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Market Neutral Income

Strategy Details




As of 09/30/18
Inception Date:
01/01/91
Strategy Assets*:
$6.5 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 09/30/18
Class %
AAA 0.0%
AA 0.0%
A 4.2%
BBB 8.4%
BB 39.4%
B 40.5%
CCC and below 7.6%
Unrated Securities 0.0%

Composite Summary

AS OF 09/30/18
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
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
12/31/2007 1,599 46,208 3.4% 1 1,599
12/31/2006 949 44,725 2.1% 1 949
12/31/2005 262 43,805 0.6% 1 262
12/31/2004 562 37,975 1.5% 1 562
12/31/2003 700 23,840 2.9% 1 700
12/31/2002 618 12,892 4.8% 1 618

Past performance does not guarantee or indicate future results. Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown.

The information portrayed on the composition tab is supplemental information to the Calamos Market Neutral Income Composite and as such only relate to the representative portfolio shown. Representative holdings and portfolio characteristics are specific only to the portfolio shown at that point in time. Other portfolios will vary in composition, characteristics, and will experienced different investment results. The representative portfolio shown has been selected by the advisor based on account characteristics that the advisor feels accurately represents the investment strategy as a whole.

Returns and Risk/Reward statistics presented reflect the Calamos Market Neutral Income Composite which is an actively managed “market neutral” composite seeking to achieve maximum current income while maintaining a low correlation to the fluctuations of the U.S. equity market as a whole. The Composite was created November 15, 2013 calculated with an inception date of January 1, 1991. Results include all fully discretionary accounts, including those no longer with the Firm.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. The Bloomberg Barclays U.S. Government/Credit Bond Index includes treasuries and agencies that represent the government portion of the index, and includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements to represent credit interests.

The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. Information contained herein is for informational purposes only and should not be considered investment advice.

The information provided in this report should not be considered a recommendation to purchase or sell any particular security. There is no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account's entire portfolio and in the aggregate may represent only a small percentage of an account's portfolio holdings.

It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: BNY Mellon Analytical Services LLC and Calamos Advisors LLC.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

Annualized Total Returns

AS OF 09/30/18
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
Market Neutral Income (Gross)5.89%6.23%4.99%5.37%4.96%7.89%
Market Neutral Income (Net)5.18%5.51%4.28%4.65%4.23%7.12%
Bloomberg Barclays U.S. Government/Credit Bond Index-1.37%1.44%2.22%3.95%3.75%5.76%
Citigroup Treasury Bill - 30 Days1.50%0.75%0.46%0.27%1.16%2.45%

Calendar Year Returns

AS OF 09/30/18
                           Qtr Ending Sep 18YTD 2018201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
Market Neutral Income (Gross)1.65%4.42%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)1.48%3.89%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 Index0.06%-1.85%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 Days0.47%1.24%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%



Past performance does not guarantee or indicate future results. Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown.

The Calamos Market Neutral Income Composite is an actively managed “market neutral” composite seeking to achieve maximum current income while maintaining a low correlation to the fluctuations of the U.S. equity market as a whole. The Composite was created November 15, 2013 calculated with an inception date of January 1, 1991. Results include all fully discretionary accounts, including those no longer with the Firm.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. The Bloomberg Barclays U.S. Government/Credit Bond Index includes treasuries and agencies that represent the government portion of the index, and includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements to represent credit interests.

The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. Information contained herein is for informational purposes only and should not be considered investment advice.

The information provided in this report should not be considered a recommendation to purchase or sell any particular security. There is no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account's entire portfolio and in the aggregate may represent only a small percentage of an account's portfolio holdings.

It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.

Manager's fees are further described in Form ADV Part 2A, which is available upon request. Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: BNY Mellon Analytical Services LLC and Calamos Advisors LLC.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

Risk/Reward Since Inception

AS OF 09/30/18
  Calamos Market Neutral Income Composite S&P 500 Index
Alpha 5.12% N/A
Beta 0.25 1.00
Standard Deviation 4.69% 13.95%
Upside Semivariance 1.66% 10.07%
Downside Semivariance 0.58% 6.93%
Sharpe Ratio 1.1192 0.7539
Information Ratio 0.3806 N/A

Past performance does not guarantee or indicate future results. Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown.

The information portrayed on the composition tab is supplemental information to the Calamos Market Neutral Income Composite and as such only relate to the representative portfolio shown. Representative holdings and portfolio characteristics are specific only to the portfolio shown at that point in time. Other portfolios will vary in composition, characteristics, and will experienced different investment results. The representative portfolio shown has been selected by the advisor based on account characteristics that the advisor feels accurately represents the investment strategy as a whole.

Returns and Risk/Reward statistics presented reflect the Calamos Market Neutral Income Composite which is an actively managed “market neutral” composite seeking to achieve maximum current income while maintaining a low correlation to the fluctuations of the U.S. equity market as a whole. The Composite was created November 15, 2013 calculated with an inception date of January 1, 1991. Results include all fully discretionary accounts, including those no longer with the Firm.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. The Bloomberg Barclays U.S. Government/Credit Bond Index includes treasuries and agencies that represent the government portion of the index, and includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements to represent credit interests.

The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. Information contained herein is for informational purposes only and should not be considered investment advice.

The information provided in this report should not be considered a recommendation to purchase or sell any particular security. There is no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account's entire portfolio and in the aggregate may represent only a small percentage of an account's portfolio holdings.

It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: BNY Mellon Analytical Services LLC and Calamos Advisors LLC.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

Strategy Vehicles

Institutional Mutual Fund (CMNIX) Minimum $1 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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