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CVGRX vs. BIT
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

CVGRX vs. BIT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Growth Fund (CVGRX) and BlackRock Multi-Sector Income Trust (BIT). The values are adjusted to include any dividend payments, if applicable.

-5.00%0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
13.10%
1.33%
CVGRX
BIT

Returns By Period

In the year-to-date period, CVGRX achieves a 31.03% return, which is significantly higher than BIT's 6.26% return. Over the past 10 years, CVGRX has underperformed BIT with an annualized return of -0.98%, while BIT has yielded a comparatively higher 7.88% annualized return.


CVGRX

YTD

31.03%

1M

2.74%

6M

14.07%

1Y

30.04%

5Y (annualized)

7.00%

10Y (annualized)

-0.98%

BIT

YTD

6.26%

1M

-0.92%

6M

1.66%

1Y

8.95%

5Y (annualized)

6.40%

10Y (annualized)

7.88%

Key characteristics


CVGRXBIT
Sharpe Ratio1.831.11
Sortino Ratio2.421.67
Omega Ratio1.341.20
Calmar Ratio0.611.35
Martin Ratio9.453.11
Ulcer Index3.25%2.87%
Daily Std Dev16.78%8.09%
Max Drawdown-69.30%-43.54%
Current Drawdown-33.43%-2.59%

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Correlation

-0.50.00.51.00.3

The correlation between CVGRX and BIT is 0.34, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Risk-Adjusted Performance

CVGRX vs. BIT - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Growth Fund (CVGRX) and BlackRock Multi-Sector Income Trust (BIT). 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.


Sharpe ratio
The chart of Sharpe ratio for CVGRX, currently valued at 1.83, compared to the broader market-1.000.001.002.003.004.005.001.831.11
The chart of Sortino ratio for CVGRX, currently valued at 2.42, compared to the broader market0.005.0010.002.421.67
The chart of Omega ratio for CVGRX, currently valued at 1.34, compared to the broader market1.002.003.004.001.341.20
The chart of Calmar ratio for CVGRX, currently valued at 0.71, compared to the broader market0.005.0010.0015.0020.0025.000.711.35
The chart of Martin ratio for CVGRX, currently valued at 9.45, compared to the broader market0.0020.0040.0060.0080.00100.009.453.11
CVGRX
BIT

The current CVGRX Sharpe Ratio is 1.83, which is higher than the BIT Sharpe Ratio of 1.11. The chart below compares the historical Sharpe Ratios of CVGRX and BIT, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio1.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.83
1.11
CVGRX
BIT

Dividends

CVGRX vs. BIT - Dividend Comparison

CVGRX has not paid dividends to shareholders, while BIT's dividend yield for the trailing twelve months is around 10.22%.


TTM20232022202120202019201820172016201520142013
CVGRX
Calamos Growth Fund
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
BIT
BlackRock Multi-Sector Income Trust
10.22%9.92%9.60%8.20%8.48%8.86%9.14%8.45%11.67%9.42%8.87%6.84%

Drawdowns

CVGRX vs. BIT - Drawdown Comparison

The maximum CVGRX drawdown since its inception was -69.30%, which is greater than BIT's maximum drawdown of -43.54%. Use the drawdown chart below to compare losses from any high point for CVGRX and BIT. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-23.71%
-2.59%
CVGRX
BIT

Volatility

CVGRX vs. BIT - Volatility Comparison

Calamos Growth Fund (CVGRX) has a higher volatility of 5.37% compared to BlackRock Multi-Sector Income Trust (BIT) at 1.65%. This indicates that CVGRX's price experiences larger fluctuations and is considered to be riskier than BIT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%JuneJulyAugustSeptemberOctoberNovember
5.37%
1.65%
CVGRX
BIT