ARCNX vs. COM
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and Direxion Auspice Broad Commodity Strategy ETF (COM).
ARCNX is managed by AQR. COM is a passively managed fund by Direxion that tracks the performance of the Auspice Broad Commodity ER Index. It was launched on Mar 30, 2017.
Performance
ARCNX vs. COM - Performance Comparison
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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 | 17.04% | 20.76% | 7.19% | -0.50% | 20.97% | 39.48% | 8.11% | 17.68% | -17.83% | 6.92% |
COM Direxion Auspice Broad Commodity Strategy ETF | 14.18% | 7.72% | 5.81% | -2.09% | 9.17% | 28.00% | 6.63% | -0.18% | -0.03% | -2.05% |
Returns By Period
In the year-to-date period, ARCNX achieves a 17.04% return, which is significantly higher than COM's 14.18% return.
ARCNX
- 1D
- 0.67%
- 1M
- 6.12%
- YTD
- 17.04%
- 6M
- 26.24%
- 1Y
- 30.47%
- 3Y*
- 14.14%
- 5Y*
- 18.43%
- 10Y*
- 12.71%
COM
- 1D
- 0.21%
- 1M
- 5.67%
- YTD
- 14.18%
- 6M
- 18.01%
- 1Y
- 17.69%
- 3Y*
- 6.92%
- 5Y*
- 10.16%
- 10Y*
- —
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ARCNX vs. COM - Expense Ratio Comparison
ARCNX has a 1.28% expense ratio, which is higher than COM's 0.70% expense ratio.
Return for Risk
ARCNX vs. COM — Risk / Return Rank
ARCNX
COM
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.
| ARCNX | COM | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.96 | 1.72 | +0.24 |
Sortino ratioReturn per unit of downside risk | 2.45 | 2.24 | +0.21 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.34 | +0.02 |
Calmar ratioReturn relative to maximum drawdown | 3.07 | 2.96 | +0.11 |
Martin ratioReturn relative to average drawdown | 9.67 | 6.37 | +3.30 |
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
| ARCNX | COM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.96 | 1.72 | +0.24 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.97 | 1.05 | -0.08 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.73 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.73 | -0.44 |
Correlation
The correlation between ARCNX and COM is 0.66, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
ARCNX vs. COM - Dividend Comparison
ARCNX's dividend yield for the trailing twelve months is around 11.59%, more than COM's 2.48% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N | 11.59% | 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 | 2.48% | 2.99% | 3.88% | 3.80% | 8.59% | 10.32% | 0.13% | 1.09% | 2.36% | 0.09% | 0.00% |
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.
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Drawdown Indicators
| ARCNX | COM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.17% | -15.95% | -39.22% |
Max Drawdown (1Y)Largest decline over 1 year | -10.10% | -6.15% | -3.95% |
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 DrawdownCurrent decline from peak | -1.03% | -0.64% | -0.39% |
Average DrawdownAverage peak-to-trough decline | -26.27% | -6.38% | -19.89% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 2.86% | +0.35% |
Volatility
ARCNX vs. COM - Volatility Comparison
AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) has a higher volatility of 5.36% compared to Direxion Auspice Broad Commodity Strategy ETF (COM) at 3.77%. 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.
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Volatility by Period
| ARCNX | COM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.36% | 3.77% | +1.59% |
Volatility (6M)Calculated over the trailing 6-month period | 12.61% | 8.21% | +4.40% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.95% | 10.35% | +5.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.17% | 9.71% | +9.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.47% | 9.76% | +7.71% |