CHY vs VXZ: Correlation
How closely do Calamos Convertible and High Income Fund - Closed End Fund (CHY) and iPath Series B S&P 500 VIX Mid-Term Futures ETN (VXZ) trade together? Their weekly returns over three years give a correlation of -0.48, which is negative.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CHY and VXZ?
Across a 3-year window, the weekly returns of CHY and VXZ correlate at -0.48, negative, meaning they tend to move in opposite directions. The relationship has been stable: the 1-year correlation (-0.58) sits close to the 3-year figure. Stretching to 5 years gives -0.51, with an annualized covariance of -200.5 %².
VXZ is close to the least connected end of CHY's tracked universe, ranking #8 of 10. Correlation aside, the last 12 months split them widely, with CHY ahead by 48.9 points (+32.8% versus -16.1%). Note the risk asymmetry: VXZ runs 1.6 times the annualized volatility of the other leg, so equal-weighting the two is not an equal-risk position.
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 VXZ: side by side
| CHY (Calamos Convertible and High Income Fund - Closed End Fund) | VXZ (iPath Series B S&P 500 VIX Mid-Term Futures ETN) | |
|---|---|---|
| 1-year return | +32.8% | -16.1% |
| 5-year return | +33.7% | -53.1% |
| Volatility (ann.) | 16.4% | 25.6% |
| Beta vs S&P 500 | 0.78 | -1.31 |
| Max drawdown (3Y) | -24.3% | -36.4% |
| Market cap | $1.1B | – |
| P/E (trailing) | 3.1 | – |
| Dividend yield | 9.22% | – |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | CHY | VXZ |
|---|---|---|
| 2022 | -28.0% | +0.5% |
| 2023 | +20.8% | -44.0% |
| 2024 | +17.2% | -12.7% |
| 2025 | +4.0% | +5.7% |
| 2026 | +22.3% | -10.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CHY and VXZ good diversifiers for each other?
Yes. With a correlation of -0.48, CHY and VXZ have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
FAQ
What is the correlation between CHY and VXZ?
As of 2026-08-27, the correlation of weekly returns between CHY and VXZ is -0.48 over 3 years, -0.58 over 1 year and -0.51 over 5 years.
Is VXZ a good diversifier for CHY?
Yes. With a correlation of -0.48, CHY and VXZ have moved largely independently, which makes them a genuinely diversifying pair by historical standards.
What does a correlation of -0.48 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
$ curl https://www.pairbook.io/api/v1/pairs/chy-vs-vxz.json
Drop this badge in a README or notebook; it updates with the data:
[](https://www.pairbook.io/pair/chy-vs-vxz/)
The core API is free. Terms and every endpoint in the API documentation.
Related comparisons
Hubs: CHY correlations · VXZ correlations
