FTGC vs. ARCIX
Compare and contrast key facts about First Trust Global Tactical Commodity Strategy Fund (FTGC) and AQR Risk-Balanced Commodities Strategy Fund (ARCIX).
FTGC is an actively managed fund by First Trust. It was launched on Oct 23, 2013. ARCIX is managed by AQR Funds. It was launched on Jul 8, 2012.
Performance
FTGC vs. ARCIX - Performance Comparison
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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 | 25.41% | 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 | 17.04% | 20.99% | 7.43% | -0.22% | 21.39% | 39.74% | 8.15% | 18.15% | -17.56% | 10.41% |
Returns By Period
In the year-to-date period, FTGC achieves a 25.41% return, which is significantly higher than ARCIX's 17.04% return. Over the past 10 years, FTGC has underperformed ARCIX with an annualized return of 8.37%, while ARCIX has yielded a comparatively higher 12.98% annualized return.
FTGC
- 1D
- 0.53%
- 1M
- 14.11%
- YTD
- 25.41%
- 6M
- 30.43%
- 1Y
- 34.03%
- 3Y*
- 15.69%
- 5Y*
- 15.71%
- 10Y*
- 8.37%
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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FTGC vs. ARCIX - Expense Ratio Comparison
FTGC has a 0.95% expense ratio, which is lower than ARCIX's 1.00% expense ratio.
Return for Risk
FTGC vs. ARCIX — Risk / Return Rank
FTGC
ARCIX
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 ratioReturn per unit of total volatility | 2.05 | 1.98 | +0.07 |
Sortino ratioReturn per unit of downside risk | 2.67 | 2.48 | +0.19 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.37 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 3.39 | 3.08 | +0.31 |
Martin ratioReturn relative to average drawdown | 10.79 | 9.79 | +1.00 |
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
| FTGC | ARCIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.05 | 1.98 | +0.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.99 | 0.98 | +0.01 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.57 | 0.75 | -0.17 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.23 | 0.31 | -0.07 |
Correlation
The correlation between FTGC and ARCIX is 0.82, 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
FTGC vs. ARCIX - Dividend Comparison
FTGC's dividend yield for the trailing twelve months is around 15.29%, more than ARCIX's 11.48% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
FTGC First Trust Global Tactical Commodity Strategy Fund | 15.29% | 17.74% | 3.05% | 3.34% | 10.35% | 7.21% | 0.00% | 0.81% | 0.80% | 1.21% | 0.00% |
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
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.
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Drawdown Indicators
| FTGC | ARCIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.47% | -54.25% | -5.22% |
Max Drawdown (1Y)Largest decline over 1 year | -10.36% | -10.19% | -0.17% |
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 DrawdownCurrent decline from peak | 0.00% | -1.09% | +1.09% |
Average DrawdownAverage peak-to-trough decline | -27.79% | -25.68% | -2.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.25% | 3.21% | +0.04% |
Volatility
FTGC vs. ARCIX - Volatility Comparison
First Trust Global Tactical Commodity Strategy Fund (FTGC) has a higher volatility of 6.58% compared to AQR Risk-Balanced Commodities Strategy Fund (ARCIX) at 5.41%. This indicates that FTGC's price experiences larger fluctuations and is considered to be riskier 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
| FTGC | ARCIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.58% | 5.41% | +1.17% |
Volatility (6M)Calculated over the trailing 6-month period | 12.86% | 12.64% | +0.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.72% | 15.98% | +0.74% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.94% | 19.17% | -3.23% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 14.69% | 17.46% | -2.77% |