Strategy Objective
The Calamos Core Plus Fixed Income strategy seeks total return, consistent with preservation of capital and prudent investment management, through income earned on investments, plus capital appreciation. The strategy invests primarily in a diversified portfolio of investment-grade debt securities that generally have a dollar-weighted average portfolio duration between three to ten years.
Key Differentiators
- In-depth capital structure research to evaluate issuers holistically
- Broader opportunity set including US and non-US dollar issues, and convertible securities
- Total return orientation
- Team approach to management
Strategy Details
As of 6/30/24| Inception Date: | 7/01/07 |
|---|---|
| Strategy Assets*: | $29.7 M |
| Benchmark: | Bloomberg US Aggregate Bond Index |
*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.
Portfolio
Security Type Allocation
| Name | % of Assets |
|---|---|
| Investment Grade Corporate Debt | 34.9 |
| High Yield Corporate Debt | 9.3 |
| Securitized Debt | 35.2 |
| Government Debt | 10.5 |
| Syndicated Loans | 7.3 |
| U.S. Municipal Debt | 0.0 |
| Cash | 2.8 |
Fixed Income Sector Breakout
| Sector | % |
|---|---|
| Agency Fixed Rate | 30.9% |
| Treasuries | 10.8% |
| Consumer Non Cyclical | 7.2% |
| Consumer Cyclical | 6.9% |
| Insurance | 5.2% |
| Technology | 5.0% |
| Banking | 3.9% |
| Transportation | 3.8% |
| REITs | 3.4% |
| Finance Companies | 3.0% |
Maturity Schedule
| Range | % |
|---|---|
| < 1 Year | 5.7% |
| 1 to 3 Years | 11.3% |
| 3 to 5 Years | 15.4% |
| 5 to 7 Years | 17.3% |
| 7 to 10 Years | 25.8% |
| 10 to 20 Years | 9.9% |
| > 20 Years | 11.7% |
| Equities and Other | 2.9% |
Credit Quality of Bonds
| Class | % |
|---|---|
| AAA | 17.5% |
| AA | 3.1% |
| A | 13.8% |
| BBB | 19.5% |
| BB | 14.2% |
| B | 0.7% |
| CCC and below | 0.0% |
| Unrated Securities | 31.2% |
Representative Portfolio Ten Largest Holdings
| Company | Coupon | Maturity | % |
|---|---|---|---|
| Fannie Mae Pool | 6.00% | 3/1/2054 | 3.4 |
| Fannie Mae Pool | 6.00% | 9/1/2053 | 2.8 |
| Fannie Mae Pool | 5.50% | 8/1/2053 | 2.5 |
| Fannie Mae Pool | 4.50% | 2/1/2053 | 2.3 |
| Fannie Mae Pool | 2.50% | 7/1/2051 | 2.2 |
| Fannie Mae Pool | 4.50% | 6/1/2052 | 1.8 |
| Fannie Mae Pool | 2.50% | 4/1/2050 | 1.6 |
| Fannie Mae Pool | 4.00% | 11/1/2052 | 1.6 |
| Fannie Mae Pool | 2.00% | 1/1/2052 | 1.5 |
| Fannie Mae Pool | 5.50% | 12/1/2052 | 1.5 |
Performance
Annualized Total Returns
| Name | 1-Year | 3-Year | 5-Year | 10-Year | Since Inception (7/01/07) |
|---|---|---|---|---|---|
| Core Plus Fixed Income (Gross) | 4.17% | -1.84% | 0.72% | 2.12% | 3.77% |
| Core Plus Fixed Income (Net) | 3.70% | -2.28% | 0.26% | 1.60% | 3.23% |
| Bloomberg US Aggregate Bond Index | 2.63% | -3.02% | -0.23% | 1.35% | 2.97% |
Calendar Year Returns
| Name | Qtr ending Jun 24 | YTD 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 |
|---|---|---|---|---|---|---|---|---|---|---|
| Core Plus Fixed Income (Gross) | 0.47% | 0.10% | 6.88% | -11.92% | -0.47% | 7.68% | 9.94% | -0.43% | 3.90% | 4.24% |
| Core Plus Fixed Income (Net) | 0.35% | -0.13% | 6.40% | -12.32% | -0.91% | 7.18% | 9.34% | -0.98% | 3.33% | 3.67% |
| Bloomberg US Aggregate Bond Index | 0.07% | -0.71% | 5.53% | -13.01% | -1.54% | 7.51% | 8.72% | 0.01% | 3.54% | 2.65% |
Past performance does not guarantee or indicate future results. Current performance may be lower or higher than the performance quoted. 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 Institutional Core Plus Fixed Income Composite which is an actively managed composite investing primarily in a diversified portfolio of investment-grade securities that generally have a dollar-weighted average duration between three to ten years. The Composite was created December 1, 2010, calculated with an inception date of July 1, 2007 and includes all fully discretionary, fee paying accounts, including those no longer with the Firm.
Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.
Bloomberg 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).
Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: 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
Risk/Reward Since Inception
| Name | Calamos Institutional Core Plus Fixed Income Composite | Bloomberg US Aggregate Bond Index |
|---|---|---|
| Alpha | 1.00% | N/A |
| Beta | 0.93 | 1.00 |
| Annualized Standard Deviation | 4.40% | 4.35% |
| Upside Semivariance | 1.14% | 1.02% |
| Downside Semivariance | 0.56% | 0.61% |
| Sharpe Ratio | 0.59 | 0.42 |
| Information Ratio | 0.45 | N/A |
| Sortino Ratio | 0.93 | 0.62 |
Since Inception Up/Down Capture Vs. Bloomberg US Aggregate Bond Index
Vehicles & Minimums
Vehicles and Minimums
| Vehicle | Minimum | Availability |
|---|---|---|
| Separately Managed Accounts | $25 million | Available to new investors |
| Institutional Mutual Fund (CTRIX) | $1 million | These investment offerings are intended for investors inside the United States. |
Literature
Fact Sheet
The Core Plus Fixed Income Strategy fact sheet provides a snap shot of the investment team, the fund strategy, performance, composition, ratings and returns.
Calamos Fixed Income Credit Analysis Process
Credit analysis is the foundation of our fixed income investment process. We provide an overview of how our team of dedicated credit analysts evaluate a company’s ability to meet its debt obligations utilizing rigorous bottom-up fundamental analysis informed by macroeconomic insights.