ARCNX vs. DCMSX

Last updated Jun 24, 2026

ARCNX (AQR Risk-Balanced Commodities Strategy Fund Class N) and DCMSX (DFA Commodity Strategy Portfolio) are both Commodities funds. Over the past 10 years, ARCNX returned 10.93%/yr vs 6.78%/yr for DCMSX. Their correlation of 0.87 suggests significant overlap in exposure. ARCNX charges 1.28%/yr vs 0.31%/yr for DCMSX.

Performance

ARCNX vs. DCMSX - 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 DFA Commodity Strategy Portfolio (DCMSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ARCNX achieves a 12.39% return, which is significantly lower than DCMSX's 20.58% return. Over the past 10 years, ARCNX has outperformed DCMSX with an annualized return of 10.93%, while DCMSX has yielded a comparatively lower 6.78% annualized return.

ARCNX

• 1D: -0.68%
• 1M: -7.89%
• YTD: 12.39%
• 6M: 11.57%
• 1Y: 25.84%
• 3Y*: 13.77%
• 5Y*: 14.41%
• 10Y*: 10.93%

DCMSX

• 1D: -0.71%
• 1M: -8.36%
• YTD: 20.58%
• 6M: 19.04%
• 1Y: 27.75%
• 3Y*: 13.22%
• 5Y*: 10.69%
• 10Y*: 6.78%

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

ARCNX vs. DCMSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	12.39%	20.76%	7.19%	-0.50%	20.97%	39.48%	8.11%	17.68%	-17.83%	10.20%
DCMSX DFA Commodity Strategy Portfolio	20.58%	15.15%	5.90%	-9.14%	11.36%	33.54%	-1.78%	7.96%	-11.22%	2.73%

Correlation

The correlation between ARCNX and DCMSX is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.91
Correlation (3Y) Calculated over the trailing 3-year period	0.89
Correlation (5Y) Calculated over the trailing 5-year period	0.86
Correlation (10Y) Calculated over the trailing 10-year period	0.86
Correlation (All Time) Calculated using the full available price history since Jul 9, 2012	0.87

The correlation between ARCNX and DCMSX has been stable across timeframes, ranging from 0.86 to 0.91 - a consistent structural relationship.

Return for Risk

ARCNX vs. DCMSX — Risk / Return Rank

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

ARCNX

ARCNX Risk / Return Rank: 37
ARCNX Sharpe Ratio Rank: 37
ARCNX Sortino Ratio Rank: 31
ARCNX Omega Ratio Rank: 35
ARCNX Calmar Ratio Rank: 39
ARCNX Martin Ratio Rank: 42

DCMSX

DCMSX Risk / Return Rank: 38
DCMSX Sharpe Ratio Rank: 35
DCMSX Sortino Ratio Rank: 31
DCMSX Omega Ratio Rank: 34
DCMSX Calmar Ratio Rank: 41
DCMSX Martin Ratio Rank: 47

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.

ARCNX vs. DCMSX - 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 DFA Commodity Strategy Portfolio (DCMSX). 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	DCMSX	Difference
Sharpe ratio: Return per unit of total volatility	1.63	1.59	+0.04
Sortino ratio: Return per unit of downside risk	2.16	2.14	+0.02
Omega ratio: Gain probability vs. loss probability	1.29	1.28	+0.01
Calmar ratio: Return relative to maximum drawdown	2.24	2.32	-0.08
Martin ratio: Return relative to average drawdown	8.39	9.27	-0.88

ARCNX vs. DCMSX - Sharpe Ratio Comparison

The current ARCNX Sharpe Ratio is 1.63, which is comparable to the DCMSX Sharpe Ratio of 1.59. The chart below compares the historical Sharpe Ratios of ARCNX and DCMSX, 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. DCMSX - Drawdown Comparison

The maximum ARCNX drawdown since its inception was -55.17%, smaller than the maximum DCMSX drawdown of -60.94%. Use the drawdown chart below to compare losses from any high point for ARCNX and DCMSX.

Drawdown Indicators

	ARCNX	DCMSX	Difference
Max Drawdown Largest peak-to-trough decline	-55.17%	-60.94%	+5.77%
Max Drawdown (1Y) Largest decline over 1 year	-11.11%	-11.27%	+0.16%
Max Drawdown (3Y) Largest decline over 3 years	-13.65%	-11.27%	-2.38%
Max Drawdown (5Y) Largest decline over 5 years	-20.30%	-27.93%	+7.63%
Max Drawdown (10Y) Largest decline over 10 years	-32.80%	-32.52%	-0.28%
Current Drawdown Current decline from peak	-11.11%	-11.27%	+0.16%
Average Drawdown Average peak-to-trough decline	-25.89%	-31.70%	+5.81%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.06%	3.26%	-0.20%

Volatility

ARCNX vs. DCMSX - Volatility Comparison

AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and DFA Commodity Strategy Portfolio (DCMSX) have volatilities of 4.00% and 3.82%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ARCNX	DCMSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.00%	3.82%	+0.18%
Volatility (6M) Calculated over the trailing 6-month period	12.91%	14.29%	-1.38%
Volatility (1Y) Calculated over the trailing 1-year period	15.27%	16.47%	-1.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.91%	16.26%	+2.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.42%	14.48%	+2.94%

ARCNX vs. DCMSX - Expense Ratio Comparison

ARCNX has a 1.28% expense ratio, which is higher than DCMSX's 0.31% expense ratio.

Dividends

ARCNX vs. DCMSX - Dividend Comparison

ARCNX's dividend yield for the trailing twelve months is around 12.07%, more than DCMSX's 8.74% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	12.07%	13.57%	1.89%	7.45%	9.45%	18.31%	0.09%	4.98%	0.29%	0.01%	4.69%	0.00%
DCMSX DFA Commodity Strategy Portfolio	8.74%	10.75%	2.83%	2.52%	7.46%	49.44%	0.37%	1.51%	1.63%	3.09%	0.47%	0.15%

Frequently Asked Questions

Can I hold both ARCNX and DCMSX in my portfolio?

With a correlation of 0.91, ARCNX and DCMSX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, ARCNX or DCMSX?

ARCNX has higher volatility (4.00%) compared to DCMSX (3.82%). In terms of maximum drawdown, ARCNX dropped -55.17% vs DCMSX's -60.94%.

Which has better risk-adjusted returns?

ARCNX currently has the higher Sharpe Ratio (1.63 vs 1.59), 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.