Institutional Strategies Main

U.S. Opportunities

Strategy Details




As of 31/12/18
Inception Date:
01/01/1989
Strategy Assets*:
$1.9 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

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 31/12/18
% of Assets S&P 500 Index Under/Overweight %
Information Technology 20.7% 20.2%
Health Care 15.3% 15.6%
Financials 13.4% 13.3%
Communication Services 11.0% 10.1%
Consumer Discretionary 10.7% 9.9%
Industrials 9.5% 9.2%
Consumer Staples 6.7% 7.4%
Energy 5.0% 5.3%
Utilities 3.5% 3.3%
Real Estate 2.6% 3.0%
Materials 1.6% 2.7%
 

Representative Portfolio Ten Largest Holdings

AS OF 31/12/18
Company Sector %
Microsoft Corp. Information Technology 3.6
Apple, Inc. Information Technology 3.2
Amazon.Com, Inc. Consumer Discretionary 2.8
Alphabet, Inc. - Class A Communication Services 2.7
Johnson & Johnson Health Care 1.9
Jpmorgan Chase & Company Financials 1.9
Unitedhealth Group, Inc. Health Care 1.6
Bank Of America Corp. Financials 1.5
Visa, Inc. - Class A Information Technology 1.3
Facebook, Inc. - Class A Communication Services 1.3

Characteristics

AS OF 12/31/18
  Calamos Portfolio S&P 500 Index
Assets in Strategy $1.9 billion N/A
# of Holdings 204 505
Portfolio Turnover % (12-Month) 24.4% N/A
Median Market Cap ($bil) $73.9 $18.5
Weighted Average Market Cap ($bil) $249.7 $200.9
ROIC % 16.8% 17.8%
Debt/Capital % 43.5% 44.3%
PEG Ratio (1 year forward) 1.5x 1.6x

Credit Quality of Bonds

AS OF 31/12/18
Class %
AAA 10.0%
AA 8.0%
A 8.5%
BBB 22.2%
BB 33.5%
B 17.8%
CCC and below 0.0%
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 2,095 20,788 10.1% 4 524
12/31/2016 2,182 18,278 11.9% 5 436
12/31/2015 2,547 21,908 11.6% 10 255
12/31/2014 2,995 23,506 12.8% 10 300
12/31/2013 3,472 26,543 13.1% 11 316
12/31/2012 4,132 30,580 13.6% 13 318
12/31/2011 4,455 32,777 13.8% 12 371
12/31/2010 4,510 35,414 12.9% 13 347
12/31/2009 4,057 32,144 12.6% 10 406
12/31/2008 3,359 23,522 14.3% 11 305

44602C

Annualized Total Returns

AS OF 31/12/18
1-Year3-Year5-Year10-Year15-YearSince Index Inception (7/95)Since Strategy Inception (01/89)
U.S. Opportunities (Gross)-2.84%7.40%6.67%10.92%7.44%11.52%12.46%
U.S. Opportunities (Net)-3.49%6.69%5.96%10.18%6.73%10.75%11.68%
S&P 500 Index-4.39%9.26%8.49%13.12%7.77%8.76%9.75%

Calendar Year Returns

AS OF 31/12/18
                           Qtr Ending Dec 182018201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Opportunities (Gross)-11.60%-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)-11.75%-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 Index-13.52%-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 31/12/18
  Calamos U.S. Opportunities Composite S&P 500 Index
Alpha 4.94% N/A
Beta 0.73 1.00
Standard Deviation 12.67% 14.70%
Upside Semivariance 9.53% 10.34%
Downside Semivariance 4.77% 8.24%
Sharpe Ratio 0.7268 0.4384
Information Ratio 0.3502 N/A

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

AS OF 31/12/18

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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