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

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.

0.00%5.00%10.00%15.00%20.00%JuneJulyAugustSeptemberOctoberNovember
13.86%
13.10%
CCD
ICVT

Returns By Period

In the year-to-date period, CCD achieves a 33.85% return, which is significantly higher than ICVT's 13.52% return.


CCD

YTD

33.85%

1M

-3.23%

6M

12.46%

1Y

43.40%

5Y (annualized)

13.84%

10Y (annualized)

N/A

ICVT

YTD

13.52%

1M

3.87%

6M

12.01%

1Y

22.28%

5Y (annualized)

11.63%

10Y (annualized)

N/A

Key characteristics


CCDICVT
Sharpe Ratio2.652.61
Sortino Ratio3.633.71
Omega Ratio1.451.48
Calmar Ratio1.390.84
Martin Ratio15.8114.05
Ulcer Index2.71%1.55%
Daily Std Dev16.12%8.35%
Max Drawdown-55.42%-33.25%
Current Drawdown-4.74%-9.54%

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Correlation

-0.50.00.51.00.5

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.

Risk-Adjusted Performance

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.


Sharpe ratio
The chart of Sharpe ratio for CCD, currently valued at 2.65, compared to the broader market-4.00-2.000.002.004.002.652.61
The chart of Sortino ratio for CCD, currently valued at 3.63, compared to the broader market-4.00-2.000.002.004.003.633.71
The chart of Omega ratio for CCD, currently valued at 1.45, compared to the broader market0.501.001.502.001.451.48
The chart of Calmar ratio for CCD, currently valued at 1.39, compared to the broader market0.002.004.006.001.390.84
The chart of Martin ratio for CCD, currently valued at 15.81, compared to the broader market-10.000.0010.0020.0030.0015.8114.05
CCD
ICVT

The current CCD Sharpe Ratio is 2.65, which is comparable to the ICVT Sharpe Ratio of 2.61. 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.

Rolling 12-month Sharpe Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
2.65
2.61
CCD
ICVT

Dividends

CCD vs. ICVT - Dividend Comparison

CCD's dividend yield for the trailing twelve months is around 9.62%, more than ICVT's 2.23% yield.


TTM202320222021202020192018201720162015
CCD
Calamos Dynamic Convertible and Income Fund
9.62%11.83%11.42%7.43%7.11%9.47%12.21%9.99%11.43%7.40%
ICVT
iShares Convertible Bond ETF
2.23%1.84%1.93%7.70%3.98%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 -33.25%. Use the drawdown chart below to compare losses from any high point for CCD and ICVT. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.74%
-9.54%
CCD
ICVT

Volatility

CCD vs. ICVT - Volatility Comparison

Calamos Dynamic Convertible and Income Fund (CCD) has a higher volatility of 4.79% compared to iShares Convertible Bond ETF (ICVT) at 2.70%. 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.


1.00%2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.79%
2.70%
CCD
ICVT