ARCNX vs. VCMDX

Last updated Aug 1, 2026

ARCNX (AQR Risk-Balanced Commodities Strategy Fund Class N) and VCMDX (Vanguard Commodity Strategy Fund Admiral Shares) are both Commodities funds. Over the past 5 years, ARCNX returned 14.23%/yr vs 10.30%/yr for VCMDX. Their correlation of 0.88 means they have usually moved in the same direction. ARCNX charges 1.28%/yr vs 0.16%/yr for VCMDX.

Performance

ARCNX vs. VCMDX - 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 Vanguard Commodity Strategy Fund Admiral Shares (VCMDX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ARCNX achieves a 16.04% return, which is significantly lower than VCMDX's 18.03% return.

ARCNX

• 1D: 0.29%
• 1M: 5.32%
• 6M: 7.37%
• YTD: 16.04%
• 1Y: 33.40%
• 3Y*: 13.01%
• 5Y*: 14.23%
• 10Y*: 11.32%
• ALL TIME*: 4.59%

VCMDX

• 1D: -0.16%
• 1M: 6.12%
• 6M: 8.44%
• YTD: 18.03%
• 1Y: 30.34%
• 3Y*: 11.75%
• 5Y*: 10.30%
• 10Y*: —
• ALL TIME*: 12.13%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	$0.00	$0.00	$0.00
VCMDX Vanguard Commodity Strategy Fund Admiral Shares	$0.00	$0.00	$0.00

ARCNX vs. VCMDX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	16.04%	20.76%	7.19%	-0.50%	20.97%	39.48%	8.11%	10.92%
VCMDX Vanguard Commodity Strategy Fund Admiral Shares	18.03%	18.20%	5.27%	-7.45%	13.83%	34.82%	5.07%	2.74%

Correlation

The correlation between ARCNX and VCMDX is 0.92, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.92
Correlation (3Y) Balances recent behavior with more history.	0.91
Correlation (5Y) Shows whether the relationship held over a longer period.	0.89
Correlation (All Time) Calculated using the full available price history since Jun 26, 2019	0.88

The correlation between ARCNX and VCMDX has been stable across timeframes, ranging from 0.88 to 0.92 - a consistent structural relationship.

Return for Risk

ARCNX vs. VCMDX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ARCNX

ARCNX Risk / Return Rank: 70
ARCNX Sharpe Ratio Rank: 82
ARCNX Sortino Ratio Rank: 75
ARCNX Omega Ratio Rank: 77
ARCNX Calmar Ratio Rank: 65
ARCNX Martin Ratio Rank: 52

VCMDX

VCMDX Risk / Return Rank: 68
VCMDX Sharpe Ratio Rank: 78
VCMDX Sortino Ratio Rank: 71
VCMDX Omega Ratio Rank: 74
VCMDX Calmar Ratio Rank: 64
VCMDX Martin Ratio Rank: 51

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

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.

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	VCMDX	Difference
Sharpe ratio: Return per unit of total volatility	1.98	1.79	+0.18
Sortino ratio: Return per unit of downside risk	2.58	2.35	+0.23
Omega ratio: Gain probability vs. loss probability	1.34	1.31	+0.03
Calmar ratio: Return relative to maximum drawdown	2.17	2.06	+0.11
Martin ratio: Return relative to average drawdown	7.07	6.78	+0.30

ARCNX vs. VCMDX - Sharpe Ratio Comparison

The current ARCNX Sharpe Ratio is 1.98, which is comparable to the VCMDX Sharpe Ratio of 1.79. The chart below compares the historical Sharpe Ratios of ARCNX and VCMDX, 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. 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.

Drawdown Indicators

	ARCNX	VCMDX	Difference
Max Drawdown Largest peak-to-trough decline	-55.17%	-26.67%	-28.50%
Max Drawdown (1Y) Largest decline over 1 year	-14.52%	-13.39%	-1.13%
Max Drawdown (3Y) Largest decline over 3 years	-14.52%	-13.39%	-1.13%
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 Drawdown Current decline from peak	-8.22%	-7.22%	-1.00%
Average Drawdown Average peak-to-trough decline	-25.77%	-10.81%	-14.96%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.45%	4.09%	+0.36%

Volatility

ARCNX vs. VCMDX - Volatility Comparison

AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) has a higher volatility of 4.80% compared to Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) at 4.00%. This indicates that ARCNX's price experiences larger fluctuations and is considered to be riskier than VCMDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ARCNX	VCMDX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.80%	4.00%	+0.80%
Volatility (6M) Calculated over the trailing 6-month period	13.19%	12.56%	+0.63%
Volatility (1Y) Calculated over the trailing 1-year period	15.96%	15.38%	+0.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.92%	15.83%	+3.09%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.45%	15.37%	+2.08%

ARCNX vs. VCMDX - Expense Ratio Comparison

ARCNX has a 1.28% expense ratio, which is higher than VCMDX's 0.16% expense ratio.

Dividends

ARCNX vs. VCMDX - Dividend Comparison

ARCNX's dividend yield for the trailing twelve months is around 11.69%, less than VCMDX's 12.89% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	11.69%	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	12.89%	15.21%	2.19%	2.50%	14.21%	30.56%	0.50%	0.60%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ARCNX and VCMDX in my portfolio?

With a correlation of 0.92, ARCNX and VCMDX 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 VCMDX?

ARCNX has higher volatility (4.80%) compared to VCMDX (4.00%). In terms of maximum drawdown, ARCNX dropped -55.17% vs VCMDX's -26.67%.

Which has better risk-adjusted returns?

ARCNX currently has the higher Sharpe Ratio (1.98 vs 1.79), 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.