Institutional Strategies Main

High Income Opportunities

Strategy Details




As of 31/3/19
Inception Date:
1/11/99
Strategy Assets*:
$3.2 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 strategy, which may contain multiple performance composites.

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

Security Type Allocation

AS OF 31/3/19
Representative Portfolio %
Investment Grade Corporate Debt 4.9
High Yield Corporate Debt 76.5
Preferred Shares 0.9
Equity 1.6
Options 0.0
Syndicated Loans 10.9
Cash and Receivables/Payables 5.1
Total 100.0

Sector Weightings

AS OF 31/3/19
Representative Portfolio %
Basic Materials 4.5
Communications 18.0
Consumer, Cyclical 11.4
Consumer, Non-cyclical 20.6
Diversified 0.0
Energy 16.8
Financial 14.1
Industrial 7.0
Technology 1.9
Utilities 0.7

Source: Bloomberg

Maturity Schedule

AS OF 31/3/19
Representative Portfolio %
Under 1 Year 5.3
1 to 3 Years 3.7
3 to 5 Years 19.7
5 to 7 Years 40.7
7 to 10 Years 16.4
10 to 20 Years 6.8
Over 20 Years 3.6
Equity & Other 3.9
Total 100.0

Portfolio percent includes cash.

Credit Quality Allocation

AS OF 31/3/19
Class Representative Portfolio %
AAA 0.0
AA 0.0
A 0.0
BBB 5.4
BB 37.6
B 41.9
CCC and Below 11.7
Unrated Securities 3.4
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 31/3/19
Coupon Maturity Portfolio %
Ally Financial, Inc. 8.00% 11/01/31 1.4
Jefferies Finance, LLC 7.25% 08/15/24 1.4
Embarq Corp. 8.00% 06/01/36 1.4
Teva Pharmaceutical Finance Netherlands III, BV 6.00% 04/15/24 1.3
ArcelorMittal, SA 7.00% 10/15/39 1.2
JBS USA LUX, SA / JBS USA Finance, Inc. 7.25% 06/01/21 1.1
CCO Holdings, LLC / CCO Holdings Capital Corp. 5.13% 05/01/27 1.0
PBF Holding Company, LLC / PBF Finance Corp. 7.25% 06/15/25 0.9
Endo DAC / Endo Finance, LLC / Endo Finco, Inc. 6.00% 07/15/23 0.9
Sprint Corp. 7.88% 09/15/23 0.8

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Annualized Total Returns

AS OF 31/3/19
1-Year 3-Year 5-Year 10-Year Since Inception (11/99)
High Income Opportunities (Gross) 5.82% 7.80% 3.94% 9.48% 7.43%
High Income Opportunities (Net) 5.16% 7.05% 3.20% 8.69% 6.65%
Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond 5.93% 8.56% 4.69% 11.21% 7.20%

Calendar Year Returns

AS OF 31/3/19
                            Qtr Ending 3/31/19 YTD 2019 2018 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) 7.45% 7.45% -2.61% 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) 7.32% 7.32% -3.27% 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 7.26% 7.26% -2.09% 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 31/3/19
  Calamos High Income Opportunities Composite Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond
Alpha 1.20% N/A
Beta 0.86 1.00
Standard Deviation 8.29% 9.02%
Upside Semivariance 3.47% 4.12%
Downside Semivariance 2.63% 3.01%
Sharpe Ratio 0.69 0.61
Information Ratio 0.07 N/A

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

AS OF 31/3/19 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

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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.