Institutional Strategies Main

Covered Call

Strategy Details




As of 31/12/18
Inception Date:
01/01/2015
Strategy Assets*:
$3.9 B
Benchmark:
S&P 500 Index

Resources

*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.

Strategy Objective

The Covered Call 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
  • Leverages our role as a pioneer in alternative investing as Calamos has utilized convertibles and option theory since the 1970s
  • Managed by a seasoned investment team
  • Potential diversifier, with historically low correlation to traditional fixed income
  • Attractive risk/reward profile versus long-only equities
  • Designed to generate income from options premiums

Sector Weightings

AS OF 31/12/18
% of Assets S&P 500 Index Under/Overweight %
Information Technology 19.8% 20.2%
Health Care 15.9% 15.6%
Financials 13.4% 13.3%
Communication Services 10.3% 10.1%
Consumer Discretionary 10.1% 9.9%
Industrials 9.3% 9.2%
Consumer Staples 7.5% 7.4%
Energy 5.3% 5.3%
Utilities 3.3% 3.3%
Real Estate 2.9% 3.0%
Materials 2.2% 2.7%
 

Representative Portfolio Ten Largest Holdings

AS OF 31/12/18
Company Sector %
Microsoft Corp. Information Technology 3.5
Apple, Inc. Information Technology 3.5
Amazon.Com, Inc. Consumer Discretionary 2.9
Spdr S&P 500 Etf Trust N/A 2.7
Berkshire Hathaway, Inc. - Class B Financials 1.8
Facebook, Inc. - Class A Communication Services 1.8
Johnson & Johnson Health Care 1.7
Jpmorgan Chase & Company Financials 1.7
Alphabet, Inc. - Class C Communication Services 1.4
Alphabet, Inc. - Class A Communication Services 1.4

Characteristics

AS OF 12/31/18
  Calamos Portfolio S&P 500 Index
# of Holdings 294 505
Portfolio Turnover % (12-Month) 171.6% N/A
Median Market Cap ($bil) $37.9 $18.5
Weighted Average Market Cap ($bil) $209.0 $200.9

Annualized Total Returns

AS OF 31/12/18
1-Year3-YearSince Index Inception (1/15)
Covered Call (Gross)3.33%6.38%5.19%
Covered Call (Net)2.87%5.69%4.49%
S&P 500 Index-4.39%9.26%7.22%
Bloomberg Barclays U.S. Aggregate Bond Index0.01%2.05%1.67%

Calendar Year Returns

AS OF 31/12/18
                           Qtr Ending Dec 182018201720162015
Covered Call (Gross)-3.89%3.33%9.36%6.53%1.74%
Covered Call (Net)-3.92%2.87%8.55%5.73%0.98%
S&P 500 Index-13.52%-4.39%21.83%11.96%1.38%
Bloomberg Barclays U.S. Aggregate Bond Index1.64%0.01%3.54%2.64%0.55%



Risk/Reward Since Inception

AS OF 31/12/18
  Calamos Covered Call Composite S&P 500 Index
Alpha 1.78% N/A
Beta 0.45 1.00
Standard Deviation 5.65% 11.57%
Upside Semivariance 1.89% 6.41%
Downside Semivariance 0.90% 4.93%
Sharpe Ratio 0.7877 0.5605
Information Ratio -0.3045 N/A

Strategy Vehicles

Separately Managed Account Minimum $25 million
Fact Sheet The Covered Call Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
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Performance Review A discussion of the Calamos Covered Call Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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