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CCD vs. ICVT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between CCD and ICVT is 0.54, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


Performance

CCD vs. ICVT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Dynamic Convertible and Income Fund (CCD) and iShares Convertible Bond ETF (ICVT). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

CCD:

0.02

ICVT:

1.28

Sortino Ratio

CCD:

0.08

ICVT:

1.69

Omega Ratio

CCD:

1.01

ICVT:

1.22

Calmar Ratio

CCD:

-0.04

ICVT:

0.51

Martin Ratio

CCD:

-0.12

ICVT:

4.08

Ulcer Index

CCD:

7.36%

ICVT:

3.16%

Daily Std Dev

CCD:

19.93%

ICVT:

10.91%

Max Drawdown

CCD:

-55.42%

ICVT:

-37.27%

Current Drawdown

CCD:

-17.04%

ICVT:

-14.57%

Returns By Period

In the year-to-date period, CCD achieves a -14.21% return, which is significantly lower than ICVT's 3.14% return.


CCD

YTD

-14.21%

1M

-5.55%

6M

-10.86%

1Y

0.41%

3Y*

5.92%

5Y*

9.88%

10Y*

8.30%

ICVT

YTD

3.14%

1M

2.87%

6M

-1.36%

1Y

13.91%

3Y*

8.01%

5Y*

7.66%

10Y*

N/A

*Annualized

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iShares Convertible Bond ETF

Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

CCD vs. ICVT — Risk-Adjusted Performance Rank

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

CCD
The Risk-Adjusted Performance Rank of CCD is 4444
Overall Rank
The Sharpe Ratio Rank of CCD is 5050
Sharpe Ratio Rank
The Sortino Ratio Rank of CCD is 3838
Sortino Ratio Rank
The Omega Ratio Rank of CCD is 3737
Omega Ratio Rank
The Calmar Ratio Rank of CCD is 4848
Calmar Ratio Rank
The Martin Ratio Rank of CCD is 4747
Martin Ratio Rank

ICVT
The Risk-Adjusted Performance Rank of ICVT is 7676
Overall Rank
The Sharpe Ratio Rank of ICVT is 8585
Sharpe Ratio Rank
The Sortino Ratio Rank of ICVT is 8484
Sortino Ratio Rank
The Omega Ratio Rank of ICVT is 8181
Omega Ratio Rank
The Calmar Ratio Rank of ICVT is 5454
Calmar Ratio Rank
The Martin Ratio Rank of ICVT is 7979
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

CCD vs. ICVT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Dynamic Convertible and Income Fund (CCD) and iShares Convertible Bond ETF (ICVT). 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.


The current CCD Sharpe Ratio is 0.02, which is lower than the ICVT Sharpe Ratio of 1.28. The chart below compares the historical Sharpe Ratios of CCD and ICVT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

CCD vs. ICVT - Dividend Comparison

CCD's dividend yield for the trailing twelve months is around 11.62%, more than ICVT's 2.21% yield.


TTM2024202320222021202020192018201720162015
CCD
Calamos Dynamic Convertible and Income Fund
11.62%9.63%11.83%11.42%7.43%7.11%9.47%12.21%9.99%11.43%7.40%
ICVT
iShares Convertible Bond ETF
2.21%2.19%1.85%1.93%1.14%1.13%1.86%4.82%2.56%3.06%1.57%

Drawdowns

CCD vs. ICVT - Drawdown Comparison

The maximum CCD drawdown since its inception was -55.42%, which is greater than ICVT's maximum drawdown of -37.27%. Use the drawdown chart below to compare losses from any high point for CCD and ICVT.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

CCD vs. ICVT - Volatility Comparison

Calamos Dynamic Convertible and Income Fund (CCD) has a higher volatility of 4.93% compared to iShares Convertible Bond ETF (ICVT) at 2.58%. This indicates that CCD's price experiences larger fluctuations and is considered to be riskier than ICVT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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