CCD vs CHY: Correlation
Calamos Dynamic Convertible & Income Fund - Closed End Fund (CCD) and Calamos Convertible and High Income Fund - Closed End Fund (CHY) show a very strong relationship: their 3-year correlation of weekly returns is 0.80.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CCD and CHY?
Over the past 3 years, CCD and CHY moved with a correlation of 0.80, which is very strong, meaning they move nearly in lockstep. The relationship has been stable: the 1-year correlation (0.87) sits close to the 3-year figure. Over 5 years the correlation is 0.84, and the annualized covariance of weekly returns is 241.1 %².
Few assets follow CCD as closely as CHY, which ranks #1 of 10 tracked partners. Twelve-month performance is nearly a tie, at +35.4% for CCD and +32.8% for CHY.
How is this computed?
Pearson correlation on weekly returns: ρ(A,B) = cov(rA, rB) / (σA · σB), over windows of 52, 156 and 260 weeks. Covariance is annualized (×52) and expressed in %². Full definitions on the methodology page.
CCD vs CHY: side by side
| CCD (Calamos Dynamic Convertible & Income Fund - Closed End Fund) | CHY (Calamos Convertible and High Income Fund - Closed End Fund) | |
|---|---|---|
| 1-year return | +35.4% | +32.8% |
| 5-year return | +33.4% | +33.7% |
| Volatility (ann.) | 18.4% | 16.4% |
| Beta vs S&P 500 | 0.88 | 0.78 |
| Max drawdown (3Y) | -22.3% | -24.3% |
| Market cap | $0.7B | $1.1B |
| P/E (trailing) | 2.9 | 3.1 |
| Dividend yield | 0.00% | 9.22% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | CCD | CHY |
|---|---|---|
| 2022 | -28.0% | -28.0% |
| 2023 | +8.0% | +20.8% |
| 2024 | +35.9% | +17.2% |
| 2025 | -4.3% | +4.0% |
| 2026 | +26.6% | +22.3% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CCD and CHY good diversifiers for each other?
Not really. At 0.80, the two trade almost as one position, and owning both buys little extra protection.
FAQ
What is the correlation between CCD and CHY?
Using weekly returns as of 2026-08-27: 0.80 over 3 years, with 0.87 over the last year and 0.84 over 5 years.
Is CHY a good diversifier for CCD?
Not really. At 0.80, the two trade almost as one position, and owning both buys little extra protection.
What does a correlation of 0.80 mean?
Correlation ranges from −1 to +1. Values near +1 mean two assets move together, near 0 that they move independently, and negative values that they tend to move in opposite directions. It measures co-movement, not performance.
Use this data
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Related comparisons
Hubs: CCD correlations · CHY correlations
