Institutional Strategies Main

ALL CAP VALUE

Jeff Miller, SVP, Co-Portfolio Manager, discusses key differentiators in how the Calamos Value Strategy is managed. He discusses his active approach to value investing, actively managing positions to source incremental returns and limit losses, and the value investment process. Watch video »

Strategy Objective

An actively managed strategy that seeks to offer a diversified portfolio of stocks that are undervalued according to certain financial measurements of their intrinsic value.

Key Differentiators
  • Opportunistic approach to generating absolute returns and managing downside risk and capital loss
  • Focus on sustainable profit margins and returns on invested capital; not simply valuations
  • Active focus on exploiting short term volatility in markets and individual securities

Strategy Details




As of 03/31/14
Inception Date:
05/01/07
Strategy Assets*:
$114.9 M
Benchmark:
Russell 1000 Value Index

Resources

* Strategy Assets includes assets under management as well as assets for which the company provides model portfolio design and oversight.

Sector Weightings

AS OF 03/31/14
% of Assets Russell 1000 Value Index Under/Overweight %
Financials 31.0% 29.1%
Energy 15.7 14.5
Consumer Discretionary 15.1 6.4
Industrials 13.0 10.2
Consumer Staples 9.8 5.8
Health Care 7.5 13.5
Information Technology 5.7 9.0
Materials 2.2 2.9
Telecommunication Services 0.0 2.5
Utilities 0.0 6.1
 

Representative Portfolio Ten Largest Holdings

AS OF 03/31/14
Company Sector %
Exxon Mobil Corp. Energy 3.8
Zions Bancorporation Financials 3.6
Raytheon Company Industrials 3.4
Chevron Corp. Energy 3.4
JPMorgan Chase & Company Financials 3.4
Procter & Gamble Company Consumer Staples 3.3
Intel Corp. Information Technology 3.1
WhiteWave Foods Company Consumer Staples 3.1
Berkshire Hathaway, Inc. - Class B Financials 3.0
Nike, Inc. - Class B Consumer Discretionary 3.0

Characteristics

AS OF 03/31/14
  Calamos Portfolio Russell 1000 Value Index
Assets in Strategy $114.9 million N/A
# of Holdings 45 664
Portfolio Turnover % (5-Year) 123.4% N/A
Median Market Cap ($bil) $42.6 $6.8
Weighted Average Market Cap ($bil) $113.4 $113.3
ROIC % 13.0% 11.5%
Debt/Capital % 35.8% 33.7%
PEG Ratio (1 year forward) 1.7x 1.9x

Annualized Total Returns

AS OF 03/31/14
1-Year3-Year5-YearSince Inception (5/07)
Opportunistic Value (Gross)20.53%12.52%20.02%8.51%
Opportunistic Value (Net)19.36%11.41%18.84%7.44%
Russell 1000 Value Index21.57%14.80%21.75%4.29%

Calendar Year Returns

AS OF 03/31/14
                           Qtr ending Mar 14YTD 20142013201220112010200920085/1/2007 to 12/31/2007
Opportunistic Value (Gross)0.56%0.56%33.50%13.41%-2.93%16.93%32.32%-26.38%4.51%
Opportunistic Value (Net)0.31%0.31%32.20%12.30%-3.89%15.78%31.04%-27.13%3.82%
Russell 1000 Value Index3.02%3.02%32.53%17.51%0.39%15.51%19.69%-36.85%-4.91%



Risk/Reward Since Inception

AS OF 03/31/14
  Calamos Opportunistic Value Composite Russell 1000 Value Index
Alpha 4.34% N/A
Beta 0.90 1.00
Standard Deviation 17.29% 18.05%
Upside Semivariance 14.38% 12.87%
Downside Semivariance 11.18% 14.52%
Sharpe Ratio 0.45 0.20
Information Ratio 0.62 N/A

Since Inception Up/Down Capture Vs. Russell 1000 Value Index

AS OF 03/31/14

Strategy Vehicles and Minimums

Separately Managed Accounts Minimum: $5 million
Institutional Mutual Fund (CMNIX) Minimum $1 million

34601E

Fact Sheet The All Cap Value Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
Performance Review A quarterly discussion of the Calamos All Cap Value Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
The Calamos Approach To Value The Calamos Approach To Value
Investment Team View the Value Team biographies