NCZ vs. PCF
NCZ (Virtus Convertible and Income Fund II) and PCF (High Income Securities Fund) are both Convertible Bonds funds. Over the past 10 years, NCZ returned 7.87%/yr vs 5.39%/yr for PCF. Their 0.34 correlation means their historical movements had little consistent relationship.
Performance
NCZ vs. PCF - Performance Comparison
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Returns By Period
In the year-to-date period, NCZ achieves a 19.30% return, which is significantly higher than PCF's -7.81% return. Over the past 10 years, NCZ has outperformed PCF with an annualized return of 7.87%, while PCF has yielded a comparatively lower 5.39% annualized return.
NCZ
- 1D
- 0.52%
- 1M
- -0.26%
- 6M
- 12.27%
- YTD
- 19.30%
- 1Y
- 31.74%
- 3Y*
- 21.90%
- 5Y*
- 5.30%
- 10Y*
- 7.87%
- ALL TIME*
- 6.08%
PCF
- 1D
- 0.00%
- 1M
- -4.01%
- 6M
- -7.33%
- YTD
- -7.81%
- 1Y
- -5.80%
- 3Y*
- 5.61%
- 5Y*
- -0.66%
- 10Y*
- 5.39%
- ALL TIME*
- 5.04%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $712.76K | $1.20M | $1.15M | |
| $278.88K | $286.13K | $328.40K |
NCZ vs. PCF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NCZ Virtus Convertible and Income Fund II | 19.30% | 23.23% | 18.40% | 17.75% | -35.93% | 9.24% | 11.04% | 27.19% | -18.66% | 24.89% |
PCF High Income Securities Fund | -7.81% | 5.31% | 16.66% | 10.45% | -15.56% | 11.44% | 8.13% | 4.22% | 5.46% | 14.58% |
Correlation
The correlation between NCZ and PCF is 0.34, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.34 |
Correlation (3Y) Balances recent behavior with more history. | 0.38 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.41 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.37 |
Correlation (All Time) Calculated using the full available price history since Jul 29, 2003 | 0.34 |
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Return for Risk
NCZ vs. PCF — Risk / Return Rank
NCZ
PCF
NCZ vs. PCF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Virtus Convertible and Income Fund II (NCZ) and High Income Securities Fund (PCF). 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.
| NCZ | PCF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.32 | ||
| Sortino ratioReturn per unit of downside risk | +3.10 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 0.93 | +0.39 |
| Calmar ratioReturn relative to maximum drawdown | 2.67 | -0.54 | +3.21 |
| Martin ratioReturn relative to average drawdown | 11.07 | -1.14 | +12.20 |
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Drawdowns
NCZ vs. PCF - Drawdown Comparison
The maximum NCZ drawdown since its inception was -79.48%, which is greater than PCF's maximum drawdown of -53.82%. Use the drawdown chart below to compare losses from any high point for NCZ and PCF.
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Drawdown Indicators
| NCZ | PCF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -79.48% | -53.82% | -25.66% |
Max Drawdown (1Y)Largest decline over 1 year | -11.94% | -10.73% | -1.21% |
Max Drawdown (3Y)Largest decline over 3 years | -19.54% | -13.74% | -5.80% |
Max Drawdown (5Y)Largest decline over 5 years | -43.93% | -29.06% | -14.87% |
Max Drawdown (10Y)Largest decline over 10 years | -56.08% | -45.13% | -10.95% |
Current DrawdownCurrent decline from peak | -1.64% | -9.67% | +8.03% |
Average DrawdownAverage peak-to-trough decline | -14.26% | -10.48% | -3.78% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.87% | 5.12% | -2.25% |
Volatility
NCZ vs. PCF - Volatility Comparison
Virtus Convertible and Income Fund II (NCZ) has a higher volatility of 6.33% compared to High Income Securities Fund (PCF) at 3.74%. This indicates that NCZ's price experiences larger fluctuations and is considered to be riskier than PCF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| NCZ | PCF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.33% | 3.74% | +2.59% |
Volatility (6M)Calculated over the trailing 6-month period | 14.20% | 10.55% | +3.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.45% | 11.93% | +5.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 21.47% | 16.05% | +5.42% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 24.31% | 17.55% | +6.76% |
Dividends
NCZ vs. PCF - Dividend Comparison
NCZ's dividend yield for the trailing twelve months is around 9.27%, less than PCF's 13.30% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
NCZ Virtus Convertible and Income Fund II | 9.27% | 10.45% | 11.50% | 12.84% | 15.62% | 8.82% | 9.28% | 11.28% | 15.33% | 13.80% | 12.08% | 18.02% |
PCF High Income Securities Fund | 13.30% | 11.57% | 11.29% | 11.29% | 13.48% | 10.82% | 11.46% | 3.29% | 6.88% | 3.97% | 4.52% | 5.07% |
Frequently Asked Questions
NCZ and PCF have a correlation of 0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NCZ has higher volatility (6.33%) compared to PCF (3.74%). In terms of maximum drawdown, NCZ dropped -79.48% vs PCF's -53.82%.
NCZ currently has the higher Sharpe Ratio (1.83 vs -0.49), 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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