CHY vs NCV: Correlation
Measured on weekly returns over the past three years, Calamos Convertible and High Income Fund - Closed End Fund (CHY) and Virtus Convertible & Income Fund (NCV) carry a correlation of 0.73, a strong link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CHY and NCV?
Over the past 3 years, CHY and NCV moved with a correlation of 0.73, which is strong. The link has tightened recently: the 1-year correlation (0.86) runs above the 3-year figure (0.73). Over 5 years the correlation is 0.79, and the annualized covariance of weekly returns is 218.8 %².
Few assets follow CHY as closely as NCV, which ranks #3 of 10 tracked partners. On 12-month performance CHY holds a 6.8-point edge, +32.8% against +26.0%.
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.
CHY vs NCV: side by side
| CHY (Calamos Convertible and High Income Fund - Closed End Fund) | NCV (Virtus Convertible & Income Fund) | |
|---|---|---|
| 1-year return | +32.8% | +26.0% |
| 5-year return | +33.7% | +22.6% |
| Volatility (ann.) | 16.4% | 18.3% |
| Beta vs S&P 500 | 0.78 | 0.88 |
| Max drawdown (3Y) | -24.3% | -17.8% |
| Market cap | $1.1B | – |
| P/E (trailing) | 3.1 | 4.5 |
| Dividend yield | 9.22% | 9.84% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | CHY | NCV |
|---|---|---|
| 2022 | -28.0% | -33.9% |
| 2023 | +20.8% | +12.7% |
| 2024 | +17.2% | +16.2% |
| 2025 | +4.0% | +22.6% |
| 2026 | +22.3% | +18.2% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CHY and NCV good diversifiers for each other?
Somewhat, no more. With 0.73 correlation, most large moves hit both names, and the diversification benefit stays modest.
FAQ
What is the correlation between CHY and NCV?
As of 2026-08-27, the correlation of weekly returns between CHY and NCV is 0.73 over 3 years, 0.86 over 1 year and 0.79 over 5 years.
Is NCV a good diversifier for CHY?
Somewhat, no more. With 0.73 correlation, most large moves hit both names, and the diversification benefit stays modest.
What does a correlation of 0.73 mean?
A reading of 0.73 sits on a scale from −1 (opposite moves) through 0 (unrelated) to +1 (identical moves). Correlation captures direction, not magnitude or performance.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/chy-vs-ncv.json
Embed this badge (it refreshes with the data), with attribution:
[](https://www.pairbook.io/pair/chy-vs-ncv/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: CHY correlations · NCV correlations
