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

Key characteristics


CCDSPY
YTD Return34.27%26.49%
1Y Return49.23%38.06%
3Y Return (Ann)0.10%9.93%
5Y Return (Ann)13.73%15.84%
Sharpe Ratio2.973.11
Sortino Ratio4.034.14
Omega Ratio1.511.58
Calmar Ratio1.424.54
Martin Ratio19.1420.57
Ulcer Index2.53%1.86%
Daily Std Dev16.29%12.29%
Max Drawdown-55.42%-55.19%
Current Drawdown-4.44%0.00%

Correlation

-0.50.00.51.00.5

The correlation between CCD and SPY is 0.53, 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. SPY - Performance Comparison

In the year-to-date period, CCD achieves a 34.27% return, which is significantly higher than SPY's 26.49% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
12.50%
15.23%
CCD
SPY

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Risk-Adjusted Performance

CCD vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Dynamic Convertible and Income Fund (CCD) and SPDR S&P 500 ETF (SPY). 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.


CCD
Sharpe ratio
The chart of Sharpe ratio for CCD, currently valued at 2.97, compared to the broader market-4.00-2.000.002.004.002.97
Sortino ratio
The chart of Sortino ratio for CCD, currently valued at 4.03, compared to the broader market-4.00-2.000.002.004.004.03
Omega ratio
The chart of Omega ratio for CCD, currently valued at 1.51, compared to the broader market0.501.001.502.001.51
Calmar ratio
The chart of Calmar ratio for CCD, currently valued at 1.42, compared to the broader market0.002.004.006.001.42
Martin ratio
The chart of Martin ratio for CCD, currently valued at 19.14, compared to the broader market-10.000.0010.0020.0030.0019.14
SPY
Sharpe ratio
The chart of Sharpe ratio for SPY, currently valued at 3.11, compared to the broader market-4.00-2.000.002.004.003.11
Sortino ratio
The chart of Sortino ratio for SPY, currently valued at 4.14, compared to the broader market-4.00-2.000.002.004.004.14
Omega ratio
The chart of Omega ratio for SPY, currently valued at 1.58, compared to the broader market0.501.001.502.001.58
Calmar ratio
The chart of Calmar ratio for SPY, currently valued at 4.54, compared to the broader market0.002.004.006.004.54
Martin ratio
The chart of Martin ratio for SPY, currently valued at 20.57, compared to the broader market-10.000.0010.0020.0030.0020.57

CCD vs. SPY - Sharpe Ratio Comparison

The current CCD Sharpe Ratio is 2.97, which is comparable to the SPY Sharpe Ratio of 3.11. The chart below compares the historical Sharpe Ratios of CCD and SPY, 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
2.97
3.11
CCD
SPY

Dividends

CCD vs. SPY - Dividend Comparison

CCD's dividend yield for the trailing twelve months is around 9.51%, more than SPY's 1.18% yield.


TTM20232022202120202019201820172016201520142013
CCD
Calamos Dynamic Convertible and Income Fund
9.51%11.83%11.42%7.43%7.11%9.47%12.21%9.99%11.43%7.40%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.18%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

CCD vs. SPY - Drawdown Comparison

The maximum CCD drawdown since its inception was -55.42%, roughly equal to the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CCD and SPY. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.44%
0
CCD
SPY

Volatility

CCD vs. SPY - Volatility Comparison

Calamos Dynamic Convertible and Income Fund (CCD) has a higher volatility of 4.81% compared to SPDR S&P 500 ETF (SPY) at 3.95%. This indicates that CCD's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%JuneJulyAugustSeptemberOctoberNovember
4.81%
3.95%
CCD
SPY