Institutional Strategies Main

COVERED CALL

Strategy Objective

The Covered Call Strategy draws upon nearly a decade of Calamos experience in covered call writing and two decades in equity investing. This is an option-based strategy that seeks to provide a unique mix of downside protection and equity upside participation—with more consistent returns even in a higher volatility environment.

Key Differentiators
  • Leverages our role as a pioneer in alternative investing as Calamos has utilized convertibles and option theory since the 1970s
  • Managed by a seasoned investment team
  • Potential diversifier, with historically low correlation to traditional fixed income
  • Attractive risk/reward profile versus long-only equities
  • Designed to generate income from options premiums

Strategy Details




As of 09/30/17
Inception Date:
01/01/15
Strategy Assets*:
$16.3 M
Benchmark:
S&P 500 Index

Resources

*Strategy Assets reflect all assets that are currently being managed (collectively) under the Calamos Covered Call Strategy.

Sector Weightings

AS OF 09/30/17
% of Assets S&P 500 Index Under/Overweight %
Information Technology 23.6% 23.3%
Health Care 14.9 14.5
Financials 13.6 14.6
Consumer Discretionary 13.0 11.8
Industrials 10.2 10.2
Consumer Staples 7.8 8.2
Energy 6.4 6.1
Utilities 2.8 3.1
Real Estate 2.8 3.0
Materials 2.5 3.0
 

Representative Portfolio Ten Largest Holdings

AS OF 09/30/17
Company Sector %
Apple, Inc. Information Technology 4.1
Microsoft Corp. Information Technology 3.6
Exxon Mobil Corp. Energy 2.1
Jpmorgan Chase & Company Financials 2.1
Spdr S&P 500 Etf Trust Other 2.0
Johnson & Johnson Health Care 2.0
Amazon.Com, Inc. Consumer Discretionary 1.9
Berkshire Hathaway, Inc. - Class B Financials 1.9
Home Depot, Inc. Consumer Discretionary 1.8
Visa, Inc. - Class A Information Technology 1.6

Characteristics

AS OF 09/30/17
  Calamos Portfolio S&P 500 Index
# of Holdings 290 505
Portfolio Turnover % (12-Month) 59.8% N/A
Median Market Cap ($bil) $37.8 $21.0
Weighted Average Market Cap ($bil) $195.0 $179.1

Annualized Total Returns

AS OF 09/30/17
1-YearSince Inception (1/15)
Covered Call (Gross)8.99%5.41%
Covered Call (Net)8.18%4.63%
S&P 500 Index18.61%9.90%
Bloomberg Barclays U.S. Aggregate Bond Index0.07%2.30%

Calendar Year Returns

AS OF 09/30/17
                           Qtr Ending Sep 17YTD 201720162015
Covered Call (Gross)1.84%6.66%6.53%1.74%
Covered Call (Net)1.65%6.07%5.73%0.98%
S&P 500 Index4.48%14.24%11.96%1.38%
Bloomberg Barclays U.S. Aggregate Bond Index0.85%3.14%2.64%0.55%



Risk/Reward Since Inception

AS OF 09/30/17
  Calamos Covered Call Composite S&P 500 Index
Alpha 0.06% N/A
Beta 0.54 1.00
Standard Deviation 5.75% 10.40%
Upside Semivariance 1.94% 6.77%
Downside Semivariance 0.94% 2.67%
Sharpe Ratio 0.8867 0.9226
Information Ratio -0.9001 N/A

Strategy Vehicles

Separately Managed Account Minimum $25 million
Institutional Mutual Fund (CIHEX) Minimum $1 million
Covered Call Strategy Fact Sheet
Fact Sheet The Covered Call Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
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Covered Call Strategy Performance Review
Performance Review A discussion of the Calamos Covered Call Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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Fact Sheet The Covered Call Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
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