FTGC vs. ARCIX

Last updated Jun 4, 2026

FTGC (First Trust Global Tactical Commodity Strategy Fund) and ARCIX (AQR Risk-Balanced Commodities Strategy Fund) are both Commodities funds. Over the past 10 years, FTGC returned 7.77%/yr vs 12.31%/yr for ARCIX. Their correlation of 0.82 suggests significant overlap in exposure. FTGC charges 0.95%/yr vs 1.00%/yr for ARCIX.

Performance

FTGC vs. ARCIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in First Trust Global Tactical Commodity Strategy Fund (FTGC) 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, FTGC achieves a 27.15% return, which is significantly higher than ARCIX's 21.57% return. Over the past 10 years, FTGC has underperformed ARCIX with an annualized return of 7.77%, while ARCIX has yielded a comparatively higher 12.31% annualized return.

FTGC

• 1D: -0.44%
• 1M: -2.63%
• YTD: 27.15%
• 6M: 26.06%
• 1Y: 41.32%
• 3Y*: 18.13%
• 5Y*: 13.08%
• 10Y*: 7.77%

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)

FTGC vs. ARCIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FTGC First Trust Global Tactical Commodity Strategy Fund	27.15%	14.61%	9.96%	-5.36%	17.36%	27.95%	2.17%	6.40%	-12.75%	2.73%
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 FTGC and ARCIX is 0.83, 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	0.83
Correlation (3Y) Calculated over the trailing 3-year period	0.83
Correlation (5Y) Calculated over the trailing 5-year period	0.83
Correlation (10Y) Calculated over the trailing 10-year period	0.83
Correlation (All Time) Calculated using the full available price history since Oct 24, 2013	0.82

The correlation between FTGC and ARCIX has been stable across timeframes, ranging from 0.82 to 0.83 - a consistent structural relationship.

Return for Risk

FTGC vs. ARCIX — Risk / Return Rank

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

FTGC

FTGC Risk / Return Rank: 81
FTGC Sharpe Ratio Rank: 81
FTGC Sortino Ratio Rank: 75
FTGC Omega Ratio Rank: 77
FTGC Calmar Ratio Rank: 88
FTGC Martin Ratio Rank: 84

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.

FTGC vs. ARCIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for First Trust Global Tactical Commodity Strategy Fund (FTGC) 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.

	FTGC	ARCIX	Difference
Sharpe ratio Return per unit of total volatility	2.66	2.76	-0.10
Sortino ratio Return per unit of downside risk	3.43	3.48	-0.05
Omega ratio Gain probability vs. loss probability	1.47	1.50	-0.03
Calmar ratio Return relative to maximum drawdown	5.25	4.92	+0.33
Martin ratio Return relative to average drawdown	17.39	17.44	-0.05
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FTGC vs. ARCIX - Sharpe Ratio Comparison

The current FTGC Sharpe Ratio is 2.66, which is comparable to the ARCIX Sharpe Ratio of 2.76. The chart below compares the historical Sharpe Ratios of FTGC 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

	FTGC	ARCIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.66	2.76	-0.10
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.82	0.84	-0.01
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.53	0.71	-0.18
Sharpe Ratio (All Time) Calculated using the full available price history	0.24	0.32	-0.08

Drawdowns

FTGC vs. ARCIX - Drawdown Comparison

The maximum FTGC drawdown since its inception was -59.47%, which is greater than ARCIX's maximum drawdown of -54.25%. Use the drawdown chart below to compare losses from any high point for FTGC and ARCIX.

Drawdown Indicators

	FTGC	ARCIX	Difference
Max Drawdown Largest peak-to-trough decline	-59.47%	-54.25%	-5.22%
Max Drawdown (1Y) Largest decline over 1 year	-7.91%	-8.36%	+0.45%
Max Drawdown (3Y) Largest decline over 3 years	-10.39%	-13.67%	+3.28%
Max Drawdown (5Y) Largest decline over 5 years	-22.64%	-20.29%	-2.35%
Max Drawdown (10Y) Largest decline over 10 years	-35.91%	-32.45%	-3.46%
Current Drawdown Current decline from peak	-4.65%	-3.92%	-0.73%
Average Drawdown Average peak-to-trough decline	-27.42%	-25.38%	-2.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.38%	2.36%	+0.02%

Volatility

FTGC vs. ARCIX - Volatility Comparison

The current volatility for First Trust Global Tactical Commodity Strategy Fund (FTGC) is 4.50%, while AQR Risk-Balanced Commodities Strategy Fund (ARCIX) has a volatility of 4.88%. This indicates that FTGC 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

	FTGC	ARCIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.50%	4.88%	-0.38%
Volatility (6M) Calculated over the trailing 6-month period	13.15%	12.62%	+0.53%
Volatility (1Y) Calculated over the trailing 1-year period	15.59%	14.97%	+0.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.00%	19.04%	-3.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.71%	17.43%	-2.72%

FTGC vs. ARCIX - Expense Ratio Comparison

FTGC has a 0.95% expense ratio, which is lower than ARCIX's 1.00% expense ratio.

Dividends

FTGC vs. ARCIX - Dividend Comparison

FTGC's dividend yield for the trailing twelve months is around 15.08%, more 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%
FTGC First Trust Global Tactical Commodity Strategy Fund	15.08%	17.74%	3.05%	3.34%	10.35%	7.21%	0.00%	0.81%	0.80%	1.21%	0.00%

Frequently Asked Questions

Can I hold both FTGC and ARCIX in my portfolio?

FTGC and ARCIX have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, FTGC or ARCIX?

ARCIX has higher volatility (4.88%) compared to FTGC (4.50%). In terms of maximum drawdown, FTGC dropped -59.47% vs ARCIX's -54.25%.

Which has better risk-adjusted returns?

ARCIX currently has the higher Sharpe Ratio (2.76 vs 2.66), 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.