Institutional Strategies Main

Market Neutral Income

Strategy Details




As of 31/12/18
Inception Date:
01/01/1991
Strategy Assets*:
$6.8 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 Calamos Market Neutral Income Strategy 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 lower 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

Credit Quality of Bonds

AS OF 31/12/18
Class %
AAA 1.6%
AA 0.0%
A 3.6%
BBB 8.9%
BB 40.8%
B 38.7%
CCC and below 6.3%
Unrated Securities 0.0%

Composite Summary

AS OF 31/12/18
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2017 4,843 20,788 23.3% 1 4,843
12/31/2016 4,037 18,278 22.1% 1 4,037
12/31/2015 3,747 21,908 17.1% 1 3,747
12/31/2014 4,187 23,506 17.8% 1 4,187
12/31/2013 3,442 26,563 13.0% 1 3,442
12/31/2012 2,461 30,580 8.1% 2 1,231
12/31/2011 2,318 32,777 7.2% 1 2,318
12/31/2010 2,178 35,414 6.2% 1 2,178
12/31/2009 1,680 32,144 5.2% 1 1,680
12/31/2008 1,230 23,522 5.2% 1 1,230

Annualized Total Returns

AS OF 31/12/18
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
Market Neutral Income (Gross)2.84%4.93%4.07%5.90%4.54%7.76%
Market Neutral Income (Net)2.15%4.22%3.37%5.19%3.82%6.99%
Bloomberg Barclays U.S. Government/Credit Bond Index-0.42%2.19%2.53%3.46%3.85%5.76%
Citigroup Treasury Bill - 30 Days1.81%0.93%0.57%0.32%1.19%2.45%

Calendar Year Returns

AS OF 31/12/18
                           Qtr Ending Dec 182018201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
Market Neutral Income (Gross)-1.51%2.84%5.92%6.06%2.32%3.28%7.13%7.08%3.72%6.15%15.10%-12.24%7.45%9.96%-0.64%6.52%10.90%8.17%10.42%12.52%15.94%12.21%16.25%10.33%16.73%-5.54%14.34%14.40%16.21%
Market Neutral Income (Net)-1.68%2.15%5.21%5.34%1.63%2.58%6.39%6.37%3.02%5.41%14.31%-12.86%6.67%9.14%-1.38%5.75%10.07%7.38%9.62%11.68%15.09%11.40%15.40%9.52%15.86%-6.26%13.52%13.57%15.38%
Bloomberg Barclays U.S. Government/Credit Bond Index1.46%-0.42%4.00%3.04%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%9.48%9.76%2.90%19.24%-3.51%11.03%7.58%16.12%
Citigroup Treasury Bill - 30 Days0.56%1.81%0.80%0.20%0.02%0.02%0.03%0.05%0.05%0.12%0.09%1.34%4.56%4.75%2.93%1.21%1.02%1.65%3.69%5.65%4.44%4.54%4.87%4.97%5.36%3.83%2.87%3.25%5.12%



Risk/Reward Since Inception

AS OF 31/12/18
  Calamos Market Neutral Income Composite S&P 500 Index
Alpha 5.17% N/A
Beta 0.25 1.00
Standard Deviation 4.69% 14.09%
Upside Semivariance 1.65% 9.99%
Downside Semivariance 0.59% 7.25%
Sharpe Ratio 1.0914 0.7555
Information Ratio 0.3557 N/A

Strategy Vehicles

Separately Managed Account Minimum $100 million
Performance Review A discussion of the Calamos Market Neutral Income Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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Fact Sheet The Market Neutral Income Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
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