NCV vs. CHI
NCV (Virtus Convertible and Income Fund) and CHI (Calamos Convertible Opportunities and Income Fund) are both Convertible Bonds funds. Over the past 10 years, NCV returned 6.96%/yr vs 12.23%/yr for CHI. Their 0.58 correlation means they have sometimes moved together and sometimes differently. NCV charges 0.03%/yr vs 0.88%/yr for CHI.
Performance
NCV vs. CHI - Performance Comparison
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Returns By Period
In the year-to-date period, NCV achieves a 17.13% return, which is significantly lower than CHI's 25.35% return. Over the past 10 years, NCV has underperformed CHI with an annualized return of 6.96%, while CHI has yielded a comparatively higher 12.23% annualized return.
NCV
- 1D
- -0.30%
- 1M
- -2.87%
- 6M
- 10.02%
- YTD
- 17.13%
- 1Y
- 30.67%
- 3Y*
- 18.74%
- 5Y*
- 4.63%
- 10Y*
- 6.96%
- ALL TIME*
- 6.47%
CHI
- 1D
- 1.21%
- 1M
- -3.44%
- 6M
- 16.98%
- YTD
- 25.35%
- 1Y
- 35.42%
- 3Y*
- 14.65%
- 5Y*
- 6.12%
- 10Y*
- 12.23%
- ALL TIME*
- 9.73%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $2.29M | $2.24M | $2.26M | |
| $1.13M | $1.62M | $1.40M |
NCV vs. CHI - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NCV Virtus Convertible and Income Fund | 17.13% | 22.57% | 16.18% | 12.66% | -34.02% | 10.68% | 11.64% | 24.12% | -17.25% | 23.24% |
CHI Calamos Convertible Opportunities and Income Fund | 25.35% | -2.15% | 27.23% | 9.49% | -23.31% | 20.31% | 33.82% | 35.66% | -12.67% | 22.70% |
Correlation
The correlation between NCV and CHI is 0.78, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.78 |
Correlation (3Y) Balances recent behavior with more history. | 0.62 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.63 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.63 |
Correlation (All Time) Calculated using the full available price history since Mar 31, 2003 | 0.58 |
The correlation between NCV and CHI shifts across timeframes, from 0.58 (all time) to 0.78 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
NCV vs. CHI — Risk / Return Rank
NCV
CHI
NCV vs. CHI - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Virtus Convertible and Income Fund (NCV) and Calamos Convertible Opportunities and Income Fund (CHI). 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.
| NCV | CHI | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.02 | ||
| Sortino ratioReturn per unit of downside risk | -0.09 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.33 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 2.59 | 3.25 | -0.66 |
| Martin ratioReturn relative to average drawdown | 9.70 | 11.72 | -2.02 |
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Drawdowns
NCV vs. CHI - Drawdown Comparison
The maximum NCV drawdown since its inception was -78.94%, which is greater than CHI's maximum drawdown of -64.72%. Use the drawdown chart below to compare losses from any high point for NCV and CHI.
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Drawdown Indicators
| NCV | CHI | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -78.94% | -64.72% | -14.22% |
Max Drawdown (1Y)Largest decline over 1 year | -11.38% | -10.71% | -0.67% |
Max Drawdown (3Y)Largest decline over 3 years | -17.80% | -27.52% | +9.72% |
Max Drawdown (5Y)Largest decline over 5 years | -44.60% | -36.03% | -8.57% |
Max Drawdown (10Y)Largest decline over 10 years | -56.18% | -49.64% | -6.54% |
Current DrawdownCurrent decline from peak | -4.03% | -6.10% | +2.07% |
Average DrawdownAverage peak-to-trough decline | -13.81% | -9.62% | -4.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.04% | 2.96% | +0.08% |
Volatility
NCV vs. CHI - Volatility Comparison
The current volatility for Virtus Convertible and Income Fund (NCV) is 5.96%, while Calamos Convertible Opportunities and Income Fund (CHI) has a volatility of 6.95%. This indicates that NCV experiences smaller price fluctuations and is considered to be less risky than CHI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NCV | CHI | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.96% | 6.95% | -0.99% |
Volatility (6M)Calculated over the trailing 6-month period | 13.62% | 15.30% | -1.68% |
Volatility (1Y)Calculated over the trailing 1-year period | 16.05% | 18.67% | -2.62% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 20.65% | 20.33% | +0.32% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.86% | 23.27% | +1.59% |
NCV vs. CHI - Expense Ratio Comparison
NCV has a 0.03% expense ratio, which is lower than CHI's 0.88% expense ratio.
Dividends
NCV vs. CHI - Dividend Comparison
NCV's dividend yield for the trailing twelve months is around 9.74%, more than CHI's 9.10% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CHI Calamos Convertible Opportunities and Income Fund | 9.10% | 10.88% | 9.55% | 11.00% | 10.85% | 7.54% | 6.75% | 8.49% | 12.19% | 10.19% | 11.30% | 11.50% |
NCV Virtus Convertible and Income Fund | 9.74% | 10.77% | 11.76% | 12.86% | 15.00% | 8.75% | 9.41% | 11.61% | 15.03% | 11.10% | 12.23% | 17.69% |
Frequently Asked Questions
NCV and CHI have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CHI has higher volatility (6.95%) compared to NCV (5.96%). In terms of maximum drawdown, NCV dropped -78.94% vs CHI's -64.72%.
CHI currently has the higher Sharpe Ratio (1.86 vs 1.84), 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.
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