CHI vs. FUND
CHI (Calamos Convertible Opportunities and Income Fund) is Convertible Bonds fund actively managed by Calamos, while FUND (Sprott Focus Trust, Inc.) is a stock. Over the past 10 years, CHI returned 12.23%/yr vs 12.00%/yr for FUND. Their 0.42 correlation means their historical movements had little consistent relationship.
Performance
CHI vs. FUND - Performance Comparison
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Returns By Period
In the year-to-date period, CHI achieves a 25.35% return, which is significantly higher than FUND's 17.52% return. Both investments have delivered pretty close results over the past 10 years, with CHI having a 12.23% annualized return and FUND not far behind at 12.00%.
CHI
- 1D
- 1.21%
- 1M
- -3.44%
- 6M
- 16.98%
- YTD
- 25.35%
- 1Y
- 35.42%
- 3Y*
- 14.65%
- 5Y*
- 6.12%
- 10Y*
- 12.23%
- ALL TIME*
- 9.73%
FUND
- 1D
- -0.80%
- 1M
- 4.20%
- 6M
- 8.75%
- YTD
- 17.52%
- 1Y
- 40.03%
- 3Y*
- 13.39%
- 5Y*
- 11.84%
- 10Y*
- 12.00%
- ALL TIME*
- 9.19%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $2.29M | $2.24M | $2.26M | |
| $210.67K | $348.31K | $262.44K |
CHI vs. FUND - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CHI Calamos Convertible Opportunities and Income Fund | 25.35% | -2.15% | 27.23% | 9.49% | -23.31% | 20.31% | 33.82% | 35.66% | -12.67% | 22.70% |
FUND Sprott Focus Trust, Inc. | 17.52% | 27.57% | -1.08% | 6.94% | -1.16% | 36.20% | 2.44% | 36.27% | -19.56% | 22.23% |
Correlation
The correlation between CHI and FUND is 0.43, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.43 |
Correlation (3Y) Balances recent behavior with more history. | 0.41 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.46 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.48 |
Correlation (All Time) Calculated using the full available price history since Jun 27, 2002 | 0.42 |
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Return for Risk
CHI vs. FUND — Risk / Return Rank
CHI
FUND
CHI vs. FUND - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Convertible Opportunities and Income Fund (CHI) and Sprott Focus Trust, Inc. (FUND). 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 | FUND | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.55 | ||
| Sortino ratioReturn per unit of downside risk | -0.51 | ||
| Omega ratioGain probability vs. loss probability | 1.33 | 1.41 | -0.09 |
| Calmar ratioReturn relative to maximum drawdown | 3.25 | 3.72 | -0.47 |
| Martin ratioReturn relative to average drawdown | 11.72 | 12.60 | -0.88 |
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Drawdowns
CHI vs. FUND - Drawdown Comparison
The maximum CHI drawdown since its inception was -64.72%, roughly equal to the maximum FUND drawdown of -65.37%. Use the drawdown chart below to compare losses from any high point for CHI and FUND.
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Drawdown Indicators
| CHI | FUND | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -64.72% | -65.37% | +0.65% |
Max Drawdown (1Y)Largest decline over 1 year | -10.71% | -10.32% | -0.39% |
Max Drawdown (3Y)Largest decline over 3 years | -27.52% | -18.25% | -9.27% |
Max Drawdown (5Y)Largest decline over 5 years | -36.03% | -24.67% | -11.36% |
Max Drawdown (10Y)Largest decline over 10 years | -49.64% | -43.32% | -6.32% |
Current DrawdownCurrent decline from peak | -6.10% | -3.87% | -2.23% |
Average DrawdownAverage peak-to-trough decline | -9.62% | -12.31% | +2.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.96% | 3.04% | -0.08% |
Volatility
CHI vs. FUND - Volatility Comparison
Calamos Convertible Opportunities and Income Fund (CHI) has a higher volatility of 6.95% compared to Sprott Focus Trust, Inc. (FUND) at 2.73%. This indicates that CHI's price experiences larger fluctuations and is considered to be riskier than FUND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CHI | FUND | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.95% | 2.73% | +4.22% |
Volatility (6M)Calculated over the trailing 6-month period | 15.30% | 12.66% | +2.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.67% | 15.89% | +2.78% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.33% | 18.64% | +1.69% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.27% | 19.71% | +3.56% |
Dividends
CHI vs. FUND - Dividend Comparison
CHI's dividend yield for the trailing twelve months is around 9.10%, more than FUND's 5.99% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CHI Calamos Convertible Opportunities and Income Fund | 9.10% | 10.88% | 9.55% | 11.00% | 10.85% | 7.54% | 6.75% | 8.49% | 12.19% | 10.19% | 11.30% | 11.50% |
FUND Sprott Focus Trust, Inc. | 5.99% | 6.65% | 8.27% | 6.22% | 6.72% | 8.79% | 7.93% | 6.30% | 11.92% | 6.59% | 5.76% | 7.59% |
Frequently Asked Questions
CHI and FUND have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CHI has higher volatility (6.95%) compared to FUND (2.73%). In terms of maximum drawdown, CHI dropped -64.72% vs FUND's -65.37%.
FUND currently has the higher Sharpe Ratio (2.42 vs 1.86), 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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