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 30/6/14
Inception Date:
01/1/89
Strategy Assets*:
$6.2 B
Benchmark:
S&P 500 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 30/6/14
% of Assets S&P 500 Index Under/Overweight %
Information Technology 24.1% 18.7%
Financials 18.2 16.1
Health Care 15.4 13.3
Consumer Discretionary 12.8 11.9
Industrials 11.7 10.5
Energy 9.1 10.9
Consumer Staples 5.3 9.5
Utilities 2.1 3.2
Materials 1.3 3.5
Telecommunication Services 0.0 2.4
 

Representative Portfolio Ten Largest Holdings

AS OF 30/6/14
Company Sector %
Apple, Inc. Information Technology 4.7
United Technologies Corp. Industrials 2.8
Johnson & Johnson Health Care 2.6
Salix Pharmaceuticals, Ltd. Health Care 2.5
JPMorgan Chase & Company Financials 2.2
Wells Fargo & Company Financials 2.2
Coca-Cola Company Consumer Staples 2.1
Eaton Corp., PLC Industrials 2.0
Schlumberger, Ltd. Energy 1.9
Priceline Group, Inc. Consumer Discretionary 1.8

Characteristics

AS OF 30/6/14
  Calamos Portfolio S&P 500 Index
Assets in Strategy $6.2 billion N/A
# of Holdings 102 501
Portfolio Turnover % (5-Year) 54.7% N/A
Median Market Cap ($bil) $69.8 $18.1
Weighted Average Market Cap ($bil) $162.5 $125.2
ROIC % 18.4% 17%
Debt/Capital % 35.0% 36.4%
PEG Ratio (1 year forward) 1.7x 1.9x

Credit Quality of Bonds

AS OF 30/6/14
AAA 0.0%
AA 0.0%
A 6.4%
BBB 22.4%
BB 27.8%
B 40.5%
CCC and below 2.9%
Unrated Securities 0.0%

Composite Summary

AS OF 30/6/14
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2012 4,092 30,580 13.4% 6 682
12/31/2011 4,357 32,777 13.3% 4 1,089
12/31/2010 4,257 35,414 12.0% 3 1,419
12/31/2009 4,027 32,144 12.5% 4 1,007
12/31/2008 3,327 23,522 14.1% 5 665
12/31/2007 6,315 46,208 13.7% 8 789
12/31/2006 6,742 44,725 15.1% 6 1,124
12/31/2005 5,851 43,805 13.4% 7 836
12/31/2004 4,870 37,975 12.8% 6 812
12/31/2003 3,251 23,840 13.6% 6 542
12/31/2002 947 12,892 7.3% 2 474
12/31/2001 281 9,335 3.0% 1 281
12/31/2000 87 6,131 1.4% 1 87
12/31/1999 42 4,522 0.9% 1 42

44602C

Annualized Total Returns

AS OF 30/6/14
1-Year3-Year5-Year10-Year15-YearSince Inception (1/89)
U.S. Opportunities (Gross)20.42%9.10%13.69%8.15%9.88%13.28%
U.S. Opportunities (Net)19.63%8.38%12.94%7.43%9.13%12.48%
S&P 500 Index24.61%16.58%18.83%7.78%4.35%10.35%

Calendar Year Returns

AS OF 30/6/14
                           Qtr ending Jun 14YTD 20142013201220112010200920082007200620052004200320022001200019991998199719961995199419931992199119901989
U.S. Opportunities (Gross)4.89%5.78%18.05%9.56%0.33%13.51%38.48%-30.25%10.76%11.00%9.22%11.03%29.24%-2.98%-1.20%8.32%55.23%19.94%25.76%21.57%31.66%-3.41%17.10%12.30%43.41%-1.51%18.69%
U.S. Opportunities (Net)4.72%5.43%17.28%8.83%-0.34%12.77%37.59%-30.73%10.04%10.27%8.49%10.28%28.33%-3.69%-1.93%7.52%54.11%19.06%24.84%20.68%30.70%-4.13%16.24%11.47%42.37%-2.27%17.83%
S&P 500 Index5.23%7.14%32.39%16.00%2.11%15.06%26.46%-37.00%5.49%15.79%4.91%10.88%28.68%-22.10%-11.89%-9.10%21.04%28.58%33.36%22.96%37.58%1.32%10.08%7.62%30.47%-3.10%31.69%



Risk/Reward Since Inception

AS OF 30/6/14
  Calamos U.S. Opportunities Composite S&P 500 Index
Alpha 4.45% N/A
Beta 0.72 1.00
Standard Deviation 12.73% 14.66%
Upside Semivariance 10.28% 11.02%
Downside Semivariance 4.45% 7.73%
Sharpe Ratio 0.77 0.47
Information Ratio 0.29 N/A

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million

34602E

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.
Performance Review A discussion of the Calamos U.S. Opportunities Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
Managing Risk Using a Low-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.
Equity Valuation Process A review of Calamos Investments’ research process for determining a company’s business valuation and how Calamos research uncovers the economic profits of a company and how our research determines the quality of the cash flows, the return on capital, and finally, the equity’s valuation.
Investment Team View the Growth Equity/Fixed Income Team biographies