PCF vs. CHI

Last updated Jun 4, 2026

PCF (High Income Securities Fund) and CHI (Calamos Convertible Opportunities and Income Fund) are both Convertible Bonds funds. Both are actively managed. Over the past 10 years, PCF returned 6.21%/yr vs 13.14%/yr for CHI. At a 0.32 correlation, their price movements are largely independent.

Performance

PCF vs. CHI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in High Income Securities Fund (PCF) and Calamos Convertible Opportunities and Income Fund (CHI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PCF achieves a -3.92% return, which is significantly lower than CHI's 25.49% return. Over the past 10 years, PCF has underperformed CHI with an annualized return of 6.21%, while CHI has yielded a comparatively higher 13.14% annualized return.

PCF

• 1D: -0.71%
• 1M: 0.32%
• YTD: -3.92%
• 6M: -4.38%
• 1Y: 0.18%
• 3Y*: 9.00%
• 5Y*: 0.28%
• 10Y*: 6.21%

CHI

• 1D: -0.93%
• 1M: 5.05%
• YTD: 25.49%
• 6M: 23.37%
• 1Y: 39.44%
• 3Y*: 18.77%
• 5Y*: 6.78%
• 10Y*: 13.14%

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

PCF vs. CHI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
PCF High Income Securities Fund	-3.92%	5.31%	16.66%	10.45%	-15.56%	11.44%	8.13%	4.22%	5.46%	14.58%
CHI Calamos Convertible Opportunities and Income Fund	25.49%	-2.15%	27.23%	9.49%	-23.31%	20.31%	33.82%	35.66%	-12.67%	22.70%

Correlation

The correlation between PCF and CHI is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.27
Correlation (3Y) Calculated over the trailing 3-year period	0.28
Correlation (5Y) Calculated over the trailing 5-year period	0.33
Correlation (10Y) Calculated over the trailing 10-year period	0.33
Correlation (All Time) Calculated using the full available price history since Jun 28, 2002	0.32

Return for Risk

PCF vs. CHI — Risk / Return Rank

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

PCF

PCF Risk / Return Rank: 3
PCF Sharpe Ratio Rank: 3
PCF Sortino Ratio Rank: 3
PCF Omega Ratio Rank: 3
PCF Calmar Ratio Rank: 3
PCF Martin Ratio Rank: 3

CHI

CHI Risk / Return Rank: 69
CHI Sharpe Ratio Rank: 67
CHI Sortino Ratio Rank: 59
CHI Omega Ratio Rank: 60
CHI Calmar Ratio Rank: 81
CHI Martin Ratio Rank: 78

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.

PCF vs. CHI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for High Income Securities Fund (PCF) 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.

	PCF	CHI	Difference
Sharpe ratio Return per unit of total volatility	0.02	2.39	-2.38
Sortino ratio Return per unit of downside risk	0.10	3.24	-3.14
Omega ratio Gain probability vs. loss probability	1.01	1.43	-0.42
Calmar ratio Return relative to maximum drawdown	0.02	3.70	-3.68
Martin ratio Return relative to average drawdown	0.04	14.63	-14.58
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PCF vs. CHI - Sharpe Ratio Comparison

The current PCF Sharpe Ratio is 0.02, which is lower than the CHI Sharpe Ratio of 2.39. The chart below compares the historical Sharpe Ratios of PCF and CHI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	PCF	CHI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.02	2.39	-2.38
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.02	0.34	-0.32
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.36	0.57	-0.21
Sharpe Ratio (All Time) Calculated using the full available price history	0.24	0.41	-0.18

Drawdowns

PCF vs. CHI - Drawdown Comparison

The maximum PCF drawdown since its inception was -53.82%, smaller than the maximum CHI drawdown of -64.72%. Use the drawdown chart below to compare losses from any high point for PCF and CHI.

Drawdown Indicators

	PCF	CHI	Difference
Max Drawdown Largest peak-to-trough decline	-53.82%	-64.72%	+10.90%
Max Drawdown (1Y) Largest decline over 1 year	-10.73%	-10.71%	-0.02%
Max Drawdown (3Y) Largest decline over 3 years	-13.74%	-27.52%	+13.78%
Max Drawdown (5Y) Largest decline over 5 years	-29.06%	-36.03%	+6.97%
Max Drawdown (10Y) Largest decline over 10 years	-45.13%	-49.64%	+4.51%
Current Drawdown Current decline from peak	-5.86%	-0.93%	-4.93%
Average Drawdown Average peak-to-trough decline	-10.50%	-9.67%	-0.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.08%	2.70%	+1.38%

Volatility

PCF vs. CHI - Volatility Comparison

The current volatility for High Income Securities Fund (PCF) is 2.55%, while Calamos Convertible Opportunities and Income Fund (CHI) has a volatility of 6.61%. This indicates that PCF 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.

Volatility by Period

	PCF	CHI	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.55%	6.61%	-4.06%
Volatility (6M) Calculated over the trailing 6-month period	9.01%	13.49%	-4.48%
Volatility (1Y) Calculated over the trailing 1-year period	10.49%	16.56%	-6.07%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.96%	20.03%	-4.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.49%	23.18%	-5.69%

Dividends

PCF vs. CHI - Dividend Comparison

PCF's dividend yield for the trailing twelve months is around 12.55%, more than CHI's 8.96% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CHI Calamos Convertible Opportunities and Income Fund	8.96%	10.88%	9.55%	11.00%	10.85%	7.54%	6.75%	8.49%	12.19%	10.19%	11.30%	11.50%
PCF High Income Securities Fund	12.55%	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

Can I hold both PCF and CHI in my portfolio?

PCF and CHI have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PCF or CHI?

CHI has higher volatility (6.61%) compared to PCF (2.55%). In terms of maximum drawdown, PCF dropped -53.82% vs CHI's -64.72%.

Which has better risk-adjusted returns?

CHI currently has the higher Sharpe Ratio (2.39 vs 0.02), 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.