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Market Neutral Income (CVSIX)

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Overview

The fund’s core market strategies include covered call writing and convertible arbitrage. Together, these strategies are intended to provide the fund with an enhanced potential for risk-managed returns due to their differing responses to volatility.

Key Features

  • One of the first alternative mutual funds: capitalizes on more than four decades of experience in the convertible space
  • Low correlation with most fixed income benchmarks: provides a means to dampen volatility
  • Risk-management focus: blends strategies to achieve the most appropriate risk/reward profile

Portfolio Fit

The fund may provide potential diversification, in particular in a low interest-rate environment.

Important Risk Information

An investment in the Fund(s) is subject to risks, and you could lose money on your investment in the Fund(s). There can be no assurance that the Fund(s) will achieve its investment objective. Your investment in the Fund(s) is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. The risks associated with an investment in the Fund(s) can increase during times of significant market volatility. The Fund(s) also has specific principal risks, which are described below. More detailed information regarding these risks can be found in the Fund’s prospectus.

The principal risks of investing in the Market Neutral Income Fund include: equity securities risk consisting of market prices declining in general, convertible securities risk consisting of the potential for a decline in value during periods of rising interest rates and the risk of the borrower to miss payments, synthetic convertible instruments risk, convertible hedging risk, covered call writing risk, options risk, short sale risk, interest rate risk, credit risk, high yield risk, liquidity risk, portfolio selection risk, and portfolio turnover risk.

The Fund may seek to purchase index put options to help reduce downside exposure. However, the effectiveness of the Fund’s index option-based risk management strategy may be reduced if the Fund’s portfolio does not correlate to the performance of the underlying option positions. The Fund also risks losing all or part of the cash paid for purchasing index options. Unusual market conditions or lack of a ready market of any particular option at a specific time may reduce the effectiveness of the Fund’s option strategies, and for these and other reasons, the Fund’s option strategies may not reduce the Fund’s volatility to the extent desired. From time to time, the Fund may reduce its holdings of put options, resulting in an increased exposure to a market decline.

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

Calendar Year Total Returns

AS OF 3/31/18

Growth of 10K

Annualized Total Returns

AS OF 3/31/18
Calamos (NAV)2.37%4.10%3.68%3.49%3.41%3.71%5.10%6.30%
(Load-Adjusted)0.05%1.78%2.01%2.48%2.90%3.37%4.85%6.12%
BBgBarc U.S.-1.10%1.38%1.22%1.84%3.65%3.97%4.88%6.03%
Citigroup Treasury0.61%1.04%0.46%0.28%0.26%1.14%1.80%2.52%

The Fund's Gross Expense Ratio is 1.28% as of the prospectus dated 3/01/18

10k Performance is for the Fund’s Class A shares at net asset value and does not include the Fund’s maximum front-end sales charge of 2.25%—(Prior to 2/28/17, the Fund had a maximum front-end sales charge of 4.75%)-had it been included, the Fund’s return would have been lower. Index data shown is from 8/31/90, since comparative index data is available only for full monthly periods. The Lipper category average annual return ”Since Inception” start date (below) is 9/30/90. Source: State Street Corporation, Lipper, Inc. and Mellon Analytical Solutions, LLC.

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Performance reflected at NAV does not include the Fund’s maximum front-end sales load of 2.25%—(Prior to 2/28/17, the Fund had a maximum front-end sales charge of 4.75%)-had it been included, the Fund’s return would have been lower. Calendar year returns measure net investment income and capital gain or loss from portfolio investments for each period specified. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes assumes reinvestment of dividends and capital gains distributions. The Fund also offers Class B and C Shares, the performance of which may vary.

The offering price for Class I shares is the NAV per share with no initial sales charge. There are no contingent deferred sales charges or distribution or service fees with respect to Class I shares. The minimum initial investment required to purchase each Fund’s Class I shares is $1 million. Class I shares are offered primarily for direct investment by investors through certain tax-exempt retirement plans (including 401(k) plans, 457 plans, employer-sponsored 403(b) plans, profit sharing and money purchase pension plans, defined benefit plans and non qualified deferred compensation plans) and by institutional clients, provided such plans or clients have assets of at least $1 million. Class I shares may also be offered to certain other entities or programs, including, but not limited to, investment companies, under certain circumstances.

Bloomberg Barclays U.S. Government/Credit Index-Comprises long-term government and investment-grade corporate debt securities and is generally considered representative of the performance of the broad U.S. bond market. Unlike convertible bonds, U.S. Treasury bills are backed by the full faith and credit of the U.S. government and offer a guarantee as to the timely repayment of principal and interest.

Citigroup 30 Day T-Bill Index-Is generally considered representative of the performance of short-term money market instruments.

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

Strategy Allocation

AS OF 3/31/18
Convertible Arbitrage 51.4%
Covered Call 48.6%

Month-End Yield

AS OF 3/31/18
30-Day SEC Yield 0.58%
Distribution Rate 0.97%

Fund Facts Adobe Logo View All Holdings

AS OF 3/31/18


Fund
Total Net Assets $5.2 billion
# of Holdings 618
Duration 1.4 years
Median Investment Premium 26.1%
Median Conversion Premium 22.5%
Price/Book 3.2x
Price/Earnings 19.1x
Price/Sales 2.1x
PEG Ratio 1.7x
Debt/Capital 43.2%
ROIC 18.8%
Portfolio Turnover (12 months) 65.9%

Market Capitalization

AS OF 3/31/18
Market %
> $105bil 54.4%
$29bil - $105bil 31.0%
$10bil - $29bil 11.7%
$4bil - $10bil 2.8%
< $4bil 0.1%

Credit Quality of Bonds

AS OF 3/31/18
Class %
AAA 0.0%
AA 0.0%
A 3.7%
BBB 4.8%
BB 12.7%
B 11.0%
CCC and below 1.2%
Unrated Securities 66.6%

Maturity Schedule

AS OF 3/31/18
Security Type%
< 1 Year 44.8%
1 To 5 Years 26.9%
Equities and Other 20.8%
5 To 10 Years 6.1%
20 To 30 Years 1.2%
10 To 20 Years 0.2%
> 30 Years 0.0%

Bond Duration

AS OF 3/31/18
Weighted Avg. Duration 1.4 years
Weighted Avg. Maturity 3.3 years

Top 10 Holdings and Sector Weightings are calculated as a percentage of Net Assets. The tables exclude cash or cash equivalents, any government / sovereign bonds or broad based index hedging securities the portfolio may hold. You can obtain a complete listing of holdings by visiting www.calamos.com.

Holdings and weightings are subject to change daily. Holdings are provided for informational purposes only and should not be deemed as a recommendation to buy or sell the securities mentioned.

As of 18th April 2013, the SPDR Gold Trust (GLD) is no longer held in the Market Neutral Income Fund's portfolio.

Important Fund Information

Bond credit quality allocation reflects the higher of the ratings of Standards & Poor’s Corporation; Moody’s Investors Service, Inc. Ratings are relative, subjective and not absolute standards of quality, represent the opinions of the independent, Nationally Recognized Statistical Rating Organizations (NRSRO), and are adjusted to the Standards & Poor’s scale shown. Ratings are measured using a scale that typically ranges from AAA (highest) to D (lowest). The security’s credit rating does not eliminate risk. The table excludes equity securities, cash and cash equivalents. For more information about securities ratings, please see the Fund’s Statement of Additional Information at calamos.com. Additional information on ratings methodologies are available by visiting the NRSRO websites: www.standardandpoors.com and www.moodys.com.

Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown.

Annualized Standard Deviation-A statistical measure of the historical volatility of a mutual fund or portfolio.

Beta-Is a historic measure of a fund’s relative volatility, which is one of the measures of risk; a beta of 0.5 reflects 1/2 the market’s volatility as represented by the Fund’s primary benchmark, while a beta of 2.0 reflects twice the volatility.

Bloomberg Barclays U.S. Government/Credit Index-Comprises long-term government and investment-grade corporate debt securities and is generally considered representative of the performance of the broad U.S. bond market. Unlike convertible bonds, U.S. Treasury bills are backed by the full faith and credit of the U.S. government and offer a guarantee as to the timely repayment of principal and interest.

Current (SEC) Yield-Reflects the dividends and interest earned by the Fund during the 30-day period ended as of the date stated above after deducting the Fund’s expenses for that same period.

Citigroup 30 Day T-Bill Index-Is generally considered representative of the performance of short-term money market instruments.

Lipper Equity Market-Neutral Funds-Represents funds that employ portfolio strategies generating consistent returns in both up and down markets by selecting positions with a total net market exposure of zero.

Important Risk Information

An investment in the Fund(s) is subject to risks, and you could lose money on your investment in the Fund(s). There can be no assurance that the Fund(s) will achieve its investment objective. Your investment in the Fund(s) is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. The risks associated with an investment in the Fund(s) can increase during times of significant market volatility. The Fund(s) also has specific principal risks, which are described below. More detailed information regarding these risks can be found in the Fund’s prospectus.

The principal risks of investing in the Market Neutral Income Fund include: convertible securities risk, synthetic convertible instruments risk, convertible hedging risk, covered call writing risk, options risk, short sale risk, interest rate risk, credit risk, high yield risk, liquidity risk and portfolio selection risk.

Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown.

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

Total Capital Gains

  
20170.2250
20160.1997
20150.1952
20140.1368
20130.2575
20120.0000
20110.0000
20100.0000
20090.0000
20080.0000

Schedule

   
Distributions Quarterly
Capital Gains Annually

Distributions

Choose a year  
Income Total Reinvest
1Q 2018 0.01737 0.01737 13.39000
4Q 2017 0.05984 0.05984 13.19000
3Q 2017 0.02949 0.02949 13.35000
2Q 2017 0.02320 0.02320 13.26000
1Q 2017 0.03544 0.03544 13.19000
4Q 2016 0.04425 0.04425 13.03000
3Q 2016 0.03661 0.03661 13.08000
2Q 2016 0.03735 0.03735 12.86000
1Q 2016 0.03091 0.03091 12.73000
4Q 2015 0.05189 0.05189 12.74000
3Q 2015 0.02762 0.02762 12.92000
1Q 2015 0.03824 0.03824 13.01000
4Q 2014 0.03410 0.03410 12.93000
3Q 2014 0.02489 0.02489 13.16000
2Q 2014 0.01321 0.01321 13.11000
1Q 2014 0.04941 0.04941 12.98000
4Q 2013 0.03510 0.03510 12.89000
3Q 2013 0.03215 0.03215 13.00000
2Q 2013 0.05621 0.05621 12.71000
1Q 2013 0.04269 0.04269 12.82000
4Q 2012 0.05026 0.05026 12.68000
3Q 2012 0.04018 0.04018 12.81000
2Q 2012 0.03573 0.03573 12.35000
1Q 2012 0.02507 0.02507 12.47000
4Q 2011 0.05244 0.05244 12.08000
3Q 2011 0.04726 0.04726 11.70000
2Q 2011 0.04713 0.04713 11.99000
1Q 2011 0.04007 0.04007 11.96000
4Q 2010 0.06611 0.06611 11.92000
3Q 2010 0.04844 0.04844 11.59000
2Q 2010 0.02600 0.02600 11.44000
1Q 2010 0.01305 0.01305 11.70000
4Q 2009 0.04073 0.04073 11.46000
3Q 2009 0.04521 0.04521 11.26000
2Q 2009 0.04954 0.04954 10.74000
1Q 2009 0.07638 0.07638 9.90000
4Q 2008 0.34886 0.34886 10.21000
3Q 2008 0.08936 0.08936 11.98000
2Q 2008 0.08971 0.08971 12.56000
1Q 2008 0.09003 0.09003 12.56000
Adobe Logo Most Recent Distributions

For more information about the Funds such as sector weightings, top holdings, credit ratings and distribution rates, please contact Client Services at 800-582-6959.

Each Fund is a series of Calamos Investment Trust. The investment adviser to the Funds is Calamos Advisors LLC. The Calamos Family of Funds offers a range of investment strategies for individual investors with diverse investment objectives and needs. For more information on the Funds, please call 800-582-6959.

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

Annual Expenses

A Shares C Shares I Shares
Total Expense Ratio1.282.031.02
Net Expense Ratio1.282.031.02
Transaction Fee0.000.000.00
Redemption Fee0.000.000.00

Investment Information

A Shares C Shares I Shares
Minimum initial investment$2,500$2,500$1 million
Minimum subsequent investments$50$50$0
IRA initial investments$500$500N/A

Fund Information

A Shares C Shares I Shares
Inception Date9/04/902/16/005/10/00
Ticker SymbolCVSIXCVSCXCMNIX
CUSIP number128119203128119849128119880

Sales & Distribution

A Shares C Shares I Shares
Sales loadFront-endLevel-loadN/A
Maximum Sales Charge2.25%1.00%N/A
US Bank Fund Number605619629
DistributionsQuarterly dividends; annual capital gains

For more information about the Funds such as sector weightings, top holdings, credit ratings and distribution rates, please contact Client Services at 800-582-6959.

Each Fund is a series of Calamos Investment Trust. The investment adviser to the Funds is Calamos Advisors LLC. The Calamos Family of Funds offers a range of investment strategies for individual investors with diverse investment objectives and needs. For more information on the Funds, please call 800-582-6959.

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

Market Neutral Income Fund Commentary
Calamos Market Neutral Income Fund Quarterly Commentary A quarterly update of the Calamos Market Neutral Income Fund’s performance, positioning, related market commentary and outlook.
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Market Neutral Income Fund Fact Sheet
Calamos Market Neutral Income Fund Fact Sheet The Market Neutral Income Fund fact sheet provides a snap shot of the investment team, the fund strategy, performance, composition, ratings and returns.
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Embrace Volatility to Find Potential Stability

The Market Neutral income Fund (CMNIX) has had lower sensitivity to drawdowns during heightened volatility relative to the S&P 500 Index. See why the fund can serve as a ballast for your clients’ portfolios.

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Don’t Let Volatility Rob Investors of Their Greatest Advantage: Time

Illustration of how the Calamos Market Neutral Income Fund (CMNIX) has kept drawdowns to a minimum and recovered sooner, allowing the portfolio to get back to growing.

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Seeking a Balance of Risk and Return

The Market Neutral Income Fund’s core market strategies include covered call writing and convertible arbitrage. Together, these strategies are intended to provide the fund with an enhanced potential for risk-managed returns due to their differing responses to volatility.

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No Matter What: CMNIX Here’s why we call the market neutral fund category leader both consistent and resilient.
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Whether You Think Rates Will Rise 50 bps or 250 bps, Consider CMNIX The Calamos Market Neutral Income Fund is an option whether you expect rates to ultimately rise 50 bps or 250 bps.
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Calamos Strategies for Different Market Periods Illustration of equity alternatives performance in down markets and fixed income alternative performance in rising interest rate environments.
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Alternatives 101: Tools for Enhancing Asset Allocation

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convertible securities
Convertible Securities: Structures, Valuation, Market Environment, and Asset Allocation A comprehensive overview of convertible securities, including history, structures, valuation, market environment, and roles within asset allocation.
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Strategies for Rising Rates and Volatility: Your Move Now Eli Pars, Co-CIO, Head of Alternative Strategies and Co-Head of Convertible Strategies, Senior Co-Portfolio Manager, and other members of the portfolio management team explain why Calamos Market Neutral Income Fund (CMNIX) is the go-to fund for diversifying portfolios.
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Calamos Market Neutral Fund Prospectus This summary contains important information about the Class A, B, C, I and T Market Neutral Income Fund investment objective, fees and expenses, principal investment strategies, principal risks and performance.
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Calamos Mutual Fund Statutory Prospectus
Statutory Prospectus You should read the accompanying prospectus and any accompanying prospectus supplement, which contain important information, before deciding whether to invest in our securities.
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Calamos Mutual Fund Statement of Additional Information
SAI The statement of additional information is a supplementary document to the fund’s prospectus and contains additional information about the fund and includes further disclosure regarding its operations.
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Mutual Funds Semi Annual Report
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Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance shown reflects an expense reimbursement that improved results. Load-adjusted returns are adjusted for the maximum front-end sales load of 2.25%* for Class A shares in the following funds: Convertible Fund, Global Convertible Fund, Market Neutral Income Fund, High Income Opportunities Fund, and Total Return Bond Fund. The maximum front-end sales load for Class A shares of all other funds is 4.75%. There is a 1% contingent deferred sales charge for C shares on certain redemptions within the first year of purchase. Class C shares have been adjusted for the contingent deferred sales charge (CDSC). There are no contingent deferred sales charges or distribution or service fees with respect to Class I shares. The minimum initial investment required to purchase each Fund's Class I shares is $1 million. Class I shares are offered primarily for direct investment by investors through certain tax-exempt retirement plans (including 401(k) plans, 457 plans, employer-sponsored 403(b) plans, profit sharing and money purchase pension plans, defined benefit plans and non-qualified deferred compensation plans) and by institutional clients, provided such plans or clients have assets of at least $1 million. Class I shares may also be offered to certain other entities or programs, including, but not limited to, investment companies, under certain circumstances. *Prior to 2/28/17, the Convertible Fund, Global Convertible Fund, Market Neutral Income Fund, and High Income Opportunities fund had a maximum front-end sales load of 4.75%, and the Total Return Bond Fund had a maximum front-end sales load of 3.75%.

The funds' gross expense ratios as of the prospectus dated 3/1/18 are as follows: Growth A 1.40%, C 2.15% and I 1.15%; Growth and Income A 1.12%, C 1.87% and I 0.87%; Opportunistic Value A 1.67%, C 2.42% and I 1.42%; Dividend Growth A 1.87%, C 2.73% and I 1.80%; Global Growth and Income A 1.54%, C 2.29% and I 1.29%; International Growth A 1.46%, C 2.21% and I 1.21%; Global Equity A 1.53%, C 2.27% and I 1.28%; Evolving World Growth A 1.67%, C 2.41% and I 1.41%; Emerging Market Equity A 2.70%, C 3.45% and I 2.45%; Convertible A 1.18%, C 1.93% and I 0.93%; Global Convertible A 1.46%, C 2.20% and I 1.19%; Market Neutral Income A 1.28%, C 2.03% and I 1.02%; Phineus Long/Short A 2.80%, C 3.55% and I 2.54%; Hedged Equity Income A 2.15%, C 3.04% and I 2.07%; High Income Opportunities A 1.33%, C 2.08% and I 1.08%; and Total Return Bond A 1.08%, C 1.83% and I 0.84%.  

NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE

Before investing carefully consider the fund's investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information or call 800-582-6959. Read it carefully.