CHY vs. ANNPX
CHY (Calamos Convertible and High Income Closed Fund) and ANNPX (Virtus Convertible Fund) are both Convertible Bonds funds. Over the past 10 years, CHY returned 13.17%/yr vs 14.61%/yr for ANNPX. A 0.53 correlation means they provide meaningful diversification when combined. CHY charges 2.64%/yr vs 0.71%/yr for ANNPX.
Performance
CHY vs. ANNPX - Performance Comparison
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Returns By Period
In the year-to-date period, CHY achieves a 22.79% return, which is significantly higher than ANNPX's 19.49% return. Over the past 10 years, CHY has underperformed ANNPX with an annualized return of 13.17%, while ANNPX has yielded a comparatively higher 14.61% annualized return.
CHY
- 1D
- 0.53%
- 1M
- 3.10%
- YTD
- 22.79%
- 6M
- 19.12%
- 1Y
- 37.33%
- 3Y*
- 19.00%
- 5Y*
- 6.23%
- 10Y*
- 13.17%
ANNPX
- 1D
- -0.67%
- 1M
- 0.14%
- YTD
- 19.49%
- 6M
- 17.75%
- 1Y
- 39.70%
- 3Y*
- 20.24%
- 5Y*
- 7.99%
- 10Y*
- 14.61%
CHY vs. ANNPX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CHY Calamos Convertible and High Income Closed Fund | 22.79% | 3.97% | 17.24% | 20.78% | -28.05% | 22.17% | 36.75% | 32.63% | -12.60% | 24.44% |
ANNPX Virtus Convertible Fund | 19.49% | 22.50% | 14.13% | 8.39% | -18.65% | 4.96% | 55.99% | 26.45% | 2.76% | 15.22% |
Correlation
The correlation between CHY and ANNPX 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 | 0.64 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.66 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.64 |
Correlation (All Time) Calculated using the full available price history since May 29, 2003 | 0.53 |
Over the past year, CHY and ANNPX have become more correlated (0.74) than their long-term average of 0.53, meaning their price movements have been converging.
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Return for Risk
CHY vs. ANNPX — Risk / Return Rank
CHY
ANNPX
CHY vs. ANNPX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Convertible and High Income Closed Fund (CHY) and Virtus Convertible Fund (ANNPX). 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.
| CHY | ANNPX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.36 | ||
| Sortino ratioReturn per unit of downside risk | -0.41 | ||
| Omega ratioGain probability vs. loss probability | 1.42 | 1.46 | -0.04 |
| Calmar ratioReturn relative to maximum drawdown | 3.28 | 5.50 | -2.22 |
| Martin ratioReturn relative to average drawdown | 16.02 | 22.82 | -6.80 |
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Drawdowns
CHY vs. ANNPX - Drawdown Comparison
The maximum CHY drawdown since its inception was -60.53%, which is greater than ANNPX's maximum drawdown of -55.61%. Use the drawdown chart below to compare losses from any high point for CHY and ANNPX.
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Drawdown Indicators
| CHY | ANNPX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.53% | -55.61% | -4.92% |
Max Drawdown (1Y)Largest decline over 1 year | -11.42% | -7.15% | -4.27% |
Max Drawdown (3Y)Largest decline over 3 years | -24.32% | -13.67% | -10.65% |
Max Drawdown (5Y)Largest decline over 5 years | -35.99% | -26.85% | -9.14% |
Max Drawdown (10Y)Largest decline over 10 years | -50.41% | -27.36% | -23.05% |
Current DrawdownCurrent decline from peak | -1.04% | -2.15% | +1.11% |
Average DrawdownAverage peak-to-trough decline | -9.09% | -17.42% | +8.33% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.34% | 1.72% | +0.62% |
Volatility
CHY vs. ANNPX - Volatility Comparison
Calamos Convertible and High Income Closed Fund (CHY) and Virtus Convertible Fund (ANNPX) have volatilities of 5.61% and 5.68%, 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.
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Volatility by Period
| CHY | ANNPX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.61% | 5.68% | -0.07% |
Volatility (6M)Calculated over the trailing 6-month period | 14.02% | 12.08% | +1.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.38% | 14.85% | +1.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.44% | 13.02% | +6.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.29% | 13.65% | +9.64% |
CHY vs. ANNPX - Expense Ratio Comparison
CHY has a 2.64% expense ratio, which is higher than ANNPX's 0.71% expense ratio.
Dividends
CHY vs. ANNPX - Dividend Comparison
CHY's dividend yield for the trailing twelve months is around 9.00%, less than ANNPX's 9.23% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ANNPX Virtus Convertible Fund | 9.23% | 11.32% | 2.31% | 2.56% | 1.55% | 20.74% | 6.94% | 5.12% | 18.79% | 23.47% | 2.88% | 10.63% |
CHY Calamos Convertible and High Income Closed Fund | 9.00% | 10.61% | 9.88% | 10.46% | 11.37% | 7.42% | 7.14% | 8.72% | 12.13% | 10.13% | 11.37% | 11.42% |
Frequently Asked Questions
CHY and ANNPX 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.
ANNPX has higher volatility (5.68%) compared to CHY (5.61%). In terms of maximum drawdown, CHY dropped -60.53% vs ANNPX's -55.61%.
ANNPX currently has the higher Sharpe Ratio (2.65 vs 2.29), 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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