ARB vs. FMF
ARB (AltShares Merger Arbitrage ETF) and FMF (First Trust Managed Futures Strategy Fund) are both Hedge Fund funds. ARB is passively managed, while FMF is actively managed. Over the past 5 years, ARB returned 3.87%/yr vs 4.62%/yr for FMF. At a correlation of -0.01, they often move in opposite directions. ARB charges 0.87%/yr vs 0.95%/yr for FMF.
Performance
ARB vs. FMF - Performance Comparison
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Returns By Period
In the year-to-date period, ARB achieves a 1.70% return, which is significantly lower than FMF's 10.96% return.
ARB
- 1D
- 0.03%
- 1M
- 0.35%
- YTD
- 1.70%
- 6M
- 2.28%
- 1Y
- 4.90%
- 3Y*
- 6.40%
- 5Y*
- 3.87%
- 10Y*
- —
FMF
- 1D
- 0.33%
- 1M
- 1.08%
- YTD
- 10.96%
- 6M
- 11.47%
- 1Y
- 22.22%
- 3Y*
- 6.78%
- 5Y*
- 4.62%
- 10Y*
- 3.17%
ARB vs. FMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
ARB AltShares Merger Arbitrage ETF | 1.70% | 6.05% | 4.07% | 3.85% | 2.67% | 3.16% | 3.78% |
FMF First Trust Managed Futures Strategy Fund | 10.96% | 4.54% | 8.17% | -0.18% | 5.24% | 3.57% | 3.73% |
Correlation
The correlation between ARB and FMF is 0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.04 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.02 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.05 |
Correlation (All Time) Calculated using the full available price history since May 8, 2020 | -0.01 |
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Return for Risk
ARB vs. FMF — Risk / Return Rank
ARB
FMF
ARB vs. FMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AltShares Merger Arbitrage ETF (ARB) and First Trust Managed Futures Strategy Fund (FMF). 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 | FMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.61 | ||
| Sortino ratioReturn per unit of downside risk | -0.54 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.42 | -0.07 |
| Calmar ratioReturn relative to maximum drawdown | 7.17 | 6.52 | +0.65 |
| Martin ratioReturn relative to average drawdown | 20.90 | 18.49 | +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. | |||
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Sharpe Ratios by Period
| ARB | FMF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.70 | 2.31 | -0.61 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.88 | 0.43 | +0.45 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.27 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.95 | 0.17 | +0.78 |
Drawdowns
ARB vs. FMF - Drawdown Comparison
The maximum ARB drawdown since its inception was -5.60%, smaller than the maximum FMF drawdown of -22.21%. Use the drawdown chart below to compare losses from any high point for ARB and FMF.
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Drawdown Indicators
| ARB | FMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.60% | -22.21% | +16.61% |
Max Drawdown (1Y)Largest decline over 1 year | -0.69% | -3.42% | +2.73% |
Max Drawdown (3Y)Largest decline over 3 years | -2.13% | -7.25% | +5.12% |
Max Drawdown (5Y)Largest decline over 5 years | -5.60% | -14.98% | +9.38% |
Max Drawdown (10Y)Largest decline over 10 years | — | -16.89% | — |
Current DrawdownCurrent decline from peak | -0.49% | -0.07% | -0.42% |
Average DrawdownAverage peak-to-trough decline | -0.94% | -9.86% | +8.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.24% | 1.20% | -0.96% |
Volatility
ARB vs. FMF - Volatility Comparison
The current volatility for AltShares Merger Arbitrage ETF (ARB) is 1.28%, while First Trust Managed Futures Strategy Fund (FMF) has a volatility of 1.89%. This indicates that ARB experiences smaller price fluctuations and is considered to be less risky than FMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARB | FMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.28% | 1.89% | -0.61% |
Volatility (6M)Calculated over the trailing 6-month period | 2.38% | 7.11% | -4.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.89% | 9.66% | -6.77% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.40% | 10.74% | -6.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.40% | 11.72% | -7.32% |
ARB vs. FMF - Expense Ratio Comparison
ARB has a 0.87% expense ratio, which is lower than FMF's 0.95% expense ratio.
Dividends
ARB vs. FMF - Dividend Comparison
ARB's dividend yield for the trailing twelve months is around 0.43%, less than FMF's 4.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 |
|---|---|---|---|---|---|---|---|---|---|---|
ARB AltShares Merger Arbitrage ETF | 0.43% | 0.43% | 1.12% | 0.00% | 4.18% | 0.00% | 2.87% | 0.00% | 0.00% | 0.00% |
FMF First Trust Managed Futures Strategy Fund | 4.96% | 5.60% | 4.85% | 3.09% | 0.41% | 3.29% | 0.02% | 1.05% | 1.56% | 0.82% |
Frequently Asked Questions
ARB and FMF have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
FMF has higher volatility (1.89%) compared to ARB (1.28%). In terms of maximum drawdown, ARB dropped -5.60% vs FMF's -22.21%.
On 5-year performance, FMF leads with 4.62% vs 3.87% for ARB. On fees, ARB is cheaper at 0.87% per year. On volatility, ARB has been the lower-risk option at 1.28%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 5-year period, FMF has performed better with a 4.62% return vs 3.87%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ARB is cheaper with a 0.87% expense ratio, compared with 0.95% for FMF.
FMF has the higher dividend yield at 4.96%, compared with 0.43% for ARB.
They also come from different issuers: Water Island Capital Partners LP and First Trust. Their fees differ too: 0.87% for ARB and 0.95% for FMF.
FMF currently has the higher Sharpe Ratio (2.31 vs 1.70), 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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