CRSOX vs. VCMDX

Last updated Jun 4, 2026

CRSOX (Credit Suisse Commodity Return Strategy Fund) and VCMDX (Vanguard Commodity Strategy Fund Admiral Shares) are both Commodities funds. Over the past 5 years, CRSOX returned 12.10%/yr vs 12.17%/yr for VCMDX. With a 0.97 correlation, they move nearly in lockstep. CRSOX charges 0.81%/yr vs 0.20%/yr for VCMDX.

Performance

CRSOX vs. VCMDX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Credit Suisse Commodity Return Strategy Fund (CRSOX) 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, CRSOX achieves a 27.02% return, which is significantly higher than VCMDX's 22.84% return.

CRSOX

• 1D: 0.39%
• 1M: -2.64%
• YTD: 27.02%
• 6M: 26.55%
• 1Y: 39.05%
• 3Y*: 16.16%
• 5Y*: 12.10%
• 10Y*: 7.38%

VCMDX

• 1D: 0.35%
• 1M: -2.11%
• YTD: 22.84%
• 6M: 22.83%
• 1Y: 35.30%
• 3Y*: 15.74%
• 5Y*: 12.17%
• 10Y*: —

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

CRSOX vs. VCMDX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
CRSOX Credit Suisse Commodity Return Strategy Fund	27.02%	15.66%	5.21%	-8.88%	16.40%	28.99%	-1.12%	1.52%
VCMDX Vanguard Commodity Strategy Fund Admiral Shares	22.84%	18.20%	5.27%	-7.45%	13.83%	34.82%	5.07%	2.74%

Correlation

The correlation between CRSOX and VCMDX is 0.94, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.94
Correlation (3Y) Calculated over the trailing 3-year period	0.96
Correlation (5Y) Calculated over the trailing 5-year period	0.96
Correlation (All Time) Calculated using the full available price history since Jun 27, 2019	0.97

The correlation between CRSOX and VCMDX has been stable across timeframes, ranging from 0.94 to 0.97 - a consistent structural relationship.

Return for Risk

CRSOX vs. VCMDX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CRSOX

CRSOX Risk / Return Rank: 70
CRSOX Sharpe Ratio Rank: 70
CRSOX Sortino Ratio Rank: 52
CRSOX Omega Ratio Rank: 60
CRSOX Calmar Ratio Rank: 93
CRSOX Martin Ratio Rank: 76

VCMDX

VCMDX Risk / Return Rank: 70
VCMDX Sharpe Ratio Rank: 68
VCMDX Sortino Ratio Rank: 53
VCMDX Omega Ratio Rank: 59
VCMDX Calmar Ratio Rank: 92
VCMDX Martin Ratio Rank: 80

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CRSOX vs. VCMDX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Credit Suisse Commodity Return Strategy Fund (CRSOX) 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.

	CRSOX	VCMDX	Difference
Sharpe ratio: Return per unit of total volatility	2.44	2.41	+0.03
Sortino ratio: Return per unit of downside risk	3.05	3.06	-0.01
Omega ratio: Gain probability vs. loss probability	1.43	1.43	0.00
Calmar ratio: Return relative to maximum drawdown	5.29	4.92	+0.36
Martin ratio: Return relative to average drawdown	14.39	15.03	-0.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CRSOX vs. VCMDX - Sharpe Ratio Comparison

The current CRSOX Sharpe Ratio is 2.44, which is comparable to the VCMDX Sharpe Ratio of 2.41. The chart below compares the historical Sharpe Ratios of CRSOX 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.

Sharpe Ratios by Period

	CRSOX	VCMDX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.44	2.41	+0.03
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.76	0.77	-0.01
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.52	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.08	0.85	-0.77

Drawdowns

CRSOX vs. VCMDX - Drawdown Comparison

The maximum CRSOX drawdown since its inception was -74.26%, which is greater than VCMDX's maximum drawdown of -26.67%. Use the drawdown chart below to compare losses from any high point for CRSOX and VCMDX.

Drawdown Indicators

	CRSOX	VCMDX	Difference
Max Drawdown Largest peak-to-trough decline	-74.26%	-26.67%	-47.59%
Max Drawdown (1Y) Largest decline over 1 year	-7.49%	-7.25%	-0.24%
Max Drawdown (3Y) Largest decline over 3 years	-11.43%	-9.90%	-1.53%
Max Drawdown (5Y) Largest decline over 5 years	-25.50%	-25.45%	-0.05%
Max Drawdown (10Y) Largest decline over 10 years	-31.89%	—	—
Current Drawdown Current decline from peak	-28.44%	-3.45%	-24.99%
Average Drawdown Average peak-to-trough decline	-45.15%	-10.86%	-34.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.74%	2.37%	+0.37%

Volatility

CRSOX vs. VCMDX - Volatility Comparison

Credit Suisse Commodity Return Strategy Fund (CRSOX) has a higher volatility of 5.30% compared to Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) at 5.03%. This indicates that CRSOX'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

	CRSOX	VCMDX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.30%	5.03%	+0.27%
Volatility (6M) Calculated over the trailing 6-month period	14.12%	12.68%	+1.44%
Volatility (1Y) Calculated over the trailing 1-year period	16.32%	14.90%	+1.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.07%	15.86%	+0.21%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.33%	15.39%	-1.06%

CRSOX vs. VCMDX - Expense Ratio Comparison

CRSOX has a 0.81% expense ratio, which is higher than VCMDX's 0.20% expense ratio.

Dividends

CRSOX vs. VCMDX - Dividend Comparison

CRSOX's dividend yield for the trailing twelve months is around 6.30%, less than VCMDX's 12.38% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
CRSOX Credit Suisse Commodity Return Strategy Fund	6.30%	4.78%	3.39%	3.38%	16.50%	39.76%	0.14%	1.20%	1.12%	2.75%
VCMDX Vanguard Commodity Strategy Fund Admiral Shares	12.38%	15.21%	2.19%	2.50%	14.21%	30.56%	0.50%	0.60%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CRSOX and VCMDX in my portfolio?

With a correlation of 0.94, CRSOX 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, CRSOX or VCMDX?

CRSOX has higher volatility (5.30%) compared to VCMDX (5.03%). In terms of maximum drawdown, CRSOX dropped -74.26% vs VCMDX's -26.67%.

Which has better risk-adjusted returns?

CRSOX currently has the higher Sharpe Ratio (2.44 vs 2.41), 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.