ANNPX vs. NCZ

Last updated Jun 4, 2026

ANNPX (Virtus Convertible Fund) and NCZ (Virtus Convertible and Income Fund II) are both Convertible Bonds funds. Over the past 10 years, ANNPX returned 14.60%/yr vs 8.98%/yr for NCZ. A 0.54 correlation means they provide meaningful diversification when combined. ANNPX charges 0.71%/yr vs 0.03%/yr for NCZ.

Performance

ANNPX vs. NCZ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Virtus Convertible Fund (ANNPX) and Virtus Convertible and Income Fund II (NCZ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ANNPX achieves a 21.91% return, which is significantly higher than NCZ's 18.39% return. Over the past 10 years, ANNPX has outperformed NCZ with an annualized return of 14.60%, while NCZ has yielded a comparatively lower 8.98% annualized return.

ANNPX

• 1D: 1.01%
• 1M: 6.09%
• YTD: 21.91%
• 6M: 21.76%
• 1Y: 45.57%
• 3Y*: 21.53%
• 5Y*: 9.38%
• 10Y*: 14.60%

NCZ

• 1D: -1.69%
• 1M: 3.34%
• YTD: 18.39%
• 6M: 18.55%
• 1Y: 41.62%
• 3Y*: 23.93%
• 5Y*: 6.41%
• 10Y*: 8.98%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ANNPX vs. NCZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ANNPX Virtus Convertible Fund	21.91%	22.50%	14.13%	8.39%	-18.65%	4.96%	55.99%	26.45%	2.76%	15.22%
NCZ Virtus Convertible and Income Fund II	18.39%	23.23%	18.40%	17.75%	-35.93%	9.24%	11.04%	27.19%	-18.66%	24.89%

Correlation

The correlation between ANNPX and NCZ is 0.69, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.69
Correlation (3Y) Calculated over the trailing 3-year period	0.68
Correlation (5Y) Calculated over the trailing 5-year period	0.70
Correlation (10Y) Calculated over the trailing 10-year period	0.64
Correlation (All Time) Calculated using the full available price history since Jul 30, 2003	0.54

The correlation between ANNPX and NCZ shifts across timeframes, from 0.54 (all time) to 0.70 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

ANNPX vs. NCZ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ANNPX

ANNPX Risk / Return Rank: 93
ANNPX Sharpe Ratio Rank: 95
ANNPX Sortino Ratio Rank: 89
ANNPX Omega Ratio Rank: 85
ANNPX Calmar Ratio Rank: 96
ANNPX Martin Ratio Rank: 98

NCZ

NCZ Risk / Return Rank: 74
NCZ Sharpe Ratio Rank: 79
NCZ Sortino Ratio Rank: 66
NCZ Omega Ratio Rank: 65
NCZ Calmar Ratio Rank: 77
NCZ Martin Ratio Rank: 84

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

ANNPX vs. NCZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus Convertible Fund (ANNPX) and Virtus Convertible and Income Fund II (NCZ). 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.

	ANNPX	NCZ	Difference
Sharpe ratio: Return per unit of total volatility	3.33	2.58	+0.75
Sortino ratio: Return per unit of downside risk	4.28	3.41	+0.87
Omega ratio: Gain probability vs. loss probability	1.58	1.45	+0.12
Calmar ratio: Return relative to maximum drawdown	6.50	3.50	+3.00
Martin ratio: Return relative to average drawdown	28.78	15.76	+13.02
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ANNPX vs. NCZ - Sharpe Ratio Comparison

The current ANNPX Sharpe Ratio is 3.33, which is comparable to the NCZ Sharpe Ratio of 2.58. The chart below compares the historical Sharpe Ratios of ANNPX and NCZ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ANNPX	NCZ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.33	2.58	+0.75
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.73	0.30	+0.43
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	1.08	0.37	+0.71
Sharpe Ratio (All Time) Calculated using the full available price history	0.55	0.23	+0.33

Drawdowns

ANNPX vs. NCZ - Drawdown Comparison

The maximum ANNPX drawdown since its inception was -55.61%, smaller than the maximum NCZ drawdown of -79.48%. Use the drawdown chart below to compare losses from any high point for ANNPX and NCZ.

Drawdown Indicators

	ANNPX	NCZ	Difference
Max Drawdown Largest peak-to-trough decline	-55.61%	-79.48%	+23.87%
Max Drawdown (1Y) Largest decline over 1 year	-7.15%	-11.94%	+4.79%
Max Drawdown (3Y) Largest decline over 3 years	-13.67%	-19.54%	+5.87%
Max Drawdown (5Y) Largest decline over 5 years	-26.85%	-43.93%	+17.08%
Max Drawdown (10Y) Largest decline over 10 years	-27.36%	-56.08%	+28.72%
Current Drawdown Current decline from peak	0.00%	-1.69%	+1.69%
Average Drawdown Average peak-to-trough decline	-17.45%	-14.35%	-3.10%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.61%	2.65%	-1.04%

Volatility

ANNPX vs. NCZ - Volatility Comparison

The current volatility for Virtus Convertible Fund (ANNPX) is 4.58%, while Virtus Convertible and Income Fund II (NCZ) has a volatility of 5.45%. This indicates that ANNPX experiences smaller price fluctuations and is considered to be less risky than NCZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ANNPX	NCZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.58%	5.45%	-0.87%
Volatility (6M) Calculated over the trailing 6-month period	11.25%	12.69%	-1.44%
Volatility (1Y) Calculated over the trailing 1-year period	13.97%	16.21%	-2.24%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.84%	21.32%	-8.48%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.59%	24.27%	-10.68%

ANNPX vs. NCZ - Expense Ratio Comparison

ANNPX has a 0.71% expense ratio, which is higher than NCZ's 0.03% expense ratio.

Dividends

ANNPX vs. NCZ - Dividend Comparison

ANNPX's dividend yield for the trailing twelve months is around 9.23%, which matches NCZ's 9.20% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ANNPX Virtus Convertible Fund	9.23%	11.32%	2.31%	2.56%	1.55%	20.74%	6.94%	5.12%	18.79%	23.47%	2.88%	10.63%
NCZ Virtus Convertible and Income Fund II	9.20%	10.45%	11.50%	12.84%	15.62%	8.82%	9.28%	11.28%	15.33%	13.80%	12.08%	18.02%

Frequently Asked Questions

Can I hold both ANNPX and NCZ in my portfolio?

ANNPX and NCZ have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ANNPX or NCZ?

NCZ has higher volatility (5.45%) compared to ANNPX (4.58%). In terms of maximum drawdown, ANNPX dropped -55.61% vs NCZ's -79.48%.

Which has better risk-adjusted returns?

ANNPX currently has the higher Sharpe Ratio (3.33 vs 2.58), 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.