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Happy Anniversary

CMNIX

Calamos Market Neutral
Income Fund
Established 1990

Thanks to the support of investment professionals who have long recognized its value as an alternative to fixed income, Calamos Market Neutral Income Fund (CMNIX) celebrated its 30th anniversary on September 4, 2020.

Thousands have used CMNIX to:

  • Diversify bond portfolios. CMNIX has provided bond-like returns with bond-like standard deviation—but without the interest rate sensitivity (see chart below).
  • Capitalize on equity volatility. Compared to the S&P 500, the fund has historically offered both 1) lower sensitivity to drawdowns during heightened volatility due to the fund’s hedged equity strategy (see chart below) and 2) smaller drawdowns, which were then followed by relatively strong performance as a result of the fund’s convertible arbitrage strategy (see chart below).
  • Provide risk-managed performance that can serve as a ballast to clients’ portfolios.

Join us in celebrating what makes CMNIX special.

Pioneering Calamos Market Neutral Income Fund Marks Three Decades of Liquid Alternatives Leadership

Naperville, IL, Oct. 13, 2020 – Calamos Investments is celebrating the 30-year anniversary of the Calamos Market Neutral Income Fund (CMNIX), one of the first ever alternative mutual funds when it launched in the fall of 1990, and now one of the largest funds in the liquid alternatives category.

The fund, with AUM over $10 billion (as of 9/30/20) and rated five stars by Morningstar, was conceived by Calamos Investments Founder and Chairman John P. Calamos, Sr., one of the world’s foremost experts on convertible securities and volatility-based investing. It combines two complementary strategies: convertible arbitrage aimed at delivering alpha and uncorrelated returns and options writing for income and upside participation. 

Read More

Calamos Market Neutral Income Fund: Reflections on 30 Years of Innovation

For 30 years, Calamos Market Neutral Income Fund has provided investors with an innovative approach that seeks to provide steady performance over market cycles, while serving as an alternative to traditional fixed income allocations. For perspective on this milestone, we sat down with John P. Calamos, Sr., who launched the fund in 1990, and Eli Pars, CFA, who leads the fund’s investment management team today.

Q. John, what does this milestone mean for you?

John Calamos: I’m deeply appreciative that so many investors and investment professionals have chosen Calamos Market Neutral Income Fund throughout the years. Over its 30-year history, the fund has invested through many different interest rate environments, economic cycles, bull and bear markets, market shocks and extended periods of uncertainty and volatility. To have provided investors with a fund that has stood the test of time the way Calamos Market Neutral Income Fund has—one that has provided generations of investors with asset allocation benefits—well, it means a great deal to me.

Calamos Market Neutral Income Fund (CMNIX)

Calamos Market Neutral Income Fund (CMNIX)

Morningstar Overall RatingTM Among 101 Market Neutral funds. The Fund's risk-adjusted returns based on load-waived Class I Shares had 4 stars for 3 years, 4 stars for 5 years and 5 stars for 10 years out of 101, 76 and 22 Market Neutral Funds, respectively, for the period ended 10/31/2020.

John P. Calamos, Sr.
John P. Calamos, Sr.
Founder, Chairman and Global Chief Investment Officer
Eli Pars, CFA
Eli Pars, CFA
Co-CIO, Head of Alternative Strategies and Co-Head of Convertible Strategies, Senior Co-Portfolio Manager

Q. Eli, what about you?

Eli Pars: We’re very thankful to have such a loyal investor base. We think that’s a result of the fund having historically done what it says it will. Calamos Market Neutral Income Fund isn’t a sports car—but we like to think of it as a car that always starts.

Q. When you launched the fund in 1990, did you ever expect that it would grow to close to $10 billion in assets?

John Calamos: Frankly, no. I never thought the fund would grow this large. At the time, my goal in launching the fund was to give investors access to strategies that I believed could help them achieve their financial goals.

Read the rest of the interview
Diversify Bond Portfolios

CMNIX's Historic Resilience in Rising Interest Rate Environments

diversify bond portfolios
Capitalizing on Equity Volatility

Historic Lower Sensitivity to Drawdowns,
Thanks to Hedged Equity Strategy

 

Click categories in the legend to show or hide.

Source: Monthly Data, Morningstar Direct. Past performance is no guarantee of future results, and there is no assurance that the fund will achieve its investment objectives. Current performance may be lower or higher than the performance quoted. 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 2.25% had it been included, the Fund’s return would have been lower. You can obtain performance data current to the most recent month end by visiting calamos.com.

Capitalizing on Equity Volatility

Historically Smaller Drawdowns, Followed by Performance Gains Resulting from Convertible Arbitrage Strategy

 

Click categories in the legend to show or hide.

Annualized Return Std Dev Beta Alpha Sharpe Ratio Sortino Ratio Correlation
Calamos Market Neutral Income Fund (CMNIX) 6.29% 4.62 0.24 2.82 0.79 1.20 0.18
S&P 500 10.59% 14.47 0.23 7.78 0.59 0.87 0.06
Bloomberg Barclays U.S. Aggregate Bond Index 6.02% 3.55 1.00 0.00 0.94 1.59 1.00
Morningstar Market Neutral Category Average 3.77% 3.47 0.13 0.71 0.34 0.51 0.14

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 2.75%. Had it been included, the Fund's return would have been lower. You can obtain performance data current to the most recent month-end by visiting www.calamos.com.

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.

S&P 500 Index-Is generally considered representative of the U.S. stock market.

Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and non-agency).

The Morningstar Market Neutral Category represents funds that attempt to eliminate the risks of the market by holding 50% of assets in long positions of stocks and 50% of assets in short positions.

Calamos Market Neutral Income Fund Through the Years

September 4, 1990:

Among the first liquid alternative funds when introduced as the Calamos Strategic Income Fund

2000:

Fund name changed to Calamos Market Neutral Fund to “better describe the fund’s strategy of hedging against market risk”

2006:

Fund name changed to Calamos Market Neutral Income Fund with the addition of the hedged options strategy

2012:

Calamos Market Neutral Income Fund management team nominated for U.S. Morningstar Alternatives Fund Manager of the Year

December 2014:

October 15, 2018:

Barron’s profiles Eli Pars

2020:

Morningstar upgraded Analyst rating (see post)
eli pars barrons
morningstar-bronze-logo.png

Managing in a Pandemic

To keep communication lines open and foster the collaboration they’re known for, the CMNIX team keeps a virtual meeting open all day every day. What’s different about working from home? “Some days we have two newborns helping us on the calls,” jokes Eli Pars, CFA, Co-CIO, Head of Alternative Strategies and Co-Head of Convertible Strategies, Senior Co-Portfolio Manager.

pars
Eli Pars, CFA
Co-CIO, Head of Alternative Strategies and Co-Head of Convertible Strategies, Senior Co-Portfolio Manager
hill
Jason Hill
Senior Vice President, Co-Portfolio Manager
odonohue
David O’Donohue
Senior Vice President, Co-Portfolio Manager
young
Jimmy Young, CFA
Vice President, Co-Portfolio Manager
vecchiolla
Anthony Vecchiolla, CFA
Senior Research Analyst
cmnix 30 years logo

Precious Few Funds Can Claim 26 Years of Positive Performance

precious few funds can claim 26 years of positive performance

A Low-cost Liquid Alternative

Liquid alternatives gained popularity as a means of following hedge fund success in using alternative strategies to diversify away from traditional long-only stock and bond portfolios. However, a common criticism of liquid alternatives is that they’re just too expensive.

That is not the case with CMNIX.

low cost liquid alternative

CMNIX's Consistency Has Been Recognized by Consistently Excellent Morningstar Ratings

tower of stars

The fund’s risk-adjusted returns is based on I shares.

Date Overall # of funds 3 Years # of funds 5 years # of funds 10 years # of funds
Q1 2011
4 Stars
108 4 108 4 54 4 19
Q2 2011
4 Stars
47 4 47 4 40 4 15
Q3 2011
4 Stars
50 4 50 3 40 4 15
Q4 2011
4 Stars
48 5 48 4 44 4 15
Q1 2012
4 Stars
50 5 50 4 45 4 18
Q2 2012
4 Stars
50 5 50 4 45 4 18
Q3 2012
4 Stars
54 5 54 4 45 4 18
Q4 2012
4 Stars
57 5 57 4 46 3 19
Q1 2013
4 Stars
55 5 55 4 46 3 19
Q2 2013
4 Stars
60 5 60 4 46 3 24
Q3 2013
5 Stars
78 5 78 5 49 4 24
Q4 2013
5 Stars
82 5 82 5 52 4 24
Q1 2014
5 Stars
87 5 87 5 54 4 24
Q2 2014
5 Stars
94 5 94 5 56 4 24
Q3 2014
5 Stars
100 5 100 5 58 4 26
Q4 2014
5 Stars
110 5 110 5 64 4 27
Q1 2015
5 Stars
100 5 100 5 64 4 27
Q2 2015
5 Stars
100 5 100 5 59 4 25
Q3 2015
4 Stars
99 4 99 5 74 4 31
Q4 2015
4 Stars
110 4 110 5 67 4 32
Q1 2016
4 Stars
109 4 109 5 69 4 33
Q2 2016
5 Stars
114 4 114 5 66 5 33
Q3 2016
5 Stars
120 5 120 5 70 4 32
Q4 2016
4 Stars
118 4 118 5 70 4 27
Q1 2017
5 Stars
114 5 114 5 67 5 28
Q2 2017
5 Stars
111 5 111 5 74 5 30
Q3 2017
5 Stars
112 4 112 5 74 5 34
Q4 2017
5 Stars
118 4 118 4 83 5 33
Q1 2018
4 Stars
114 4 114 4 78 4 30
Q2 2018
4 Stars
129 4 129 4 86 4 30
Q3 2018
5 Stars
129 5 129 4 92 5 34
Q4 2018
5 Stars
122 4 122 4 98 5 31
Q1 2019
5 Stars
130 5 130 5 100 5 33
Q2 2019
5 Stars
121 4 121 5 95 5 33
Q3 2019
5 Stars
113 4 113 5 84 5 26
Q4 2019
5 Stars
109 4 109 5 88 5 30
Q1 2020
5 Stars
99 4 99 5 79 5 21
Q2 2020
5 Stars
99 4 99 5 83 5 21
Q3 2020
5 Stars
101 4 101 5 74 5 22

About the Market Neutral Category

  • CMNIX is the second oldest fund in Morningstar’s diverse Market Neutral Category. Morningstar established a separate category for Market Neutral strategies in 2010, but its roots in a ‘40 Act structure date back to 1997 when the SEC discontinued the short-short rule that barred mutual funds from generating more than 30% of profits from securities held less than three months.
  • The three main market neutral strategies in the category are Equity Market Neutral, Event-driven and Convertible Bond Arbitrage, although there are also strategies that employ multiple approaches to building a market neutral portfolio, including the addition of index call writing with put overlay to convertible bond arbitrage.

Market neutral funds:

  • Attempt to reduce systematic risk created by factors such as exposures to sectors, market-cap ranges, investment styles, currencies, and/or countries. Try to achieve this by matching short positions within each area against long positions.
  • Are often managed as beta-neutral, dollar-neutral, or sector-neutral.
  • Typically have low beta exposures (< 0.3 in absolute value) to market indexes such as the MSCI World Index.
  • In attempting to reduce systematic risk, put the emphasis on issue selection, with profits dependent on their ability to sell short and buy long the correct securities.
weekly alternative snapshot

Subscribe to the Calamos Alternatives Snapshot and every Monday you’ll receive intel, including:

» Morningstar Liquid Alternative Categories weekly, MTD, QTD, YTD performance and correlations
» Estimated net flows by category
» Market news

Contact Us

Call 888-571-2567 or email caminfo@calamos.com

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NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE

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 1-800-582-6959. Read it carefully before investing.

MNI average annual returns and expense ratio 9-30-20

The principal risks of investing in Calamos Market Neutral Income Fund include: equity securities risk consisting of market prices declining in general, convertible securities risk consisting of the potential for a decline in value during periods of rising interest rates and the risk of the borrower to miss payments, synthetic convertible instruments risk, convertible hedging risk, covered call writing risk, options risk, short sale risk, interest rate risk, credit risk, high yield risk, liquidity risk, portfolio selection risk, and portfolio turnover risk.

Covered Call Writing: As the writer of a covered call option on a security, the fund foregoes, during the option’s life, the opportunity to profit from increases in the market value of the security, covering the call option above the sum of the premium and the exercise price of the call.

Convertible Arbitrage Risk: If the market price of the underlying common stock increases above the conversion price on a convertible security, the price of the convertible security will increase. The fund’s increased liability on any outstanding short position would, in whole or in part, reduce this gain.

Morningstar RatingsTM are based on risk-adjusted returns for Class I shares 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 U.S. 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: ©2020 Morningstar, Inc. All rights reserved.

The Morningstar Analyst RatingTM is not a credit or risk rating. It is a subjective evaluation performed by Morningstar’s manager research group, which consists of various Morningstar, Inc. subsidiaries (“Manager Research Group”). In the United States, that subsidiary is Morningstar Research Services LLC, which is registered with and governed by the U.S. Securities and Exchange Commission. The Manager Research Group evaluates funds based on five key pillars, which are process, performance, people, parent, and price. The Manager Research Group uses this five-pillar evaluation to determine how they believe funds are likely to perform relative to a benchmark over the long term on a risk adjusted basis. They consider quantitative and qualitative factors in their research. For actively managed strategies, people and process each receive a 45% weighting in their analysis, while parent receives a 10% weighting. For passive strategies, process receives an 80% weighting, while people and parent each receive a 10% weighting. For both active and passive strategies, performance has no explicit weight as it is incorporated into the analysis of people and process; price at the share-class level (where applicable) is directly subtracted from anexpected gross alpha estimate derived from the analysis of the other pillars. The impact of the weighted pillar scores for people, process and parent on the final Analyst Rating is further modified by a measure of the dispersion of historical alphas among relevant peers. For certain peer groups where standard benchmarking is not applicable, primarily peer groups of funds using alternative investment strategies, the modification by alpha dispersion is not used.

The Analyst Rating scale is Gold, Silver, Bronze, Neutral, and Negative. For active funds, a Morningstar Analyst Rating of Gold, Silver, or Bronze reflects the Manager Research Group’s expectation that an active fund will be able to deliver positive alpha net of fees relative to the standard benchmark index assigned to the Morningstar category. The level of the rating relates to the level of expected positive net alpha relative to Morningstar category peers for active funds. For passive funds, a Morningstar Analyst Rating of Gold, Silver, or Bronze reflects the Manager Research Group’s expectation that a fund will be able to deliver a higher alpha net of fees than the lesser of the relevant Morningstar category median or 0. The level of the rating relates to the level of expected net alpha relative to Morningstar category peers for passive funds. For certain peer groups where standard benchmarking is not applicable, primarily peer groups of funds using alternative investment strategies, a Morningstar Analyst Rating of Gold, Silver, or Bronze reflects the Manager Research Group’s expectation that a fund will deliver a weighted pillar score above a predetermined threshold within its peer group. Analyst Ratings ultimately reflect the Manager Research Group’s overall assessment, are overseen by an& Analyst Rating Committee, and are continuously monitored and reevaluated at least every 14 months.

For more detailed information about Morningstar’s Analyst Rating, including its methodology, please go to https://shareholders.morningstar.com/investor-relations/governance/Compliance--Disclosure/default.aspx.

The Morningstar Analyst Rating (i) should not be used as the sole basis in evaluating a fund,(ii) involves unknown risks and uncertainties which may cause the Manager Research Group’s expectations not to occur or to differ significantly from what they expected, and (iii) should not be considered an offer or solicitation to buy or sell the fund.

Alpha is a measurement of performance on a risk adjusted basis. A positive alpha shows that performance of a portfolio was higher than expected given the risk. A negative alpha shows that the performance was less than expected given the risk.

Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole.

Sharpe ratio is a calculation that reflects the reward per each unit of risk in a portfolio. The higher the ratio, the netter the portfolio's risk-adjusted return is.

Standard deviation is a measure of volatility.

The VIX Index, created by the Chicago Board Options Exchange, is a calculation designed to produce a measure of constant, 30-day expected volatility of the U.S. stock market, derived from real-time, mid-quote prices of S&P 500® Index (SPXSM) call and put options. It is one of the most recognized measures of volatility.