CEF Advisors

7204 Glen Forest Drive, Suite #105 Richmond, Virginia 23226 USA   ♦   Toll-Free: (800) 356-3508 / Local: (804) 288-2482    ♦   www.CEFadvisors.com   ♦   Contact@CEFadvisors.com

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Calamos Convertible and High Income Fund (CHY)

Taxable Bond Funds - Convertible Funds

Data as of April 6, 2020
Market Price $8.38 (+ $0.53)
NAV (April 6, 2020) $9.12 (+ $0.41)
Premium / Discount -8.11% (+1.76%)
Fund Info
Inception May 30, 2003
Sponsor Calamos Advisors
Website www.calamos.com/FundIn...
Phone 630-245-7200
Objective: Capital appreciation and current income; Convertible securities and high yield corporate bonds
Related Indexes
12 Major CEF Sectors Index
High Income Index
60/40 Balanced (w/ BDCs) Index
Convertible Bond Index
Taxable Bond & BDC Index
Capital & Leverage
Outstanding Shares 73,250,403
Total Assets (Reported: Oct. 31, 2019) $1,247M
Estimated Total Assets $1,010M
Net Assets $668M
Market Cap $614M
Purchases Turnover 88.67%
Sales Turnover 89.07%
Total Leverage 33.83%
Structural Leverage (out of total) 100.00%
Portfolio Leverage (out of total) 0.00%
Expense Ratio 2.91%
Non Lev Exp Ratio 1.30%
Rel Lev Cost 3.12%
Discount Data
Average Discount (3 Yr) 0.11%
Discount Low(3 Yr) -27.73%
Discount High(3 Yr) 14.24%
Discount Rel Range 46.74%
Comp Discount 3.29
Discount St Dev (1Yr) 2.91
Z-Stat (6mo) -1.42
Z-Stat (1Yr) -2.02
Z-Stat (3Yr) -1.92
Comp Z-Stat (6mo) 0.50
Comp Z-Stat (3Yr) 0.33
Distribution Data
Market Yield 12.17%
Income Yield 3.45%
Lev Adj NAV Yield 8.36%
Distribution Frequency M
Current Distribution $0.085
Current Income $0.024
Ex-Date 4/13/20
Payable Date 4/20/20
Div Growth (3yr) -15.00%
Dividend Change -15.0% on 10/1/18
Expected Div 5/1/20
RoC (1yr) 13.32%
RoC (3yr) 17.52%
Tax Dividend Data 2019 2017 - 2019
Income 46.6% 49.1%
ST Gains 13.2% 22.4%
QDI 8.8% 7.6%
LT Gains 23.1% 9.2%
RoC 17.1% 19.3%
Volume & Liquidity
Average Daily $ (M) $3,106
Avg Volume 30 day 641,195
Avg Volume 90 day 370,671
Volume Trend 72.98%
Comp Volume Trend 21.75%
Correlation & Volatility
Price Correlation (1yr)
vs. S&P 500 (TR)
Price Correlation (1yr)
vs. CEFA's 12 Major CEF Sectors Index
Price Correlation (1yr)
vs. CEFA's Convertible Bond Index
Most Correlated Peer (Mk Pr): CHI 99.0%
NAV - Price Correlation (30 d) 89.6%
NAV - Price Correlation (90 d) 98.9%
NAV - Price Correlation (1 Yr) 97.2%
Price St Dev (1Yr) 47.4%
NAV St Dev (1Yr) 22.5%
Earnings / Share (10/31/19) $0.045
Earn Coverage 52.94%
Earnings Trend Down
UNII / Share (10/31/19) $-0.160
Rel UNII -55.26
UNII Trend Down
Bond Specific Data
Maturity 5.00
Duration 3.30
Credit Rating (rbo) BB
Investment Grade 10.80%
Non Investment Grade 43.80%
Unrated Bonds 45.40%
NAV Beta (2yr)
vs. S&P 500 (TR)
NAV Beta (2yr)
vs. CEFA's 12 Major CEF Sectors Index
NAV Beta (2yr)
vs. CEFA's Convertible Bond Index


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NOTES: Distribution type sourced from CEFdata.com. For specific information about a fund's distribution sources, visit the fund sponsor's website.

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