Strategy Objective
The Calamos Dynamic Intermediate Tax-Efficient Strategy invests primarily in a diversified portfolio of US 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 construct the portfolio with a long-term mindset: carefully selecting individual securities, focusing on new issues, and minimizing turnover to reduce trading costs.
- Our robust, independent credit research, combining quantitative and qualitative analysis in historical and forward-looking models, produces a credit assessment reflective of where a company is heading.
- We overweight our best ideas (themes, asset classes and issuers) with the aim of achieving consequential outperformance, while avoiding securities with limited relative value.
- Our macro-overlay acts as a risk control while capitalizing on opportunities in misunderstood asset types, industries and sectors.
- We exercise duration and curve exposure discipline to avoid making interest-rate bets that counteract other advantages.
- The strategy employs a dynamic tax-efficient framework that reflects the client's changing tax profile. The framework also helps determine corporate and municipal bond relative values based on their expected after-tax total returns.
Strategy Details
As of 12/31/24| Inception Date: | 7/01/17 |
|---|---|
| Strategy Assets*: | $868.0 M |
| Benchmark: | Bloomberg US Aggregate Intermediate Index |
*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.
Portfolio
Sector Weightings
| Sector | % of Assets |
|---|---|
| Single-family Housing | 22.3% |
| Appropriation | 6.4% |
| Banking | 6.3% |
| School District | 5.3% |
| Treasuries | 4.7% |
| City | 4.0% |
| Electric | 3.8% |
| Insurance | 3.4% |
| Other | 2.9% |
| Transportation | 2.7% |
Security Type Allocation
| Name | % of Assets |
|---|---|
| Investment Grade Corporate Debt | 23.7 |
| High Yield Corporate Debt | 3.3 |
| U.S. Municipal Debt | 57.8 |
| Securitized Debt | 5.9 |
| Government Debt | 5.5 |
| Cash | 3.7 |
Maturity Schedule
| Range | % |
|---|---|
| < 1 Year | 16.7% |
| 1 to 3 Years | 17.2% |
| 3 to 5 Years | 9.6% |
| 5 to 7 Years | 13.9% |
| 7 to 10 Years | 26.2% |
| 10 to 20 Years | 15.8% |
| > 20 Years | 0.6% |
| Equities and Other | 0.0% |
Credit Quality of Bonds
| Class | % |
|---|---|
| AAA | 44.5% |
| AA | 32.3% |
| A | 12.8% |
| BBB | 4.5% |
| BB | 0.0% |
| B | 0.0% |
| CCC and below | 0.0% |
| Unrated Securities | 6.0% |
Representative Portfolio Ten Largest Holdings
| Company | Coupon | Maturity | % |
|---|---|---|---|
| City of Carmel IN Waterworks Revenue | 5.53% | 5/1/2038 | 1.1 |
| GTP Acquisition Partners I, LLC | 3.48% | 6/16/2025 | 1.1 |
| County of Fond Du Lac WI | 5.58% | 11/1/2031 | 0.8 |
| Freddie Mac Pool | 5.00% | 4/1/2033 | 0.8 |
| Toledo Edison Company | 2.65% | 5/1/2028 | 0.8 |
| Rhode Island Housing & Mortgage Finance Corp. | 6.33% | 4/1/2033 | 0.8 |
| Nevada Housing Division | 5.36% | 4/1/2033 | 0.8 |
| Massachusetts Housing Finance Agency | 6.33% | 12/1/2031 | 0.7 |
| NextGear Floorplan Master Owner Trust | 2.80% | 3/15/2027 | 0.7 |
| City of Michigan City IN | 7.00% | 8/1/2031 | 0.7 |
Performance
Annualized Total Returns
| Name | 1-Year | 3-Year | 5-Year | Since Inception (7/01/17) |
|---|---|---|---|---|
| Dynamic Intermediate Tax-Efficient (Gross) | 3.90% | 0.17% | 1.37% | 2.14% |
| Dynamic Intermediate Tax-Efficient (Net) | 3.71% | -0.04% | 1.16% | 1.92% |
| Bloomberg US Aggregate Intermediate Index | 2.47% | -0.83% | 0.33% | 1.30% |
Calendar Year Returns
| Name | Qtr ending Dec 24 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 7/1/17 - 12/31/17 |
|---|---|---|---|---|---|---|---|---|---|
| Dynamic Intermediate Tax-Efficient (Gross) | -1.39% | 3.90% | 4.87% | -7.76% | 0.24% | 6.24% | 7.06% | 1.57% | 0.72% |
| Dynamic Intermediate Tax-Efficient (Net) | -1.43% | 3.71% | 4.64% | -7.96% | 0.03% | 6.02% | 6.82% | 1.34% | 0.61% |
| Bloomberg US Aggregate Intermediate Index | -2.07% | 2.47% | 5.18% | -9.51% | -1.29% | 5.60% | 6.67% | 0.92% | 0.65% |
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 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 US 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, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.
The Bloomberg US Aggregate Intermediate Index is an unmanaged index that measures the performance of the US 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
Risk/Reward Since Inception
| Name | Calamos Intermediate Bond Tax-Efficient Insurance Composite | Bloomberg US Aggregate Intermediate Index |
|---|---|---|
| Alpha | 1.12% | N/A |
| Beta | 0.77 | 1.00 |
| Annualized Standard Deviation | 3.45% | 4.22% |
| Upside Semivariance | 0.62% | 0.83% |
| Downside Semivariance | 0.39% | 0.65% |
| Sharpe Ratio | -0.05 | -0.24 |
| Information Ratio | 0.58 | N/A |
Since Inception Up/Down Capture Vs. Bloomberg US Aggregate Intermediate Index
Vehicles & Minimums
Vehicles and Minimums
| Vehicle | Minimum | Availability |
|---|---|---|
| Separately Managed Accounts | $1 million | Available to new investors |
Literature
Calamos Dynamic Intermediate Tax-Efficient Fact Sheet
The Dynamic Intermediate Tax-Efficient Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.