ARCNX vs. QRPRX
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and AQR Alternative Risk Premia R6 (QRPRX).
ARCNX is managed by AQR. QRPRX is an actively managed fund by AQR. It was launched on Sep 19, 2017.
Performance
ARCNX vs. QRPRX - Performance Comparison
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ARCNX vs. QRPRX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
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% | -20.17% |
QRPRX AQR Alternative Risk Premia R6 | 8.62% | 23.57% | 18.88% | 7.30% | 25.46% | 14.33% | -20.91% | -2.94% | -4.35% |
Returns By Period
In the year-to-date period, ARCNX achieves a 17.04% return, which is significantly higher than QRPRX's 8.62% 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%
QRPRX
- 1D
- 0.00%
- 1M
- -0.73%
- YTD
- 8.62%
- 6M
- 13.50%
- 1Y
- 20.23%
- 3Y*
- 20.10%
- 5Y*
- 17.68%
- 10Y*
- —
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ARCNX vs. QRPRX - Expense Ratio Comparison
ARCNX has a 1.28% expense ratio, which is lower than QRPRX's 4.94% expense ratio.
Return for Risk
ARCNX vs. QRPRX — Risk / Return Rank
ARCNX
QRPRX
ARCNX vs. QRPRX - 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 AQR Alternative Risk Premia R6 (QRPRX). 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 | QRPRX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.96 | 1.84 | +0.11 |
Sortino ratioReturn per unit of downside risk | 2.45 | 2.27 | +0.18 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.37 | -0.01 |
Calmar ratioReturn relative to maximum drawdown | 3.07 | 1.90 | +1.18 |
Martin ratioReturn relative to average drawdown | 9.67 | 6.42 | +3.25 |
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 | QRPRX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.96 | 1.84 | +0.11 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.97 | 1.51 | -0.55 |
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 | 0.75 | -0.46 |
Correlation
The correlation between ARCNX and QRPRX is 0.08, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
ARCNX vs. QRPRX - Dividend Comparison
ARCNX's dividend yield for the trailing twelve months is around 11.59%, more than QRPRX's 1.39% 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% |
QRPRX AQR Alternative Risk Premia R6 | 1.39% | 1.51% | 2.33% | 4.60% | 0.00% | 4.16% | 1.97% | 1.00% | 0.09% | 0.00% | 0.00% |
Drawdowns
ARCNX vs. QRPRX - Drawdown Comparison
The maximum ARCNX drawdown since its inception was -55.17%, which is greater than QRPRX's maximum drawdown of -28.21%. Use the drawdown chart below to compare losses from any high point for ARCNX and QRPRX.
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Drawdown Indicators
| ARCNX | QRPRX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.17% | -28.21% | -26.96% |
Max Drawdown (1Y)Largest decline over 1 year | -10.10% | -11.02% | +0.92% |
Max Drawdown (5Y)Largest decline over 5 years | -20.30% | -11.24% | -9.06% |
Max Drawdown (10Y)Largest decline over 10 years | -32.80% | — | — |
Current DrawdownCurrent decline from peak | -1.03% | -0.86% | -0.17% |
Average DrawdownAverage peak-to-trough decline | -26.27% | -7.69% | -18.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 3.25% | -0.04% |
Volatility
ARCNX vs. QRPRX - Volatility Comparison
AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) has a higher volatility of 5.36% compared to AQR Alternative Risk Premia R6 (QRPRX) at 2.56%. This indicates that ARCNX's price experiences larger fluctuations and is considered to be riskier than QRPRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARCNX | QRPRX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.36% | 2.56% | +2.80% |
Volatility (6M)Calculated over the trailing 6-month period | 12.61% | 6.46% | +6.15% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.95% | 11.41% | +4.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.17% | 11.76% | +7.41% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.47% | 10.38% | +7.09% |