CHI vs. PCF
CHI (Calamos Convertible Opportunities and Income Fund) and PCF (High Income Securities Fund) are both Convertible Bonds funds. Both are actively managed. Over the past 10 years, CHI returned 13.49%/yr vs 6.12%/yr for PCF. At a 0.32 correlation, their price movements are largely independent.
Performance
CHI vs. PCF - 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 PCF's -6.03% return. Over the past 10 years, CHI has outperformed PCF with an annualized return of 13.49%, while PCF has yielded a comparatively lower 6.12% 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%
PCF
- 1D
- -0.18%
- 1M
- -1.32%
- YTD
- -6.03%
- 6M
- -5.10%
- 1Y
- -3.77%
- 3Y*
- 7.79%
- 5Y*
- 0.25%
- 10Y*
- 6.12%
CHI vs. PCF - 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% |
PCF High Income Securities Fund | -6.03% | 5.31% | 16.66% | 10.45% | -15.56% | 11.44% | 8.13% | 4.22% | 5.46% | 14.58% |
Correlation
The correlation between CHI and PCF is 0.32, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.32 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.30 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.34 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.33 |
Correlation (All Time) Calculated using the full available price history since Jun 27, 2002 | 0.32 |
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Return for Risk
CHI vs. PCF — Risk / Return Rank
CHI
PCF
CHI vs. PCF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Convertible Opportunities and Income Fund (CHI) and High Income Securities Fund (PCF). 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 | PCF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.82 | ||
| Sortino ratioReturn per unit of downside risk | +3.72 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 0.95 | +0.49 |
| Calmar ratioReturn relative to maximum drawdown | 3.98 | -0.35 | +4.34 |
| Martin ratioReturn relative to average drawdown | 15.67 | -0.87 | +16.54 |
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Drawdowns
CHI vs. PCF - Drawdown Comparison
The maximum CHI drawdown since its inception was -64.72%, which is greater than PCF's maximum drawdown of -53.82%. Use the drawdown chart below to compare losses from any high point for CHI and PCF.
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Drawdown Indicators
| CHI | PCF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -64.72% | -53.82% | -10.90% |
Max Drawdown (1Y)Largest decline over 1 year | -10.71% | -10.73% | +0.02% |
Max Drawdown (3Y)Largest decline over 3 years | -27.52% | -13.74% | -13.78% |
Max Drawdown (5Y)Largest decline over 5 years | -36.03% | -29.06% | -6.97% |
Max Drawdown (10Y)Largest decline over 10 years | -49.64% | -45.13% | -4.51% |
Current DrawdownCurrent decline from peak | -1.74% | -7.93% | +6.19% |
Average DrawdownAverage peak-to-trough decline | -9.65% | -10.49% | +0.84% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.72% | 4.35% | -1.63% |
Volatility
CHI vs. PCF - Volatility Comparison
Calamos Convertible Opportunities and Income Fund (CHI) has a higher volatility of 5.49% compared to High Income Securities Fund (PCF) at 4.27%. This indicates that CHI's price experiences larger fluctuations and is considered to be riskier than PCF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CHI | PCF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.49% | 4.27% | +1.22% |
Volatility (6M)Calculated over the trailing 6-month period | 14.08% | 9.59% | +4.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.22% | 11.08% | +6.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.15% | 16.03% | +4.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.22% | 17.52% | +5.70% |
Dividends
CHI vs. PCF - Dividend Comparison
CHI's dividend yield for the trailing twelve months is around 8.77%, less than PCF's 12.94% 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% |
PCF High Income Securities Fund | 12.94% | 11.57% | 11.29% | 11.29% | 13.48% | 10.82% | 11.46% | 3.29% | 6.88% | 3.97% | 4.52% | 5.07% |
Frequently Asked Questions
CHI and PCF have a correlation of 0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CHI has higher volatility (5.49%) compared to PCF (4.27%). In terms of maximum drawdown, CHI dropped -64.72% vs PCF's -53.82%.
CHI currently has the higher Sharpe Ratio (2.48 vs -0.34), 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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