DCMSX vs. ARCIX

Last updated Jun 25, 2026

DCMSX (DFA Commodity Strategy Portfolio) and ARCIX (AQR Risk-Balanced Commodities Strategy Fund) are both Commodities funds. Over the past 10 years, DCMSX returned 6.65%/yr vs 11.02%/yr for ARCIX. Their correlation of 0.87 suggests significant overlap in exposure. DCMSX charges 0.31%/yr vs 1.00%/yr for ARCIX.

Performance

DCMSX vs. ARCIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in DFA Commodity Strategy Portfolio (DCMSX) and AQR Risk-Balanced Commodities Strategy Fund (ARCIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DCMSX achieves a 19.07% return, which is significantly higher than ARCIX's 10.68% return. Over the past 10 years, DCMSX has underperformed ARCIX with an annualized return of 6.65%, while ARCIX has yielded a comparatively higher 11.02% annualized return.

DCMSX

• 1D: -1.25%
• 1M: -9.51%
• YTD: 19.07%
• 6M: 17.30%
• 1Y: 29.36%
• 3Y*: 12.74%
• 5Y*: 10.38%
• 10Y*: 6.65%

ARCIX

• 1D: -1.63%
• 1M: -9.36%
• YTD: 10.68%
• 6M: 9.32%
• 1Y: 27.06%
• 3Y*: 13.45%
• 5Y*: 14.30%
• 10Y*: 11.02%

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

DCMSX vs. ARCIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
DCMSX DFA Commodity Strategy Portfolio	19.07%	15.15%	5.90%	-9.14%	11.36%	33.54%	-1.78%	7.96%	-11.22%	2.73%
ARCIX AQR Risk-Balanced Commodities Strategy Fund	10.68%	20.99%	7.43%	-0.22%	21.39%	39.74%	8.15%	18.15%	-17.56%	10.41%

Correlation

The correlation between DCMSX and ARCIX is 0.90, 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	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.89
Correlation (5Y) Calculated over the trailing 5-year period	0.86
Correlation (10Y) Calculated over the trailing 10-year period	0.86
Correlation (All Time) Calculated using the full available price history since Jul 9, 2012	0.87

The correlation between DCMSX and ARCIX has been stable across timeframes, ranging from 0.86 to 0.90 - a consistent structural relationship.

Return for Risk

DCMSX vs. ARCIX — Risk / Return Rank

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

DCMSX

DCMSX Risk / Return Rank: 38
DCMSX Sharpe Ratio Rank: 37
DCMSX Sortino Ratio Rank: 33
DCMSX Omega Ratio Rank: 35
DCMSX Calmar Ratio Rank: 36
DCMSX Martin Ratio Rank: 47

ARCIX

ARCIX Risk / Return Rank: 34
ARCIX Sharpe Ratio Rank: 36
ARCIX Sortino Ratio Rank: 31
ARCIX Omega Ratio Rank: 35
ARCIX Calmar Ratio Rank: 31
ARCIX Martin Ratio Rank: 40

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.

DCMSX vs. ARCIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for DFA Commodity Strategy Portfolio (DCMSX) and AQR Risk-Balanced Commodities Strategy Fund (ARCIX). 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.

	DCMSX	ARCIX	Difference
Sharpe ratio: Return per unit of total volatility	1.61	1.58	+0.03
Sortino ratio: Return per unit of downside risk	2.16	2.10	+0.06
Omega ratio: Gain probability vs. loss probability	1.29	1.29	0.00
Calmar ratio: Return relative to maximum drawdown	2.13	1.93	+0.20
Martin ratio: Return relative to average drawdown	9.14	8.03	+1.11

DCMSX vs. ARCIX - Sharpe Ratio Comparison

The current DCMSX Sharpe Ratio is 1.61, which is comparable to the ARCIX Sharpe Ratio of 1.58. The chart below compares the historical Sharpe Ratios of DCMSX and ARCIX, 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

DCMSX vs. ARCIX - Drawdown Comparison

The maximum DCMSX drawdown since its inception was -60.94%, which is greater than ARCIX's maximum drawdown of -54.25%. Use the drawdown chart below to compare losses from any high point for DCMSX and ARCIX.

Drawdown Indicators

	DCMSX	ARCIX	Difference
Max Drawdown Largest peak-to-trough decline	-60.94%	-54.25%	-6.69%
Max Drawdown (1Y) Largest decline over 1 year	-12.38%	-12.53%	+0.15%
Max Drawdown (3Y) Largest decline over 3 years	-12.38%	-13.67%	+1.29%
Max Drawdown (5Y) Largest decline over 5 years	-27.93%	-20.29%	-7.64%
Max Drawdown (10Y) Largest decline over 10 years	-32.52%	-32.45%	-0.07%
Current Drawdown Current decline from peak	-12.38%	-12.53%	+0.15%
Average Drawdown Average peak-to-trough decline	-31.69%	-25.31%	-6.38%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.19%	3.06%	+0.13%

Volatility

DCMSX vs. ARCIX - Volatility Comparison

The current volatility for DFA Commodity Strategy Portfolio (DCMSX) is 3.89%, while AQR Risk-Balanced Commodities Strategy Fund (ARCIX) has a volatility of 4.15%. This indicates that DCMSX experiences smaller price fluctuations and is considered to be less risky than ARCIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DCMSX	ARCIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.89%	4.15%	-0.26%
Volatility (6M) Calculated over the trailing 6-month period	14.34%	13.03%	+1.31%
Volatility (1Y) Calculated over the trailing 1-year period	16.49%	15.34%	+1.15%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.27%	18.92%	-2.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.47%	17.44%	-2.97%

DCMSX vs. ARCIX - Expense Ratio Comparison

DCMSX has a 0.31% expense ratio, which is lower than ARCIX's 1.00% expense ratio.

Dividends

DCMSX vs. ARCIX - Dividend Comparison

DCMSX's dividend yield for the trailing twelve months is around 8.85%, less than ARCIX's 12.14% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ARCIX AQR Risk-Balanced Commodities Strategy Fund	12.14%	13.44%	2.11%	7.56%	9.51%	18.23%	0.09%	5.19%	0.67%	0.01%	4.82%	0.00%
DCMSX DFA Commodity Strategy Portfolio	8.85%	10.75%	2.83%	2.52%	7.46%	49.44%	0.37%	1.51%	1.63%	3.09%	0.47%	0.15%

Frequently Asked Questions

Can I hold both DCMSX and ARCIX in my portfolio?

With a correlation of 0.90, DCMSX and ARCIX 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, DCMSX or ARCIX?

ARCIX has higher volatility (4.15%) compared to DCMSX (3.89%). In terms of maximum drawdown, DCMSX dropped -60.94% vs ARCIX's -54.25%.

Which has better risk-adjusted returns?

DCMSX currently has the higher Sharpe Ratio (1.61 vs 1.58), 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.