Institutional Strategies Main

HIGH INCOME OPPORTUNITIES

Strategy Objective

The Calamos High Income Opportunities strategy invests primarily in a diversified portfolio of U.S. high yield bonds. Rather than an exclusive focus on yield, the strategy employs a total return framework designed to enhance our ability to generate alpha and preserve capital over entire credit cycles.

Key Differentiators
  • Broader opportunity set including U.S. and non-U.S. dollar issues, and convertible securities
  • Total return orientation
  • Team approach to management

Strategy Details




As of 12/31/17
Inception Date:
11/01/99
Strategy Assets*:
$2.5 B
Benchmark:
Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond

Resources

* Strategy Assets reflect all assets that are currently being managed (collectively) under the Calamos High Income Opportunities Strategy

Security Type Allocation

AS OF 12/31/17
Representative Portfolio %
Investment Grade Corporate Debt 6.1
High Yield Corporate Debt 87.2
Preferred Shares 1.6
Equity 2.4
Options 0.0
Syndicated Loans 0.8
Cash and Receivables/Payables 1.9
Total 100.0

Sector Weightings

AS OF 12/31/17
Representative Portfolio %
Basic Materials 7.8
Communications 15.8
Consumer, Cyclical 16.4
Consumer, Non-cyclical 19.0
Diversified 0.0
Energy 15.7
Financial 14.1
Industrial 5.4
Technology 2.3
Utilities 1.6

Source: Bloomberg

Maturity Schedule

AS OF 12/31/17
Representative Portfolio %
Under 1 Year 1.7
1 to 3 Years 4.0
3 to 5 Years 14.0
5 to 7 Years 28.2
7 to 10 Years 36.4
Over 10 Years 10.7
Equity & Other 5.2
Total 100.0

Portfolio percent includes cash.

Credit Quality Allocation

AS OF 12/31/17
Class Representative Portfolio %
AAA 0.0
AA 0.0
A 0.0
BBB 5.7
BB 37.9
B 40.1
CCC and Below 11.3
Unrated Securities 5.1
Total 100.0

Bond credit quality allocation reflects information from nationally recognized rating agencies including Standard & Poor’s Corporation. Ratings are relative, subjective and not absolute standards of quality. Excludes equity securities and cash.

Representative Portfolio Ten Largest Holdings

AS OF 12/31/17
Coupon Maturity Portfolio %
Valeant Pharmaceuticals International, Inc. 7.25% 07/15/22 2.0
HCA, Inc. 5.38% 02/01/25 1.8
GLP Capital, LP / GLP Financing II, Inc. 5.38% 04/15/26 1.6
Sprint Corp. 7.88% 09/15/23 1.4
JBS USA LUX SA / JBS USA Finance, Inc. 7.25% 06/01/21 1.4
ArcelorMittal, SA 7.50% 10/15/39 1.3
Ally Financial, Inc. 8.00% 11/01/31 1.2
Jefferies Finance, LLC 7.25% 08/15/24 1.1
Embarq Corp. 8.00% 06/01/36 1.1
Alliance Data Systems Corp. 5.38% 08/01/22 1.1

Composite Summary

AS OF 12/31/17
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2015 81 21,908 0.4% 1 81
12/31/2014 141 23,506 0.6% 2 71
12/31/2013 338 26,543 1.3% 4 85
12/31/2012 382 30,580 1.3% 4 96
12/31/2011 316 32,777 1.0% 2 158
12/31/2010 338 35,414 1.0% 2 169
12/31/2009 332 32,144 1.0% 2 166
12/31/2008 167 23,522 0.7% 2 84
12/31/2007 252 46,208 0.5% 2 126
12/31/2006 335 44,725 0.7% 4 84
12/31/2005 283 43,805 0.6% 3 94
12/31/2004 236 37,975 0.6% 1 236
12/31/2003 184 23,840 0.8% 1 184
12/31/2002 46 12,892 0.4% 1 46

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Annualized Total Returns

AS OF 12/31/17
1-Year 3-Year 5-Year 10-Year Since Inception (11/99)
High Income Opportunities (Gross) 7.27% 5.42% 5.13% 6.47% 7.69%
High Income Opportunities (Net) 6.47% 4.64% 4.35% 5.69% 6.90%
Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond 7.50% 6.36% 5.78% 8.09% 7.42%

Calendar Year Returns

AS OF 12/31/17
                            Qtr Ending 12/31/17 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 11/01/1999 to 12/31/1999
High Income Opportunities (Gross) 0.55% 7.27% 13.22% -3.52% 2.10% 7.34% 12.55% 5.49% 12.35% 48.33% -26.28% 5.61% 11.55% 3.51% 12.33% 26.47% 2.22% 12.10% 3.00% 0.53%
High Income Opportunities (Net) 0.35% 6.47% 12.38% -4.24% 1.37% 6.55% 11.74% 4.73% 11.52% 47.28% -26.85% 4.83% 10.73% 2.72% 11.48% 25.53% 1.49% 11.30% 2.21% 0.41%
Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond 0.47% 7.50% 17.13% -4.43% 2.46% 7.44% 15.78% 4.96% 14.94% 58.76% -25.88% 2.26% 10.76% 2.76% 11.14% 28.78% -0.24% 5.46% -5.79% 2.32%



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Risk/Reward Since Inception

AS OF 12/31/17
  Calamos High Income Opportunities Composite Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond
Alpha 1.31% N/A
Beta 0.85 1.00
Standard Deviation 8.43% 9.22%
Upside Semivariance 3.57% 4.28%
Downside Semivariance 2.75% 3.17%
Sharpe Ratio 0.71 0.62
Information Ratio 0.08 N/A

Since Inception Up/Down Capture Vs. Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond

AS OF 12/31/17 Since Inception Up/Down Capture Vs. Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond

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Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
Institutional Mutual Fund (CIHYX) Minimum: $1 million

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High Income Institutional Strategy Fact Sheet
Fact Sheet The High Income Opportunities 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 High Income Opportunities Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
Perspectives on Fixed Income: “Thinking Outside the Box” to Achieve Long-Term Results

Co-CIO and Head of Fixed Income Strategies Matt Freund, CFA, discusses the Calamos approach to fixed income and its key differentiators. He also shares his view of fixed income opportunities in the current environment.

Calamos Fixed Income Credit Analysis Process Credit analysis is the foundation of our fixed income investment process. We provide an overview of how our team of dedicated credit analysts evaluate a company’s ability to meet its debt obligations utilizing rigorous bottom-up fundamental analysis informed by macroeconomic insights.