CSQ vs. NMFC

Last updated Jun 13, 2026

CSQ (Calamos Strategic Total Return Fund) is Diversified Portfolio fund actively managed by Calamos, while NMFC (New Mountain Finance Corporation) is a stock. Over the past 10 years, CSQ returned 16.38%/yr vs 6.45%/yr for NMFC. At a 0.36 correlation, their price movements are largely independent.

Performance

CSQ vs. NMFC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Strategic Total Return Fund (CSQ) and New Mountain Finance Corporation (NMFC). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CSQ achieves a 8.10% return, which is significantly higher than NMFC's -9.98% return. Over the past 10 years, CSQ has outperformed NMFC with an annualized return of 16.38%, while NMFC has yielded a comparatively lower 6.45% annualized return.

CSQ

• 1D: 1.27%
• 1M: -0.51%
• YTD: 8.10%
• 6M: 9.75%
• 1Y: 22.69%
• 3Y*: 20.54%
• 5Y*: 10.41%
• 10Y*: 16.38%

NMFC

• 1D: 0.76%
• 1M: -1.61%
• YTD: -9.98%
• 6M: -11.66%
• 1Y: -15.21%
• 3Y*: -3.21%
• 5Y*: 0.62%
• 10Y*: 6.45%

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

CSQ vs. NMFC - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CSQ Calamos Strategic Total Return Fund	8.10%	16.25%	28.11%	20.80%	-24.26%	30.77%	26.22%	38.62%	-4.89%	27.98%
NMFC New Mountain Finance Corporation	-9.98%	-7.17%	-0.95%	15.47%	-0.55%	31.94%	-7.13%	20.64%	2.78%	5.71%

Correlation

The correlation between CSQ and NMFC is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.30
Correlation (3Y) Calculated over the trailing 3-year period	0.34
Correlation (5Y) Calculated over the trailing 5-year period	0.40
Correlation (10Y) Calculated over the trailing 10-year period	0.37
Correlation (All Time) Calculated using the full available price history since May 20, 2011	0.36

The correlation between CSQ and NMFC shifts across timeframes, from 0.30 (1 year) to 0.40 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

CSQ vs. NMFC — Risk / Return Rank

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

CSQ

CSQ Risk / Return Rank: 36
CSQ Sharpe Ratio Rank: 42
CSQ Sortino Ratio Rank: 38
CSQ Omega Ratio Rank: 41
CSQ Calmar Ratio Rank: 25
CSQ Martin Ratio Rank: 34

NMFC

NMFC Risk / Return Rank: 16
NMFC Sharpe Ratio Rank: 14
NMFC Sortino Ratio Rank: 14
NMFC Omega Ratio Rank: 16
NMFC Calmar Ratio Rank: 20
NMFC Martin Ratio Rank: 16

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.

CSQ vs. NMFC - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Strategic Total Return Fund (CSQ) and New Mountain Finance Corporation (NMFC). 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.

	CSQ	NMFC	Difference
Sharpe ratio: Return per unit of total volatility	1.51	-0.67	+2.19
Sortino ratio: Return per unit of downside risk	2.06	-0.86	+2.92
Omega ratio: Gain probability vs. loss probability	1.27	0.90	+0.37
Calmar ratio: Return relative to maximum drawdown	1.49	-0.62	+2.12
Martin ratio: Return relative to average drawdown	6.36	-1.20	+7.56

CSQ vs. NMFC - Sharpe Ratio Comparison

The current CSQ Sharpe Ratio is 1.51, which is higher than the NMFC Sharpe Ratio of -0.67. The chart below compares the historical Sharpe Ratios of CSQ and NMFC, 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

CSQ vs. NMFC - Drawdown Comparison

The maximum CSQ drawdown since its inception was -67.17%, roughly equal to the maximum NMFC drawdown of -64.16%. Use the drawdown chart below to compare losses from any high point for CSQ and NMFC.

Drawdown Indicators

	CSQ	NMFC	Difference
Max Drawdown Largest peak-to-trough decline	-67.17%	-64.16%	-3.01%
Max Drawdown (1Y) Largest decline over 1 year	-15.25%	-24.56%	+9.31%
Max Drawdown (3Y) Largest decline over 3 years	-24.18%	-27.77%	+3.59%
Max Drawdown (5Y) Largest decline over 5 years	-33.09%	-27.77%	-5.32%
Max Drawdown (10Y) Largest decline over 10 years	-48.21%	-64.16%	+15.95%
Current Drawdown Current decline from peak	-2.35%	-21.72%	+19.37%
Average Drawdown Average peak-to-trough decline	-9.33%	-5.47%	-3.86%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.58%	12.70%	-9.12%

Volatility

CSQ vs. NMFC - Volatility Comparison

The current volatility for Calamos Strategic Total Return Fund (CSQ) is 5.74%, while New Mountain Finance Corporation (NMFC) has a volatility of 6.36%. This indicates that CSQ experiences smaller price fluctuations and is considered to be less risky than NMFC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CSQ	NMFC	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.74%	6.36%	-0.62%
Volatility (6M) Calculated over the trailing 6-month period	12.45%	18.29%	-5.84%
Volatility (1Y) Calculated over the trailing 1-year period	15.06%	22.70%	-7.64%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	20.06%	18.51%	+1.55%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.02%	25.91%	-2.89%

Dividends

CSQ vs. NMFC - Dividend Comparison

CSQ's dividend yield for the trailing twelve months is around 6.72%, less than NMFC's 16.10% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CSQ Calamos Strategic Total Return Fund	6.72%	6.51%	6.95%	8.27%	9.17%	6.38%	7.03%	7.14%	9.35%	8.20%	9.64%	10.00%
NMFC New Mountain Finance Corporation	16.10%	13.90%	12.17%	11.40%	9.86%	8.76%	10.92%	9.90%	10.81%	10.04%	9.65%	10.45%

Frequently Asked Questions

Can I hold both CSQ and NMFC in my portfolio?

CSQ and NMFC have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CSQ or NMFC?

NMFC has higher volatility (6.36%) compared to CSQ (5.74%). In terms of maximum drawdown, CSQ dropped -67.17% vs NMFC's -64.16%.

Which has better risk-adjusted returns?

CSQ currently has the higher Sharpe Ratio (1.51 vs -0.67), 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.