CHY vs. CSQ
Compare and contrast key facts about Calamos Convertible and High Income Closed Fund (CHY) and Calamos Strategic Total Return Fund (CSQ).
CHY is an actively managed fund by Calamos. It was launched on May 28, 2003. CSQ is an actively managed fund by Calamos. It was launched on Mar 26, 2004.
Performance
CHY vs. CSQ - Performance Comparison
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CHY vs. CSQ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CHY Calamos Convertible and High Income Closed Fund | -2.05% | 3.97% | 17.24% | 20.78% | -28.05% | 22.17% | 36.75% | 32.63% | -12.60% | 24.44% |
CSQ Calamos Strategic Total Return Fund | -9.64% | 16.25% | 28.11% | 20.80% | -24.26% | 30.77% | 26.22% | 38.62% | -4.89% | 27.98% |
Returns By Period
In the year-to-date period, CHY achieves a -2.05% return, which is significantly higher than CSQ's -9.64% return. Over the past 10 years, CHY has underperformed CSQ with an annualized return of 10.86%, while CSQ has yielded a comparatively higher 14.80% annualized return.
CHY
- 1D
- 2.83%
- 1M
- -8.38%
- YTD
- -2.05%
- 6M
- 2.23%
- 1Y
- 20.16%
- 3Y*
- 11.08%
- 5Y*
- 3.48%
- 10Y*
- 10.86%
CSQ
- 1D
- 3.76%
- 1M
- -9.32%
- YTD
- -9.64%
- 6M
- -8.01%
- 1Y
- 13.61%
- 3Y*
- 15.37%
- 5Y*
- 7.59%
- 10Y*
- 14.80%
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CHY vs. CSQ - Expense Ratio Comparison
CHY has a 2.64% expense ratio, which is higher than CSQ's 2.46% expense ratio.
Return for Risk
CHY vs. CSQ — Risk / Return Rank
CHY
CSQ
CHY vs. CSQ - 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 Strategic Total Return Fund (CSQ). 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.
| CHY | CSQ | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.18 | 0.65 | +0.53 |
Sortino ratioReturn per unit of downside risk | 1.67 | 1.01 | +0.66 |
Omega ratioGain probability vs. loss probability | 1.24 | 1.16 | +0.08 |
Calmar ratioReturn relative to maximum drawdown | 1.62 | 0.83 | +0.79 |
Martin ratioReturn relative to average drawdown | 7.75 | 3.29 | +4.45 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CHY | CSQ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.18 | 0.65 | +0.53 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.18 | 0.38 | -0.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.47 | 0.65 | -0.18 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.36 | 0.39 | -0.03 |
Correlation
The correlation between CHY and CSQ is 0.55, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
CHY vs. CSQ - Dividend Comparison
CHY's dividend yield for the trailing twelve months is around 11.02%, more than CSQ's 7.54% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CHY Calamos Convertible and High Income Closed Fund | 11.02% | 10.61% | 9.88% | 10.46% | 11.37% | 7.42% | 7.14% | 8.72% | 12.13% | 10.13% | 11.37% | 11.42% |
CSQ Calamos Strategic Total Return Fund | 7.54% | 6.51% | 6.95% | 8.27% | 9.17% | 6.38% | 7.03% | 7.14% | 9.35% | 8.20% | 9.64% | 10.00% |
Drawdowns
CHY vs. CSQ - Drawdown Comparison
The maximum CHY drawdown since its inception was -60.53%, smaller than the maximum CSQ drawdown of -67.17%. Use the drawdown chart below to compare losses from any high point for CHY and CSQ.
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Drawdown Indicators
| CHY | CSQ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -60.53% | -67.17% | +6.64% |
Max Drawdown (1Y)Largest decline over 1 year | -11.42% | -15.59% | +4.17% |
Max Drawdown (5Y)Largest decline over 5 years | -35.99% | -33.09% | -2.90% |
Max Drawdown (10Y)Largest decline over 10 years | -50.41% | -48.21% | -2.20% |
Current DrawdownCurrent decline from peak | -8.91% | -12.07% | +3.16% |
Average DrawdownAverage peak-to-trough decline | -9.16% | -9.40% | +0.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.39% | 3.94% | -1.55% |
Volatility
CHY vs. CSQ - Volatility Comparison
Calamos Convertible and High Income Closed Fund (CHY) has a higher volatility of 7.72% compared to Calamos Strategic Total Return Fund (CSQ) at 6.85%. This indicates that CHY's price experiences larger fluctuations and is considered to be riskier than CSQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CHY | CSQ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 7.72% | 6.85% | +0.87% |
Volatility (6M)Calculated over the trailing 6-month period | 11.93% | 11.54% | +0.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.29% | 21.12% | -3.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.15% | 20.00% | -0.85% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 23.13% | 22.93% | +0.20% |