ARCNX vs. VCMDX
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and Vanguard Commodity Strategy Fund Admiral Shares (VCMDX).
ARCNX is managed by AQR. VCMDX is managed by Vanguard. It was launched on Jun 25, 2019.
Performance
ARCNX vs. VCMDX - Performance Comparison
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ARCNX vs. VCMDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N | 17.04% | 20.76% | 7.19% | -0.50% | 20.97% | 39.48% | 8.11% | 10.74% |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 18.30% | 18.20% | 5.27% | -7.45% | 13.83% | 34.82% | 5.07% | 2.74% |
Returns By Period
In the year-to-date period, ARCNX achieves a 17.04% return, which is significantly lower than VCMDX's 18.30% 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%
VCMDX
- 1D
- 0.39%
- 1M
- 6.43%
- YTD
- 18.30%
- 6M
- 24.60%
- 1Y
- 26.59%
- 3Y*
- 12.12%
- 5Y*
- 14.20%
- 10Y*
- —
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ARCNX vs. VCMDX - Expense Ratio Comparison
ARCNX has a 1.28% expense ratio, which is higher than VCMDX's 0.20% expense ratio.
Return for Risk
ARCNX vs. VCMDX — Risk / Return Rank
ARCNX
VCMDX
ARCNX vs. VCMDX - 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 Vanguard Commodity Strategy Fund Admiral Shares (VCMDX). 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 | VCMDX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.96 | 1.76 | +0.20 |
Sortino ratioReturn per unit of downside risk | 2.45 | 2.25 | +0.20 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.33 | +0.04 |
Calmar ratioReturn relative to maximum drawdown | 3.07 | 3.10 | -0.03 |
Martin ratioReturn relative to average drawdown | 9.67 | 9.46 | +0.21 |
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 | VCMDX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.96 | 1.76 | +0.20 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.97 | 0.90 | +0.06 |
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 | 0.83 | -0.54 |
Correlation
The correlation between ARCNX and VCMDX is 0.89, 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. VCMDX - Dividend Comparison
ARCNX's dividend yield for the trailing twelve months is around 11.59%, less than VCMDX's 12.86% 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% |
VCMDX Vanguard Commodity Strategy Fund Admiral Shares | 12.86% | 15.21% | 2.19% | 2.50% | 14.21% | 30.56% | 0.50% | 0.60% | 0.00% | 0.00% | 0.00% |
Drawdowns
ARCNX vs. VCMDX - Drawdown Comparison
The maximum ARCNX drawdown since its inception was -55.17%, which is greater than VCMDX's maximum drawdown of -26.67%. Use the drawdown chart below to compare losses from any high point for ARCNX and VCMDX.
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Drawdown Indicators
| ARCNX | VCMDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.17% | -26.67% | -28.50% |
Max Drawdown (1Y)Largest decline over 1 year | -10.10% | -8.92% | -1.18% |
Max Drawdown (5Y)Largest decline over 5 years | -20.30% | -25.45% | +5.15% |
Max Drawdown (10Y)Largest decline over 10 years | -32.80% | — | — |
Current DrawdownCurrent decline from peak | -1.03% | -1.31% | +0.28% |
Average DrawdownAverage peak-to-trough decline | -26.27% | -11.10% | -15.17% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 2.93% | +0.28% |
Volatility
ARCNX vs. VCMDX - Volatility Comparison
The current volatility for AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) is 5.36%, while Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) has a volatility of 5.98%. This indicates that ARCNX experiences smaller price fluctuations and is considered to be less risky than VCMDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARCNX | VCMDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.36% | 5.98% | -0.62% |
Volatility (6M)Calculated over the trailing 6-month period | 12.61% | 12.19% | +0.42% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.95% | 15.62% | +0.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.17% | 15.81% | +3.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.47% | 15.40% | +2.07% |