Institutional Strategies Main

CORE PLUS FIXED INCOME

Strategy Objective

The Calamos Core Plus Fixed Income strategy seeks total return, consistent with preservation of capital and prudent investment management, through income earned on investments, plus capital appreciation. The strategy invests primarily in a diversified portfolio of investment-grade debt securities that generally have a dollar-weighted average portfolio duration between three to ten years.

Key Differentiators

  • In-depth capital structure research to evaluate issuers holistically
  • Broader opportunity set including U.S. and non-U.S. dollar issues, and convertible securities
  • Total return orientation
  • Team approach to management

 

Strategy Details

As of 30/9/17
Inception Date:
1/7/2007
Strategy Assets*:
$74.4 M
Benchmark(s):
Bloomberg Barclays
U.S. Aggregate Bond Index

Resources

*Strategy Assets reflect all assets that are currently being managed (collectively) under the Calamos Core Plus Fixed Income Strategy.

Security Type Allocation

AS OF 30/9/17
Representative Portfolio %
Investment Grade Corporate Debt 54.3
High Yield Corporate Debt 8.2
Government Debt 32.1
Securitized Debt 2.7
U.S. Municipal Debt 0.0
Cash and Receivables/Payables 2.8

Fixed Income Sector Breakout

AS OF 30/9/17
Representative Portfolio %
ABS 1.0
Agency 3.4
CMBS 0.0
Covered 0.0
Financial Institutions 18.7
Industrial 41.5
Local Authority 0.0
MBS Passthrough 1.7
Sovereign 0.0
Supranational 0.0
Treasury 28.7
Utility 2.4

Maturity Schedule

AS OF 30/9/17
Representative Portfolio %
Under 1 Year 7.7
1 to 3 Years 15.8
3 to 5 Years 28.1
5 to 7 Years 9.1
7 to 10 Years 28.1
Over 10 Years 11.2
Equity & Over 0.0
Total 100.0

Portfolio percent includes cash.

Credit Quality Allocation

AS OF 30/9/17
Representative Portfolio %
AAA 1.1
AA 4.4
A 22.1
BBB 27.6
BB 6.5
B 1.1
CCC and Below 0.0
Unrated Securities 33.0
Total 4.2

Bond and Weighted Average Credit Quality–Reflects information from nationally recognized rating agencies including Standard & Poor’s Corporation. Ratings are relative, subjective and not absolute standards of quality. Excludes equity securities and cash.

Representative Portfolio Ten Largest Holdings

AS OF 30/9/17
Coupon Maturity Portfolio %
United States Treasury Note 1.88% 31/01/22 4.2
United States Treasury Bond 2.75% 15/08/47 2.7
United States Treasury Bond 2.88% 15/11/46 2.1
United States Treasury Note 2.13% 31/03/24 2.1
United States Treasury Note 2.00% 15/02/25 2.0
United States Treasury Note 2.00% 15/11/26 2.0
United States Treasury Note 1.63% 15/05/26 2.0
United States Treasury Note 1.88% 31/03/22 2.0
Federal National Mortgage Association 3.0% 01/07/46 1.7
United States Treasury Note 2.38% 15/05/27 1.4

Past performance does not guarantee or indicate future results. 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.

The information portrayed on the composition tab is supplemental information to the Calamos Institutional Core Plus Fixed Income Composite and as such only relate to the representative portfolio shown. Representative holdings and portfolio characteristics are specific only to the portfolio shown at that point in time. Other portfolios will vary in composition, characteristics, and will experienced different investment results. The representative portfolio shown has been selected by the advisor based on account characteristics that the advisor feels accurately represents the investment strategy as a whole.

Returns and Risk/Reward statistics presented reflect the Calamos Institutional Core Plus Fixed Income Composite which is an actively managed composite investing primarily in a diversified portfolio of investment-grade securities that generally have a dollar-weighted average duration between three to ten years. The Composite was created December 1, 2010, calculated with an inception date of July 1, 2007 and includes all fully discretionary, fee paying accounts, including those no longer with the Firm.

Bond credit quality allocation reflects the higher of the ratings of Standards & Poor’s Corporation; or 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). In addition, CAL has assigned its own ranking to the ""unrated bonds,"" based on its fundamental and proprietary investment process and has years of experience actively managing risk. 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 Statement of Additional Information at www.calamos.com. Additional information on ratings methodologies are available by visiting the NRSRO websites: www.standardsandpoors.com, and www.moodys.com.

The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate bond market. The index includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed rate and hybrid ARM pass-throughs), ABS and CMBS sectors. 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.

The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. Information contained herein is for informational purposes only and should not be considered investment advice.

The information provided in this report should not be considered a recommendation to purchase or sell any particular security. There is no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account's entire portfolio and in the aggregate may represent only a small percentage of an account's portfolio holdings.

It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Russell/Mellon Analytical Services LLC and Calamos Advisors LLC.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

44609C

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
UCITS (Available in A, I, X Share Classes) Minimum: $1 million

Literature

Core Plus Fixed Income Fact Sheet The Core Plus Fixed Income Strategy fact sheet provides a snap shot of the investment team, the fund strategy, performance, composition, ratings and returns.
Perspectives on Fixed Income: “Thinking Outside the Box” to Achieve Long-Term Results Co-CIO and Head of Fixed Income Strategies Matt Freund, CFA, discusses the Calamos approach to fixed income and its key differentiators. He also shares his view of fixed income opportunities in the current environment.
Calamos Fixed Income Credit Analysis Process Credit analysis is the foundation of our fixed income investment process. We provide an overview of how our team of dedicated credit analysts evaluate a company’s ability to meet its debt obligations utilizing rigorous bottom-up fundamental analysis informed by macroeconomic insights.
Core Plus Fixed Income Performance Review A discussion of the Calamos Core Plus Fixed Income Strategy's performance versus a benchmark, positioning, related market commentary, and outlook.