Calamos Hedged Equity Fund (CAHEX)

Overview

The fund blends a core long-equity portfolio with an actively managed option overlay. Tactical management creates opportunities to add alpha from option market dynamics and equity market volatility.

Key Features

  • Our investment approach is highly responsive to dynamic market conditions, unlike many less active option-based strategies.
  • The investment team seeks to take advantage of opportunities the market presents, with a focus on being favorably positioned for as many outcomes as possible.

Portfolio Fit

The fund's option-based risk-management strategy can provide upside participation in equity markets while limiting downside exposure, thereby improving the quality of the ride.

Important Fund 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, 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. As of March 1, Calamos Hedged Equity Income Fund's name has been changed to Calamos Hedged Equity Fund.

Notes

Options Risk - The Fund's ability to close out its position as a purchaser or seller of an over-the-counter or exchange-listed put or call option is dependent, in part, upon the liquidity of the option market. There are significant differences between the securities and options markets that could result in an imperfect correlation among these markets, causing a given transaction not to achieve its objectives. The Fund's ability to utilize options successfully will depend on the ability of the Fund's investment adviser to predict pertinent market movements, which cannot be assured.

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 funds' gross expense ratios as of the prospectus dated 3/1/2019 are as follows: A Shares 1.48%, C Shares 2.31% and I Shares 1.27%.

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.

Fund Details
As of 10/18/19
Inception Date: 12/31/14
Current NAV: $11.78
$ Change: $-0.03
% Change: -0.25%
Total Net Assets (As of 9/30/19): $225.3 M
Morningstar Category: Options-based

Zephyr Analysis

Zephyr Analysis

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Resources

Calendar Year Total Returns

As of 9/30/19
Date Calamos Hedged Equity Fund (NAV) Calamos Hedged Equity Fund Load-Adjusted S&P 500 Index Bloomberg Barclays U.S. Aggregate Bond Index
YTD 2019 9.45 4.22 20.55 8.52
2018 0.59 -4.2 -4.38 0.01
2017 8.02 2.88 21.83 3.54
2016 5.22 0.21 11.96 2.65
2015 0.47 -4.31 1.38 0.55
2014* 0 -4.76 0 0

*Reflects the fund's return from the inception date of 12/31/2014 through 12/31/2014.

Growth of 10K

As of 9/30/19
Date Calamos Hedged Equity Fund S&P 500 Index
12/31/2014 12:00:00 AM 10000 10000
1/31/2015 12:00:00 AM 9720 9699.8
2/28/2015 12:00:00 AM 10060 10257.25
3/31/2015 12:00:00 AM 9940 10095.08
4/30/2015 12:00:00 AM 10040 10191.89
5/31/2015 12:00:00 AM 10150 10322.96
6/30/2015 12:00:00 AM 10062.8 10123.11
7/31/2015 12:00:00 AM 10153.09 10335.19
8/31/2015 12:00:00 AM 9832.05 9711.66
9/30/2015 12:00:00 AM 9633.66 9471.4
10/31/2015 12:00:00 AM 10066.52 10270.31
11/30/2015 12:00:00 AM 10086.65 10300.81
12/31/2015 12:00:00 AM 10047.38 10138.37
1/31/2016 12:00:00 AM 9740.12 9635.3
2/29/2016 12:00:00 AM 9709.4 9622.3
3/31/2016 12:00:00 AM 10016.98 10275.07
4/30/2016 12:00:00 AM 10047.81 10314.94
5/31/2016 12:00:00 AM 10140.27 10500.2
6/30/2016 12:00:00 AM 10170.46 10527.39
7/31/2016 12:00:00 AM 10335.17 10915.54
8/31/2016 12:00:00 AM 10345.46 10930.82
9/30/2016 12:00:00 AM 10377.99 10932.9
10/31/2016 12:00:00 AM 10347.04 10733.48
11/30/2016 12:00:00 AM 10481.15 11130.94
12/31/2016 12:00:00 AM 10571.42 11351
1/31/2017 12:00:00 AM 10643.9 11566.33
2/28/2017 12:00:00 AM 10882.04 12025.63
3/31/2017 12:00:00 AM 10899.03 12039.7
4/30/2017 12:00:00 AM 10930.11 12163.34
5/31/2017 12:00:00 AM 10981.91 12334.48
6/30/2017 12:00:00 AM 11002.86 12411.45
7/31/2017 12:00:00 AM 11085.75 12666.63
8/31/2017 12:00:00 AM 11096.11 12705.39
9/30/2017 12:00:00 AM 11171.16 12967.5
10/31/2017 12:00:00 AM 11254.14 13270.16
11/30/2017 12:00:00 AM 11388.98 13677.16
12/31/2017 12:00:00 AM 11418.94 13829.25
1/31/2018 12:00:00 AM 11917.67 14620.97
2/28/2018 12:00:00 AM 11896.89 14082.04
3/31/2018 12:00:00 AM 11806.83 13724.22
4/30/2018 12:00:00 AM 11817.23 13776.92
5/31/2018 12:00:00 AM 11921.25 14108.67
6/30/2018 12:00:00 AM 11903.67 14195.44
7/31/2018 12:00:00 AM 12122.37 14723.65
8/31/2018 12:00:00 AM 12289 15203.49
9/30/2018 12:00:00 AM 12272.54 15290
10/31/2018 12:00:00 AM 11938.88 14244.93
11/30/2018 12:00:00 AM 12032.72 14535.24
12/31/2018 12:00:00 AM 11486.77 13222.85
1/31/2019 12:00:00 AM 11956.49 14282.53
2/28/2019 12:00:00 AM 12095.27 14741.14
3/31/2019 12:00:00 AM 12211.43 15027.57
4/30/2019 12:00:00 AM 12425.11 15636.03
5/31/2019 12:00:00 AM 12093.91 14642.36
6/30/2019 12:00:00 AM 12454.53 15674.36
7/31/2019 12:00:00 AM 12529.36 15899.6
8/31/2019 12:00:00 AM 12486.76 15647.75
9/30/2019 12:00:00 AM 12571.67 15940.52

Annualized Total Returns

As of 9/30/19
TimeFrame Calamos Hedged Equity Fund (NAV) Calamos Hedged Equity Fund Load-Adjusted S&P 500 Index Bloomberg Barclays U.S. Aggregate Bond Index
6 Month 2.95 -1.94 6.08 5.42
1 Year 2.44 -2.45 4.25 10.3
3 Year 6.6 4.89 13.39 2.92
Since Inception 4.94 3.86 10.31 3.17

Important Fund 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, 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. As of March 1, Calamos Hedged Equity Income Fund's name has been changed to Calamos Hedged Equity Fund.

10k Performance is for the Fund's Class A shares at net asset value and does not include the Fund's maximum front-end sales charge of 4.75%-had it been included, the Fund's return would have been lower. Index data shown is from 12/31/14, since comparative index data is available only for full monthly periods.

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.

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

Bloomberg Barclays US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US 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).

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

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.

The funds' gross expense ratios as of the prospectus dated 3/1/2019 are as follows: A Shares 1.48%, C Shares 2.31% and I Shares 1.27%.

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.

Sector Weightings

As of 9/30/19
Sector % of Assets S&P 500 Index
Information Technology 22.8% 21.9%
Health Care 14.2% 13.7%
Financials 14.0% 12.9%
Consumer Discretionary 11.0% 10.1%
Communication Services 10.9% 10.4%
Industrials 9.6% 9.3%
Consumer Staples 7.8% 7.6%
Energy 4.7% 4.5%
Utilities 3.6% 3.6%
Real Estate 3.3% 3.2%
Materials 2.4% 2.7%

Asset Allocation

As of 9/30/19
Asset Allocation
Common Stock 104.304
Other 1.6256
Cash and Receivables/Payables 1.1487
US Government Securities 0
Corporate Bonds 0
Sovereign Bonds 0
Options -7.0782

Top 10 Holdings

As of 9/30/19
Company Security Type Industry %
Microsoft Corp. Stocks Systems Software 4.6%
Apple, Inc. Stocks Technology Hardware, Storage & Peripherals 4.1%
Amazon.com, Inc. Stocks Internet & Direct Marketing Retail 3.2%
Facebook, Inc. - Class A Stocks Interactive Media & Services 2.2%
JPMorgan Chase & Company Stocks Diversified Banks 1.8%
Berkshire Hathaway, Inc. - Class B Stocks Multi-Sector Holdings 1.6%
ETF Mutual Funds Other 1.6%
Alphabet, Inc. - Class C Stocks Interactive Media & Services 1.5%
Alphabet, Inc. - Class A Stocks Interactive Media & Services 1.5%
Johnson & Johnson Stocks Pharmaceuticals 1.5%
Total 23.6%

Fund Facts

As of 9/30/19
Name Fund S&P 500 Index
Number of Holdings 297 505
Portfolio Turnover (12 months) 111.0% N/A
Net Assets $225.3 M N/A

Important Fund 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, 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. As of March 1, Calamos Hedged Equity Income Fund's name has been changed to Calamos Hedged Equity Fund.

Top 10 Holdings and Sector Weightings are calculated as a percentage of Net Assets. The tables exclude cash or cash equivalents, any government / sovereign bonds or broad based index hedging securities the portfolio may hold.

Holdings and weightings are subject to change daily. Holdings are provided for informational purposes only and should not be deemed as a recommendation to buy or sell the securities mentioned.

Notes

Options Risk - The Fund's ability to close out its position as a purchaser or seller of an over-the-counter or exchange-listed put or call option is dependent, in part, upon the liquidity of the option market. There are significant differences between the securities and options markets that could result in an imperfect correlation among these markets, causing a given transaction not to achieve its objectives. The Fund's ability to utilize options successfully will depend on the ability of the Fund's investment adviser to predict pertinent market movements, which cannot be assured.

Options Risk - The Fund's ability to close out its position as a purchaser or seller of an over-the-counter or exchange-listed put or call option is dependent, in part, upon the liquidity of the option market. There are significant differences between the securities and options markets that could result in an imperfect correlation among these markets, causing a given transaction not to achieve its objectives. The Fund's ability to utilize options successfully will depend on the ability of the Fund's investment adviser to predict pertinent market movements, which cannot be assured.

Current (SEC) Yield-Reflects the dividends and interest earned by the Fund during the 30-day period ended as of the date stated above after deducting the Fund's expenses for that same period.

Distribution Yield -Is calculated by dividing the sum of all distributions paid by the fund over the trailing 12 months by the fund's NAV as of the date of the period presented. Distributions may include income, short-term capital gains, and long-term capital gains. Short-term and long-term capital gains represent the net trading profits realized over the trailing 12 months in the fund and are not guaranteed. Distribution Yield is based on distributions made in the past and is therefore not reflective of the fund's current portfolio.

Turnover-Is the percentage of assets in a portfolio that changed over a certain period, often a year; higher turnover indicates greater buying and selling activity.

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

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.

Total Capital Gains

Year Capital Gains
2015 0.0872
2016 0.0000
2017 0.0000
2018 0.2526

Schedule

Name Frequency
Distributions QUARTERLY
Capital Gains ANNUAL

Distributions

Frequency Income Total Reinvest
Q3 2019 $0.0301 $0.0301 11.80000
Q2 2019 $0.0075 $0.0075 11.55000
Q1 2019 $0.0088 $0.0088 11.38000
Q4 2018 $0.0017 $0.0017 10.67000
Q3 2018 $0.0142 $0.0142 11.76000
Q2 2018 $0.0142 $0.0142 11.59000
Q1 2018 $0.0135 $0.0135 11.52000
Q4 2017 $0.0188 $0.0188 10.96000
Q3 2017 $0.0124 $0.0124 10.73000
Q2 2017 $0.0002 $0.0002 10.62000
Q1 2017 $0.0064 $0.0064 10.53000
Q4 2016 $0.0377 $0.0377 10.26000
Q3 2016 $0.0215 $0.0215 10.03000
Q2 2016 $0.0192 $0.0192 9.79000
Q1 2016 $0.0302 $0.0302 9.72000
Q4 2015 $0.0838 $0.0838 9.81000
Q3 2015 $0.0330 $0.0330 9.78000
Q2 2015 $0.0332 $0.0332 10.16000

Important Fund 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, 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. As of March 1, Calamos Hedged Equity Income Fund's name has been changed to Calamos Hedged Equity Fund.

Notes

Options Risk - The Fund's ability to close out its position as a purchaser or seller of an over-the-counter or exchange-listed put or call option is dependent, in part, upon the liquidity of the option market. There are significant differences between the securities and options markets that could result in an imperfect correlation among these markets, causing a given transaction not to achieve its objectives. The Fund's ability to utilize options successfully will depend on the ability of the Fund's investment adviser to predict pertinent market movements, which cannot be assured.

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 funds' gross expense ratios as of the prospectus dated 3/1/2019 are as follows: A Shares 1.48%, C Shares 2.31% and I Shares 1.27%.

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.

Annual Expenses

Name A Shares C Shares I Shares
Gross Expense Ratio 1.48% 2.31% 1.27%
Net Expense Ratio 1.26% 2.01% 1.01%

Investment Information

Name A Shares C Shares I Shares
Minimum initial investment $2500 $2500 $1 million
Minimum subsequent investments $50 $50 $0
IRA initial investments $500 $500 N/A

Fund Information

Name A Shares C Shares I Shares
Inception Date 12/31/14 12/31/14 12/31/14
Ticker Symbol CAHEX CCHEX CIHEX
CUSIP number 128120698 128120680 128120672

Sales & Distribution

Name A Shares C Shares I Shares
Sales Load Front-End Level-Load N/A
Maximum Sales Charge 4.75 1.00 N/A
US Bank Fund Number 2977 2978 2979
Dividends QUARTERLY QUARTERLY QUARTERLY
Capital Gains ANNUAL ANNUAL ANNUAL

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, 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. As of March 1, Calamos Hedged Equity Income Fund's name has been changed to Calamos Hedged Equity Fund.

CUSIP identifiers have been provided by CUSIP Global Services, managed on behalf of the American Bankers Association by S&P Global Market Intelligence LLC, and are not for use or dissemination in a manner that would serve as a substitute for any CUSIP service. The CUSIP Database, © 2011 American Bankers Association. "CUSIP" is a registered trademark of the American Bankers Association.

The Fund's investment advisor has contractually agreed to reimburse Fund expenses through March 1, 2022 to the extent necessary so that Total Annual Fund Operating Expenses (excluding taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any) of Class A, Class C, and Class I are limited to 1.25%, 2.00%, and 1.00% of average net assets, respectively. Calamos Advisors may recapture previously waived expense amounts within the same fiscal year for any day where the respective Fund's expense ratio falls below the contractual expense limit up to the expense limit for that day. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is not terminable by either party.

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.

calamos-hedged-equity-income-fund-commentary.pdf
Calamos Hedged Equity Fund Quarterly Commentary

A quarterly update of the Calamos Hedged Equity Fund’s performance, positioning, related market commentary and outlook.

calamos-hedged-equity-mutual-fund-fact-sheet.pdf
Calamos Hedged Equity Fund Fact Sheet

The Hedged Equity Fund fact sheet provides a snap shot of the investment team, the fund strategy, performance, composition, and returns.

calamos-alternatives-101-brochure-enhancing-asset-allocation.pdf
Alternatives 101: Tools for Enhancing Asset Allocation

This brochure provides an introduction to Alternative Investments, and explores that many types of alternative funds. Learn how an alternative allocation may potentially enhance a portfolio’s diversification and decrease exposure to market volatility.

calamos-hedged-equity-income-fund-summary-prospectus.pdf
Calamos Hedged Equity Fund Prospectus

This summary contains important information about the Class A, C, and I Hedged Equity Fund investment objective, fees and expenses, principal investment strategies, principal risks and performance.

calamos-mutual-fund-statutory-prospectus.pdf
Statutory Prospectus

You should read the accompanying prospectus and any accompanying prospectus supplement, which contain important information, before deciding whether to invest in our securities.

calamos-mutual-fund-sai.pdf
SAI

The statement of additional information is a supplementary document to the fund’s prospectus and contains additional information about the fund and includes further disclosure regarding its operations.

calamos-mutual-funds-semi-annual-report.pdf
Semi-Annual Report

The semi-annual report includes a letter from John P. Calamos, Sr. to shareholders and provides a comprehensive review of the fund’s activities and financial performance over a six month period.

calamos-mutual-funds-annual-report.pdf
Annual Report

The annual report includes a letter from John P. Calamos, Sr. to shareholders outlining the fund's performance, as well as a comprehensive review of the fund’s activities and financial performance.