Global Sustainable Equities SMA Strategy

Press Release: Calamos Hires Seasoned ESG Management Team (click here)

Strategy Objective

The Calamos Global Sustainable Equities Strategy employs an integrated, fundamental and proprietary ESG screening process, benchmarked to the MSCI ACWI Index, to evaluate and select what we deem are the highest-quality, ESG-adherent growth opportunities throughout the world in developed and developing economies as well as across market capitalizations.

Key Differentiators

  • Investment Team has managed ESG funds and portfolios for more than 20 years.
  • We believe that the best way to identify sustainable growth is to consider all aspects of a company's quality profile, including environmental, social, and governance factors that are too often ignored and can represent substantial investment risks.
  • We take a flexible approach to opportunities and believe that attractive investments are found across geographies, sectors and market capitalizations.
  • We believe that maximum value is created over the long term. As such, we look to hold investments across business and economic cycles. This promotes sustainable growth with lower transaction costs and tax efficiency.
  • Markets don't always get it right. Therefore, we look to take advantage of short-term market inefficiencies to establish positions or add to existing investments.
  • We will sell an investment in cases of valuation adjustments, availability of more attractive alternatives, or breakdowns in financial fundamentals or ESG performance.

Strategy Details

As of 12/31/22
Inception Date: 1/01/19
Strategy Assets*: $9.7 M
Benchmark: MSCI ACWI Index (Net)

Portfolio

Sector Weightings

As of 12/31/22
Sector % of Assets MSCI ACWI Index (Net) Under/Overweight %
Information Technology 20.0% 20.0%
Financials 15.5% 15.2%
Industrials 14.8% 10.2%
Health Care 14.2% 13.4%
Consumer Discretionary 11.6% 10.4%
Consumer Staples 7.3% 7.7%
Communication Services 5.3% 6.8%
Materials 5.1% 5.0%
Real Estate 3.2% 2.6%
Utilities 3.0% 3.2%
Energy 0.0% 5.6%
Other 0.0% 0.0%

Representative Portfolio Ten Largest Holdings

As of 12/31/22
Company Country Sector %
Apple, Inc. United States Information Technology 3.4
Microsoft Corp. United States Information Technology 2.9
Visa, Inc. - Class A United States Information Technology 2.2
Alphabet, Inc. - Class A United States Communication Services 2.1
Taiwan Semiconductor Mfg (ADR) Taiwan Information Technology 2.0
Gilead Sciences, Inc. United States Health Care 2.0
Merck & Company, Inc. United States Health Care 2.0
Novo Nordisk, A/S Denmark Health Care 1.9
Verizon Communications, Inc. United States Communication Services 1.9
Roche Holding AG Switzerland Health Care 1.9

Characteristics

As of 12/31/22
Name Calamos Portfolio MSCI ACWI Index (Net)
Number of Holdings 78 2,879
Portfolio Turnover (12 months) 17.5% N/A
Median Market Cap $69.0 B $10.9 B
Weighted Avg. Market Cap $245.4 B $273.2 B
ROIC 21.1% 20.1%
Debt/Capital 40.3% 41.8%

MSCI ESG Company Rating

As of 12/31/22
Category Representative Portfolio % MSCI ACWI Index (Net) %
AAA 23.7 12.9
AA 36.0 28.0
A 30.4 29.9
BBB 9.1 20.6
BB 0.0 5.5
B 0.0 1.9
CCC 0.0 0.9
N/A 0.9 0.3

Performance

Annualized Total Returns

As of 12/31/22
Name 1-Year 3-Year Since Inception (1/19)
Global Sustainable Equities SMA (Gross) -19.90% 6.27% 11.55%
Global Sustainable Equities SMA (Net) -20.89% 4.96% 10.18%
MSCI ACWI Index (Net) -18.36% 4.00% 9.23%

Calendar Year Returns

As of 12/31/22
Name Qtr ending Dec 22 2022 2021 2020 2019
Global Sustainable Equities SMA (Gross) 10.69% -19.90% 21.51% 23.29% 29.10%
Global Sustainable Equities SMA (Net) 10.34% -20.89% 20.01% 21.78% 27.53%
MSCI ACWI Index (Net) 9.76% -18.36% 18.54% 16.25% 26.60%

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/Rewards statistics presented reflect the Calamos Global Sustainable Equities SMA Composite, which is an actively managed, globally focused composite that seeks long-term capital appreciation. The Composite invests primarily in the common stock of companies around the world that excel at managing environmental risks and opportunities, societal impacts and corporate governance (ESG) factors in addition to exhibiting attractive financial attributes and competitive advantages. On August 25, 2021 Calamos acquired Pearl Impact Capital LLC which has managed the strategy since its inception in 2019. Firm assets shown represent assets managed by Calamos Advisors and not assets managed by Pearl Impact Capital LLC. The Calamos Global Sustainable Equities SMA Composite was formerly named the Calamos Global Sustainable Equities Composite II. This name change became effective June 30, 2022. The Composite was created August 31, 2021, calculated with an inception date of January 1, 2019. Results include all fully discretionary advisory accounts, including those no longer with the Firm. Past performance is no guarantee of future results.

Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

The MSCI ACWI Index (Net) is a free float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed markets and emerging markets. The index is calculated in both US dollars and local currencies. Net return basis approximates the minimum possible reinvestment of regular cash distributions by deducting withholding tax based on the maximum rate of the company's country of incorporation applicable to institutional investors.

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 12/31/22
Name Calamos Global Sustainable Equities SMA Composite MSCI ACWI Index (Net)
Alpha 2.78% N/A
Beta 0.92 1.00
Annualized Standard Deviation 17.39% 18.57%
Upside Semivariance 14.71% 16.11%
Downside Semivariance 11.05% 12.82%
Sharpe Ratio 0.60 0.44
Information Ratio 0.68 N/A

Since Inception Up/Down Capture Vs. MSCI ACWI Index (Net)

As of 12/31/22

Vehicles & Minimums

Vehicles and Minimums

Vehicle Minimum Availability
Separately Managed Accounts $5 million Available to new investors

Literature

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Global Sustainable Equities SMA Strategy Fact Sheet

The Global Sustainable Equities SMA Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.

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Performance Review

A discussion of the Calamos Global Sustainable Equities SMA Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.

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The Investment Case for Corporate Diversity

Studies have shown that companies with more diverse management teams and boards are more likely to outperform their less diverse counterparts, explains Beth Williamson, Head of Sustainable Equity Team Research. For more than 20 years, the Calamos Sustainable Equity Team has recognized that diverse companies can produce higher financial returns and have lower risk.

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ESG Investing in China: The Calamos Sustainable Equity Team Approach

China’s ESG initiatives include many that are in line with those of the West and others that are unique to China. Chinese companies that understand the importance of ESG risks and opportunities can take advantage of “first-mover” competitive advantages, explains Co-Portfolio Manager Tony Tursich.

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Environmental Investing: Risk and Opportunity

Drawing on nearly 25 years of ESG investing experience, Anthony Tursich discusses the philosophy of the Calamos Sustainable Equities Team and explains why environmental considerations are so important for understanding investment risk and opportunities.

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