ARB vs. SPY
Compare and contrast key facts about AltShares Merger Arbitrage ETF (ARB) and SPDR S&P 500 ETF (SPY).
ARB and SPY are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. 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. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993. Both ARB and SPY are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ARB or SPY.
Key characteristics
| ARB | SPY | |
|---|---|---|
| YTD Return | 4.02% | 27.16% |
| 1Y Return | 6.06% | 37.73% |
| 3Y Return (Ann) | 3.64% | 10.28% |
| Sharpe Ratio | 1.87 | 3.25 |
| Sortino Ratio | 2.61 | 4.32 |
| Omega Ratio | 1.37 | 1.61 |
| Calmar Ratio | 2.86 | 4.74 |
| Martin Ratio | 7.75 | 21.51 |
| Ulcer Index | 0.79% | 1.85% |
| Daily Std Dev | 3.27% | 12.20% |
| Max Drawdown | -5.60% | -55.19% |
| Current Drawdown | -1.12% | 0.00% |
Correlation
The correlation between ARB and SPY 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. SPY - Performance Comparison
In the year-to-date period, ARB achieves a 4.02% return, which is significantly lower than SPY's 27.16% 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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ARB vs. SPY - Expense Ratio Comparison
ARB has a 0.87% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
ARB vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AltShares Merger Arbitrage ETF (ARB) and SPDR S&P 500 ETF (SPY). 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.
Dividends
ARB vs. SPY - Dividend Comparison
ARB has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.17%.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ARB AltShares Merger Arbitrage ETF | 0.00% | 0.00% | 4.18% | 0.00% | 2.87% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPY SPDR S&P 500 ETF | 1.17% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
ARB vs. SPY - Drawdown Comparison
The maximum ARB drawdown since its inception was -5.60%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ARB and SPY. For additional features, visit the drawdowns tool.
Volatility
ARB vs. SPY - Volatility Comparison
The current volatility for AltShares Merger Arbitrage ETF (ARB) is 1.29%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.92%. This indicates that ARB experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.