Global Sustainable Equities Strategy

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

Inception Date: 1/01/19
Benchmark: MSCI ACWI Index

Resources

Sector Weightings

As of 6/30/21
Representative Portfolio % of Assets MSCI ACWI Index (Net) Under/Overweight %
Information Technology 17.7% 21.4%
Financials 15.4% 13.8%
Health Care 14.3% 13.7%
Consumer Discretionary 10.2% 12.5%
Consumers Staples 8.7% 6.8%
Industrials 15.5% 9.5%
Communication Services 5.0% 9.2%
Energy 0.0% 3.3%
Materials 6.6% 4.8%
Utilities 2.6% 2.6%
Real Estate 3.9% 2.6%

Representative Portfolio Ten Largest Holdings

As of 6/30/21
Company Industry Country %
ALPHABET INC-CL A Communication Services United States 2.3
APPLE INC Information Technology United States 2.3
TAIWAN SEMICONDUCTOR-SP ADR Information Technology Taiwan 2.3
MICROSOFT CORP Information Technology United States 1.8
MSCI INC Financials United States 1.6
WASTE MANAGEMENT INC Industrials United States 1.6
TORONTO-DOMINION BANK Financials Canada 1.6
VERIZON COMMUNICATIONS INC Communication Services United States 1.5
QUANTA SERVICES INC Industrials United States 1.5
ROCKWELL AUTOMATION INC Industrials United States 1.5

Characteristics

As of 6/30/21
Name Calamos Portfolio MSCI ACWI Index (Net)
Number of Holdings 78 2,986
Weighted Average Market Cap (mil) $240,714 $343,861
ROIC - Market Cap Weighted Average 24.2% 11.5%
ROIC - Average 14.1% 8.1%
Debt/Capital 45.1% 44.4%

ESG Characteristics

As of 6/30/21
Name Calamos Portfolio MSCI ACWI Index (Net)
Sustainalytics Rank 83.0 61.5
Sustainalytics Environmental Score 87.2 64.9
Sustainalytics Social Score 74.3 59.0
Sustainalytics Governance Score 70.7 52.7
ISS Quality Score 3.6 5.1
S&P Global ESG Rank 75.1 57.5
Board Gender Diversity (% of women on board) 31.4 25.5
Board Independence (% of independent directors) 82.0 69.2

The results portrayed on this page are for the Global Sustainable Equities 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.

Returns or Risk/Rewards statistics presented reflect the Calamos Global Sustainable Equities Composite, which is an actively managed composite that utilizes an integrated proprietary ESG process benchmarked to the MSCI ACWI Index to invest in common stocks, preferred stocks, securities convertible into global common stocks, and U.S. dollar-denominated American Depository Receipts, primarily in high-growth industries and companies worldwide and across all market capitalizations. On August 25, 2021, Calamos acquired Pearl Impact Capital, LLC, which has managed the strategy since its inception in 2019. The Calamos Global Sustainable Equities Composite was formerly named the PIC Global Opportunities Portfolio. This name change was effected August 25, 2021.The Composite was created January 1, 2019, calculated with an inception date of January 1, 2019. The Composite results include all fully discretionary accounts, including those no longer with the Firm.

Statistics based on percentage of invested portfolio and are subject to change. Sector weightings exclude any government/sovereign bonds or broad-based index hedging securities the portfolio may hold.

ESG Characteristics are based on a market cap weighted average.

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 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 U.S. dollars and local currencies. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect any fees, expenses or sales charges. 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. Investors cannot invest directly in an index.

Active share is the fraction of a portfolio's holdings that deviate from the benchmark index.

Sustainalytics rank/score is the overall percentile rank assigned to the company based on its environmental, social and governance (ESG) total score relative to its industry peers. For the top 1% the percentile is 99%; for the bottom 1% the percentile is 1%. This is Sustainalytics' most comprehensive percentile rank. Aggregate ESG performance encompasses a company's level of preparedness, disclosure and controversy across all three ESG themes.

ISS Quality Score is the overall score assigned by Institutional Shareholder Services (ISS) to the company's governance practices. The score ranges from 1 for best to 10 for worst.

S&P Global ESG Rank or the Total Sustainability Score is based on individual questions that roll up into criteria, which in turn roll up into the three dimensions of Economic, Environmental and Social. The types and weights of individual questions and criteria are adjusted for each industry-specific questionnaire to reflect the materiality of specific sustainability themes within each industry.

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 6/30/21
Name 1-Year Since Inception
Global Sustainable Equities (Gross) 43.56% 26.21%
Global Sustainable Equities (Net) 41.78% 24.64%
MSCI ACWI Index (Net) 39.27% 22.3%

Calendar Year Returns

As of 6/30/21
Name Qtr ending Jun 21 YTD 2021 2020 2019
Global Sustainable Equities (Gross) 6.31% 12.32% 23.29% 29.10%
Global Sustainable Equities (Net) 5.98% 11.63% 21.76% 27.50%
MSCI ACWI Index (Net) 7.39% 12.30% 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 Composite, which is an actively managed composite that utilizes an integrated proprietary ESG process benchmarked to the MSCI ACWI Index to invest in common stocks, preferred stocks, securities convertible into global common stocks, and U.S. dollar-denominated American Depository Receipts, primarily in high-growth industries and companies worldwide and across all market capitalizations. On August 25, 2021, Calamos acquired Pearl Impact Capital, LLC, which has managed the strategy since its inception in 2019. The Calamos Global Sustainable Equities Composite was formerly named the PIC Global Opportunities Portfolio. This name change was effected August 25, 2021.The Composite was created January 1, 2019, calculated with an inception date of January 1, 2019. The Composite results include all fully discretionary 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.

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 U.S. dollars and local currencies. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect any fees, expenses or sales charges. 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. Investors cannot invest directly in an index.

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.

Global Sustainable Equities Strategy Fact Sheet

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