CHY vs VXX: Correlation
How closely do Calamos Convertible and High Income Fund - Closed End Fund (CHY) and iPath Series B S&P 500 VIX Short-Term Futures ETN (VXX) trade together? Their weekly returns over three years give a correlation of -0.54, which is negative.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CHY and VXX?
Across a 3-year window, the weekly returns of CHY and VXX correlate at -0.54, negative, meaning they tend to move in opposite directions. The relationship has been stable: the 1-year correlation (-0.64) sits close to the 3-year figure. Stretching to 5 years gives -0.49, with an annualized covariance of -541.3 %².
Among the 10 assets we track against CHY, VXX sits near the bottom by co-movement, at rank #9. Their recent paths diverged sharply: over the last 12 months CHY outperformed by 82.5 percentage points (+32.8% for CHY against -49.7% for VXX). One caveat on sizing: VXX is 3.7 times as volatile as the other leg, so an equal-dollar split is far from equal-risk.
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 VXX: side by side
| CHY (Calamos Convertible and High Income Fund - Closed End Fund) | VXX (iPath Series B S&P 500 VIX Short-Term Futures ETN) | |
|---|---|---|
| 1-year return | +32.8% | -49.7% |
| 5-year return | +33.7% | -95.6% |
| Volatility (ann.) | 16.4% | 60.9% |
| Beta vs S&P 500 | 0.78 | -3.31 |
| Max drawdown (3Y) | -24.3% | -83.3% |
| Market cap | $1.1B | – |
| P/E (trailing) | 3.1 | – |
| Dividend yield | 9.22% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | CHY | VXX |
|---|---|---|
| 2022 | -28.0% | -23.8% |
| 2023 | +20.8% | -72.5% |
| 2024 | +17.2% | -26.2% |
| 2025 | +4.0% | -42.2% |
| 2026 | +22.3% | -31.6% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CHY and VXX good diversifiers for each other?
Yes. With a correlation of -0.54, CHY and VXX have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
FAQ
What is the correlation between CHY and VXX?
As of 2026-08-27, the correlation of weekly returns between CHY and VXX is -0.54 over 3 years, -0.64 over 1 year and -0.49 over 5 years.
Is VXX a good diversifier for CHY?
Yes. With a correlation of -0.54, CHY and VXX have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
What does a correlation of -0.54 mean?
On the −1 to +1 scale, -0.54 describes how much the two returns move together: +1 is lockstep, 0 is independence, negative values mean opposite directions. It says nothing about which performed better.
Use this data
$ curl https://www.pairbook.io/api/v1/pairs/chy-vs-vxx.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/chy-vs-vxx/)
Free with attribution; caching and terms are described in the API documentation.
Related comparisons
Hubs: CHY correlations · VXX correlations
