Institutional Strategies Main

U.S. Opportunities

Strategy Details




As of 31/3/19
Inception Date:
01/01/1989
Strategy Assets*:
$2.1 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

A lower-volatility equity strategy that leverages Calamos’ capital structure research by investing in equities and equity-sensitive securities of growth companies, in order to generate alpha and manage downside volatility versus the S&P 500 Index over a full market cycle.

Key Differentiators
  • In-depth capital structure analysis
  • Rigorous top-down and fundamental research
  • Broader opportunity set to generate alpha and manage risk
  • Team approach to management

Sector Weightings

AS OF 31/3/19
% of Assets S&P 500 Index Under/Overweight %
Information Technology 21.3% 21.3%
Health Care 15.0% 14.6%
Financials 12.3% 12.7%
Communication Services 11.3% 10.1%
Consumer Discretionary 10.8% 10.1%
Industrials 9.4% 9.5%
Consumer Staples 6.6% 7.3%
Energy 5.2% 5.4%
Utilities 3.8% 3.3%
Real Estate 3.0% 3.1%
Materials 1.3% 2.6%
 

Representative Portfolio Ten Largest Holdings

AS OF 31/3/19
Company Sector %
Microsoft Corp. Information Technology 3.8
Apple, Inc. Information Technology 3.1
Amazon.Com, Inc. Consumer Discretionary 3.0
Alphabet, Inc. - Class A Communication Services 2.7
Facebook, Inc. - Class A Communication Services 1.5
Visa, Inc. - Class A Information Technology 1.5
Unitedhealth Group, Inc. Health Care 1.4
Bank Of America Corp. Financials 1.4
Johnson & Johnson Health Care 1.3
Jpmorgan Chase & Company Financials 1.3

Characteristics

AS OF 3/31/19
  Calamos Portfolio S&P 500 Index
Strategy Assets $2.1 B N/A
# of Holdings 208 505
Portfolio Turnover % (12-Month) 18.9% N/A
Median Market Cap ($bil) $77.1 $21.7
Weighted Average Market Cap ($bil) $287.9 $230.8
ROIC % 19.7% 20.8%
Debt/Capital % 43.8% 45.3%
PEG Ratio (1 year forward) 1.9x 2.0x

Credit Quality of Bonds

AS OF 31/3/19
Class %
AAA 7.3%
AA 7.3%
A 8.1%
BBB 27.9%
BB 33.1%
B 16.3%
CCC and below 0.0%
Unrated Securities 0.0%

44602C

Annualized Total Returns

AS OF 31/3/19
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Opportunities (Gross)7.62%11.56%8.88%12.17%7.96%12.78%
U.S. Opportunities (Net)6.90%10.83%8.16%11.43%7.25%12.00%
S&P 500 Index9.50%13.51%10.91%15.92%8.57%10.16%

Calendar Year Returns

AS OF 31/3/19
                           Qtr Ending Mar 19YTD 20192018201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Opportunities (Gross)11.75%11.75%-2.84%17.65%8.38%2.79%8.44%18.06%9.55%0.30%13.57%38.50%-30.27%10.89%10.98%9.19%11.12%29.28%-3.18%-1.20%8.32%55.25%19.93%25.78%21.57%31.66%-3.42%17.10%12.30%43.40%
U.S. Opportunities (Net)11.57%11.57%-3.49%16.88%7.65%2.10%7.73%17.29%8.83%-0.38%12.85%37.58%-30.77%10.17%10.28%8.50%10.35%28.37%-3.87%-1.95%7.53%54.12%19.06%24.85%20.68%30.72%-4.13%16.26%11.47%42.35%
S&P 500 Index13.65%13.65%-4.39%21.83%11.96%1.38%13.69%32.38%16.00%2.11%15.07%26.46%-36.99%5.50%15.80%4.91%10.88%28.68%-22.10%-11.88%-9.11%21.04%28.58%33.36%22.96%37.58%1.32%10.08%7.62%30.47%



Risk/Reward Since Inception

AS OF 31/3/19
  Calamos U.S. Opportunities Composite S&P 500 Index
Alpha 5.04% N/A
Beta 0.74 1.00
Standard Deviation 12.33% 14.10%
Upside Semivariance 9.56% 10.14%
Downside Semivariance 4.21% 7.19%
Sharpe Ratio 0.8236 0.5335
Information Ratio 0.3480 N/A

Since Inception Up/Down Capture Vs. S&P 500 Index

AS OF 31/3/19

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
Institutional Mutual Fund (CGIIX) Minimum: $1 million

34602E

Fact Sheet The U.S. Opportunities 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 U.S. Opportunities Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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Managing Risk Using a Lower-Volatility Equity Strategy A discussion of the Calamos U.S. Opportunities Strategy which has historically provided strong excess returns versus the S&P 500 Index with less volatility; downside risk protection in most periods; and alpha generation throughout market cycles.
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