CHI vs. CNSDX
CHI (Calamos Convertible Opportunities and Income Fund) and CNSDX (Invesco Convertible Securities Fund) are both Convertible Bonds funds. Over the past 10 years, CHI returned 13.49%/yr vs 11.95%/yr for CNSDX. A 0.52 correlation means they provide meaningful diversification when combined. CHI charges 0.88%/yr vs 0.68%/yr for CNSDX.
Performance
CHI vs. CNSDX - Performance Comparison
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Returns By Period
In the year-to-date period, CHI achieves a 29.12% return, which is significantly higher than CNSDX's 23.81% return. Over the past 10 years, CHI has outperformed CNSDX with an annualized return of 13.49%, while CNSDX has yielded a comparatively lower 11.95% annualized return.
CHI
- 1D
- -1.37%
- 1M
- 5.21%
- YTD
- 29.12%
- 6M
- 25.13%
- 1Y
- 42.44%
- 3Y*
- 17.77%
- 5Y*
- 7.12%
- 10Y*
- 13.49%
CNSDX
- 1D
- -0.20%
- 1M
- 4.90%
- YTD
- 23.81%
- 6M
- 21.66%
- 1Y
- 38.44%
- 3Y*
- 18.64%
- 5Y*
- 8.05%
- 10Y*
- 11.95%
CHI vs. CNSDX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CHI Calamos Convertible Opportunities and Income Fund | 29.12% | -2.15% | 27.23% | 9.49% | -23.31% | 20.31% | 33.82% | 35.66% | -12.67% | 22.70% |
CNSDX Invesco Convertible Securities Fund | 23.81% | 16.24% | 9.95% | 8.18% | -15.51% | 4.69% | 44.68% | 21.25% | -1.60% | 10.68% |
Correlation
The correlation between CHI and CNSDX is 0.74, 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 | 0.74 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.61 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.63 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.63 |
Correlation (All Time) Calculated using the full available price history since Jun 27, 2002 | 0.52 |
Over the past year, CHI and CNSDX have become more correlated (0.74) than their long-term average of 0.52, meaning their price movements have been converging.
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Return for Risk
CHI vs. CNSDX — Risk / Return Rank
CHI
CNSDX
CHI vs. CNSDX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Convertible Opportunities and Income Fund (CHI) and Invesco Convertible Securities Fund (CNSDX). 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.
| CHI | CNSDX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.12 | ||
| Sortino ratioReturn per unit of downside risk | +0.27 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 1.40 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 3.98 | 4.85 | -0.87 |
| Martin ratioReturn relative to average drawdown | 15.67 | 16.87 | -1.20 |
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Drawdowns
CHI vs. CNSDX - Drawdown Comparison
The maximum CHI drawdown since its inception was -64.72%, which is greater than CNSDX's maximum drawdown of -39.33%. Use the drawdown chart below to compare losses from any high point for CHI and CNSDX.
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Drawdown Indicators
| CHI | CNSDX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -64.72% | -39.33% | -25.39% |
Max Drawdown (1Y)Largest decline over 1 year | -10.71% | -8.09% | -2.62% |
Max Drawdown (3Y)Largest decline over 3 years | -27.52% | -13.32% | -14.20% |
Max Drawdown (5Y)Largest decline over 5 years | -36.03% | -22.73% | -13.30% |
Max Drawdown (10Y)Largest decline over 10 years | -49.64% | -24.19% | -25.45% |
Current DrawdownCurrent decline from peak | -1.74% | -0.20% | -1.54% |
Average DrawdownAverage peak-to-trough decline | -9.65% | -6.89% | -2.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.72% | 2.32% | +0.40% |
Volatility
CHI vs. CNSDX - Volatility Comparison
The current volatility for Calamos Convertible Opportunities and Income Fund (CHI) is 5.49%, while Invesco Convertible Securities Fund (CNSDX) has a volatility of 6.63%. This indicates that CHI experiences smaller price fluctuations and is considered to be less risky than CNSDX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CHI | CNSDX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.49% | 6.63% | -1.14% |
Volatility (6M)Calculated over the trailing 6-month period | 14.08% | 13.68% | +0.40% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.22% | 16.66% | +0.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.15% | 12.48% | +7.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.22% | 12.95% | +10.27% |
CHI vs. CNSDX - Expense Ratio Comparison
CHI has a 0.88% expense ratio, which is higher than CNSDX's 0.68% expense ratio.
Dividends
CHI vs. CNSDX - Dividend Comparison
CHI's dividend yield for the trailing twelve months is around 8.77%, less than CNSDX's 9.51% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CHI Calamos Convertible Opportunities and Income Fund | 8.77% | 10.88% | 9.55% | 11.00% | 10.85% | 7.54% | 6.75% | 8.49% | 12.19% | 10.19% | 11.30% | 11.50% |
CNSDX Invesco Convertible Securities Fund | 9.51% | 11.77% | 3.46% | 1.46% | 3.97% | 28.36% | 10.96% | 5.21% | 12.65% | 4.57% | 3.74% | 2.74% |
Frequently Asked Questions
CHI and CNSDX have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CNSDX has higher volatility (6.63%) compared to CHI (5.49%). In terms of maximum drawdown, CHI dropped -64.72% vs CNSDX's -39.33%.
CHI currently has the higher Sharpe Ratio (2.48 vs 2.36), 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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