EIPCX vs. ARCIX

Last updated Jun 4, 2026

EIPCX (Parametric Commodity Strategy Fund Class I) and ARCIX (AQR Risk-Balanced Commodities Strategy Fund) are both Commodities funds. Over the past 10 years, EIPCX returned 11.11%/yr vs 12.31%/yr for ARCIX. Their correlation of 0.92 suggests significant overlap in exposure. EIPCX charges 0.66%/yr vs 1.00%/yr for ARCIX.

Performance

EIPCX vs. ARCIX - Performance Comparison

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

Returns By Period

The year-to-date returns for both stocks are quite close, with EIPCX having a 22.47% return and ARCIX slightly lower at 21.57%. Over the past 10 years, EIPCX has underperformed ARCIX with an annualized return of 11.11%, while ARCIX has yielded a comparatively higher 12.31% annualized return.

EIPCX

• 1D: 0.50%
• 1M: -0.98%
• YTD: 22.47%
• 6M: 24.66%
• 1Y: 41.92%
• 3Y*: 18.72%
• 5Y*: 14.88%
• 10Y*: 11.11%

ARCIX

• 1D: 0.18%
• 1M: -1.23%
• YTD: 21.57%
• 6M: 23.81%
• 1Y: 40.49%
• 3Y*: 18.04%
• 5Y*: 15.82%
• 10Y*: 12.31%

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

EIPCX vs. ARCIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EIPCX Parametric Commodity Strategy Fund Class I	22.47%	22.27%	9.97%	-4.70%	17.76%	30.13%	7.83%	9.58%	-9.45%	7.07%
ARCIX AQR Risk-Balanced Commodities Strategy Fund	21.57%	20.99%	7.43%	-0.22%	21.39%	39.74%	8.15%	18.15%	-17.56%	10.41%

Correlation

The correlation between EIPCX and ARCIX is 0.93, 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	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.92
Correlation (5Y) Calculated over the trailing 5-year period	0.92
Correlation (10Y) Calculated over the trailing 10-year period	0.91
Correlation (All Time) Calculated using the full available price history since Jul 10, 2012	0.92

The correlation between EIPCX and ARCIX has been stable across timeframes, ranging from 0.91 to 0.93 - a consistent structural relationship.

Return for Risk

EIPCX vs. ARCIX — Risk / Return Rank

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

EIPCX

EIPCX Risk / Return Rank: 89
EIPCX Sharpe Ratio Rank: 92
EIPCX Sortino Ratio Rank: 83
EIPCX Omega Ratio Rank: 83
EIPCX Calmar Ratio Rank: 95
EIPCX Martin Ratio Rank: 94

ARCIX

ARCIX Risk / Return Rank: 82
ARCIX Sharpe Ratio Rank: 85
ARCIX Sortino Ratio Rank: 70
ARCIX Omega Ratio Rank: 76
ARCIX Calmar Ratio Rank: 92
ARCIX Martin Ratio Rank: 88

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.

EIPCX vs. ARCIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Parametric Commodity Strategy Fund Class I (EIPCX) 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.

	EIPCX	ARCIX	Difference
Sharpe ratio Return per unit of total volatility	3.10	2.76	+0.34
Sortino ratio Return per unit of downside risk	3.92	3.48	+0.44
Omega ratio Gain probability vs. loss probability	1.55	1.50	+0.05
Calmar ratio Return relative to maximum drawdown	5.89	4.92	+0.97
Martin ratio Return relative to average drawdown	21.06	17.44	+3.62
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EIPCX vs. ARCIX - Sharpe Ratio Comparison

The current EIPCX Sharpe Ratio is 3.10, which is comparable to the ARCIX Sharpe Ratio of 2.76. The chart below compares the historical Sharpe Ratios of EIPCX 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.

Sharpe Ratios by Period

	EIPCX	ARCIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.10	2.76	+0.34
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.02	0.84	+0.19
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.84	0.71	+0.13
Sharpe Ratio (All Time) Calculated using the full available price history	0.26	0.32	-0.06

Drawdowns

EIPCX vs. ARCIX - Drawdown Comparison

The maximum EIPCX drawdown since its inception was -54.05%, roughly equal to the maximum ARCIX drawdown of -54.25%. Use the drawdown chart below to compare losses from any high point for EIPCX and ARCIX.

Drawdown Indicators

	EIPCX	ARCIX	Difference
Max Drawdown Largest peak-to-trough decline	-54.05%	-54.25%	+0.20%
Max Drawdown (1Y) Largest decline over 1 year	-7.26%	-8.36%	+1.10%
Max Drawdown (3Y) Largest decline over 3 years	-10.46%	-13.67%	+3.21%
Max Drawdown (5Y) Largest decline over 5 years	-18.00%	-20.29%	+2.29%
Max Drawdown (10Y) Largest decline over 10 years	-28.53%	-32.45%	+3.92%
Current Drawdown Current decline from peak	-3.91%	-3.92%	+0.01%
Average Drawdown Average peak-to-trough decline	-24.24%	-25.38%	+1.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.03%	2.36%	-0.33%

Volatility

EIPCX vs. ARCIX - Volatility Comparison

The current volatility for Parametric Commodity Strategy Fund Class I (EIPCX) is 4.23%, while AQR Risk-Balanced Commodities Strategy Fund (ARCIX) has a volatility of 4.88%. This indicates that EIPCX 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

	EIPCX	ARCIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.23%	4.88%	-0.65%
Volatility (6M) Calculated over the trailing 6-month period	11.63%	12.62%	-0.99%
Volatility (1Y) Calculated over the trailing 1-year period	13.87%	14.97%	-1.10%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.64%	19.04%	-4.40%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.27%	17.43%	-4.16%

EIPCX vs. ARCIX - Expense Ratio Comparison

EIPCX has a 0.66% expense ratio, which is lower than ARCIX's 1.00% expense ratio.

Dividends

EIPCX vs. ARCIX - Dividend Comparison

EIPCX's dividend yield for the trailing twelve months is around 10.88%, less than ARCIX's 11.05% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
ARCIX AQR Risk-Balanced Commodities Strategy Fund	11.05%	13.44%	2.11%	7.56%	9.51%	18.23%	0.09%	5.19%	0.67%	0.01%	4.82%
EIPCX Parametric Commodity Strategy Fund Class I	10.88%	13.33%	5.65%	3.69%	14.93%	13.83%	3.10%	1.54%	0.87%	5.14%	6.59%

Frequently Asked Questions

Can I hold both EIPCX and ARCIX in my portfolio?

With a correlation of 0.93, EIPCX 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, EIPCX or ARCIX?

ARCIX has higher volatility (4.88%) compared to EIPCX (4.23%). In terms of maximum drawdown, EIPCX dropped -54.05% vs ARCIX's -54.25%.

Which has better risk-adjusted returns?

EIPCX currently has the higher Sharpe Ratio (3.10 vs 2.76), 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.