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.

  • 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 9/30/21
    Inception Date: 7/01/17
    Benchmark: Bloomberg U.S. Aggregate Intermediate Index

    Resources

    Sector Weightings

    As of 9/30/21
    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

    As of 9/30/21
    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

    As of 9/30/21
    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

    As of 9/30/21
    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

    As of 9/30/21
    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

    As of 9/30/21
    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

    As of 9/30/21
    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

    As of 9/30/21
    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

    As of 9/30/21

    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
    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.

    Calamos Dynamic Intermediate Tax-Efficient Performance Review

    A discussion of the Calamos Dynamic Intermediate Tax-Efficient Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.