
Omega ratio: Gain probability vs. loss probability	1.34	1.47	-0.13
Calmar ratio: Return relative to maximum drawdown	2.17	3.32	-1.15
Martin ratio: Return relative to average drawdown	7.07	10.03	-2.95

ARCNX vs. COM - Sharpe Ratio Comparison

The current ARCNX Sharpe Ratio is 1.98, which is comparable to the COM Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of ARCNX and COM, 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

ARCNX vs. COM - Drawdown Comparison

The maximum ARCNX drawdown since its inception was -55.17%, which is greater than COM's maximum drawdown of -15.95%. Use the drawdown chart below to compare losses from any high point for ARCNX and COM.

Drawdown Indicators

	ARCNX	COM	Difference
Max Drawdown Largest peak-to-trough decline	-55.17%	-15.95%	-39.22%
Max Drawdown (1Y) Largest decline over 1 year	-14.52%	-7.63%	-6.89%
Max Drawdown (3Y) Largest decline over 3 years	-14.52%	-8.50%	-6.02%
Max Drawdown (5Y) Largest decline over 5 years	-20.30%	-14.02%	-6.28%
Max Drawdown (10Y) Largest decline over 10 years	-32.80%	—	—
Current Drawdown Current decline from peak	-8.22%	-3.69%	-4.53%
Average Drawdown Average peak-to-trough decline	-25.77%	-6.26%	-19.51%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.45%	2.53%	+1.92%

Volatility

ARCNX vs. COM - Volatility Comparison

AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) has a higher volatility of 4.80% compared to Direxion Auspice Broad Commodity Strategy ETF (COM) at 2.01%. This indicates that ARCNX's price experiences larger fluctuations and is considered to be riskier than COM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ARCNX	COM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.80%	2.01%	+2.79%
Volatility (6M) Calculated over the trailing 6-month period	13.19%	8.07%	+5.12%
Volatility (1Y) Calculated over the trailing 1-year period	15.96%	10.09%	+5.87%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.92%	9.44%	+9.48%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.45%	9.73%	+7.72%

ARCNX vs. COM - Expense Ratio Comparison

ARCNX has a 1.28% expense ratio, which is higher than COM's 0.70% expense ratio.

Dividends

ARCNX vs. COM - Dividend Comparison

ARCNX's dividend yield for the trailing twelve months is around 11.69%, more than COM's 2.51% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	11.69%	13.57%	1.89%	7.45%	9.45%	18.31%	0.09%	4.98%	0.29%	0.01%	4.69%
COM Direxion Auspice Broad Commodity Strategy ETF	2.51%	2.99%	3.88%	3.80%	8.59%	10.32%	0.13%	1.09%	2.36%	0.09%	0.00%

Frequently Asked Questions

Can I hold both ARCNX and COM in my portfolio?

ARCNX and COM have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ARCNX or COM?

ARCNX has higher volatility (4.80%) compared to COM (2.01%). In terms of maximum drawdown, ARCNX dropped -55.17% vs COM's -15.95%.

Which has better risk-adjusted returns?

COM currently has the higher Sharpe Ratio (2.52 vs 1.98), 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.