CHI vs. CSQ

Last updated Jun 6, 2026

CHI (Calamos Convertible Opportunities and Income Fund) and CSQ (Calamos Strategic Total Return Fund) are both mutual funds - CHI is a Convertible Bonds fund actively managed by Calamos, while CSQ is a Diversified Portfolio fund actively managed by Calamos. Both are actively managed. Over the past 10 years, CHI returned 12.74%/yr vs 15.93%/yr for CSQ. A 0.54 correlation means they provide meaningful diversification when combined. CHI charges 0.88%/yr vs 2.46%/yr for CSQ.

Performance

CHI vs. CSQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Convertible Opportunities and Income Fund (CHI) and Calamos Strategic Total Return Fund (CSQ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CHI achieves a 22.83% return, which is significantly higher than CSQ's 6.74% return. Over the past 10 years, CHI has underperformed CSQ with an annualized return of 12.74%, while CSQ has yielded a comparatively higher 15.93% annualized return.

CHI

• 1D: -2.88%
• 1M: 0.36%
• YTD: 22.83%
• 6M: 20.86%
• 1Y: 36.08%
• 3Y*: 16.56%
• 5Y*: 6.32%
• 10Y*: 12.74%

CSQ

• 1D: -3.29%
• 1M: -0.30%
• YTD: 6.74%
• 6M: 7.15%
• 1Y: 22.76%
• 3Y*: 20.92%
• 5Y*: 10.54%
• 10Y*: 15.93%

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

CHI vs. CSQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CHI Calamos Convertible Opportunities and Income Fund	22.83%	-2.15%	27.23%	9.49%	-23.31%	20.31%	33.82%	35.66%	-12.67%	22.70%
CSQ Calamos Strategic Total Return Fund	6.74%	16.25%	28.11%	20.80%	-24.26%	30.77%	26.22%	38.62%	-4.89%	27.98%

Correlation

The correlation between CHI and CSQ is 0.70, 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	0.70
Correlation (3Y) Calculated over the trailing 3-year period	0.60
Correlation (5Y) Calculated over the trailing 5-year period	0.61
Correlation (10Y) Calculated over the trailing 10-year period	0.62
Correlation (All Time) Calculated using the full available price history since Apr 2, 2004	0.54

The correlation between CHI and CSQ shifts across timeframes, from 0.54 (all time) to 0.70 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

CHI vs. CSQ — Risk / Return Rank

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

CHI

CHI Risk / Return Rank: 63
CHI Sharpe Ratio Rank: 57
CHI Sortino Ratio Rank: 51
CHI Omega Ratio Rank: 54
CHI Calmar Ratio Rank: 78
CHI Martin Ratio Rank: 73

CSQ

CSQ Risk / Return Rank: 28
CSQ Sharpe Ratio Rank: 32
CSQ Sortino Ratio Rank: 27
CSQ Omega Ratio Rank: 31
CSQ Calmar Ratio Rank: 19
CSQ Martin Ratio Rank: 29

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.

CHI vs. CSQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Convertible Opportunities and Income Fund (CHI) and Calamos Strategic Total Return Fund (CSQ). 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.

	CHI	CSQ	Difference
Sharpe ratio: Return per unit of total volatility	2.15	1.55	+0.60
Sortino ratio: Return per unit of downside risk	2.91	2.08	+0.83
Omega ratio: Gain probability vs. loss probability	1.39	1.28	+0.11
Calmar ratio: Return relative to maximum drawdown	3.39	1.50	+1.89
Martin ratio: Return relative to average drawdown	13.35	6.47	+6.88
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CHI vs. CSQ - Sharpe Ratio Comparison

The current CHI Sharpe Ratio is 2.15, which is higher than the CSQ Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of CHI and CSQ, 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

	CHI	CSQ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.15	1.55	+0.60
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.32	0.53	-0.21
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.55	0.69	-0.14
Sharpe Ratio (All Time) Calculated using the full available price history	0.41	0.42	-0.01

Drawdowns

CHI vs. CSQ - Drawdown Comparison

The maximum CHI drawdown since its inception was -64.72%, roughly equal to the maximum CSQ drawdown of -67.17%. Use the drawdown chart below to compare losses from any high point for CHI and CSQ.

Drawdown Indicators

	CHI	CSQ	Difference
Max Drawdown Largest peak-to-trough decline	-64.72%	-67.17%	+2.45%
Max Drawdown (1Y) Largest decline over 1 year	-10.71%	-15.25%	+4.54%
Max Drawdown (3Y) Largest decline over 3 years	-27.52%	-24.18%	-3.34%
Max Drawdown (5Y) Largest decline over 5 years	-36.03%	-33.09%	-2.94%
Max Drawdown (10Y) Largest decline over 10 years	-49.64%	-48.21%	-1.43%
Current Drawdown Current decline from peak	-3.04%	-3.57%	+0.53%
Average Drawdown Average peak-to-trough decline	-9.67%	-9.34%	-0.33%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.71%	3.53%	-0.82%

Volatility

CHI vs. CSQ - Volatility Comparison

Calamos Convertible Opportunities and Income Fund (CHI) has a higher volatility of 7.13% compared to Calamos Strategic Total Return Fund (CSQ) at 5.04%. This indicates that CHI's price experiences larger fluctuations and is considered to be riskier than CSQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CHI	CSQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.13%	5.04%	+2.09%
Volatility (6M) Calculated over the trailing 6-month period	13.82%	12.11%	+1.71%
Volatility (1Y) Calculated over the trailing 1-year period	16.84%	14.77%	+2.07%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.07%	20.02%	+0.05%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.20%	23.00%	+0.20%

CHI vs. CSQ - Expense Ratio Comparison

CHI has a 0.88% expense ratio, which is lower than CSQ's 2.46% expense ratio.

Dividends

CHI vs. CSQ - Dividend Comparison

CHI's dividend yield for the trailing twelve months is around 9.15%, more than CSQ's 6.66% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CHI Calamos Convertible Opportunities and Income Fund	9.15%	10.88%	9.55%	11.00%	10.85%	7.54%	6.75%	8.49%	12.19%	10.19%	11.30%	11.50%
CSQ Calamos Strategic Total Return Fund	6.66%	6.51%	6.95%	8.27%	9.17%	6.38%	7.03%	7.14%	9.35%	8.20%	9.64%	10.00%

Frequently Asked Questions

Can I hold both CHI and CSQ in my portfolio?

CHI and CSQ have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CHI or CSQ?

CHI has higher volatility (7.13%) compared to CSQ (5.04%). In terms of maximum drawdown, CHI dropped -64.72% vs CSQ's -67.17%.

Which has better risk-adjusted returns?

CHI currently has the higher Sharpe Ratio (2.15 vs 1.55), 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.