CHY vs. ISPY

Last updated Apr 2, 2026

Compare and contrast key facts about Calamos Convertible and High Income Closed Fund (CHY) and ProShares S&P 500 High Income ETF (ISPY).

CHY is an actively managed fund by Calamos. It was launched on May 28, 2003. ISPY is a passively managed fund by ProShares that tracks the performance of the S&P 500 Daily Covered Call Index. It was launched on Dec 18, 2023.

Performance

CHY vs. ISPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Convertible and High Income Closed Fund (CHY) and ProShares S&P 500 High Income ETF (ISPY). The values are adjusted to include any dividend payments, if applicable.

CHY vs. ISPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
CHY Calamos Convertible and High Income Closed Fund	0.11%	3.97%	17.24%	1.73%
ISPY ProShares S&P 500 High Income ETF	-3.39%	13.15%	21.31%	1.65%

Returns By Period

In the year-to-date period, CHY achieves a 0.11% return, which is significantly higher than ISPY's -3.39% return.

CHY

• 1D: 2.20%
• 1M: -6.43%
• YTD: 0.11%
• 6M: 4.58%
• 1Y: 21.96%
• 3Y*: 11.89%
• 5Y*: 3.93%
• 10Y*: 11.10%

ISPY

• 1D: 0.73%
• 1M: -3.97%
• YTD: -3.39%
• 6M: -1.58%
• 1Y: 12.85%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CHY vs. ISPY - Expense Ratio Comparison

CHY has a 2.64% expense ratio, which is higher than ISPY's 0.55% expense ratio.

CHY

Calamos Convertible and High Income Closed Fund

ISPY

ProShares S&P 500 High Income ETF

Return for Risk

CHY vs. ISPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CHY

CHY Risk / Return Rank: 72
CHY Sharpe Ratio Rank: 67
CHY Sortino Ratio Rank: 67
CHY Omega Ratio Rank: 63
CHY Calmar Ratio Rank: 78
CHY Martin Ratio Rank: 86

ISPY

ISPY Risk / Return Rank: 43
ISPY Sharpe Ratio Rank: 43
ISPY Sortino Ratio Rank: 38
ISPY Omega Ratio Rank: 42
ISPY Calmar Ratio Rank: 45
ISPY Martin Ratio Rank: 48

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CHY vs. ISPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Convertible and High Income Closed Fund (CHY) and ProShares S&P 500 High Income ETF (ISPY). 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	ISPY	Difference
Sharpe ratio Return per unit of total volatility	1.27	0.84	+0.43
Sortino ratio Return per unit of downside risk	1.80	1.14	+0.66
Omega ratio Gain probability vs. loss probability	1.26	1.17	+0.08
Calmar ratio Return relative to maximum drawdown	2.00	1.23	+0.77
Martin ratio Return relative to average drawdown	9.39	4.73	+4.66
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CHY vs. ISPY - Sharpe Ratio Comparison

The current CHY Sharpe Ratio is 1.27, which is higher than the ISPY Sharpe Ratio of 0.84. The chart below compares the historical Sharpe Ratios of CHY and ISPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	CHY	ISPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.27	0.84	+0.43
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.21	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.48	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.37	1.03	-0.67

Correlation

The correlation between CHY and ISPY is 0.58, 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. ISPY - Dividend Comparison

CHY's dividend yield for the trailing twelve months is around 10.78%, more than ISPY's 7.46% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CHY Calamos Convertible and High Income Closed Fund	10.78%	10.61%	9.88%	10.46%	11.37%	7.42%	7.14%	8.72%	12.13%	10.13%	11.37%	11.42%
ISPY ProShares S&P 500 High Income ETF	7.46%	8.56%	9.84%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Drawdowns

CHY vs. ISPY - Drawdown Comparison

The maximum CHY drawdown since its inception was -60.53%, which is greater than ISPY's maximum drawdown of -16.88%. Use the drawdown chart below to compare losses from any high point for CHY and ISPY.

Drawdown Indicators

	CHY	ISPY	Difference
Max Drawdown Largest peak-to-trough decline	-60.53%	-16.88%	-43.65%
Max Drawdown (1Y) Largest decline over 1 year	-11.42%	-11.17%	-0.25%
Max Drawdown (5Y) Largest decline over 5 years	-35.99%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-50.41%	—	—
Current Drawdown Current decline from peak	-6.90%	-5.52%	-1.38%
Average Drawdown Average peak-to-trough decline	-9.16%	-2.17%	-6.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.43%	2.91%	-0.48%

Volatility

CHY vs. ISPY - Volatility Comparison

Calamos Convertible and High Income Closed Fund (CHY) has a higher volatility of 8.04% compared to ProShares S&P 500 High Income ETF (ISPY) at 5.14%. This indicates that CHY's price experiences larger fluctuations and is considered to be riskier than ISPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CHY	ISPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	8.04%	5.14%	+2.90%
Volatility (6M) Calculated over the trailing 6-month period	12.12%	9.06%	+3.06%
Volatility (1Y) Calculated over the trailing 1-year period	17.36%	15.39%	+1.97%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.17%	13.71%	+5.46%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.14%	13.71%	+9.43%