Core Plus Fixed Income Strategy

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 U.S. and non-U.S. dollar issues, and convertible securities
  • Total return orientation
  • Team approach to management

Strategy Details
As of 6/30/19
Inception Date: 7/01/07
Strategy Assets*: $51.4 M
Benchmark: Bloomberg Barclays U.S. Aggregate Bond Index

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

Resources

Security Type Allocation

As of 6/30/19
Name % of Assets
Investment Grade Corporate Debt 41.9%
High Yield Corporate Debt 8.4%
Government Debt 14.8%
Securitized Debt 27.8%
Syndicated Loans 5.0%
U.S. Municipal Debt 0.0%
Cash 2.2%
Receivables Less Liabilities -0.1%

Fixed Income Sector Breakout

As of 6/30/19
Sector %
ABS 9.0
Agency 0.0
CMBS 2.7
Covered 0.0
Financial Institutions 21.7
Industrial 30.8
Local Authority 0.0
MBS Passthrough 16.7
Sovereign 0.0
Supranational 0.0
Treasury 15.1
Utility 4.1

Maturity Schedule

As of 6/30/19
Range %
Under 1 Year 4.0%
1 To 3 Years 23.0%
3 To 5 Years 23.2%
5 To 7 Years 21.5%
7 To 10 Years 10.6%
10 To 20 Years 7.1%
Over 20 Years 10.2%
Equity & Other 0.4%

Credit Quality of Bonds

As of 6/30/19
Class %
AAA 9.4%
AA 18.8%
A 13.1%
BBB 28.2%
BB 10.6%
B 0.6%
CCC and Below 0.0%
Government Securities 15.1%
Unrated Securities 4.2%

Representative Portfolio Ten Largest Holdings

As of 6/30/19
Company Coupon Maturity %
Federal National Mortgage Association 3.50% 02/01/2049 2.5
Federal National Mortgage Association 3.00% 07/01/2046 2.0
Federal National Mortgage Association 4.00% 06/01/2048 1.8
Federal National Mortgage Association 3.50% 08/01/2047 1.7
Freddie Mac Multifamily Structured Pass Through Certificates Class A1 2.89% 06/25/2027 1.7
Government National Mortgage Association II Pool 3.50% 10/20/2047 1.6
Ally Master Owner Trust Series 2018-1, Class A2 2.70% 01/17/2023 1.3
Federal National Mortgage Association 4.00% 04/01/2048 1.3
Government National Mortgage Association II Pool 3.00% 10/20/2047 1.0
Federal National Mortgage Association 4.50% 04/01/2048 1.0

The results portrayed on this page are for the Core Plus Fixed Income 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.

Bond Credit Quality allocation reflects the higher of the ratings of Standards & Poor's Corporation; Moody's Investors Service, Inc. Ratings are relative, subjective and not absolute standards of quality, represent the opinions of the independent, Nationally Recognized Statistical Rating Organizations (NRSRO), and are adjusted to the Standards & Poor's scale shown. Ratings are measured using a scale that typically ranges from AAA (highest) to D (lowest). The security's credit rating does not eliminate risk. The table excludes equity securities, cash and cash equivalents. Additional information on ratings methodologies are available by visiting the NRSRO websites: www.standardandpoors.com and www.moodys.com.

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.

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.

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.

Annualized Total Returns

As of 6/30/19
Name 1-Year 3-Year 5-Year 10-Year Since Inception (7/07)
Core Plus Fixed Income (Gross) 8.24% 3.07% 3.53% 4.39% 5.06%
Core Plus Fixed Income (Net) 7.65% 2.51% 2.97% 3.82% 4.49%
Bloomberg Barclays U.S. Aggregate Bond Index 7.87% 2.31% 2.95% 3.90% 4.34%

Calendar Year Returns

As of 6/30/19
Name Qtr ending Jun 19 YTD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 7/1/07 - 12/31/07
Core Plus Fixed Income (Gross) 3.02% 7.12% -0.43% 3.90% 4.24% 2.06% 4.67% 1.08% 4.98% 4.32% 6.87% 9.15% 6.81% 6.33%
Core Plus Fixed Income (Net) 2.88% 6.83% -0.98% 3.33% 3.67% 1.50% 4.10% 0.53% 4.40% 3.75% 6.29% 8.56% 6.23% 6.04%
Bloomberg Barclays U.S. Aggregate Bond Index 3.08% 6.11% 0.01% 3.54% 2.64% 0.55% 5.96% -2.02% 4.22% 7.84% 6.54% 5.93% 5.24% 5.93%

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 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.

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).

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 6/30/19
Name Calamos Institutional Core Plus Fixed Income Composite Bloomberg Barclays U.S. Aggregate Bond Index
Alpha 1.39% N/A
Beta 0.84 1.00
Annualized Standard Deviation 3.29% 3.23%
Upside Semivariance 0.87% 0.76%
Downside Semivariance 0.20% 0.23%
Sharpe Ratio 1.32 1.12
Information Ratio 0.38 N/A
Sortino Ratio 2.64 2.07

Since Inception Up/Down Capture Vs. Bloomberg Barclays U.S. Aggregate Bond Index

As of 6/30/19

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 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.

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).

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 $25 million Available to new investors
Institutional Mutual Fund (CTRIX) $1 million These investment offerings are intended for investors inside the United States.
Calamos_Core_Plus_Institutional_Strategy_Fact_Sheet.pdf
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.

MFQACOM-18598-0917O-C_FINAL.PDF
Perspectives on Fixed Income: "Thinking Outside the Box" to Achieve Long-Term Results

Co-CIO and Head of Fixed Income Strategies Matt Freund, CFA, discusses the Calamos approach to fixed income and its key differentiators. He also shares his view of fixed income opportunities in the current environment.

FICOM-033032-0917O-C_FINAL.PDF
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.

calamos-core-plus-institutional-strategy-performance-review.pdf
Performance Review

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