- Inception Date
- May 7, 2020
- Region
- North America (U.S.)
- Category
- Hedge Fund
- Leveraged
- 1x (No leverage)
- Index Tracked
- Water Island Merger Arbitrage USD Hedged Index
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
- Asset Class Size
- Multi-Cap
- Asset Class Style
- Blend
- Assets Under Management
- $91M
Share Price Chart
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Performance
ARB Performance Chart
AltShares Merger Arbitrage ETF (ARB) is up 1.8% since the beginning of the year. ARB is currently trading at $30 per share. Investors who bought $1,000 worth of ARB shares 5 years ago would now be looking at an investment worth $1,213.
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Returns By Period
AltShares Merger Arbitrage ETF (ARB) has returned 1.75% so far this year and 4.94% over the past 12 months.
AltShares Merger Arbitrage ETF
- 1D
- 0.20%
- 1M
- 0.07%
- YTD
- 1.75%
- 6M
- 1.96%
- 1Y
- 4.94%
- 3Y*
- 5.95%
- 5Y*
- 3.93%
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 0.00%
- 1M
- -0.34%
- YTD
- 8.39%
- 6M
- 8.57%
- 1Y
- 24.33%
- 3Y*
- 18.94%
- 5Y*
- 12.24%
- 10Y*
- 13.54%
ARB Monthly Returns History
Based on dividend-adjusted daily data since May 7, 2020, ARB's average daily return is +0.02%, while the average monthly return is +0.34%. At this rate, an investment would double in approximately 17.0 years.
Historically, 69% of months were positive and 31% were negative. The best month was Jul 2020 with a return of +4.2%, while the worst month was May 2020 at -2.3%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 3 months.
On a daily basis, ARB closed higher 54% of trading days. The best single day was Dec 17, 2021 with a return of +3.6%, while the worst single day was Dec 20, 2021 at -3.3%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -0.07% | 0.28% | 0.65% | 0.72% | -0.07% | 0.24% | 1.75% | ||||||
| 2025 | 1.39% | 0.97% | 0.19% | -0.32% | 0.65% | 0.56% | 0.98% | 0.59% | 0.17% | 0.15% | -0.10% | 0.66% | 6.05% |
| 2024 | -0.49% | 1.17% | 0.93% | -1.83% | 0.73% | 0.16% | 1.59% | 1.00% | 0.36% | 0.85% | -0.45% | 0.04% | 4.07% |
| 2023 | -0.84% | 0.18% | -0.89% | 0.98% | -0.90% | 0.35% | 0.58% | 1.68% | 0.78% | -0.04% | 0.79% | 1.14% | 3.85% |
| 2022 | 0.17% | 0.61% | 0.63% | -0.62% | -0.66% | -0.30% | 1.72% | 1.10% | -0.72% | 2.33% | -1.92% | 0.38% | 2.67% |
| 2021 | -0.27% | -0.82% | 0.88% | 1.27% | 0.90% | -0.14% | -0.64% | 0.40% | 0.04% | 0.96% | 0.00% | 0.55% | 3.16% |
Benchmark Metrics
AltShares Merger Arbitrage ETF has an annualized alpha of 2.80%, beta of 0.08, and R2 of 0.10 versus S&P 500 Index. Calculated based on daily prices since May 07, 2020.
- This ETF captured 8.08% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -7.04%) - a profile typical of hedging or uncorrelated assets.
- Beta of 0.08 may look defensive, but with R2 of 0.10 this ETF is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
- R2 of 0.10 means this ETF moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 2.80%
- Beta
- 0.08
- R²
- 0.10
- Upside Capture
- 8.08%
- Downside Capture
- -7.04%
Expense Ratio
ARB has an expense ratio of 0.87%, placing it in the medium range.
Return for Risk
Risk / Return Rank
ARB ranks 63 for risk / return — better than 63% of ETFs on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for AltShares Merger Arbitrage ETF (ARB) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ARB | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.41 | ||
| Sortino ratioReturn per unit of downside risk | -0.23 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.35 | -0.05 |
| Calmar ratioReturn relative to maximum drawdown | 4.41 | 2.66 | +1.76 |
| Martin ratioReturn relative to average drawdown | 17.04 | 11.86 | +5.18 |
Dividends
Dividend History
AltShares Merger Arbitrage ETF provided a 0.42% dividend yield over the last twelve months, with an annual payout of $0.13 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 |
|---|---|---|---|---|---|---|---|
| Dividend | $0.13 | $0.13 | $0.31 | $0.00 | $1.08 | $0.00 | $0.73 |
Dividend yield | 0.42% | 0.43% | 1.12% | 0.00% | 4.18% | 0.00% | 2.87% |
Monthly Dividends
The table displays the monthly dividend distributions for AltShares Merger Arbitrage ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.13 | $0.13 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.31 | $0.31 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.08 | $1.08 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the AltShares Merger Arbitrage ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the AltShares Merger Arbitrage ETF was 5.60%, occurring on May 22, 2023. Recovery took 77 trading sessions.
The current AltShares Merger Arbitrage ETF drawdown is 0.74%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2023 pullback2023 | -5.60%May 2023 | 6mo 21d | 3mo 23d | 10mo 14dNov 2022 - Sep 2023 |
Bear market2022 | -5.11%Jun 2022 | 5mo 28d | 1mo 24d | 7mo 22dDec 2021 - Aug 2022 |
2020 pullback2020 | -3.61%May 2020 | 10d | 1mo 25d | 2mo 5dMay 2020 - Jul 2020 |
2021 pullback2021 | -3.16%Feb 2021 | 1mo | 2mo 4d | 3mo 4dJan 2021 - Apr 2021 |
2024 pullback2024 | -2.13%May 2024 | 28d | 2mo 15d | 3mo 13dApr 2024 - Jul 2024 |
Drawdown Indicators
| ARB | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.60% | -56.78% | +51.18% |
Max Drawdown (1Y)Largest decline over 1 year | -1.07% | -9.10% | +8.03% |
Max Drawdown (3Y)Largest decline over 3 years | -2.13% | -18.90% | +16.77% |
Max Drawdown (5Y)Largest decline over 5 years | -5.60% | -25.43% | +19.83% |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -0.74% | -2.49% | +1.75% |
Average DrawdownAverage peak-to-trough decline | -0.94% | -10.72% | +9.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.28% | 2.03% | -1.75% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ARB
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