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 9/30/21
Inception Date: 7/01/07
Strategy Assets*: $69.0 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

As of 9/30/21
Name % of Assets
Investment Grade Corporate Debt 37.7
High Yield Corporate Debt 11.6
Securitized Debt 19.3
Government Debt 18.7
Syndicated Loans 9.5
U.S. Municipal Debt 0.0
Cash 3.1

Fixed Income Sector Breakout

As of 9/30/21
Sector %
Treasuries 19.3%
Agency Fixed Rate 11.5%
Consumer Non Cyclical 10.7%
Banking 8.7%
Technology 7.7%
REITs 4.5%
Communications 4.5%
Consumer Cyclical 4.5%
Transportation 3.8%
Insurance 3.6%

Maturity Schedule

As of 9/30/21
Range %
< 1 Year 4.2%
1 to 3 Years 5.1%
3 to 5 Years 33.7%
5 to 7 Years 24.7%
7 to 10 Years 13.9%
10 to 20 Years 6.2%
> 20 Years 9.3%
Equities and Other 3.0%

Credit Quality of Bonds

As of 9/30/21
Class %
AAA 24.4%
AA 3.3%
A 18.8%
BBB 20.5%
BB 15.4%
B 1.7%
CCC and below 0.4%
Unrated Securities 15.4%

Representative Portfolio Ten Largest Holdings

As of 9/30/21
Company Coupon Maturity %
Federal National Mortgage Association 2.50% 7/1/2051 1.5
Federal National Mortgage Association 2.00% 7/1/2036 1.5
Government National Mortgage Association II Pool Series 2021-134, Class KP 1.35% 3/16/2060 1.5
Federal National Mortgage Association 2.50% 4/1/2050 1.3
Federal National Mortgage Association 3.00% 4/1/2050 1.3
Federal National Mortgage Association 3.50% 4/1/2050 1.2
Freddie Mac Multifamily Structured Pass Through Certificates Class A2 3.99% 5/25/2033 0.9
Freddie Mac Multifamily Structured Pass Through Certificates Class A2 3.35% 1/25/2028 0.8
Federal National Mortgage Association 3.00% 7/1/2046 0.6
Spectrum Brands, Inc. 2.50% 3/3/2028 0.5

Performance

Annualized Total Returns

As of 9/30/21
Name 1-Year 3-Year 5-Year 10-Year Since Inception (7/07)
Core Plus Fixed Income (Gross) 0.54% 5.79% 3.56% 3.86% 4.94%
Core Plus Fixed Income (Net) 0.09% 5.27% 3.03% 3.31% 4.38%
Bloomberg US Aggregate Bond Index -0.90% 5.36% 2.94% 3.01% 4.23%

Calendar Year Returns

As of 9/30/21
Name Qtr ending Sep 21 YTD 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012
Core Plus Fixed Income (Gross) 0.29% -0.54% 7.68% 9.94% -0.43% 3.90% 4.24% 2.06% 4.67% 1.08% 4.98%
Core Plus Fixed Income (Net) 0.17% -0.88% 7.18% 9.34% -0.98% 3.33% 3.67% 1.50% 4.10% 0.53% 4.40%
Bloomberg US Aggregate Bond Index 0.05% -1.55% 7.51% 8.72% 0.01% 3.54% 2.64% 0.55% 5.96% -2.02% 4.22%

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 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

As of 9/30/21
Name Calamos Institutional Core Plus Fixed Income Composite Bloomberg US Aggregate Bond Index
Alpha 1.20% N/A
Beta 0.88 1.00
Annualized Standard Deviation 3.40% 3.27%
Upside Semivariance 0.89% 0.78%
Downside Semivariance 0.23% 0.23%
Sharpe Ratio 1.24 1.07
Information Ratio 0.38 N/A
Sortino Ratio 2.40 2.01

Since Inception Up/Down Capture Vs. Bloomberg US Aggregate Bond Index

As of 9/30/21

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

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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.

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Performance Review

A discussion of the Calamos Core Plus Fixed Income Strategy's performance versus a benchmark, positioning, related market commentary, and outlook.

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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.