Institutional Strategies Main

MARKET NEUTRAL INCOME

Fund Objective

The Calamos Market Neutral Income Fund is an absolute return, historically lower-volatility strategy that seeks to generate consistent income and capital appreciation through complimentary underlying strategies of convertible arbitrage and covered call writing. The strategy historically has exhibited a low equity beta, lower correlations to both the equity and fixed income markets, lower absolute volatility and limited drawdowns.

Key Differentiators
  • Absolute return, outcome orientation
  • Complimentary underlying investment strategies which allow the strategy to achieve its objective in varying market environments
  • Liquid alternative strategy: full transparency, fund governance and liquidity
  • Competitive fees relative to typical alternative strategies
  • Long standing, distinguished track record generated by seasoned investment team

Fund Details




As of 06/30/16
Inception Date:
09/04/90
Fund Assets*:
$3.8 B
Benchmark:
Barclays U.S. Government/Credit Index

Resources

* Fund Assets include mutual fund assets in the Calamos Market Neutral Income Fund.

Characteristics

AS OF 06/30/16
  Calamos Market Neutral Income Fund (A Shares)
Assets in Fund $3.8 billion
# of Holdings 627
Portfolio Turnover % (1-Year) 41.7%
SEC Yield (A Shares at NAV) 0.94%

Credit Quality of Bonds

AS OF 06/30/16
AAA 0.0%
AA 0.2%
A 3.9%
BBB 8.1%
BB 21.9%
B 7.2%
CCC and below 1.8%
Unrated Securities 56.9%

Annualized Total Returns

AS OF 06/30/16
RETURN 6 MONTH1-Year3-Year5-Year10-Year15-Year20-YearSince Inception (09/04/90)Qtr ending 6/2016
Calamos Market Neutral Income Fund (Gross)1.87%1.52%3.07%3.38%3.32%3.83%5.72%6.40%1.71%
Calamos Market Neutral Income Fund (Net)-2.99%-3.28%1.40%2.37%2.82%3.49%5.47%6.19%-3.15%
Barclays U.S. Government/Credit Index6.23%6.70%4.20%4.11%5.22%5.19%5.74%6.48%2.67%

Calendar Year Returns

AS OF 06/30/16
                           YTD 20162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991Since Inception through year end 1990
Calamos Market Neutral Income Fund (Gross)1.87%1.03%2.00%5.85%5.81%2.51%4.90%13.80%-13.28%5.93%8.42%-2.05%4.94%9.36%6.61%8.49%10.32%13.69%10.04%14.00%8.17%14.46%-7.41%12.13%12.18%13.97%2.90%
Calamos Market Neutral Income Fund (Net)-2.99%-3.80%-2.87%0.83%0.81%-2.38%-0.10%8.37%-17.41%0.94%3.27%-6.68%-0.06%4.14%1.55%3.32%5.08%8.29%4.82%8.55%3.06%9.07%-11.79%6.80%6.84%8.60%-2.00%
Barclays U.S. Government/Credit Index6.23%0.15%6.01%-2.35%4.82%8.74%6.59%4.52%5.70%7.23%3.78%2.37%4.19%4.67%11.04%8.50%11.85%-2.15%9.47%9.76%2.90%19.24%-3.51%11.03%7.58%16.13%



Risk/Reward Statistics for the 10-Year Period

AS OF 06/30/16
  Calamos Market Neutral Income Fund
(A Shares)
S&P 500 index
Alpha 2.03% N/A
Beta 0.26 1.00
Std. Deviation 5.38% 16.09%
Sharpe Ratio 0.22 -0.26
Info Ratio 0.33 N/A

Fund Vehicles

Institutional Mutual Fund* Minimum $1 million
Calamos Market Neutral Income Institutional Strategy Fact Sheet
Fact Sheet The Market Neutral Income Fund fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
Calamos Market Neutral Fund Prospectus (ABC) This summary contains important information about the Class A, B and C Market Neutral Income Fund investment objective, fees and expenses, principal investment strategies, principal risks and performance.
Calamos Market Neutral Income Fund Prospectus (IR) This summary contains important information about the Class I and R Market Neutral Income Fund investment objective, fees and expenses, principal investment strategies, principal risks and performance.