CHY vs. CHI
CHY (Calamos Convertible and High Income Closed Fund) and CHI (Calamos Convertible Opportunities and Income Fund) are both Convertible Bonds funds from Calamos. Both are actively managed. Over the past 10 years, CHY returned 13.19%/yr vs 13.65%/yr for CHI. A 0.75 correlation means they provide meaningful diversification when combined. CHY charges 2.64%/yr vs 0.88%/yr for CHI.
Performance
CHY vs. CHI - Performance Comparison
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Returns By Period
In the year-to-date period, CHY achieves a 23.99% return, which is significantly lower than CHI's 30.91% return. Both investments have delivered pretty close results over the past 10 years, with CHY having a 13.19% annualized return and CHI not far ahead at 13.65%.
CHY
- 1D
- -0.07%
- 1M
- 5.00%
- YTD
- 23.99%
- 6M
- 20.90%
- 1Y
- 41.83%
- 3Y*
- 19.46%
- 5Y*
- 6.53%
- 10Y*
- 13.19%
CHI
- 1D
- -0.38%
- 1M
- 6.66%
- YTD
- 30.91%
- 6M
- 26.63%
- 1Y
- 44.98%
- 3Y*
- 18.31%
- 5Y*
- 7.62%
- 10Y*
- 13.65%
CHY vs. CHI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CHY Calamos Convertible and High Income Closed Fund | 23.99% | 3.97% | 17.24% | 20.78% | -28.05% | 22.17% | 36.75% | 32.63% | -12.60% | 24.44% |
CHI Calamos Convertible Opportunities and Income Fund | 30.91% | -2.15% | 27.23% | 9.49% | -23.31% | 20.31% | 33.82% | 35.66% | -12.67% | 22.70% |
Correlation
The correlation between CHY and CHI is 0.87, 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 | 0.87 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.80 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.82 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.82 |
Correlation (All Time) Calculated using the full available price history since May 29, 2003 | 0.75 |
The correlation between CHY and CHI shifts across timeframes, from 0.75 (all time) to 0.87 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
CHY vs. CHI — Risk / Return Rank
CHY
CHI
CHY vs. CHI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Convertible and High Income Closed Fund (CHY) and Calamos Convertible Opportunities and Income Fund (CHI). 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 | CHI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.06 | ||
| Sortino ratioReturn per unit of downside risk | -0.15 | ||
| Omega ratioGain probability vs. loss probability | 1.47 | 1.47 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 3.68 | 4.22 | -0.54 |
| Martin ratioReturn relative to average drawdown | 17.99 | 16.62 | +1.37 |
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Drawdowns
CHY vs. CHI - Drawdown Comparison
The maximum CHY drawdown since its inception was -60.53%, smaller than the maximum CHI drawdown of -64.72%. Use the drawdown chart below to compare losses from any high point for CHY and CHI.
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Drawdown Indicators
| CHY | CHI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.53% | -64.72% | +4.19% |
Max Drawdown (1Y)Largest decline over 1 year | -11.42% | -10.71% | -0.71% |
Max Drawdown (3Y)Largest decline over 3 years | -24.32% | -27.52% | +3.20% |
Max Drawdown (5Y)Largest decline over 5 years | -35.99% | -36.03% | +0.04% |
Max Drawdown (10Y)Largest decline over 10 years | -50.41% | -49.64% | -0.77% |
Current DrawdownCurrent decline from peak | -0.07% | -0.38% | +0.31% |
Average DrawdownAverage peak-to-trough decline | -9.09% | -9.65% | +0.56% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.33% | 2.71% | -0.38% |
Volatility
CHY vs. CHI - Volatility Comparison
Calamos Convertible and High Income Closed Fund (CHY) has a higher volatility of 6.05% compared to Calamos Convertible Opportunities and Income Fund (CHI) at 5.51%. This indicates that CHY's price experiences larger fluctuations and is considered to be riskier than CHI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CHY | CHI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.05% | 5.51% | +0.54% |
Volatility (6M)Calculated over the trailing 6-month period | 14.09% | 14.00% | +0.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.36% | 17.18% | -0.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.43% | 20.14% | -0.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.31% | 23.22% | +0.09% |
CHY vs. CHI - Expense Ratio Comparison
CHY has a 2.64% expense ratio, which is higher than CHI's 0.88% expense ratio.
Dividends
CHY vs. CHI - Dividend Comparison
CHY's dividend yield for the trailing twelve months is around 8.92%, more than CHI's 8.65% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CHI Calamos Convertible Opportunities and Income Fund | 8.65% | 10.88% | 9.55% | 11.00% | 10.85% | 7.54% | 6.75% | 8.49% | 12.19% | 10.19% | 11.30% | 11.50% |
CHY Calamos Convertible and High Income Closed Fund | 8.92% | 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 CHI have a correlation of 0.87, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CHY has higher volatility (6.05%) compared to CHI (5.51%). In terms of maximum drawdown, CHY dropped -60.53% vs CHI's -64.72%.
CHI currently has the higher Sharpe Ratio (2.64 vs 2.57), 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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