GDL vs. ARBFX
GDL (The GDL Fund) and ARBFX (The Arbitrage Fund) are both Event Driven funds. Over the past 10 years, GDL returned 3.99%/yr vs 3.24%/yr for ARBFX. At a 0.25 correlation, their price movements are largely independent. GDL charges 0.03%/yr vs 1.43%/yr for ARBFX.
Performance
GDL vs. ARBFX - Performance Comparison
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Returns By Period
In the year-to-date period, GDL achieves a 2.66% return, which is significantly higher than ARBFX's 1.12% return. Over the past 10 years, GDL has outperformed ARBFX with an annualized return of 3.99%, while ARBFX has yielded a comparatively lower 3.24% annualized return.
GDL
- 1D
- 0.48%
- 1M
- 1.32%
- YTD
- 2.66%
- 6M
- 2.90%
- 1Y
- 7.37%
- 3Y*
- 9.07%
- 5Y*
- 4.57%
- 10Y*
- 3.99%
ARBFX
- 1D
- 0.15%
- 1M
- 0.07%
- YTD
- 1.12%
- 6M
- 1.19%
- 1Y
- 5.93%
- 3Y*
- 6.36%
- 5Y*
- 2.96%
- 10Y*
- 3.24%
GDL vs. ARBFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GDL The GDL Fund | 2.66% | 11.83% | 5.94% | 9.02% | -6.88% | 8.04% | -0.99% | 5.87% | -1.60% | 4.74% |
ARBFX The Arbitrage Fund | 1.12% | 8.01% | 2.61% | 5.94% | -1.02% | 0.85% | 5.42% | 3.57% | 2.12% | 2.59% |
Correlation
The correlation between GDL and ARBFX is 0.03, 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 | 0.03 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.18 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.19 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.18 |
Correlation (All Time) Calculated using the full available price history since Apr 23, 2007 | 0.25 |
Over the past year, the correlation between GDL and ARBFX has dropped to 0.03 - well below their long-term average of 0.25, suggesting their price drivers have been diverging.
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Return for Risk
GDL vs. ARBFX — Risk / Return Rank
GDL
ARBFX
GDL vs. ARBFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for The GDL Fund (GDL) and The Arbitrage Fund (ARBFX). 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.
| GDL | ARBFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.17 | ||
| Sortino ratioReturn per unit of downside risk | -4.08 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.74 | -0.56 |
| Calmar ratioReturn relative to maximum drawdown | 2.31 | 6.74 | -4.43 |
| Martin ratioReturn relative to average drawdown | 7.21 | 29.71 | -22.50 |
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Drawdowns
GDL vs. ARBFX - Drawdown Comparison
The maximum GDL drawdown since its inception was -38.74%, roughly equal to the maximum ARBFX drawdown of -38.01%. Use the drawdown chart below to compare losses from any high point for GDL and ARBFX.
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Drawdown Indicators
| GDL | ARBFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.74% | -38.01% | -0.73% |
Max Drawdown (1Y)Largest decline over 1 year | -3.21% | -0.88% | -2.33% |
Max Drawdown (3Y)Largest decline over 3 years | -6.00% | -2.26% | -3.74% |
Max Drawdown (5Y)Largest decline over 5 years | -9.48% | -6.87% | -2.61% |
Max Drawdown (10Y)Largest decline over 10 years | -38.74% | -11.90% | -26.84% |
Current DrawdownCurrent decline from peak | 0.00% | -0.07% | +0.07% |
Average DrawdownAverage peak-to-trough decline | -4.91% | -2.36% | -2.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.02% | 0.20% | +0.82% |
Volatility
GDL vs. ARBFX - Volatility Comparison
The GDL Fund (GDL) has a higher volatility of 1.42% compared to The Arbitrage Fund (ARBFX) at 0.46%. This indicates that GDL's price experiences larger fluctuations and is considered to be riskier than ARBFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GDL | ARBFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.42% | 0.46% | +0.96% |
Volatility (6M)Calculated over the trailing 6-month period | 4.98% | 1.14% | +3.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.16% | 1.86% | +5.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.63% | 3.64% | +4.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.97% | 4.42% | +8.55% |
GDL vs. ARBFX - Expense Ratio Comparison
GDL has a 0.03% expense ratio, which is lower than ARBFX's 1.43% expense ratio.
Dividends
GDL vs. ARBFX - Dividend Comparison
GDL's dividend yield for the trailing twelve months is around 5.68%, more than ARBFX's 3.55% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ARBFX The Arbitrage Fund | 3.55% | 3.59% | 0.94% | 1.92% | 3.67% | 0.53% | 6.94% | 2.12% | 1.71% | 3.55% | 0.96% | 2.36% |
GDL The GDL Fund | 5.68% | 5.67% | 5.99% | 5.97% | 6.12% | 5.38% | 5.28% | 4.30% | 4.36% | 5.96% | 6.50% | 6.39% |
Frequently Asked Questions
GDL and ARBFX have a correlation of 0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GDL has higher volatility (1.42%) compared to ARBFX (0.46%). In terms of maximum drawdown, GDL dropped -38.74% vs ARBFX's -38.01%.
ARBFX currently has the higher Sharpe Ratio (3.20 vs 1.04), 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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