WCEIX vs. ARBFX
WCEIX (Virtus Westchester Event-Driven Fund) and ARBFX (The Arbitrage Fund) are both Event Driven funds. Over the past 10 years, WCEIX returned 4.58%/yr vs 3.24%/yr for ARBFX. A 0.63 correlation means they provide meaningful diversification when combined. WCEIX charges 1.63%/yr vs 1.43%/yr for ARBFX.
Performance
WCEIX vs. ARBFX - Performance Comparison
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Returns By Period
In the year-to-date period, WCEIX achieves a 1.26% return, which is significantly higher than ARBFX's 1.12% return. Over the past 10 years, WCEIX has outperformed ARBFX with an annualized return of 4.58%, while ARBFX has yielded a comparatively lower 3.24% annualized return.
WCEIX
- 1D
- 0.29%
- 1M
- 0.19%
- YTD
- 1.26%
- 6M
- 1.46%
- 1Y
- 5.39%
- 3Y*
- 6.13%
- 5Y*
- 2.40%
- 10Y*
- 4.58%
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%
WCEIX vs. ARBFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
WCEIX Virtus Westchester Event-Driven Fund | 1.26% | 7.90% | 3.24% | 5.86% | -2.79% | 1.76% | 6.53% | 11.13% | 5.27% | 4.72% |
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 WCEIX and ARBFX is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.45 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.61 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.72 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.65 |
Correlation (All Time) Calculated using the full available price history since Jan 6, 2014 | 0.63 |
The correlation between WCEIX and ARBFX shifts across timeframes, from 0.45 (1 year) to 0.72 (5 years), reflecting how their relationship changes across market environments.
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Return for Risk
WCEIX vs. ARBFX — Risk / Return Rank
WCEIX
ARBFX
WCEIX vs. ARBFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Virtus Westchester Event-Driven Fund (WCEIX) 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.
| WCEIX | ARBFX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.45 | ||
| Sortino ratioReturn per unit of downside risk | -2.79 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.74 | -0.37 |
| Calmar ratioReturn relative to maximum drawdown | 4.02 | 6.74 | -2.71 |
| Martin ratioReturn relative to average drawdown | 13.34 | 29.71 | -16.37 |
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Drawdowns
WCEIX vs. ARBFX - Drawdown Comparison
The maximum WCEIX drawdown since its inception was -21.65%, smaller than the maximum ARBFX drawdown of -38.01%. Use the drawdown chart below to compare losses from any high point for WCEIX and ARBFX.
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Drawdown Indicators
| WCEIX | ARBFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -21.65% | -38.01% | +16.36% |
Max Drawdown (1Y)Largest decline over 1 year | -1.35% | -0.88% | -0.47% |
Max Drawdown (3Y)Largest decline over 3 years | -4.21% | -2.26% | -1.95% |
Max Drawdown (5Y)Largest decline over 5 years | -9.50% | -6.87% | -2.63% |
Max Drawdown (10Y)Largest decline over 10 years | -21.65% | -11.90% | -9.75% |
Current DrawdownCurrent decline from peak | -0.29% | -0.07% | -0.22% |
Average DrawdownAverage peak-to-trough decline | -2.96% | -2.36% | -0.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.40% | 0.20% | +0.20% |
Volatility
WCEIX vs. ARBFX - Volatility Comparison
Virtus Westchester Event-Driven Fund (WCEIX) has a higher volatility of 1.66% compared to The Arbitrage Fund (ARBFX) at 0.46%. This indicates that WCEIX'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
| WCEIX | ARBFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.66% | 0.46% | +1.20% |
Volatility (6M)Calculated over the trailing 6-month period | 2.39% | 1.14% | +1.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.09% | 1.86% | +1.23% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.12% | 3.64% | +1.48% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.74% | 4.42% | +2.32% |
WCEIX vs. ARBFX - Expense Ratio Comparison
WCEIX has a 1.63% expense ratio, which is higher than ARBFX's 1.43% expense ratio.
Dividends
WCEIX vs. ARBFX - Dividend Comparison
WCEIX's dividend yield for the trailing twelve months is around 11.19%, 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% |
WCEIX Virtus Westchester Event-Driven Fund | 11.19% | 11.33% | 3.88% | 2.49% | 0.21% | 8.42% | 3.18% | 2.34% | 5.56% | 1.01% | 0.87% | 3.21% |
Frequently Asked Questions
WCEIX and ARBFX have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
WCEIX has higher volatility (1.66%) compared to ARBFX (0.46%). In terms of maximum drawdown, WCEIX dropped -21.65% vs ARBFX's -38.01%.
ARBFX currently has the higher Sharpe Ratio (3.20 vs 1.76), 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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