Institutional Strategies Main

U.S. OPPORTUNITIES

Strategy Objective

A lower-volatility equity strategy that leverages Calamos’ capital structure research by investing in equities and equity-sensitive securities of growth companies, in order to generate alpha and manage downside volatility versus the S&P 500 Index over a full market cycle.

Key Differentiators
  • In-depth capital structure analysis
  • Rigorous top-down and fundamental research
  • Broader opportunity set to generate alpha and manage risk
  • Team approach to management

Strategy Details




As of 31/12/15
Inception Date:
01/01/1989
Strategy Assets*:
$5.1 B
Benchmark:
S&P 500 Index

Resources

* Strategy Assets reflect all assets that are currently being managed (collectively) under the Calamos U.S. Opportunities Strategy.

Sector Weightings

AS OF 31/12/15
% of Assets S&P 500 Index Under/Overweight %
Information Technology 23.5% 20.6%
Consumer Discretionary 17.7 12.9
Financials 16.6 16.5
Health Care 14.3 15.2
Industrials 10.7 10.0
Consumer Staples 9.0 10.1
Energy 4.5 6.5
Utilities 2.2 3.0
Materials 0.8 2.8
Telecommunication Services 0.7 2.4
 

Representative Portfolio Ten Largest Holdings

AS OF 31/12/15
Company Sector %
Apple, Inc. Information Technology 3.6
Microsoft Corp. Information Technology 3.0
Wells Fargo & Company Financials 2.8
JPMorgan Chase & Company Financials 2.8
Home Depot, Inc. Consumer Discretionary 2.7
Liberty Interactive, LLC (Time Warner Cable, Inc., Time Warner, Inc.) Consumer Discretionary 2.4
Alphabet, Inc. - Class A Information Technology 2.2
Citigroup, Inc. Financials 1.8
Anthem, Inc. Health Care 1.8
Johnson & Johnson Health Care 1.7

Characteristics

AS OF 31/12/15
  Calamos Portfolio S&P 500 Index
Assets in Strategy $5.1 billion N/A
# of Holdings 114 504
Portfolio Turnover % (5-Year) 48.0% N/A
Median Market Cap ($bil) $88.6 $17.4
Weighted Average Market Cap ($bil) $191.5 $139.5
ROIC % 18.0% 17.4%
Debt/Capital % 38.5% 39.1%
PEG Ratio (1 year forward) 1.9x 1.9x

Credit Quality of Bonds

AS OF 31/12/15
AAA 0.6%
AA 3.0%
A 6.0%
BBB 33.1%
BB 42.1%
B 15.2%
CCC and below 0.0%
Unrated Securities 0.0%

Composite Summary

AS OF 31/12/15
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2013 3,472 26,543 13.1% 11 316
12/31/2012 4,132 30,580 13.6% 13 318
12/31/2011 4,455 32,777 13.8% 12 371
12/31/2010 4,510 35,414 12.9% 13 347
12/31/2009 4,057 32,144 12.6% 10 406
12/31/2008 3,359 23,522 14.3% 11 305
12/31/2007 6,425 46,208 13.9% 21 306
12/31/2006 6,857 44,725 15.3% 17 403
12/31/2005 5,923 43,805 13.5% 18 329
12/31/2004 4,940 37,975 13.0% 16 309
12/31/2003 3,364 23,840 14.1% 22 153
12/31/2002 990 12,892 7.7% 9 110
12/31/2001 301 9,335 3.2% 2 151
12/31/2000 98 6,131 1.6% 2 49
12/31/1999 45 4,522 1.0% 2 23

44602C

Annualized Total Returns

AS OF 31/12/15
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Opportunities (Gross)2.79%9.59%7.65%6.92%7.43%13.09%
U.S. Opportunities (Net)2.10%8.86%6.94%6.21%6.70%12.30%
S&P 500 Index1.38%15.13%12.57%7.31%5.00%9.82%

Calendar Year Returns

AS OF 31/12/15
                           Qtr ending Dec 152015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Opportunities (Gross)5.49%2.79%8.45%18.07%9.55%0.29%13.58%38.49%-30.28%10.90%11.00%9.20%11.11%29.29%-3.17%-1.20%8.32%55.23%19.94%25.76%21.57%31.66%-3.41%17.10%12.30%43.41%
U.S. Opportunities (Net)5.32%2.10%7.73%17.29%8.82%-0.38%12.83%37.60%-30.76%10.18%10.28%8.47%10.35%28.38%-3.88%-1.93%7.52%54.11%19.06%24.84%20.68%30.70%-4.13%16.24%11.47%42.37%
S&P 500 Index7.04%1.38%13.69%32.39%16.00%2.11%15.06%26.46%-37.00%5.49%15.79%4.91%10.88%28.68%-22.10%-11.89%-9.10%21.04%28.58%33.36%22.96%37.58%1.32%10.08%7.62%30.47%



Risk/Reward Since Inception

AS OF 31/12/15
  Calamos U.S. Opportunities Composite S&P 500 Index
Alpha 4.78% N/A
Beta 0.73 1.00
Standard Deviation 12.61% 14.41%
Upside Semivariance 10.13% 10.54%
Downside Semivariance 4.32% 7.53%
Sharpe Ratio 0.81 0.48
Information Ratio 0.34 N/A

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
Institutional Mutual Fund (CGIIX) Minimum: $1 million

34602E

Fact Sheet The U.S. Opportunities Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
Performance Review A discussion of the Calamos U.S. Opportunities Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
Managing Risk Using a Lower-Volatility Equity Strategy A discussion of the Calamos U.S. Opportunities Strategy which has historically provided strong excess returns versus the S&P 500 Index with less volatility; downside risk protection in most periods; and alpha generation throughout market cycles.