ARBFX vs. WCFRX
ARBFX (The Arbitrage Fund) and WCFRX (Virtus Westchester Credit Event Fund) are both Event Driven funds. Over the past 5 years, ARBFX returned 3.56%/yr vs 3.15%/yr for WCFRX. Their 0.32 correlation means their historical movements had little consistent relationship. ARBFX charges 1.43%/yr vs 1.90%/yr for WCFRX.
Performance
ARBFX vs. WCFRX - Performance Comparison
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Returns By Period
In the year-to-date period, ARBFX achieves a 1.56% return, which is significantly higher than WCFRX's 0.74% return.
ARBFX
- 1D
- 0.00%
- 1M
- -0.15%
- 6M
- 1.34%
- YTD
- 1.56%
- 1Y
- 4.82%
- 3Y*
- 5.64%
- 5Y*
- 3.56%
- 10Y*
- 3.27%
- ALL TIME*
- 3.85%
WCFRX
- 1D
- 0.09%
- 1M
- -0.34%
- 6M
- 0.55%
- YTD
- 0.74%
- 1Y
- 1.83%
- 3Y*
- 4.97%
- 5Y*
- 3.15%
- 10Y*
- —
- ALL TIME*
- 5.45%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
ARBFX The Arbitrage Fund | $0.00 | $0.00 | $0.00 |
| $0.00 | $0.00 | $0.00 |
ARBFX vs. WCFRX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
ARBFX The Arbitrage Fund | 1.56% | 8.01% | 2.61% | 5.94% | -1.02% | 0.85% | 5.42% | 3.57% | 2.12% |
WCFRX Virtus Westchester Credit Event Fund | 0.74% | 4.37% | 6.83% | 9.23% | -5.28% | 7.08% | 16.26% | 12.60% | -3.23% |
Correlation
The correlation between ARBFX and WCFRX is 0.12, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.12 |
Correlation (3Y) Balances recent behavior with more history. | 0.18 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.33 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2018 | 0.32 |
Over the past year, the correlation between ARBFX and WCFRX has dropped to 0.12 - well below their long-term average of 0.32, suggesting their price drivers have been diverging.
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Return for Risk
ARBFX vs. WCFRX — Risk / Return Rank
ARBFX
WCFRX
ARBFX vs. WCFRX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for The Arbitrage Fund (ARBFX) and Virtus Westchester Credit Event Fund (WCFRX). 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.
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 | WCFRX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.52 | ||
| Sortino ratioReturn per unit of downside risk | +2.66 | ||
| Omega ratioGain probability vs. loss probability | 1.52 | 1.18 | +0.34 |
| Calmar ratioReturn relative to maximum drawdown | 5.30 | 1.42 | +3.88 |
| Martin ratioReturn relative to average drawdown | 22.62 | 3.49 | +19.13 |
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Drawdowns
ARBFX vs. WCFRX - Drawdown Comparison
The maximum ARBFX drawdown since its inception was -38.01%, which is greater than WCFRX's maximum drawdown of -23.56%. Use the drawdown chart below to compare losses from any high point for ARBFX and WCFRX.
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Drawdown Indicators
| ARBFX | WCFRX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.01% | -23.56% | -14.45% |
Max Drawdown (1Y)Largest decline over 1 year | -0.88% | -1.29% | +0.41% |
Max Drawdown (3Y)Largest decline over 3 years | -2.26% | -6.09% | +3.83% |
Max Drawdown (5Y)Largest decline over 5 years | -6.15% | -9.57% | +3.42% |
Max Drawdown (10Y)Largest decline over 10 years | -11.90% | — | — |
Current DrawdownCurrent decline from peak | -0.36% | -0.79% | +0.43% |
Average DrawdownAverage peak-to-trough decline | -2.35% | -4.21% | +1.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.21% | 0.53% | -0.32% |
Volatility
ARBFX vs. WCFRX - Volatility Comparison
The current volatility for The Arbitrage Fund (ARBFX) is 0.54%, while Virtus Westchester Credit Event Fund (WCFRX) has a volatility of 0.81%. This indicates that ARBFX experiences smaller price fluctuations and is considered to be less risky than WCFRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARBFX | WCFRX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.54% | 0.81% | -0.27% |
Volatility (6M)Calculated over the trailing 6-month period | 1.23% | 1.51% | -0.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.87% | 1.87% | 0.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.58% | 4.15% | -0.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.42% | 6.52% | -2.10% |
ARBFX vs. WCFRX - Expense Ratio Comparison
ARBFX has a 1.43% expense ratio, which is lower than WCFRX's 1.90% expense ratio.
Dividends
ARBFX vs. WCFRX - Dividend Comparison
ARBFX's dividend yield for the trailing twelve months is around 3.53%, less than WCFRX's 7.61% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ARBFX The Arbitrage Fund | 3.53% | 3.59% | 0.94% | 1.92% | 3.67% | 0.53% | 6.94% | 2.12% | 1.71% | 3.55% | 0.96% | 2.36% |
WCFRX Virtus Westchester Credit Event Fund | 7.61% | 5.82% | 5.33% | 4.15% | 0.21% | 13.79% | 0.90% | 2.99% | 1.43% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
ARBFX and WCFRX have a correlation of 0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WCFRX has higher volatility (0.81%) compared to ARBFX (0.54%). In terms of maximum drawdown, ARBFX dropped -38.01% vs WCFRX's -23.56%.
ARBFX currently has the higher Sharpe Ratio (2.50 vs 0.98), 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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