Strategy Objective
The Hedged Equity 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
- Designed to serve as a volatility dampener within an equity allocation, the strategy is an attractive equity substitute for investors expecting normal or above-normal levels of volatility.
- The strategy blends a core long-equity portfolio with an actively managed option overlay.
- Tactical management creates opportunities to add alpha from option market dynamics and equity market volatility.
- An experienced investment team aims to capture uncorrelated, better risk-adjusted returns.
- The strategy seeks to provide better upside/downside asymmetry than long-only equities.
Strategy Details
As of 3/31/24| Inception Date: | 1/01/15 |
|---|---|
| Strategy Assets*: | $8.1 B |
| Benchmark: | S&P 500 Index |
*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.
Portfolio
Sector Weightings
| Sector | % of Assets | S&P 500 Index | Under/Overweight % |
|---|---|---|---|
| Information Technology | 30.1% | 29.6% | |
| Financials | 13.2% | 13.2% | |
| Health Care | 12.9% | 12.4% | |
| Consumer Discretionary | 10.6% | 10.3% | |
| Communication Services | 9.4% | 9.0% | |
| Industrials | 9.2% | 8.8% | |
| Consumer Staples | 6.2% | 6.0% | |
| Energy | 4.2% | 3.9% | |
| Materials | 2.3% | 2.4% | |
| Real Estate | 2.1% | 2.3% | |
| Utilities | 2.0% | 2.2% | |
| Other | -2.3% | 0.0% | |
Representative Portfolio Ten Largest Holdings
| Company | Sector | % |
|---|---|---|
| Microsoft Corp. | Information Technology | 7.3 |
| Apple, Inc. | Information Technology | 5.9 |
| NVIDIA Corp. | Information Technology | 5.2 |
| Amazon.com, Inc. | Consumer Discretionary | 3.9 |
| Meta Platforms, Inc. - Class A | Communication Services | 2.6 |
| Alphabet, Inc. - Class C | Communication Services | 2.1 |
| Alphabet, Inc. - Class A | Communication Services | 1.9 |
| SPDR S&P 500 ETF Trust | N/A | 1.8 |
| Eli Lilly & Company | Health Care | 1.5 |
| Berkshire Hathaway, Inc. - Class B | Financials | 1.5 |
Characteristics
| Name | Calamos Portfolio | S&P 500 Index |
|---|---|---|
| Number of Holdings | 264 | 503 |
| Portfolio Turnover (12 months) | 26.8% | N/A |
| Median Market Cap | $66.6 B | $35.4 B |
| Weighted Avg. Market Cap | $820.0 B | $802.5 B |
Performance
Annualized Total Returns
| Name | 1-Year | 3-Year | 5-Year | Since Inception (1/01/15) |
|---|---|---|---|---|
| Hedged Equity (Gross) | 11.06% | 4.87% | 6.18% | 6.08% |
| Hedged Equity (Net) | 10.54% | 4.38% | 5.75% | 5.53% |
| S&P 500 Index | 29.88% | 11.49% | 15.05% | 12.72% |
| Bloomberg US Aggregate Bond Index | 1.70% | -2.46% | 0.36% | 1.23% |
Calendar Year Returns
| Name | Qtr ending Mar 24 | YTD 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Hedged Equity (Gross) | 2.99% | 2.99% | 12.67% | -7.49% | 10.95% | 7.50% | 10.12% | 3.33% | 9.36% | 6.53% | 1.74% |
| Hedged Equity (Net) | 2.87% | 2.87% | 12.14% | -7.92% | 10.43% | 7.14% | 9.87% | 2.87% | 8.55% | 5.73% | 0.98% |
| S&P 500 Index | 10.56% | 10.56% | 26.29% | -18.11% | 28.71% | 18.40% | 31.49% | -4.38% | 21.83% | 11.96% | 1.38% |
| Bloomberg US Aggregate Bond Index | -0.78% | -0.78% | 5.53% | -13.01% | -1.54% | 7.51% | 8.72% | 0.01% | 3.54% | 2.65% | 0.55% |
Past performance does not guarantee or indicate future results. Current performance may be lower or higher than the performance quoted. Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown.
Returns and Risk/Reward statistics presented reflect the Calamos Hedged Equity Composite which is an actively managed composite seeking to generate total return with lower volatility than equity markets. The strategy invests in a broadly diversified portfolio of equity securities while also writing (selling) index call options and/or entering into other options strategies on equity securities and/or broad based indices. The Composite was created January 13, 2015 calculated with an inception date of January 1, 2015. The Calamos Hedged Equity Composite was formerly named the Calamos Covered Call Composite. This name change was effected March 1, 2019. Results include all fully discretionary accounts, including those no longer with the Firm.
Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.
S&P 500 Index is generally considered representative of the US stock market.
Bloomberg US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and non-agency).
Citigroup 30-Day T-Bill Index is generally considered representative of the performance of short-term money market instruments.
Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Calamos Advisors LLC.
Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions.
Risk/Reward
Risk/Reward Since Inception
| Name | Calamos Hedged Equity Composite | S&P 500 Index |
|---|---|---|
| Alpha | 1.31% | N/A |
| Beta | 0.36 | 1.00 |
| Annualized Standard Deviation | 6.13% | 15.66% |
| Upside Semivariance | 2.17% | 13.42% |
| Downside Semivariance | 1.20% | 8.06% |
| Sharpe Ratio | 0.75 | 0.72 |
| Information Ratio | -0.65 | N/A |
Vehicles & Minimums
Vehicles and Minimums
| Vehicle | Minimum | Availability |
|---|---|---|
| Separately Managed Accounts | $25 million | Available to new investors |
| Institutional Mutual Fund (CIHEX) | $1 million | These investment offerings are intended for investors inside the United States. |
Literature
Fact Sheet
The Hedged Equity 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 Hedged Equity Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.