EAPCX vs. ARCIX
Compare and contrast key facts about Parametric Commodity Strategy Fund Class A (EAPCX) and AQR Risk-Balanced Commodities Strategy Fund (ARCIX).
EAPCX is managed by Eaton Vance. It was launched on May 25, 2011. ARCIX is managed by AQR Funds. It was launched on Jul 8, 2012.
Performance
EAPCX vs. ARCIX - Performance Comparison
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EAPCX vs. ARCIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EAPCX Parametric Commodity Strategy Fund Class A | 16.34% | 22.06% | 9.63% | -4.87% | 17.26% | 29.92% | 7.77% | 9.19% | -9.60% | 6.71% |
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 17.04% | 20.99% | 7.43% | -0.22% | 21.39% | 39.74% | 8.15% | 18.15% | -17.56% | 10.41% |
Returns By Period
The year-to-date returns for both investments are quite close, with EAPCX having a 16.34% return and ARCIX slightly higher at 17.04%. Over the past 10 years, EAPCX has underperformed ARCIX with an annualized return of 11.09%, while ARCIX has yielded a comparatively higher 12.98% annualized return.
EAPCX
- 1D
- 0.40%
- 1M
- 5.69%
- YTD
- 16.34%
- 6M
- 25.33%
- 1Y
- 32.23%
- 3Y*
- 14.77%
- 5Y*
- 16.00%
- 10Y*
- 11.09%
ARCIX
- 1D
- 0.56%
- 1M
- 6.06%
- YTD
- 17.04%
- 6M
- 26.39%
- 1Y
- 30.67%
- 3Y*
- 14.38%
- 5Y*
- 18.72%
- 10Y*
- 12.98%
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EAPCX vs. ARCIX - Expense Ratio Comparison
EAPCX has a 0.91% expense ratio, which is lower than ARCIX's 1.00% expense ratio.
Return for Risk
EAPCX vs. ARCIX — Risk / Return Rank
EAPCX
ARCIX
EAPCX vs. ARCIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Parametric Commodity Strategy Fund Class A (EAPCX) 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.
| EAPCX | ARCIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.21 | 1.98 | +0.23 |
Sortino ratioReturn per unit of downside risk | 2.79 | 2.48 | +0.31 |
Omega ratioGain probability vs. loss probability | 1.40 | 1.37 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 3.57 | 3.08 | +0.49 |
Martin ratioReturn relative to average drawdown | 12.49 | 9.79 | +2.71 |
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
| EAPCX | ARCIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.21 | 1.98 | +0.23 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | 0.98 | +0.12 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.84 | 0.75 | +0.09 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.28 | 0.31 | -0.03 |
Correlation
The correlation between EAPCX and ARCIX is 0.91, 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
EAPCX vs. ARCIX - Dividend Comparison
EAPCX's dividend yield for the trailing twelve months is around 11.37%, which matches ARCIX's 11.48% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
EAPCX Parametric Commodity Strategy Fund Class A | 11.37% | 13.23% | 5.46% | 3.43% | 14.80% | 13.74% | 3.01% | 1.11% | 0.41% | 4.98% | 6.49% |
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 11.48% | 13.44% | 2.11% | 7.56% | 9.51% | 18.23% | 0.09% | 5.19% | 0.67% | 0.01% | 4.82% |
Drawdowns
EAPCX vs. ARCIX - Drawdown Comparison
The maximum EAPCX drawdown since its inception was -52.59%, roughly equal to the maximum ARCIX drawdown of -54.25%. Use the drawdown chart below to compare losses from any high point for EAPCX and ARCIX.
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Drawdown Indicators
| EAPCX | ARCIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -52.59% | -54.25% | +1.66% |
Max Drawdown (1Y)Largest decline over 1 year | -9.09% | -10.19% | +1.10% |
Max Drawdown (5Y)Largest decline over 5 years | -18.05% | -20.29% | +2.24% |
Max Drawdown (10Y)Largest decline over 10 years | -28.81% | -32.45% | +3.64% |
Current DrawdownCurrent decline from peak | -1.17% | -1.09% | -0.08% |
Average DrawdownAverage peak-to-trough decline | -23.03% | -25.68% | +2.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.60% | 3.21% | -0.61% |
Volatility
EAPCX vs. ARCIX - Volatility Comparison
The current volatility for Parametric Commodity Strategy Fund Class A (EAPCX) is 4.61%, while AQR Risk-Balanced Commodities Strategy Fund (ARCIX) has a volatility of 5.41%. This indicates that EAPCX 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.
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Volatility by Period
| EAPCX | ARCIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.61% | 5.41% | -0.80% |
Volatility (6M)Calculated over the trailing 6-month period | 11.77% | 12.64% | -0.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.87% | 15.98% | -1.11% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.64% | 19.17% | -4.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 13.29% | 17.46% | -4.17% |