CHY vs. ISPY

Last updated Jun 24, 2026

CHY (Calamos Convertible and High Income Closed Fund) and ISPY (ProShares S&P 500 High Income ETF) are both funds - CHY is a Convertible Bonds fund actively managed by Calamos, while ISPY is a Derivative Income fund tracking the S&P 500 Daily Covered Call Index. CHY is actively managed, while ISPY is passively managed. Over the past year, CHY returned 38.80% vs 20.58% for ISPY. A 0.59 correlation means they provide meaningful diversification when combined. CHY charges 2.64%/yr vs 0.55%/yr for ISPY.

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.

Returns By Period

In the year-to-date period, CHY achieves a 22.15% return, which is significantly higher than ISPY's 6.70% return.

CHY

• 1D: -1.49%
• 1M: 3.44%
• YTD: 22.15%
• 6M: 18.49%
• 1Y: 38.80%
• 3Y*: 18.86%
• 5Y*: 6.07%
• 10Y*: 13.02%

ISPY

• 1D: -1.35%
• 1M: -1.29%
• YTD: 6.70%
• 6M: 5.74%
• 1Y: 20.58%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CHY vs. ISPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
CHY Calamos Convertible and High Income Closed Fund	22.15%	3.97%	17.24%	0.49%
ISPY ProShares S&P 500 High Income ETF	6.70%	13.15%	21.31%	0.35%

Correlation

The correlation between CHY and ISPY is 0.67, 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	0.67
Correlation (All Time) Calculated using the full available price history since Dec 20, 2023	0.59

The correlation between CHY and ISPY has been stable across timeframes, ranging from 0.59 to 0.67 - a consistent structural relationship.

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: 77
CHY Sharpe Ratio Rank: 78
CHY Sortino Ratio Rank: 68
CHY Omega Ratio Rank: 72
CHY Calmar Ratio Rank: 79
CHY Martin Ratio Rank: 90

ISPY

ISPY Risk / Return Rank: 52
ISPY Sharpe Ratio Rank: 52
ISPY Sortino Ratio Rank: 47
ISPY Omega Ratio Rank: 50
ISPY Calmar Ratio Rank: 51
ISPY Martin Ratio Rank: 59

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.

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	ISPY	Difference
Sharpe ratio: Return per unit of total volatility	2.38	1.72	+0.66
Sortino ratio: Return per unit of downside risk	3.12	2.26	+0.86
Omega ratio: Gain probability vs. loss probability	1.43	1.30	+0.13
Calmar ratio: Return relative to maximum drawdown	3.41	2.45	+0.96
Martin ratio: Return relative to average drawdown	16.67	10.07	+6.60

CHY vs. ISPY - Sharpe Ratio Comparison

The current CHY Sharpe Ratio is 2.38, which is higher than the ISPY Sharpe Ratio of 1.72. The chart below compares the historical Sharpe Ratios of CHY and ISPY, 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. 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%	-8.43%	-2.99%
Max Drawdown (3Y) Largest decline over 3 years	-24.32%	—	—
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	-1.56%	-3.35%	+1.79%
Average Drawdown Average peak-to-trough decline	-9.09%	-2.09%	-7.00%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.33%	2.05%	+0.28%

Volatility

CHY vs. ISPY - Volatility Comparison

Calamos Convertible and High Income Closed Fund (CHY) has a higher volatility of 5.89% compared to ProShares S&P 500 High Income ETF (ISPY) at 4.70%. 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	5.89%	4.70%	+1.19%
Volatility (6M) Calculated over the trailing 6-month period	14.17%	9.53%	+4.64%
Volatility (1Y) Calculated over the trailing 1-year period	16.41%	12.08%	+4.33%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.44%	13.73%	+5.71%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.30%	13.73%	+9.57%

CHY vs. ISPY - Expense Ratio Comparison

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

Dividends

CHY vs. ISPY - Dividend Comparison

CHY's dividend yield for the trailing twelve months is around 9.05%, more than ISPY's 4.53% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CHY Calamos Convertible and High Income Closed Fund	9.05%	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	4.53%	8.56%	9.84%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CHY and ISPY in my portfolio?

CHY and ISPY have a correlation of 0.67, 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 ISPY?

CHY has higher volatility (5.89%) compared to ISPY (4.70%). In terms of maximum drawdown, CHY dropped -60.53% vs ISPY's -16.88%.

Which has better risk-adjusted returns?

CHY currently has the higher Sharpe Ratio (2.38 vs 1.72), 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.