Phineus Long/Short Strategy

Strategy Objective

Absolute return across a global equity universe.

Key Differentiators

  • Fundamental and global, incorporating a blend of top-down and bottom-up considerations
  • Company analysis integrated with industry and thematic research
  • Inclusive framework for managing potential returns and associated risks-stock, industry, style, country and market factors
  • Employ all investment styles depending upon market conditions and the economic cycle

Strategy Details

As of 3/31/21
Inception Date: 6/01/02
Strategy Assets*: $898.6 M
Benchmark: MSCI World Index

*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.

Resources

Characteristics

As of 3/31/21
Name Long Short
Number of Holdings 46 25
Equity Exposure 93.0 -54.6
Median Market Cap 76.4 153.9
Weighted Avg. Market Cap 204.3 317.2

Portfolio Composition

As of 3/31/21
Name Delta Adjusted Basis %
Total Long Exposure 111.4%
Total Short Exposure -63.0%
Total Gross Exposure 174.4%
Total Net Exposure 48.4%

Sector Weightings

As of 3/31/21
Sector Delta Adjusted Basis %
Industrials 37.1%
Financials 19.4%
Information Technology 15.0%
Communication Services 10.8%
Health Care 9.6%
Consumer Staples 4.1%
Consumer Discretionary 3.8%
Materials 2.7%
Energy 0.9%
Real Estate 0.0%
Utilities 0.0%
Other -55.0%

Regional Weightings

As of 3/31/21
Region Delta Adjusted Basis %
North America 35.3%
Europe 12.6%
Latin America 0.5%
Asia/Pacific 0.0%
Caribbean 0.0%
Middle East/Africa 0.0%

Market Capitalization

As of 3/31/21
Market CAP Range Delta Adjusted Basis %
<=$0.10bil 0.0%
>$0.10bil<=$5bil 0.5%
>$5bil<=$30bil 14.9%
>$30bil<=$200bil 60.2%
>$200bil -30.3%

The results portrayed on this page are for the Phineus Long/Short Strategy and as such only relate to the representative portfolio shown. Representative holdings and portfolio characteristics are specific only to the portfolio shown at that point in time. Other portfolios will vary in composition, characteristics, and will experienced different investment results. The representative portfolio shown has been selected by the advisor based on account characteristics that the advisor feels accurately represents the investment strategy as a whole.

Returns and Risk/Reward statistics presented reflect the Calamos Phineus Long/Short Composite which is an actively managed composite primarily investing in long and short positions of global publicly listed equity securities. The Composite was created September 30, 2015 calculated with an inception date of June 1, 2002 and includes all fully discretionary fee paying accounts, including those no longer with the Firm. On October 1, 2015 Calamos acquired Phineus Partners, LP which has managed the strategy since its inception in 2002. 

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.

The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.

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

The information provided in this page should not be considered a recommendation to purchase or sell any particular security. There is no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account's entire portfolio and in the aggregate may represent only a small percentage of an account's portfolio holdings. Ten Largest Holdings exclude any government/sovereign bonds or broad-based index hedging securities the portfolio may hold.

Sector Allocation percentages are based on invested portfolio and are subject to change. Other includes securities that do not have a sector classification.

Market Capitalization statistics are based on common stock holdings.

It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.

Delta Adjusted Basis which measures the price sensitivity of an option or portfolio to changes in the price of an underlying security.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: BNY Mellon Analytical Services LLC and Calamos Advisors LLC.

Exposure is shown as a percentage of the representative account net assets. Delta adjusted basis exposure is calculated by Calamos Advisors LLC and is specific only to that point in time since a security's delta changes continuously with market activity.

Annualized Total Returns

As of 3/31/21
Name 1-Year 3-Year 5-Year 10-Year Since Inception (6/02)
Phineus Long/Short (Gross) 56.27% 11.27% 12.58% 9.21% 13.45%
Phineus Long/Short (Net) 54.43% 9.91% 11.20% 7.73% 11.86%
MSCI World Index 54.76% 13.42% 13.98% 10.50% 8.47%
S&P 500 Index 56.35% 16.78% 16.29% 13.91% 9.41%

Calendar Year Returns

As of 3/31/21
Name Qtr ending Mar 21 YTD 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012
Phineus Long/Short (Gross) 13.17% 13.17% 22.86% 5.84% -4.26% 11.08% 15.37% 6.80% 2.26% 22.26% 9.45%
Phineus Long/Short (Net) 12.84% 12.84% 21.37% 4.53% -5.45% 9.72% 13.84% 5.22% 0.74% 20.47% 7.83%
MSCI World Index 5.04% 5.04% 16.49% 28.40% -8.20% 23.07% 8.15% -0.32% 5.50% 27.37% 16.54%
S&P 500 Index 6.17% 6.17% 18.40% 31.49% -4.39% 21.83% 11.96% 1.38% 13.69% 32.38% 16.00%

Past performance does not guarantee or indicate future results. Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown

Returns and Risk/Reward statistics presented reflect the Calamos Phineus Long/Short Composite which is an actively managed composite primarily investing in long and short positions of global publicly listed equity securities. The Composite was created September 30, 2015 calculated with an inception date of June 1, 2002 and includes all fully discretionary fee paying accounts, including those no longer with the Firm. On October 1, 2015 Calamos acquired Phineus Partners, LP which has managed the strategy since its inception in 2002. 

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.

The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.

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

HFRI Equity Hedge Index consists of funds where portfolio managers maintain long and short positions in primarily equity and derivative securities.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: BNY Mellon Analytical Services LLC and Calamos Advisors LLC.

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.

Risk/Reward Since Inception

As of 3/31/21
Name Calamos Phineus Long/Short Composite MSCI World Index
Alpha 7.62% N/A
Beta 0.71 1.00
Annualized Standard Deviation 16.78% 15.45%
Upside Semivariance 18.54% 11.04%
Downside Semivariance 6.18% 9.36%
Sharpe Ratio 0.73 0.47
Information Ratio 0.37 N/A
Sortino Ratio 1.40 0.67

Since Inception Up/Down Capture Vs. MSCI World Index

As of 3/31/21

Past performance does not guarantee or indicate future results. Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown

Returns and Risk/Reward statistics presented reflect the Calamos Phineus Long/Short Composite which is an actively managed composite primarily investing in long and short positions of global publicly listed equity securities. The Composite was created September 30, 2015 calculated with an inception date of June 1, 2002 and includes all fully discretionary fee paying accounts, including those no longer with the Firm. On October 1, 2015 Calamos acquired Phineus Partners, LP which has managed the strategy since its inception in 2002. 

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.

The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.

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

HFRI Equity Hedge Index consists of funds where portfolio managers maintain long and short positions in primarily equity and derivative securities.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: BNY Mellon Analytical Services LLC and Calamos Advisors LLC.

Vehicles and Minimums

Vehicle Minimum Availability
Separately Managed Accounts $10 million Available to new investors
Institutional Mutual Fund (CPLIX) $1 million These investment offerings are intended for investors inside the United States.
Fact Sheet

The Phineus Long Short Strategy fact sheet provides a snapshot of the investment team, strategy, performance, composition, ratings and returns.

Performance Review

A discussion of the Calamos Phineus Long Short Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.