Institutional Strategies Main

Phineus Long/Short

Strategy Details




As of 09/30/18
Inception Date:
06/01/02
Strategy Assets*:
$1.2 B
Benchmark:
MSCI World Index

Resources

*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.

Introducing: The Calamos Phineus Long/Short Strategy

The Long Short Model | Calamos Phineus Long/Short Strategy

The Long/Short Model | Flexibility of Calamos Phineus Long/Short Strategy

Offering

  • Absolute return mandate, referencing S&P 500 and MSCI World Indices as return benchmarks
  • Global long/short strategy investing in publicly listed equity securities
  • Investible universe is global, liquid and scalable
  • Assets managed across pooled investment vehicles and SMA formats

Investment Opportunity

  • Track record (15+ years, GIPS compliant) underscores coherence of process and personnel
  • Combines compelling product with institutional class infrastructure
  • Top-down and bottom-up approach addresses limitations of competing strategies
  • Capital allocation opportunity across geography, market capitalization and style

Calamos Edge

  • 40+ year history in risk-adjusted alpha
  • Global investment and operating platform

Sector Weightings

AS OF 09/30/18
Long Short Gross Net MSCI World Index
Consumer Discretionary 15.8 0.0 15.8 15.8 12.6
Consumer Staples 0.1 0.0 0.1 0.1 8.1
Energy 0.0 0.0 0.0 0.0 6.5
Financials 42.8 -0.1 42.9 42.7 16.3
Health Care 9.7 -3.4 13.0 6.3 12.9
Industrials 7.5 -0.3 7.8 7.3 11.3
Information Technology 13.1 -6.4 19.4 6.7 19.1
Materials 1.6 0.0 1.6 1.6 4.7
Real Estate 0.0 0.0 0.0 0.0 2.9
Telecom Services 0.0 0.0 0.0 0.0 2.6
Utilities 0.0 0.0 0.0 0.0 2.9
Other 0.7 -33.4 34.1 -32.7 0.0
TOTAL 91.3 -43.5 134.8 47.8 100.0

Numbers may not add up due to rounding. Sector weightings based on percentage of total account and are subject to change. Sector weightings exclude cash or cash equivalents.

Regional Weightings

AS OF 09/30/18
Long Short Gross Net MSCI World Index
North America 86.1 -43.5 129.6 42.6 64.1
Europe 5.2 0.0 5.2 5.2 22.9
Asia/Pacific 0.0 0.0 0.0 0.0 12.6
Middle East/Africa 0.0 0.0 0.0 0.0 0.2
Caribbean 0.0 0.0 0.0 0.0 0.1
Latin America 0.0 0.0 0.0 0.0 0.1
TOTAL 91.3 -43.5 134.8 47.8 100.0

Largest Holdings

AS OF 09/30/18
Long Portfolio Sector Weight
Financial Select Sector Spdr Financials 5.0
Jpmorgan Chase & Company Financials 4.7
Facebook, Inc. - Class A Information Technology 4.7
Goldman Sachs Group, Inc. Financials 4.2
Morgan Stanley Financials 4.2
AS OF 09/30/18
Short Portfolio Sector Weight
ETF N/A -31.7
ETF Information Technology -5.2
ETF Health Care -2.1
ETF N/A -1.4
Equity Position Health Care -1.3

Characteristics

AS OF 09/30/18
  Long Short MSCI World Index
# of Holdings 49 16 1640
Equity Exposure 91.31 43.46 --
Median Mkt Cap ($bil) 47.5 182.7 13.5
Wtd. Avg. Mkt Cap ($bil) 149.3 218.3 169.6

Market Capitalization

AS OF 09/30/18
  Long Short Gross Net MSCI World Index
Small Cap (<=$4bil) 0.7 -5.5 6.2 -4.8 0.4
Medium/Small Cap (>$4bil<=$11bil) 7.7 -0.1 7.8 7.6 8.5
Medium Cap (>$11bil<=$32bil) 22.4 -3.5 25.9 18.9 22.3
Medium/Large Cap (>$32bil<=$112bil) 29.9 0.0 29.9 29.9 33.8
Large Cap (>$112bil) 30.6 -34.4 65.0 -3.8 35.0
TOTAL 91.3 -43.5 134.8 47.8 100.0

Numbers may not add up due to rounding.

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 115 18,278 0.6% 1 115
12/31/2015 06 21,908 0.0% 1 06
12/31/2014 09 23,506 0.0% 1 09
12/31/2013 11 26,543 0.0% 1 11
12/31/2012 10 30,580 0.0% 1 10
12/31/2011 12 32,777 0.0% 1 12
12/31/2010 16 35,414 0.0% 1 16
12/31/2009 09 32,144 0.0% 1 09
12/31/2008 04 23,522 0.0% 1 04
12/31/2007 16 46,208 0.0% 1 16
12/31/2006 03 44,725 0.0% 1 03
12/31/2005 03 43,805 0.0% 1 03
12/31/2004 04 37,975 0.0% 1 04
12/31/2003 04 23,840 0.0% 1 04
12/31/2002 03 12,892 0.0% 1 03

Annualized Total Returns

AS OF 09/30/18
1-Year3-Year5-Year10-Year15-YearSince Inception (6/02)
Phineus Long/Short (Gross)1.92%7.41%7.56%11.41%13.21%13.22%
Phineus Long/Short (Net)0.66%6.04%6.09%9.83%11.58%11.60%
MSCI World Index11.84%14.18%9.89%9.18%8.74%7.77%
S&P 500 Index17.91%17.31%13.95%11.97%9.65%8.52%
HFRI Equity Hedge (Total) Index5.28%7.39%5.14%5.19%5.33%5.28%

Calendar Year Returns

AS OF 09/30/18
                           Qtr Ending Sep 18YTD 201820172016201520142013201220112010200920082007200620052004200306/01/2002 to 12/31/2002
Phineus Long/Short (Gross)-1.51%-0.62%11.08%15.37%6.80%2.26%22.26%9.45%-5.06%10.25%76.38%-16.39%30.28%23.72%18.96%8.98%30.75%-2.97%
Phineus Long/Short (Net)-1.82%-1.54%9.72%13.84%5.22%0.74%20.47%7.83%-6.48%8.62%73.86%-17.66%28.38%21.91%17.22%7.37%28.85%-3.82%
MSCI World Index5.10%5.89%23.07%8.15%-0.32%5.50%27.37%16.54%-5.01%12.34%30.79%-40.33%9.57%20.65%10.02%15.25%33.76%-17.29%
S&P 500 Index7.71%10.56%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%-16.69%
HFRI Equity Hedge (Total) Index0.68%1.86%13.29%5.47%-0.96%1.81%14.28%7.41%-8.38%10.46%24.57%-26.64%10.50%11.71%10.61%7.69%20.53%-6.13%



Long/Short Historical Equity Exposure

Gross/Net Historical Equity Exposure

Risk/Reward Since Inception

AS OF 09/30/18
  Calamos Phineus Long/Short Composite MSCI World Index
Alpha 7.83% N/A
Beta 0.72 1.00
R-Squared 41.64% N/A
Standard Deviation 16.49% 14.71%
Upside Semivariance 17.55% 9.77%
Downside Semivariance 6.32% 8.69%
Sortino Ratio 1.36 0.63
Sharpe Ratio 0.7270 0.4439
Information Ratio 0.4124 N/A

Since Inception Up/Down Capture Vs. MSCI World Index

AS OF 09/30/18

Strategy Vehicles

Separately Managed Accounts Minimum: $10 million
Institutional Mutual Fund* Minimum $1 million
Phineus Long/Short Strategy Fact Sheet The Phineus Long Short Strategy fact sheet provides a snap shot of the investment team, strategy, performance, composition, ratings and returns.
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Phineus Long/Short Strategy Performance Review A discussion of the Calamos Phineus Long Short Strategy ’s performance versus a benchmark, positioning, related market commentary, and outlook.
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