ARB vs. BTC-USD
ARB (AltShares Merger Arbitrage ETF) is Hedge Fund fund tracking the Water Island Merger Arbitrage USD Hedged Index, while BTC-USD (Bitcoin) is a cryptocurrency. Over the past 5 years, ARB returned 3.93%/yr vs 12.25%/yr for BTC-USD. At a 0.16 correlation, their price movements are largely independent.
Performance
ARB vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, ARB achieves a 1.96% return, which is significantly higher than BTC-USD's -27.60% return.
ARB
- 1D
- 0.26%
- 1M
- 0.71%
- YTD
- 1.96%
- 6M
- 2.49%
- 1Y
- 5.08%
- 3Y*
- 6.47%
- 5Y*
- 3.93%
- 10Y*
- —
BTC-USD
- 1D
- -1.08%
- 1M
- -21.71%
- YTD
- -27.60%
- 6M
- -31.22%
- 1Y
- -39.53%
- 3Y*
- 35.01%
- 5Y*
- 12.25%
- 10Y*
- 59.71%
ARB vs. BTC-USD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
ARB AltShares Merger Arbitrage ETF | 1.96% | 6.05% | 4.07% | 3.85% | 2.67% | 3.16% | 3.78% |
BTC-USD Bitcoin | -27.60% | -6.27% | 120.76% | 155.82% | -64.23% | 59.40% | 189.76% |
Correlation
The correlation between ARB and BTC-USD is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.23 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.13 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.17 |
Correlation (All Time) Calculated using the full available price history since May 8, 2020 | 0.16 |
The correlation between ARB and BTC-USD shifts across timeframes, from 0.13 (3 years) to 0.23 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
ARB vs. BTC-USD — Risk / Return Rank
ARB
BTC-USD
ARB vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AltShares Merger Arbitrage ETF (ARB) and Bitcoin (BTC-USD). 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.
| ARB | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.68 | ||
| Sortino ratioReturn per unit of downside risk | +4.15 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 0.87 | +0.49 |
| Calmar ratioReturn relative to maximum drawdown | 7.43 | -0.80 | +8.23 |
| Martin ratioReturn relative to average drawdown | 21.63 | -1.39 | +23.02 |
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
| ARB | BTC-USD | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.76 | -0.92 | +2.68 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.90 | 0.23 | +0.67 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.88 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.96 | 1.13 | -0.17 |
Drawdowns
ARB vs. BTC-USD - Drawdown Comparison
The maximum ARB drawdown since its inception was -5.60%, smaller than the maximum BTC-USD drawdown of -85.30%. Use the drawdown chart below to compare losses from any high point for ARB and BTC-USD.
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Drawdown Indicators
| ARB | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.60% | -85.30% | +79.70% |
Max Drawdown (1Y)Largest decline over 1 year | -0.69% | -49.65% | +48.96% |
Max Drawdown (3Y)Largest decline over 3 years | -2.13% | -49.65% | +47.52% |
Max Drawdown (5Y)Largest decline over 5 years | -5.60% | -76.67% | +71.07% |
Max Drawdown (10Y)Largest decline over 10 years | — | -83.80% | — |
Current DrawdownCurrent decline from peak | -0.24% | -49.21% | +48.97% |
Average DrawdownAverage peak-to-trough decline | -0.94% | -42.28% | +41.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.24% | 33.87% | -33.63% |
Volatility
ARB vs. BTC-USD - Volatility Comparison
The current volatility for AltShares Merger Arbitrage ETF (ARB) is 1.29%, while Bitcoin (BTC-USD) has a volatility of 10.14%. This indicates that ARB experiences smaller price fluctuations and is considered to be less risky than BTC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARB | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.29% | 10.14% | -8.85% |
Volatility (6M)Calculated over the trailing 6-month period | 2.39% | 34.17% | -31.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.90% | 35.51% | -32.61% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.40% | 44.98% | -40.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.40% | 56.69% | -52.29% |
Frequently Asked Questions
ARB and BTC-USD have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTC-USD has higher volatility (10.14%) compared to ARB (1.29%). In terms of maximum drawdown, ARB dropped -5.60% vs BTC-USD's -85.30%.
ARB currently has the higher Sharpe Ratio (1.76 vs -0.92), 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.
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