ARB vs. ^GSPC
Compare and contrast key facts about AltShares Merger Arbitrage ETF (ARB) and S&P 500 (^GSPC).
ARB is a passively managed fund by Water Island Capital Partners LP that tracks the performance of the Water Island Merger Arbitrage USD Hedged Index. It was launched on May 7, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ARB or ^GSPC.
Key characteristics
| ARB | ^GSPC | |
|---|---|---|
| YTD Return | 4.26% | 24.72% |
| 1Y Return | 6.12% | 32.12% |
| 3Y Return (Ann) | 3.65% | 8.33% |
| Sharpe Ratio | 1.86 | 2.66 |
| Sortino Ratio | 2.59 | 3.56 |
| Omega Ratio | 1.37 | 1.50 |
| Calmar Ratio | 2.85 | 3.81 |
| Martin Ratio | 7.65 | 17.03 |
| Ulcer Index | 0.79% | 1.90% |
| Daily Std Dev | 3.26% | 12.16% |
| Max Drawdown | -5.60% | -56.78% |
| Current Drawdown | -0.89% | -0.87% |
Correlation
The correlation between ARB and ^GSPC is 0.40, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
ARB vs. ^GSPC - Performance Comparison
In the year-to-date period, ARB achieves a 4.26% return, which is significantly lower than ^GSPC's 24.72% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
ARB vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AltShares Merger Arbitrage ETF (ARB) and S&P 500 (^GSPC). 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.
Drawdowns
ARB vs. ^GSPC - Drawdown Comparison
The maximum ARB drawdown since its inception was -5.60%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ARB and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
ARB vs. ^GSPC - Volatility Comparison
The current volatility for AltShares Merger Arbitrage ETF (ARB) is 1.28%, while S&P 500 (^GSPC) has a volatility of 3.81%. This indicates that ARB experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.