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

Regional Weightings

AS OF 09/30/18
Long Short Gross Net MSCI World Index
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 ($bil) 47.5 255.8 13.5
Wtd. Avg. Mkt Cap ($bil) 149.3 256.4 169.6

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 85.88 = Upside
55.83 = Downside

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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