Institutional Strategies Main

Phineus Long/Short

Strategy Details




As of 06/30/18
Inception Date:
06/01/02
Strategy Assets*:
$1.2 B
Benchmark:
MSCI World Index

Resources

*Strategy Assets reflect all assets collectively under the Calamos Phineus Long/Short Strategy.

Introducing: The Calamos Phineus Long/Short Strategy

The Long Short Model | Calamos Phineus Long/Short Strategy

The Long/Short Model | Flexibility of Calamos Phineus Long/Short Strategy

Offering

  • Absolute return mandate, referencing S&P 500 and MSCI World Indices as return benchmarks
  • Global long/short strategy investing in publicly listed equity securities
  • Investible universe is global, liquid and scalable
  • Assets managed across pooled investment vehicles and SMA formats

Investment Opportunity

  • Track record (15+ years, GIPS compliant) underscores coherence of process and personnel
  • Combines compelling product with institutional class infrastructure
  • Top-down and bottom-up approach addresses limitations of competing strategies
  • Capital allocation opportunity across geography, market capitalization and style

Calamos Edge

  • 40+ year history in risk-adjusted alpha
  • Global investment and operating platform

Regional Weightings

AS OF 06/30/18
Long Short Gross Net MSCI World Index
North America 80.2 -35.9 116.2 44.3 62.9
Europe 3.7 0.0 3.7 3.7 23.7
Asia/Pacific 0.5 0.0 0.5 0.5 13.0
Middle East/Africa 0.0 0.0 0.0 0.0 0.2
Caribbean 0.0 0.0 0.0 0.0 0.1
Latin America 0.0 0.0 0.0 0.0 0.1
TOTAL 84.5 -35.9 120.4 48.6 100.0

Largest Holdings

AS OF 06/30/18
Long Portfolio Sector Weight
Jpmorgan Chase & Company Financials 4.6
Facebook, Inc. - Class A Information Technology 4.2
Goldman Sachs Group, Inc. Financials 4.0
Consumer Staples Spdr Consumer Staples 3.8
Morgan Stanley Financials 3.7
AS OF 06/30/18
Short Portfolio Sector Weight
ETF N/A -15.1
ETF Information Technology -8.2
ETF N/A -4.8
ETF N/A -2.4
ETF Health Care -1.9

Characteristics

AS OF 06/30/18
  Long Short MSCI World Index
# of Holdings 55 19 1643
Equity Exposure 84.48 35.92 --
Median Mkt Cap ($bil) 41.0 46.6 13.0
Wtd. Avg. Mkt Cap ($bil) 131.7 159.9 147.4

Composite Summary

AS OF 06/30/18
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2015 06 21,908 0.0% 1 06
12/31/2014 09 23,506 0.0% 1 09
12/31/2013 11 26,543 0.0% 1 11
12/31/2012 10 30,580 0.0% 1 10
12/31/2011 12 32,777 0.0% 1 12
12/31/2010 16 35,414 0.0% 1 16
12/31/2009 09 32,144 0.0% 1 09
12/31/2008 04 23,522 0.0% 1 04
12/31/2007 16 46,208 0.0% 1 16
12/31/2006 03 44,725 0.0% 1 03
12/31/2005 03 43,805 0.0% 1 03
12/31/2004 04 37,975 0.0% 1 04
12/31/2003 04 23,840 0.0% 1 04
12/31/2002 03 12,892 0.0% 1 03

Annualized Total Returns

AS OF 06/30/18
1-Year3-Year5-Year10-Year15-YearSince Inception (6/02)
Phineus Long/Short (Gross)4.42%6.44%8.80%11.83%14.08%13.55%
Phineus Long/Short (Net)3.13%5.05%7.31%10.24%12.43%11.92%
MSCI World Index11.70%9.10%10.55%6.86%8.73%7.56%
S&P 500 Index14.37%11.93%13.42%10.17%9.30%8.16%
HFRI Equity Hedge (Total) Index8.23%4.85%5.84%3.70%5.66%5.32%

Calendar Year Returns

AS OF 06/30/18
                           Qtr Ending Jun 18YTD 201820172016201520142013201220112010200920082007200620052004200306/01/2002 to 12/31/2002
Phineus Long/Short (Gross)-1.33%0.90%11.08%15.37%6.80%2.26%22.26%9.45%-5.06%10.25%76.38%-16.39%30.28%23.72%18.96%8.98%30.75%-2.97%
Phineus Long/Short (Net)-1.63%0.29%9.72%13.84%5.22%0.74%20.47%7.83%-6.48%8.62%73.86%-17.66%28.38%21.91%17.22%7.37%28.85%-3.82%
MSCI World Index1.93%0.76%23.07%8.15%-0.32%5.50%27.37%16.54%-5.01%12.34%30.79%-40.33%9.57%20.65%10.02%15.25%33.76%-17.29%
S&P 500 Index3.43%2.65%21.83%11.96%1.38%13.69%32.38%16.00%2.11%15.07%26.46%-36.99%5.50%15.80%4.91%10.88%28.68%-16.69%
HFRI Equity Hedge (Total) Index0.84%1.15%13.29%5.47%-0.96%1.81%14.28%7.41%-8.38%10.46%24.57%-26.64%10.50%11.71%10.61%7.69%20.53%-6.13%



Long/Short Historical Equity Exposure

Gross/Net Historical Equity Exposure

Risk/Reward Since Inception

AS OF 06/30/18
  Calamos Phineus Long/Short Composite MSCI World Index
Alpha 8.29% N/A
Beta 0.72 1.00
R-Squared 41.86% N/A
Standard Deviation 16.59% 14.81%
Upside Semivariance 17.81% 9.86%
Downside Semivariance 6.39% 8.82%
Sortino Ratio 1.39 0.61
Sharpe Ratio 0.7430 0.4276
Information Ratio 0.4510 N/A

Since Inception Up/Down Capture Vs. MSCI World Index

AS OF 06/30/18 87.67 = Upside
55.83 = Downside

Strategy Vehicles

Separately Managed Accounts Minimum: $10 million
Institutional Mutual Fund* Minimum $1 million
Phineus Long Short Fact Sheet
Phineus Long/Short Strategy Fact Sheet The Phineus Long Short Strategy fact sheet provides a snap shot of the investment team, strategy, performance, composition, ratings and returns.
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Phineus Long/Short Strategy Performance Review Thumbnail
Phineus Long/Short Strategy Performance Review A discussion of the Calamos Phineus Long Short Strategy ’s performance versus a benchmark, positioning, related market commentary, and outlook.
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