- ISIN
- US03875R1068
- CUSIP
- 03875R106
- Issuer
- Arbitrage Fund
- Inception Date
- Sep 17, 2000
- Category
- Event Driven
- Min. Investment
- $2,000
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
Share Price Chart
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Performance
ARBFX Performance Chart
The Arbitrage Fund (ARBFX) is up 1.1% since the beginning of the year. ARBFX is currently trading at $14 per share. Investors who bought $1,000 worth of ARBFX shares 5 years ago would now be looking at an investment worth $1,157.
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Returns By Period
The Arbitrage Fund (ARBFX) has returned 1.12% so far this year and 5.93% over the past 12 months. Over the last ten years, ARBFX has returned 3.24% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.
The Arbitrage Fund
- 1D
- 0.15%
- 1M
- 0.07%
- YTD
- 1.12%
- 6M
- 1.19%
- 1Y
- 5.93%
- 3Y*
- 6.36%
- 5Y*
- 2.96%
- 10Y*
- 3.24%
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
ARBFX Monthly Returns History
Based on dividend-adjusted daily data since Sep 18, 2000, ARBFX'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, 71% of months were positive and 29% were negative. The best month was Jan 2001 with a return of +27.4%, while the worst month was Mar 2001 at -16.5%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 4 months.
On a daily basis, ARBFX closed higher 42% of trading days. The best single day was Apr 5, 2001 with a return of +20.0%, while the worst single day was Apr 3, 2001 at -13.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.22% | 0.59% | -0.15% | 0.30% | 0.00% | 0.15% | 1.12% | ||||||
| 2025 | 1.09% | 1.23% | 0.08% | -0.30% | 0.53% | 1.21% | 0.90% | 0.52% | 0.59% | 0.07% | 1.17% | 0.68% | 8.01% |
| 2024 | -0.55% | 0.00% | 1.51% | -1.87% | 0.48% | 0.48% | 1.73% | 0.31% | -0.15% | 0.54% | 0.31% | -0.14% | 2.61% |
| 2023 | 0.16% | -0.16% | 0.25% | 0.08% | -2.29% | 1.59% | 1.56% | 1.05% | 0.24% | -0.48% | 2.41% | 1.45% | 5.94% |
| 2022 | -1.17% | 0.08% | 0.71% | -0.63% | -0.95% | -1.36% | 1.46% | 0.48% | -0.79% | 1.68% | -0.94% | 0.47% | -1.02% |
| 2021 | 0.94% | -0.00% | 0.54% | 0.93% | 0.38% | -0.76% | -2.08% | 0.55% | 0.55% | 0.23% | -1.32% | 0.93% | 0.85% |
Benchmark Metrics
The Arbitrage Fund has an annualized alpha of 2.45%, beta of 0.24, and R2 of 0.17 versus S&P 500 Index. Calculated based on daily prices since September 18, 2000.
- This fund participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (21.55%) than losses (14.94%) - typical of diversified or defensive assets.
- Beta of 0.24 may look defensive, but with R2 of 0.17 this fund 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 fund's risk.
- R2 of 0.17 means this fund 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
- 2.45%
- Beta
- 0.24
- R²
- 0.17
- Upside Capture
- 21.55%
- Downside Capture
- 14.94%
Expense Ratio
ARBFX has a high expense ratio of 1.43%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
ARBFX ranks 97 for risk / return — in the top 97% of mutual funds on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for The Arbitrage Fund (ARBFX) 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.
| ARBFX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.17 | ||
| Sortino ratioReturn per unit of downside risk | +2.80 | ||
| Omega ratioGain probability vs. loss probability | 1.74 | 1.37 | +0.37 |
| Calmar ratioReturn relative to maximum drawdown | 6.74 | 2.78 | +3.95 |
| Martin ratioReturn relative to average drawdown | 29.71 | 12.44 | +17.27 |
Dividends
Dividend History
The Arbitrage Fund provided a 3.55% dividend yield over the last twelve months, with an annual payout of $0.48 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.48 | $0.48 | $0.12 | $0.24 | $0.45 | $0.07 | $0.89 | $0.27 | $0.22 | $0.45 | $0.12 | $0.30 |
Dividend yield | 3.55% | 3.59% | 0.94% | 1.92% | 3.67% | 0.53% | 6.94% | 2.12% | 1.71% | 3.55% | 0.96% | 2.36% |
Monthly Dividends
The table displays the monthly dividend distributions for The Arbitrage Fund. 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 | $0.48 | $0.48 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.12 | $0.12 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.24 | $0.24 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.45 | $0.45 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.07 | $0.07 |
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 The Arbitrage Fund. 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 The Arbitrage Fund was 38.01%, occurring on Apr 4, 2001. Recovery took 614 trading sessions.
The current The Arbitrage Fund drawdown is 0.07%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
Dot-com crash2000–2002 | -38.01%Apr 2001 | 1mo 25d | 2y 5mo | 2y 7moFeb 2001 - Sep 2003 |
Dot-com crash2000–2002 | -19.51%Dec 2000 | 9d | 13d | 22dDec 2000 - Jan 2001 |
Financial crisis2007–2009 | -14.52%Oct 2008 | 4mo 26d | 6mo 29d | 11mo 25dMay 2008 - May 2009 |
COVID crash2020 | -11.90%Mar 2020 | 26d | 1mo 12d | 2mo 8dFeb 2020 - Apr 2020 |
2004 correction2004 | -10.38%Aug 2004 | 5mo 7d | 1y 7mo | 2y 16dMar 2004 - Mar 2006 |
Drawdown Indicators
| ARBFX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.01% | -56.78% | +18.77% |
Max Drawdown (1Y)Largest decline over 1 year | -0.88% | -9.10% | +8.22% |
Max Drawdown (3Y)Largest decline over 3 years | -2.26% | -18.90% | +16.64% |
Max Drawdown (5Y)Largest decline over 5 years | -6.87% | -25.43% | +18.56% |
Max Drawdown (10Y)Largest decline over 10 years | -11.90% | -33.92% | +22.02% |
Current DrawdownCurrent decline from peak | -0.07% | -1.80% | +1.73% |
Average DrawdownAverage peak-to-trough decline | -2.36% | -10.71% | +8.35% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.20% | 2.03% | -1.83% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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