Dynamic Intermediate Tax-Efficient Strategy
Strategy Objective
The Calamos Dynamic Intermediate Tax-Efficient Strategy invests primarily in a diversified portfolio of U.S. investment-grade, intermediate-maturity, corporate, municipal, mortgage and asset-backed securities. The strategy's high active share and controlled turnover approach is designed to enhance our ability to generate after-tax alpha over entire credit cycles, in all interest-rate and volatility environments.
Key Differentiators
We believe a disciplined process, grounded in fundamental research, can achieve higher total returns and greater alpha with less volatility.
Strategy Details
As of 9/30/21| Inception Date: | 7/01/17 |
|---|---|
| Benchmark: | Bloomberg U.S. Aggregate Intermediate Index |
Resources
Sector Weightings
| Sector | % of Assets |
|---|---|
| Banking | 10.1% |
| School District | 8.8% |
| Single-family Housing | 7.5% |
| City | 4.3% |
| Appropriation | 4.3% |
| Insurance | 4.2% |
| Technology | 3.5% |
| Electric | 3.3% |
| Transportation | 3.0% |
| REITs | 2.8% |
Security Type Allocation
| Name | % of Assets |
|---|---|
| Investment Grade Corporate Debt | 33.9 |
| High Yield Corporate Debt | 4.3 |
| U.S. Municipal Debt | 51.6 |
| Securitized Debt | 6.1 |
| Government Debt | 3.4 |
| Cash | 0.8 |
Maturity Schedule
| Range | % |
|---|---|
| < 1 Year | 4.0% |
| 1 to 3 Years | 20.4% |
| 3 to 5 Years | 32.8% |
| 5 to 7 Years | 24.9% |
| 7 to 10 Years | 11.0% |
| 10 to 20 Years | 5.9% |
| > 20 Years | 0.0% |
| Equities and Other | 1.0% |
Credit Quality of Bonds
| Class | % |
|---|---|
| AAA | 30.7% |
| AA | 32.9% |
| A | 22.4% |
| BBB | 9.3% |
| BB | 0.9% |
| B | 0.0% |
| CCC and below | 0.0% |
| Unrated Securities | 3.7% |
Representative Portfolio Ten Largest Holdings
| Company | Coupon | Maturity | % |
|---|---|---|---|
| APPLE INC | 3.20% | 5/11/2027 | 1.7 |
| GTP Acquisition Partners I LLC | 3.48% | 6/16/2025 | 1.4 |
| New York City Transitional Finance Authority Future Tax Secured Revenue | 2.75% | 2/1/2024 | 1.1 |
| Pennsylvania Housing Finance Agency | 3.10% | 10/1/2023 | 1.0 |
| Galaxy Pipeline Assets Bidco Ltd | 2.16% | 3/31/2034 | 1.0 |
| Texas Transportation Commission State Highway Fund | 5.03% | 4/1/2026 | 0.9 |
| El Paso Independent School District | 5.00% | 8/15/2028 | 0.9 |
| Franklin-Mckinley School District | 5.49% | 2/1/2026 | 0.9 |
| PUBLIC STORAGE | 3.09% | 9/15/2027 | 0.9 |
| RenaissanceRe Finance, Inc. | 3.45% | 7/1/2027 | 0.9 |
The results portrayed on this page are for the Dynamic Intermediate Tax-Efficient Strategy and as such only relate to the representative portfolio shown at that point in time. Other portfolios will vary in composition, characteristics, and will experience 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 Bloomberg U.S. Aggregate Intermediate Index is an unmanaged index that measures the performance of the U.S. investment-grade bond market while removing the longer-maturity portions of the broad market benchmarks.
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: Calamos Advisors LLC.
Annualized Total Returns
| Name | 1-Year | 3-Year | Since Inception (7/17) |
|---|---|---|---|
| Dynamic Intermediate Tax-Efficient (Gross) | 1.03% | 5.08% | 3.68% |
| Dynamic Intermediate Tax-Efficient (Net) | 0.82% | 4.86% | 3.46% |
| Bloomberg U.S. Aggregate Intermediate Index | -0.38% | 4.39% | 3.02% |
Calendar Year Returns
| Name | Qtr ending Sep 21 | YTD 2021 | 2020 | 2019 | 2018 | 7/1/17 - 12/31/17 |
|---|---|---|---|---|---|---|
| Dynamic Intermediate Tax-Efficient (Gross) | 0.14% | 0.24% | 6.24% | 7.06% | 1.57% | 0.72% |
| Dynamic Intermediate Tax-Efficient (Net) | 0.09% | 0.09% | 6.02% | 6.82% | 1.34% | 0.61% |
| Bloomberg U.S. Aggregate Intermediate Index | 0.05% | -0.79% | 5.60% | 6.67% | 0.92% | 0.65% |
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 or Risk/Reward statistics presented reflect the Calamos Intermediate Bond Tax-Efficient Insurance Composite, which is an actively managed composite that invests in a broad range of U.S. dollar-denominated intermediate maturity, investment grade fixed-income securities, including corporate bonds, municipal bonds, Treasuries, agencies, mortgage-backed securities and asset-backed securities. The Composite was created July 1, 2017, calculated with an inception date of July 1, 2017.
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 Bloomberg U.S. Aggregate Intermediate Index is an unmanaged index that measures the performance of the U.S. investment-grade bond market while removing the longer-maturity portions of the broad market benchmarks.
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 Since Inception
| Name | Calamos Intermediate Bond Tax-Efficient Insurance Composite | Bloomberg U.S. Aggregate Intermediate Index |
|---|---|---|
| Alpha | 0.75% | N/A |
| Beta | 0.97 | 1.00 |
| Annualized Standard Deviation | 2.43% | 2.11% |
| Upside Semivariance | 0.44% | 0.36% |
| Downside Semivariance | 0.13% | 0.07% |
| Sharpe Ratio | 1.01 | 0.85 |
| Information Ratio | 0.50 | N/A |
Since Inception Up/Down Capture Vs. Bloomberg U.S. Aggregate Intermediate Index
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 or Risk/Reward statistics presented reflect the Calamos Intermediate Bond Tax-Efficient Insurance Composite, which is an actively managed composite that invests in a broad range of U.S. dollar-denominated intermediate maturity, investment grade fixed-income securities, including corporate bonds, municipal bonds, Treasuries, agencies, mortgage-backed securities and asset-backed securities. The Composite was created July 1, 2017, calculated with an inception date of July 1, 2017.
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 Bloomberg U.S. Aggregate Intermediate Index is an unmanaged index that measures the performance of the U.S. investment-grade bond market while removing the longer-maturity portions of the broad market benchmarks.
Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Calamos Advisors LLC.
Vehicles and Minimums
| Vehicle | Minimum | Availability |
|---|---|---|
| Separately Managed Accounts | $1 million | Available to new investors |
The Dynamic Intermediate Tax-Efficient Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
A discussion of the Calamos Dynamic Intermediate Tax-Efficient Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.