VCMDX vs. ARCIX

Last updated Jun 4, 2026

VCMDX (Vanguard Commodity Strategy Fund Admiral Shares) and ARCIX (AQR Risk-Balanced Commodities Strategy Fund) are both Commodities funds. Over the past 5 years, VCMDX returned 12.17%/yr vs 15.82%/yr for ARCIX. Their correlation of 0.89 suggests significant overlap in exposure. VCMDX charges 0.20%/yr vs 1.00%/yr for ARCIX.

Performance

VCMDX vs. ARCIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) 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, VCMDX achieves a 22.84% return, which is significantly higher than ARCIX's 21.57% return.

VCMDX

• 1D: 0.35%
• 1M: -2.11%
• YTD: 22.84%
• 6M: 22.83%
• 1Y: 35.30%
• 3Y*: 15.74%
• 5Y*: 12.17%
• 10Y*: —

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)

VCMDX vs. ARCIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
VCMDX Vanguard Commodity Strategy Fund Admiral Shares	22.84%	18.20%	5.27%	-7.45%	13.83%	34.82%	5.07%	2.74%
ARCIX AQR Risk-Balanced Commodities Strategy Fund	21.57%	20.99%	7.43%	-0.22%	21.39%	39.74%	8.15%	11.07%

Correlation

The correlation between VCMDX 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	0.89
Correlation (All Time) Calculated using the full available price history since Jun 27, 2019	0.89

The correlation between VCMDX and ARCIX has been stable across timeframes, ranging from 0.89 to 0.93 - a consistent structural relationship.

Return for Risk

VCMDX vs. ARCIX — Risk / Return Rank

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

VCMDX

VCMDX Risk / Return Rank: 70
VCMDX Sharpe Ratio Rank: 68
VCMDX Sortino Ratio Rank: 53
VCMDX Omega Ratio Rank: 59
VCMDX Calmar Ratio Rank: 92
VCMDX Martin Ratio Rank: 80

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.

VCMDX vs. ARCIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) 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.

	VCMDX	ARCIX	Difference
Sharpe ratio: Return per unit of total volatility	2.41	2.76	-0.35
Sortino ratio: Return per unit of downside risk	3.06	3.48	-0.42
Omega ratio: Gain probability vs. loss probability	1.43	1.50	-0.07
Calmar ratio: Return relative to maximum drawdown	4.92	4.92	0.00
Martin ratio: Return relative to average drawdown	15.03	17.44	-2.41
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VCMDX vs. ARCIX - Sharpe Ratio Comparison

The current VCMDX Sharpe Ratio is 2.41, which is comparable to the ARCIX Sharpe Ratio of 2.76. The chart below compares the historical Sharpe Ratios of VCMDX 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

	VCMDX	ARCIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.41	2.76	-0.35
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.77	0.84	-0.06
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.71	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.85	0.32	+0.53

Drawdowns

VCMDX vs. ARCIX - Drawdown Comparison

The maximum VCMDX drawdown since its inception was -26.67%, smaller than the maximum ARCIX drawdown of -54.25%. Use the drawdown chart below to compare losses from any high point for VCMDX and ARCIX.

Drawdown Indicators

	VCMDX	ARCIX	Difference
Max Drawdown Largest peak-to-trough decline	-26.67%	-54.25%	+27.58%
Max Drawdown (1Y) Largest decline over 1 year	-7.25%	-8.36%	+1.11%
Max Drawdown (3Y) Largest decline over 3 years	-9.90%	-13.67%	+3.77%
Max Drawdown (5Y) Largest decline over 5 years	-25.45%	-20.29%	-5.16%
Max Drawdown (10Y) Largest decline over 10 years	—	-32.45%	—
Current Drawdown Current decline from peak	-3.45%	-3.92%	+0.47%
Average Drawdown Average peak-to-trough decline	-10.86%	-25.38%	+14.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.37%	2.36%	+0.01%

Volatility

VCMDX vs. ARCIX - Volatility Comparison

Vanguard Commodity Strategy Fund Admiral Shares (VCMDX) and AQR Risk-Balanced Commodities Strategy Fund (ARCIX) have volatilities of 5.03% and 4.88%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VCMDX	ARCIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.03%	4.88%	+0.15%
Volatility (6M) Calculated over the trailing 6-month period	12.68%	12.62%	+0.06%
Volatility (1Y) Calculated over the trailing 1-year period	14.90%	14.97%	-0.07%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.86%	19.04%	-3.18%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.39%	17.43%	-2.04%

VCMDX vs. ARCIX - Expense Ratio Comparison

VCMDX has a 0.20% expense ratio, which is lower than ARCIX's 1.00% expense ratio.

Dividends

VCMDX vs. ARCIX - Dividend Comparison

VCMDX's dividend yield for the trailing twelve months is around 12.38%, 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%
VCMDX Vanguard Commodity Strategy Fund Admiral Shares	12.38%	15.21%	2.19%	2.50%	14.21%	30.56%	0.50%	0.60%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both VCMDX and ARCIX in my portfolio?

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

VCMDX has higher volatility (5.03%) compared to ARCIX (4.88%). In terms of maximum drawdown, VCMDX dropped -26.67% vs ARCIX's -54.25%.

Which has better risk-adjusted returns?

ARCIX currently has the higher Sharpe Ratio (2.76 vs 2.41), 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.