ARCNX vs. DCMSX
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and DFA Commodity Strategy Portfolio (DCMSX).
ARCNX is managed by AQR. DCMSX is managed by Dimensional. It was launched on Nov 8, 2010.
Performance
ARCNX vs. DCMSX - Performance Comparison
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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 | 17.59% | 20.76% | 7.19% | -0.50% | 20.97% | 39.48% | 8.11% | 17.68% | -17.83% | 10.20% |
DCMSX DFA Commodity Strategy Portfolio | 25.32% | 15.15% | 5.90% | -9.14% | 11.36% | 33.54% | -1.78% | 7.96% | -11.22% | 2.73% |
Returns By Period
In the year-to-date period, ARCNX achieves a 17.59% return, which is significantly lower than DCMSX's 25.32% return. Over the past 10 years, ARCNX has outperformed DCMSX with an annualized return of 12.76%, while DCMSX has yielded a comparatively lower 8.39% annualized return.
ARCNX
- 1D
- 0.47%
- 1M
- 5.67%
- YTD
- 17.59%
- 6M
- 26.30%
- 1Y
- 30.38%
- 3Y*
- 14.32%
- 5Y*
- 18.41%
- 10Y*
- 12.76%
DCMSX
- 1D
- -0.51%
- 1M
- 7.52%
- YTD
- 25.32%
- 6M
- 30.80%
- 1Y
- 32.50%
- 3Y*
- 13.52%
- 5Y*
- 13.93%
- 10Y*
- 8.39%
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ARCNX vs. DCMSX - Expense Ratio Comparison
ARCNX has a 1.28% expense ratio, which is higher than DCMSX's 0.31% expense ratio.
Return for Risk
ARCNX vs. DCMSX — Risk / Return Rank
ARCNX
DCMSX
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.
| ARCNX | DCMSX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.96 | 2.01 | -0.05 |
Sortino ratioReturn per unit of downside risk | 2.45 | 2.61 | -0.15 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.37 | -0.01 |
Calmar ratioReturn relative to maximum drawdown | 3.14 | 3.66 | -0.53 |
Martin ratioReturn relative to average drawdown | 9.87 | 10.31 | -0.45 |
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 | DCMSX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.96 | 2.01 | -0.05 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.97 | 0.87 | +0.10 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.73 | 0.58 | +0.15 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.09 | +0.20 |
Correlation
The correlation between ARCNX and DCMSX is 0.87, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
ARCNX vs. DCMSX - Dividend Comparison
ARCNX's dividend yield for the trailing twelve months is around 11.54%, more than DCMSX's 8.41% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N | 11.54% | 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 | 8.41% | 10.75% | 2.83% | 2.52% | 7.46% | 49.44% | 0.37% | 1.51% | 1.63% | 3.09% | 0.47% | 0.15% |
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.
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Drawdown Indicators
| ARCNX | DCMSX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.17% | -60.94% | +5.77% |
Max Drawdown (1Y)Largest decline over 1 year | -10.10% | -9.24% | -0.86% |
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 DrawdownCurrent decline from peak | -0.56% | -0.73% | +0.17% |
Average DrawdownAverage peak-to-trough decline | -26.26% | -32.12% | +5.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 3.28% | -0.07% |
Volatility
ARCNX vs. DCMSX - Volatility Comparison
The current volatility for AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) is 5.33%, while DFA Commodity Strategy Portfolio (DCMSX) has a volatility of 6.52%. This indicates that ARCNX experiences smaller price fluctuations and is considered to be less risky than DCMSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARCNX | DCMSX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.33% | 6.52% | -1.19% |
Volatility (6M)Calculated over the trailing 6-month period | 12.61% | 13.15% | -0.54% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.93% | 16.46% | -0.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.16% | 16.17% | +2.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.46% | 14.44% | +3.02% |