Institutional Strategies Main

Phineus Long/Short

Strategy Details




As of 12/31/18
Inception Date:
06/01/02
Strategy Assets*:
$953.3 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 12/31/18
Long Short Gross Net MSCI World Index
Communication Services 8.5 0.0 8.5 8.5 8.3
Consumer Discretionary 14.1 0.0 14.1 14.1 10.4
Consumer Staples 0.0 0.0 0.0 0.0 8.7
Energy 0.0 0.0 0.0 0.0 5.9
Financials 38.3 -0.1 38.4 38.2 16.2
Health Care 7.0 -1.0 8.0 6.0 13.1
Industrials 13.7 -0.1 13.7 13.6 10.9
Information Technology 7.0 0.0 7.0 7.0 14.9
Materials 3.0 0.0 3.0 3.0 4.6
Real Estate 0.0 0.0 0.0 0.0 3.2
Utilities 0.0 0.0 0.0 0.0 3.4
Other 4.8 -46.7 51.6 -41.9 0.2
TOTAL 96.3 -47.9 144.2 48.4 100.0

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 12/31/18
Long Short Gross Net MSCI World Index
North America 91.8 -47.9 139.7 43.9 63.4
Europe 4.5 0.0 4.5 4.5 23.2
Asia/Pacific 0.0 0.0 0.0 0.0 13.0
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
TOTAL 96.3 -47.9 144.2 48.4 100.0

Largest Holdings

AS OF 12/31/18
Long Portfolio Sector Weight
Jpmorgan Chase & Company Financials 5.0
Morgan Stanley Financials 5.0
Facebook, Inc. - Class A Communication Services 4.9
Goldman Sachs Group, Inc. Financials 4.0
Bank Of America Corp. Financials 3.9
AS OF 12/31/18
Short Portfolio Sector Weight
ETF N/A -45.0
ETF N/A -1.6
Equity Position Health Care -1.0
Other N/A -0.5
Other N/A -0.2

Characteristics

AS OF 12/31/18
  Long Short MSCI World Index
# of Holdings 47 11 1633
Equity Exposure 96.32 47.89 --
Median Mkt Cap ($bil) 41.9 241.8 11.4
Wtd. Avg. Mkt Cap ($bil) 119.9 235.9 139.3

Market Capitalization

AS OF 12/31/18
  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) 8.4 0.0 8.4 8.4 2.0
Medium Cap (>$5bil<=$20bil) 18.3 -1.6 19.9 16.7 21.4
Medium/Large Cap (>$20bil<=$100bil) 36.7 -0.1 36.8 36.6 41.3
Large Cap (>$100bil) 29.3 -46.2 75.5 -16.9 35.3
TOTAL 96.3 -47.9 144.2 48.4 100.0

Numbers may not add up due to rounding.

Annualized Total Returns

AS OF 12/31/18
1-Year3-Year5-Year10-Year15-YearSince Inception (6/02)
Phineus Long/Short (Gross)-4.26%7.05%6.03%12.72%12.41%12.76%
Phineus Long/Short (Net)-5.45%5.70%4.59%11.13%10.80%11.14%
MSCI World Index-8.20%6.91%5.14%10.29%6.75%6.72%
S&P 500 Index-4.39%9.26%8.49%13.12%7.77%7.44%
HFRI Equity Hedge (Total) Index-6.90%3.62%2.32%5.67%4.27%4.63%

Calendar Year Returns

AS OF 12/31/18
                           Qtr Ending Dec 18YTD 201820172016201520142013201220112010200920082007200620052004200306/01/2002 to 12/31/2002
Phineus Long/Short (Gross)-3.67%-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)-3.98%-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 Index-13.31%-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 Index-13.52%-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) Index-8.26%-6.90%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 12/31/18
  Calamos Phineus Long/Short Composite MSCI World Index
Alpha 8.20% N/A
Beta 0.71 1.00
R-Squared 41.63% N/A
Standard Deviation 16.42% 14.87%
Upside Semivariance 17.29% 9.63%
Downside Semivariance 6.31% 9.11%
Sortino Ratio 1.31 0.52
Sharpe Ratio 0.7008 0.3678
Information Ratio 0.4556 N/A

Since Inception Up/Down Capture Vs. MSCI World Index

AS OF 12/31/18

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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