CHY vs. ARBIX

Last updated Aug 1, 2026

CHY (Calamos Convertible and High Income Closed Fund) and ARBIX (Absolute Convertible Arbitrage Fund Institutional Shares) are both mutual funds - CHY is a Convertible Bonds fund actively managed by Calamos, while ARBIX is a Multistrategy fund actively managed by Absolute Investment Advisers. Both are actively managed. Over the past 5 years, CHY returned 5.42%/yr vs 5.39%/yr for ARBIX. Their 0.34 correlation means their historical movements had little consistent relationship. CHY charges 2.64%/yr vs 1.47%/yr for ARBIX.

Performance

CHY vs. ARBIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Convertible and High Income Closed Fund (CHY) and Absolute Convertible Arbitrage Fund Institutional Shares (ARBIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CHY achieves a 16.46% return, which is significantly higher than ARBIX's 5.14% return.

CHY

• 1D: 0.97%
• 1M: -5.93%
• 6M: 12.29%
• YTD: 16.46%
• 1Y: 28.34%
• 3Y*: 13.83%
• 5Y*: 5.42%
• 10Y*: 11.52%
• ALL TIME*: 8.85%

ARBIX

• 1D: 0.08%
• 1M: 0.08%
• 6M: 3.78%
• YTD: 5.14%
• 1Y: 8.83%
• 3Y*: 7.59%
• 5Y*: 5.39%
• 10Y*: —
• ALL TIME*: 72.46%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ARBIX Absolute Convertible Arbitrage Fund Institutional Shares	$0.00	$0.00	$0.00
CHY Calamos Convertible and High Income Closed Fund	$2.92M	$2.54M	$2.65M

CHY vs. ARBIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CHY Calamos Convertible and High Income Closed Fund	16.46%	3.97%	17.24%	20.78%	-28.05%	22.17%	36.75%	32.63%	-12.60%	4.13%
ARBIX Absolute Convertible Arbitrage Fund Institutional Shares	5.14%	8.29%	7.53%	5.30%	-0.53%	2.95%	9.28%	6.38%	2.07%	8,411.75%

Correlation

The correlation between CHY and ARBIX is 0.56, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.56
Correlation (3Y) Balances recent behavior with more history.	0.35
Correlation (5Y) Shows whether the relationship held over a longer period.	0.38
Correlation (All Time) Calculated using the full available price history since Aug 7, 2017	0.34

Over the past year, CHY and ARBIX have become more correlated (0.56) than their long-term average of 0.34, meaning their price movements have been converging.

Return for Risk

CHY vs. ARBIX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

CHY

CHY Risk / Return Rank: 68
CHY Sharpe Ratio Rank: 64
CHY Sortino Ratio Rank: 60
CHY Omega Ratio Rank: 61
CHY Calmar Ratio Rank: 72
CHY Martin Ratio Rank: 81

ARBIX

ARBIX Risk / Return Rank: 100
ARBIX Sharpe Ratio Rank: 100
ARBIX Sortino Ratio Rank: 100
ARBIX Omega Ratio Rank: 99
ARBIX Calmar Ratio Rank: 100
ARBIX Martin Ratio Rank: 100

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

CHY vs. ARBIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Convertible and High Income Closed Fund (CHY) and Absolute Convertible Arbitrage Fund Institutional Shares (ARBIX). 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	ARBIX	Difference
Sharpe ratio: Return per unit of total volatility	1.54	7.02	-5.48
Sortino ratio: Return per unit of downside risk	2.11	12.67	-10.56
Omega ratio: Gain probability vs. loss probability	1.28	3.26	-1.98
Calmar ratio: Return relative to maximum drawdown	2.35	17.16	-14.81
Martin ratio: Return relative to average drawdown	9.84	91.84	-82.00

CHY vs. ARBIX - Sharpe Ratio Comparison

The current CHY Sharpe Ratio is 1.54, which is lower than the ARBIX Sharpe Ratio of 7.02. The chart below compares the historical Sharpe Ratios of CHY and ARBIX, 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

CHY vs. ARBIX - Drawdown Comparison

The maximum CHY drawdown since its inception was -60.53%, which is greater than ARBIX's maximum drawdown of -4.31%. Use the drawdown chart below to compare losses from any high point for CHY and ARBIX.

Drawdown Indicators

	CHY	ARBIX	Difference
Max Drawdown Largest peak-to-trough decline	-60.53%	-4.31%	-56.22%
Max Drawdown (1Y) Largest decline over 1 year	-11.42%	-0.51%	-10.91%
Max Drawdown (3Y) Largest decline over 3 years	-24.32%	-1.77%	-22.55%
Max Drawdown (5Y) Largest decline over 5 years	-35.99%	-4.02%	-31.97%
Max Drawdown (10Y) Largest decline over 10 years	-50.41%	—	—
Current Drawdown Current decline from peak	-8.06%	-0.25%	-7.81%
Average Drawdown Average peak-to-trough decline	-9.06%	-0.39%	-8.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.72%	0.10%	+2.62%

Volatility

CHY vs. ARBIX - Volatility Comparison

Calamos Convertible and High Income Closed Fund (CHY) has a higher volatility of 5.58% compared to Absolute Convertible Arbitrage Fund Institutional Shares (ARBIX) at 0.36%. This indicates that CHY's price experiences larger fluctuations and is considered to be riskier than ARBIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CHY	ARBIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.58%	0.36%	+5.22%
Volatility (6M) Calculated over the trailing 6-month period	15.00%	0.96%	+14.04%
Volatility (1Y) Calculated over the trailing 1-year period	17.45%	1.25%	+16.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.50%	1.83%	+17.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.33%	731.89%	-708.56%

CHY vs. ARBIX - Expense Ratio Comparison

CHY has a 2.64% expense ratio, which is higher than ARBIX's 1.47% expense ratio.

Dividends

CHY vs. ARBIX - Dividend Comparison

CHY's dividend yield for the trailing twelve months is around 9.56%, more than ARBIX's 5.42% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ARBIX Absolute Convertible Arbitrage Fund Institutional Shares	5.42%	5.34%	4.87%	3.62%	3.33%	3.12%	2.92%	2.83%	1.97%	0.24%	0.00%	0.00%
CHY Calamos Convertible and High Income Closed Fund	9.56%	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

Can I hold both CHY and ARBIX in my portfolio?

CHY and ARBIX have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CHY or ARBIX?

CHY has higher volatility (5.58%) compared to ARBIX (0.36%). In terms of maximum drawdown, CHY dropped -60.53% vs ARBIX's -4.31%.

Which has better risk-adjusted returns?

ARBIX currently has the higher Sharpe Ratio (7.02 vs 1.54), 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.