CHI vs. NCZ

Last updated Jul 14, 2026

CHI (Calamos Convertible Opportunities and Income Fund) and NCZ (Virtus Convertible and Income Fund II) are both Convertible Bonds funds. Over the past 10 years, CHI returned 12.90%/yr vs 8.39%/yr for NCZ. A 0.57 correlation means they provide meaningful diversification when combined. CHI charges 0.88%/yr vs 0.03%/yr for NCZ.

Performance

CHI vs. NCZ - Performance Comparison

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

Returns By Period

In the year-to-date period, CHI achieves a 31.70% return, which is significantly higher than NCZ's 17.53% return. Over the past 10 years, CHI has outperformed NCZ with an annualized return of 12.90%, while NCZ has yielded a comparatively lower 8.39% annualized return.

CHI

• 1D: -1.27%
• 1M: 5.32%
• 6M: 24.34%
• YTD: 31.70%
• 1Y: 40.15%
• 3Y*: 17.89%
• 5Y*: 7.33%
• 10Y*: 12.90%

NCZ

• 1D: -2.61%
• 1M: -0.54%
• 6M: 12.86%
• YTD: 17.53%
• 1Y: 30.69%
• 3Y*: 20.77%
• 5Y*: 5.42%
• 10Y*: 8.39%

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

CHI vs. NCZ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CHI Calamos Convertible Opportunities and Income Fund	31.70%	-2.15%	27.23%	9.49%	-23.31%	20.31%	33.82%	35.66%	-12.67%	22.70%
NCZ Virtus Convertible and Income Fund II	17.53%	23.23%	18.40%	17.75%	-35.93%	9.24%	11.04%	27.19%	-18.66%	24.89%

Correlation

The correlation between CHI and NCZ is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.60
Correlation (5Y) Calculated over the trailing 5-year period	0.62
Correlation (10Y) Calculated over the trailing 10-year period	0.63
Correlation (All Time) Calculated using the full available price history since Jul 29, 2003	0.57

Over the past year, CHI and NCZ have become more correlated (0.81) than their long-term average of 0.57, meaning their price movements have been converging.

Return for Risk

CHI vs. NCZ — Risk / Return Rank

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

CHI

CHI Risk / Return Rank: 86
CHI Sharpe Ratio Rank: 86
CHI Sortino Ratio Rank: 82
CHI Omega Ratio Rank: 80
CHI Calmar Ratio Rank: 91
CHI Martin Ratio Rank: 92

NCZ

NCZ Risk / Return Rank: 67
NCZ Sharpe Ratio Rank: 67
NCZ Sortino Ratio Rank: 60
NCZ Omega Ratio Rank: 57
NCZ Calmar Ratio Rank: 70
NCZ Martin Ratio Rank: 80

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. NCZ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Convertible Opportunities and Income Fund (CHI) and Virtus Convertible and Income Fund II (NCZ). 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	NCZ	Difference
Sharpe ratio: Return per unit of total volatility	2.29	1.80	+0.49
Sortino ratio: Return per unit of downside risk	3.10	2.45	+0.66
Omega ratio: Gain probability vs. loss probability	1.40	1.31	+0.09
Calmar ratio: Return relative to maximum drawdown	3.77	2.58	+1.19
Martin ratio: Return relative to average drawdown	14.68	11.26	+3.42

CHI vs. NCZ - Sharpe Ratio Comparison

The current CHI Sharpe Ratio is 2.29, which is comparable to the NCZ Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of CHI and NCZ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CHI vs. NCZ - Drawdown Comparison

The maximum CHI drawdown since its inception was -64.72%, smaller than the maximum NCZ drawdown of -79.48%. Use the drawdown chart below to compare losses from any high point for CHI and NCZ.

Drawdown Indicators

	CHI	NCZ	Difference
Max Drawdown Largest peak-to-trough decline	-64.72%	-79.48%	+14.76%
Max Drawdown (1Y) Largest decline over 1 year	-10.71%	-11.94%	+1.23%
Max Drawdown (3Y) Largest decline over 3 years	-27.52%	-19.54%	-7.98%
Max Drawdown (5Y) Largest decline over 5 years	-36.03%	-43.93%	+7.90%
Max Drawdown (10Y) Largest decline over 10 years	-49.64%	-56.08%	+6.44%
Current Drawdown Current decline from peak	-1.34%	-3.10%	+1.76%
Average Drawdown Average peak-to-trough decline	-9.63%	-14.29%	+4.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.74%	2.74%	0.00%

Volatility

CHI vs. NCZ - Volatility Comparison

Calamos Convertible Opportunities and Income Fund (CHI) and Virtus Convertible and Income Fund II (NCZ) have volatilities of 5.74% and 5.64%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CHI	NCZ	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.74%	5.64%	+0.10%
Volatility (6M) Calculated over the trailing 6-month period	14.13%	13.43%	+0.70%
Volatility (1Y) Calculated over the trailing 1-year period	17.66%	17.12%	+0.54%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.23%	21.42%	-1.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.20%	24.29%	-1.09%

CHI vs. NCZ - Expense Ratio Comparison

CHI has a 0.88% expense ratio, which is higher than NCZ's 0.03% expense ratio.

Dividends

CHI vs. NCZ - Dividend Comparison

CHI's dividend yield for the trailing twelve months is around 8.60%, less than NCZ's 9.41% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CHI Calamos Convertible Opportunities and Income Fund	8.60%	10.88%	9.55%	11.00%	10.85%	7.54%	6.75%	8.49%	12.19%	10.19%	11.30%	11.50%
NCZ Virtus Convertible and Income Fund II	9.41%	10.45%	11.50%	12.84%	15.62%	8.82%	9.28%	11.28%	15.33%	13.80%	12.08%	18.02%

Frequently Asked Questions

Can I hold both CHI and NCZ in my portfolio?

CHI and NCZ have a correlation of 0.81, 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 NCZ?

CHI has higher volatility (5.74%) compared to NCZ (5.64%). In terms of maximum drawdown, CHI dropped -64.72% vs NCZ's -79.48%.

Which has better risk-adjusted returns?

CHI currently has the higher Sharpe Ratio (2.29 vs 1.80), 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.