ARCNX vs. EIPCX
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and Parametric Commodity Strategy Fund Class I (EIPCX).
ARCNX is managed by AQR. EIPCX is managed by Eaton Vance. It was launched on May 25, 2011.
Performance
ARCNX vs. EIPCX - Performance Comparison
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ARCNX vs. EIPCX - 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% |
EIPCX Parametric Commodity Strategy Fund Class I | 17.35% | 22.27% | 9.97% | -4.70% | 17.76% | 30.13% | 7.83% | 9.58% | -9.45% | 7.07% |
Returns By Period
The year-to-date returns for both stocks are quite close, with ARCNX having a 17.59% return and EIPCX slightly lower at 17.35%. Over the past 10 years, ARCNX has outperformed EIPCX with an annualized return of 12.76%, while EIPCX has yielded a comparatively lower 11.45% 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%
EIPCX
- 1D
- 0.78%
- 1M
- 5.42%
- YTD
- 17.35%
- 6M
- 25.90%
- 1Y
- 33.11%
- 3Y*
- 15.41%
- 5Y*
- 16.38%
- 10Y*
- 11.45%
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ARCNX vs. EIPCX - Expense Ratio Comparison
ARCNX has a 1.28% expense ratio, which is higher than EIPCX's 0.66% expense ratio.
Return for Risk
ARCNX vs. EIPCX — Risk / Return Rank
ARCNX
EIPCX
ARCNX vs. EIPCX - 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 Parametric Commodity Strategy Fund Class I (EIPCX). 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 | EIPCX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.96 | 2.27 | -0.31 |
Sortino ratioReturn per unit of downside risk | 2.45 | 2.86 | -0.40 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.41 | -0.05 |
Calmar ratioReturn relative to maximum drawdown | 3.14 | 3.73 | -0.60 |
Martin ratioReturn relative to average drawdown | 9.87 | 13.21 | -3.34 |
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 | EIPCX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.96 | 2.27 | -0.31 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.97 | 1.12 | -0.16 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.73 | 0.86 | -0.13 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.24 | +0.05 |
Correlation
The correlation between ARCNX and EIPCX is 0.91, 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. EIPCX - Dividend Comparison
ARCNX's dividend yield for the trailing twelve months is around 11.54%, more than EIPCX's 11.36% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
EIPCX Parametric Commodity Strategy Fund Class I | 11.36% | 13.33% | 5.65% | 3.69% | 14.93% | 13.83% | 3.10% | 1.54% | 0.87% | 5.14% | 6.59% |
Drawdowns
ARCNX vs. EIPCX - Drawdown Comparison
The maximum ARCNX drawdown since its inception was -55.17%, roughly equal to the maximum EIPCX drawdown of -54.05%. Use the drawdown chart below to compare losses from any high point for ARCNX and EIPCX.
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Drawdown Indicators
| ARCNX | EIPCX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.17% | -54.05% | -1.12% |
Max Drawdown (1Y)Largest decline over 1 year | -10.10% | -9.15% | -0.95% |
Max Drawdown (5Y)Largest decline over 5 years | -20.30% | -18.00% | -2.30% |
Max Drawdown (10Y)Largest decline over 10 years | -32.80% | -28.53% | -4.27% |
Current DrawdownCurrent decline from peak | -0.56% | -0.38% | -0.18% |
Average DrawdownAverage peak-to-trough decline | -26.26% | -24.50% | -1.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 2.58% | +0.63% |
Volatility
ARCNX vs. EIPCX - Volatility Comparison
AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) has a higher volatility of 5.33% compared to Parametric Commodity Strategy Fund Class I (EIPCX) at 4.39%. This indicates that ARCNX's price experiences larger fluctuations and is considered to be riskier than EIPCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARCNX | EIPCX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.33% | 4.39% | +0.94% |
Volatility (6M)Calculated over the trailing 6-month period | 12.61% | 11.78% | +0.83% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.93% | 14.82% | +1.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.16% | 14.64% | +4.52% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.46% | 13.30% | +4.16% |