CIHEX: Delivering on the Opportunity of Asymmetry in Q3

Jason Hill

Summary Points:

• In a quarter when the S&P 500 Index gained 8.12%, Calamos Hedged Equity Fund (CIHEX) returned 4.90%, delivering approximately 60% upside participation while maintaining its asymmetric hedge consistent with our strategic design.
• We believe CIHEX’s current core 65% up / 35% down hedge structure continues to provide an attractive balance of upside participation and downside risk mitigation, performing in line with our expectations and the competitive landscape.
• Year-to-date performance demonstrated the strength of our approach, with CIHEX returning 9.49%, capturing approximately 63% of the S&P 500 Index’s 14.83% gains while preserving defensive positioning for potential volatility ahead.
• Despite compressed volatility during the third quarter, we see multiple catalysts for volatility on the horizon—including questions around AI infrastructure spending sustainability, evolving tariff policies, Federal Reserve rate decisions, and geopolitical tensions.

Consistent Execution in a Constructive Environment

Calamos Hedged Equity Fund is designed as an equity alternative that seeks to participate in market upside while limiting exposure to drawdowns. During the third quarter, CIHEX earned 4.9%, capturing approximately 60% of the S&P 500 Index’s 8.1% gain. We believe this performance reflects the continued effectiveness of our asymmetric strategy, delivering meaningful upside participation while maintaining the risk-mitigation characteristics that define our approach.

Equity markets advanced steadily during the third quarter, supported by resilient earnings and ongoing enthusiasm around artificial intelligence and technological innovation. Notably, volatility remained subdued throughout the period, with the VIX averaging below long-term historical levels. This environment of steady appreciation with muted volatility allowed our strategy to participate in market gains while our hedge positioning remained available for potential future disruptions.

Maintaining Our Strategic Framework

Our hedge structure, enhanced at the end of June with extended duration to June 2026 and adjusted strike levels, continued to perform as designed throughout the quarter. This positioning maintains our target of approximately 65% upside participation with 35% downside exposure—a profile we believe offers compelling, risk-adjusted returns for investors seeking US equity exposure with built-in risk mitigation.

During the third quarter, we maintained this strategic positioning without significant tactical adjustments, and the structure worked as we intended.

Navigating an Uncertain Backdrop

Although volatility remained subdued during the quarter, we remain mindful of several potential catalysts that could drive market disruption in the months ahead:

• AI Infrastructure Spending: Questions persist about the sustainability of massive capital expenditures in artificial intelligence infrastructure and whether returns will justify continued investment levels.
• Trade Policy: Evolving tariff discussions and trade relationships continue to create uncertainty for global supply chains and corporate earnings.
• Monetary Policy: The Federal Reserve’s rate trajectory and its implications for economic growth and market valuations remain in focus.
• Geopolitical Tensions: Ongoing international conflicts and domestic political considerations add layers of uncertainty to the market outlook.

We believe CIHEX’s risk-managed framework positions the fund to navigate these potential challenges while maintaining meaningful equity market participation.

Year-to-Date Strength

Through the first three quarters of 2025, CIHEX has demonstrated the value of our approach, delivering competitive performance while maintaining its distinctive risk profile. With mid-60% participation in the market’s year-to-date advance, we believe the fund continues to fulfill its core mandate: capturing meaningful upside while mitigating downside.

Looking Ahead

As we enter the final quarter of 2025, we believe our hedge positioning and disciplined management approach position the fund to continue delivering on its core objective—pursuing equity market participation with reduced downside exposure. Whether markets continue their steady advance or experience the volatility that subdued conditions often precede, we believe CIHEX remains well-positioned to serve investors seeking a balanced approach to equity investing.

CIHEX: A Time-Tested Active Approach to Capturing Upside, While Managing Downside Volatility

Source: Morningstar. Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. Please refer to Important Risk Information. The principal value and return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Performance reflected at NAV does not include the Fund’s maximum front-end sales load of 4.75%. Had it been included, the Fund’s return would have been lower. The fund’s gross expense ratio as of the prospectus dated 2/28/2025 is 0.90% for Class I shares.

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