CPZ vs EDF: Correlation
Measured on weekly returns over the past three years, Calamos Long/Short Equity & Dynamic Income Trust - Closed (CPZ) and Virtus Stone Harbor Emerging Markets Income Fund (EDF) carry a correlation of 0.55, a moderate link.
Data as of 2026-08-27 · refreshed every trading day · weekly returns · methodology
How correlated are CPZ and EDF?
Over the past 3 years, CPZ and EDF moved with a correlation of 0.55, which is moderate. The link has loosened recently: the 1-year correlation (0.41) runs below the 3-year figure (0.55). Over 5 years the correlation is 0.51, and the annualized covariance of weekly returns is 130.1 %².
EDF is one of the assets that tracks CPZ most closely: it ranks #3 out of the 10 assets we track against CPZ. The last year tells two different stories: EDF led by 24.6 percentage points, -9.2% for CPZ against +15.4% for EDF. Note the risk asymmetry: EDF runs 1.8 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.
CPZ vs EDF: side by side
| CPZ (Calamos Long/Short Equity & Dynamic Income Trust - Closed) | EDF (Virtus Stone Harbor Emerging Markets Income Fund) | |
|---|---|---|
| 1-year return | -9.2% | +15.4% |
| 5-year return | +14.8% | +26.6% |
| Volatility (ann.) | 11.3% | 20.9% |
| Beta vs S&P 500 | 0.30 | 0.52 |
| Max drawdown (3Y) | -17.9% | -23.4% |
| Market cap | $0.3B | $0.2B |
| P/E (trailing) | 63.7 | 4.6 |
| Dividend yield | 0.00% | 0.00% |
| Sector / category | US Listed | US Listed |
Year-by-year returns
| Year | CPZ | EDF |
|---|---|---|
| 2022 | -14.0% | -28.0% |
| 2023 | +6.3% | +21.6% |
| 2024 | +16.0% | +25.5% |
| 2025 | +9.8% | +22.2% |
| 2026 | -1.8% | +14.5% |
Calendar-year price returns; the current year is year-to-date as of the data date above.
Are CPZ and EDF good diversifiers for each other?
To a limited degree. At 0.55 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
FAQ
What is the correlation between CPZ and EDF?
Using weekly returns as of 2026-08-27: 0.55 over 3 years, with 0.41 over the last year and 0.51 over 5 years.
Is EDF a good diversifier for CPZ?
To a limited degree. At 0.55 the two still catch most of the same waves, so the pair smooths returns a little without insulating either from a shared selloff.
What does a correlation of 0.55 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.
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Related comparisons
Hubs: CPZ correlations · EDF correlations
