Investment Team Voices Home Page
Staying Agile Pays Off
July 1, 2026
Summary Points:
- Calamos Hedged Equity Fund (CIHEX) uses a dynamic options strategy to participate in equity market appreciation while limiting exposure to drawdowns.
- The Fund advanced 7.9%, capturing roughly half the move of the S&P 500 Index while remaining fully hedged.
- The quarter demonstrated the benefits of flexibility over a rigid “set-it-and-forget-it” approach: As market conditions opened the door to opportunities, we were able to actively adjust our hedge to take advantage.
- During the quarter, we rolled our base hedge out to December 2027, locking in a structure built to deliver 60% to 65% of the market’s upside and 35% to 40% of its downside over its full life.
- At the margin, we traded near-the-money calls and out-of-the-money puts back and forth as the market whipsawed; this activity did not alter our core participation profile.
Calamos Hedged Equity Fund (CIHEX)
Morningstar Overall RatingTM Among 139 Equity Hedged funds. The Fund's risk-adjusted returns based on load-waived Class I Shares had 3 stars for 3 years, 4 stars for 5 years and 4 stars for 10 years out of 139, 118 and 64 Equity Hedged Funds, respectively, for the period ended 6/30/2026.
After falling 4% in the first quarter amid the outbreak of war with Iran, the S&P 500 Index delivered a powerful up quarter during 2Q. The index’s quarterly gain of 15.2%—the strongest since 2Q 2020—brought the index’s year-to-date return to 10.21%. That said, market breadth narrowed during the quarter, driven heavily by a small cohort of AI names focused on semiconductors and hardware.
These market conditions set the stage well for our approach. More specifically, the combination of elevated rates and a market prone to sharp swings gives us numerous opportunities to adjust our hedge. We see these conditions continuing, given approaching midterms, the unpredictable turns in the Middle East, and the new tone coming out of the Federal Reserve under Kevin Warsh, including signals that the Fed’s next move could be a hike rather than a cut, with any reductions pushed into 2027.
2Q Performance in Perspective
CIHEX’s hedge is currently structured over a multiyear horizon, targeting 60% to 65% upside and 35% to 40% downside. CIHEX captured 52% of the S&P 500’s upside in the second quarter. That sits below our 60% to 65% target, but the target is defined over the full life of the trade, not for any single quarter. Participation measured over a shorter window will differ from the full-life range by design, reflecting where the structure sits in its life rather than its ultimate payoff, all the more so in a quarter that included a structural roll of the hedge.
Extending the Core Trade to December 2027
CIHEX’s flexibility gives us many advantages: We can construct the most effective asymmetric structure the market will give us, rather than defending a fixed expiry. During the quarter, the level of interest rates and the shape of implied volatility gave us the opportunity to roll our base hedge out to December 2027. Higher rates cheapen the puts we own relative to the calls we write, and the extension of our hedge lets us lock in a more attractive payoff at the same or lower cost than a shorter-dated structure would carry. The December 2027 collar is built to deliver 60% to 65% of the market’s upside and 35% to 40% of its downside over its life. If the rate and volatility environment shifts to favor a shorter-duration structure or different payout altogether, we will adjust accordingly.
At the margin, we stayed active as the market whipped around. We traded small pieces of near-the-money short calls and out-of-the-money long puts back and forth to monetize the intra-quarter swings. This activity is designed to add incrementally to the return profile; it does not alter the core 60% to 65% upside and 35% to 40% downside hedge, which remains anchored by the base trade.
Looking Ahead
As we enter the second half of 2026, we believe the case for CIHEX is strong. We believe rate and market conditions will play to the strengths of our approach. Equity valuations are elevated, and breadth is narrow, which opens the door to whipsawing markets we can capitalize on; the Fed has signaled that its next move may be a hike, with cuts pushed into 2027; and the Iran ceasefire, while holding, is not a settled peace. Our approach doesn’t require us to make directional calls, or to predict when volatility will return, or to surmise what will cause it. Whether the market extends its gains, consolidates, or corrects, CIHEX is built to participate, manage risk, and adapt.
Total Return (%) as of 6/30/26
| 2Q26 | 1 Year | 3 Year | 5 Year | 10 Year | Fund Inception | |
|---|---|---|---|---|---|---|
| Calamos Hedged Equity Fund (CIHEX) | 7.93% | 12.71% | 12.48% | 8.03% | 8.47% | 7.52% (12/31/14) |
| S&P 500 Index | 15.20% | 22.32% | 20.61% | 13.41% | 15.51% | 13.87% |
Data as of 6/30/26. 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. Returns of more than 12 months are annualized. The fund’s gross expense ratio as of the prospectus dated 2/27/2026 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.
Before investing, carefully consider the fund’s investment objectives, risks, charges and expenses. Please see the prospectus and summary prospectus containing this and other information which can be obtained by calling 1-866-363-9219. Read it carefully before investing.
The Morningstar Equity Hedged Category is comprised of funds that use a variety of options trades, including put writing, options spreads, options-based hedged equity, and collar strategies, among others.
Morningstar Ratings™ are based on risk-adjusted returns and are through 5/31/26 for the share class listed and will differ for other share classes. Morningstar ratings are based on a risk-adjusted return measure that accounts for variation in a fund’s monthly historical performance (reflecting sales charges), placing more emphasis on downward variations and rewarding consistent performance. Within each asset class, the top 10%, the next 22.5%, 35%, 22.5%, and the bottom 10% receive 5, 4, 3, 2 or 1 star, respectively. Each fund is rated exclusively against US domiciled funds. The information contained herein is proprietary to Morningstar and/or its content providers; may not be copied or distributed; and is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Source: ©2026 Morningstar, Inc.
Diversification and asset allocation do not guarantee a profit or protect against a loss. Alternative strategies entail added risks and may not be appropriate for all investors. Indexes are unmanaged, are not available for direct investment, and do not include fees and expenses.
Opinions, estimates, forecasts, and statements of financial market trends that are based on current market conditions constitute our judgment and are subject to change without notice. The views and strategies described may not be appropriate for all investors. References to specific securities, asset classes, and financial markets are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations.
Indexes are unmanaged, do not include fees or expenses, and are not available for direct investment. The S&P 500 Index is considered a measure of the US equity market. The Bloomberg US Aggregate Index measures the performance of investment-grade bonds. The Bloomberg US Government/Credit Bond Index includes Treasuries and agencies that represent the government portion of the index, and includes publicly issued US corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements to represent credit interests.
The Morningstar Options Trading Category is comprised of funds that use a variety of options trades, including put writing, options spreads, options-based hedged equity, and collar strategies, among others.
Important Risk Information. An investment in the Fund(s) is subject to risks, and you could lose money on your investment in the Fund(s). There can be no assurance that the Fund(s) will achieve its investment objective. Your investment in the Fund(s) is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. The risks associated with an investment in the Fund(s) can increase during times of significant market volatility. The Fund(s) also has specific principal risks, which are described below. More detailed information regarding these risks can be found in the Fund’s prospectus.
The principal risks of investing in the Calamos Hedged Equity Fund include covered call writing risk, options risk (see definition below), equity securities risk, correlation risk, mid-sized company risk, interest rate risk, credit risk, liquidity risk, portfolio turnover risk, portfolio selection risk, foreign securities risk, American depository receipts, and REITs risks.
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