Institutional Strategies Main

Hedged Equity

Strategy Details




As of 31/3/19
Inception Date:
01/01/2015
Strategy Assets*:
$3.7 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 Hedged Equity 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 31/3/19
% of Assets S&P 500 Index Under/Overweight %
Information Technology 20.7% 21.3%
Health Care 15.3% 14.6%
Financials 12.7% 12.7%
Communication Services 10.4% 10.1%
Consumer Discretionary 10.2% 10.1%
Industrials 9.6% 9.5%
Consumer Staples 7.4% 7.3%
Energy 5.4% 5.4%
Utilities 3.2% 3.3%
Real Estate 3.0% 3.1%
Materials 2.1% 2.6%
 

Representative Portfolio Ten Largest Holdings

AS OF 31/3/19
Company Sector %
Apple, Inc. Information Technology 4.0
Microsoft Corp. Information Technology 3.9
Spdr S&P 500 Etf Trust N/A 3.6
Amazon.Com, Inc. Consumer Discretionary 3.2
Facebook, Inc. - Class A Communication Services 2.1
Johnson & Johnson Health Care 1.8
Berkshire Hathaway, Inc. - Class B Financials 1.7
Jpmorgan Chase & Company Financials 1.6
Alphabet, Inc. - Class C Communication Services 1.5
Alphabet, Inc. - Class A Communication Services 1.5

Characteristics

AS OF 3/31/19
  Calamos Portfolio S&P 500 Index
# of Holdings 297 505
Portfolio Turnover % (12-Month) 153.5% N/A
Median Market Cap ($bil) $41.7 $21.7
Weighted Average Market Cap ($bil) $239.6 $230.8

Annualized Total Returns

AS OF 31/3/19
1-Year3-YearSince Inception (1/15)
Hedged Equity (Gross)4.11%7.95%5.97%
Hedged Equity (Net)3.79%7.31%5.30%
S&P 500 Index9.50%13.51%10.05%
Bloomberg Barclays U.S. Aggregate Bond Index4.48%2.02%2.27%

Calendar Year Returns

AS OF 31/3/19
                           Qtr Ending Mar 19YTD 20192018201720162015
Hedged Equity (Gross)4.50%4.50%3.33%9.36%6.53%1.74%
Hedged Equity (Net)4.46%4.46%2.87%8.55%5.73%0.98%
S&P 500 Index13.65%13.65%-4.39%21.83%11.96%1.38%
Bloomberg Barclays U.S. Aggregate Bond Index2.94%2.94%0.01%3.54%2.64%0.55%



Risk/Reward Since Inception

AS OF 31/3/19
  Calamos Hedged Equity Composite S&P 500 Index
Alpha 1.43% N/A
Beta 0.44 1.00
Standard Deviation 5.64% 11.85%
Upside Semivariance 2.00% 7.56%
Downside Semivariance 0.85% 4.64%
Sharpe Ratio 0.9093 0.7778
Information Ratio -0.5868 N/A

Strategy Vehicles

Separately Managed Account Minimum $25 million
Fact Sheet The Hedged Equity 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 Hedged Equity Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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