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 09/30/17
Inception Date:
01/01/89
Strategy Assets*:
$4.9 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 09/30/17
% of Assets S&P 500 Index Under/Overweight %
Information Technology 24.6% 23.3%
Consumer Discretionary 17.6 11.8
Health Care 13.2 14.5
Financials 12.7 14.6
Industrials 10.3 10.2
Consumer Staples 8.2 8.2
Energy 5.7 6.1
Utilities 2.3 3.1
Real Estate 2.2 3.0
Telecom Services 2.1 2.2
 

Representative Portfolio Ten Largest Holdings

AS OF 09/30/17
Company Sector %
Apple, Inc. Information Technology 3.9
Alphabet, Inc. - Class A Information Technology 2.7
Microsoft Corp. Information Technology 2.6
Johnson & Johnson Health Care 2.1
Jpmorgan Chase & Company Financials 2.1
Citigroup, Inc. Financials 2.0
Amazon.Com, Inc. Consumer Discretionary 1.9
Facebook, Inc. - Class A Information Technology 1.8
Exxon Mobil Corp. Energy 1.7
Procter & Gamble Company Consumer Staples 1.4

Characteristics

AS OF 09/30/17
  Calamos Portfolio S&P 500 Index
Assets in Strategy $4.9 billion N/A
# of Holdings 164 505
Portfolio Turnover % (12-Month) 25.5% N/A
Median Market Cap ($bil) $96.4 $21.0
Weighted Average Market Cap ($bil) $241.3 $179.1
ROIC % 18.0% 18.4%
Debt/Capital % 44.4% 45.5%
PEG Ratio (1 year forward) 2.0x 2.1x

Credit Quality of Bonds

AS OF 09/30/17
Class %
AAA 4.8%
AA 4.5%
A 7.5%
BBB 27.3%
BB 44.4%
B 10.4%
CCC and below 1.1%
Unrated Securities 0.0%

Composite Summary

AS OF 09/30/17
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2015 2,547 21,908 11.6% 10 255
12/31/2014 2,995 23,506 12.8% 10 300
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 09/30/17
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Opportunities (Gross)15.04%8.82%9.65%6.66%9.52%12.99%
U.S. Opportunities (Net)14.29%8.09%8.93%5.96%8.79%12.21%
S&P 500 Index18.61%10.81%14.22%7.44%10.05%10.15%

Calendar Year Returns

AS OF 09/30/17
                           Qtr Ending Sep 17YTD 201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Opportunities (Gross)3.62%12.08%8.38%2.79%8.44%18.06%9.55%0.30%13.57%38.50%-30.27%10.89%10.98%9.19%11.12%29.28%-3.18%-1.20%8.32%55.25%19.93%25.78%21.57%31.66%-3.42%17.10%12.30%43.40%
U.S. Opportunities (Net)3.44%11.53%7.65%2.10%7.73%17.29%8.83%-0.38%12.85%37.58%-30.77%10.17%10.28%8.50%10.35%28.37%-3.87%-1.95%7.53%54.12%19.06%24.85%20.68%30.72%-4.13%16.26%11.47%42.35%
S&P 500 Index4.48%14.24%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%-22.10%-11.88%-9.11%21.04%28.58%33.36%22.96%37.58%1.32%10.08%7.62%30.47%



Risk/Reward Since Inception

AS OF 09/30/17
  Calamos U.S. Opportunities Composite S&P 500 Index
Alpha 5.33% N/A
Beta 0.73 1.00
Standard Deviation 12.33% 14.11%
Upside Semivariance 9.69% 10.20%
Downside Semivariance 4.12% 7.13%
Sharpe Ratio 0.8367 0.5295
Information Ratio 0.3679 N/A

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
Institutional Mutual Fund (CGIIX) Minimum: $1 million
Available for both qualified and non-qualified plans.

34602E

US Opportunities Institutional Strategy Fact Sheet
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.
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Performance Review A discussion of the Calamos U.S. Opportunities Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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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.
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