Institutional Strategies Main

Phineus Long/Short

Strategy Details




As of 03/31/19
Inception Date:
06/01/02
Strategy Assets*:
$958.8 M
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 03/31/19
Long Short Gross Net MSCI World Index
Financials 29.7 0.0 29.7 29.7 15.6
Industrials 13.0 0.0 13.0 13.0 11.1
Health Care 12.2 -0.1 12.3 12.1 12.8
Consumer Discretionary 9.9 -0.2 10.1 9.7 10.4
Communication Services 9.4 -0.1 9.5 9.3 8.3
Energy 2.2 0.0 2.2 2.2 6.0
Materials 2.1 0.0 2.1 2.1 4.6
Consumer Staples 2.0 0.0 2.0 2.0 8.6
Information Technology 4.4 -3.1 7.5 1.3 15.9
Real Estate 0.0 0.0 0.0 0.0 3.3
Utilities 0.0 0.0 0.0 0.0 3.3
TOTAL 88.8 -84.6 173.4 4.2 100.0

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 03/31/19
Long Short Gross Net MSCI World Index
Europe 5.9 0.0 5.9 5.9 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
North America 82.9 -84.6 167.5 -1.7 64.1
TOTAL 88.8 -84.6 173.4 4.2 100.0

Largest Holdings

AS OF 03/31/19
Long Portfolio Sector Weight
Facebook, Inc. - Class A Communication Services 5.0
Goldman Sachs Group, Inc. Financials 4.2
Alphabet, Inc. - Class A Communication Services 4.1
Morgan Stanley Financials 4.0
Calamos Short-Term Bond Fund - Class I N/A 3.7
AS OF 03/31/19
Short Portfolio Sector Weight
ETF N/A -75.4
ETF N/A -4.1
ETF Information Technology -3.1
ETF N/A -1.8
Other Consumer Discretionary -0.1

Characteristics

AS OF 03/31/19
  Long Short MSCI World Index
# of Holdings 48 15 1635
Equity Exposure 88.80 84.62 --
Median Mkt Cap ($bil) 47.2 235.8 12.9
Wtd. Avg. Mkt Cap ($bil) 144.9 237.2 159.5

Market Capitalization

AS OF 03/31/19
  Long Short Gross Net MSCI World Index
Small Cap (<=$0.30bil) 3.7 0.0 3.7 3.7 0.0
Medium/Small Cap (>$0.30bil<=$5bil) 2.7 -3.0 5.7 -0.3 1.5
Medium Cap (>$5bil<=$20bil) 18.8 -4.2 23.0 14.6 19.6
Medium/Large Cap (>$20bil<=$100bil) 33.8 -1.8 35.6 32.0 40.3
Large Cap (>$100bil) 29.8 -75.6 105.3 -45.8 38.6
TOTAL 88.8 -84.6 173.4 4.2 100.0

Numbers may not add up due to rounding.

Annualized Total Returns

AS OF 03/31/19
1-Year3-Year5-Year10-Year15-YearSince Inception (6/02)
Phineus Long/Short (Gross)-2.83%8.46%6.37%13.59%12.11%12.81%
Phineus Long/Short (Net)-4.03%7.11%4.95%12.00%10.51%11.19%
MSCI World Index4.61%11.31%7.38%13.01%7.40%7.38%
S&P 500 Index9.50%13.51%10.91%15.92%8.57%8.15%
HFRI Equity Hedge (Total) Index-0.08%6.83%3.61%6.48%4.55%5.02%

Calendar Year Returns

AS OF 03/31/19
                           Qtr Ending Mar 19YTD 2019201820172016201520142013201220112010200920082007200620052004200306/01/2002 to 12/31/2002
Phineus Long/Short (Gross)3.80%3.80%-4.26%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)3.48%3.48%-5.45%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 Index12.64%12.64%-8.20%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 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%-16.69%
HFRI Equity Hedge (Total) Index7.92%---7.14%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 03/31/19
  Calamos Phineus Long/Short Composite MSCI World Index
Alpha 7.81% N/A
Beta 0.71 1.00
R-Squared 41.50% N/A
Standard Deviation 16.33% 14.88%
Upside Semivariance 17.14% 9.85%
Downside Semivariance 6.22% 8.98%
Sortino Ratio 1.32 0.58
Sharpe Ratio 0.7066 0.4105
Information Ratio 0.4108 N/A

Since Inception Up/Down Capture Vs. MSCI World Index

AS OF 03/31/19

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 snapshot 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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