Hedged Equity Strategy

Strategy Objective

The Hedged Equity Strategy draws upon nearly a decade of Calamos experience in covered call writing and two decades in equity investing. This is an option-based strategy that seeks to provide a unique mix of downside protection and equity upside participation-with more consistent returns even in a higher volatility environment.

Key Differentiators

  • Leverages our role as a pioneer in alternative investing as Calamos has utilized convertibles and option theory since the 1970s
  • Managed by a seasoned investment team
  • Potential diversifier, with historically low correlation to traditional fixed income
  • Attractive risk/reward profile versus long-only equities
  • Designed to generate income from options premiums

Strategy Details
As of 6/30/19
Inception Date: 1/01/15
Strategy Assets*: $4.1 B
Benchmark: S&P 500 Index

*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.

Resources

Sector Weightings

As of 6/30/19
Sector % of Assets S&P 500 Index Under/Overweight %
Information Technology 21.4% 21.5%
Health Care 14.3% 14.2%
Financials 12.9% 13.1%
Consumer Discretionary 10.5% 10.2%
Communication Services 10.1% 10.2%
Industrials 9.4% 9.4%
Consumer Staples 7.3% 7.3%
Energy 5.3% 5.0%
Utilities 3.2% 3.3%
Real Estate 3.0% 3.1%
Materials 2.5% 2.8%

Representative Portfolio Ten Largest Holdings

As of 6/30/19
Company Sector %
Microsoft Corp. Information Technology 4.4
Apple, Inc. Information Technology 4.0
ETF N/A 3.7
Amazon.com, Inc. Consumer Discretionary 3.5
Facebook, Inc. - Class A Communication Services 2.4
JPMorgan Chase & Company Financials 1.7
Berkshire Hathaway, Inc. - Class B Financials 1.7
Johnson & Johnson Health Care 1.6
Visa, Inc. - Class A Information Technology 1.5
Bank Of America Corp. Financials 1.4

Characteristics

As of 6/30/19
Name Calamos Portfolio S&P 500 Index
Strategy Assets $4.1 B N/A
Number of Holdings 295 505
Portfolio Turnover (12 months) 137.3% N/A
Median Market Cap $42.6 $22.7
Weighted Avg. Market Cap $252.0 $242.7

The results portrayed on this page are for the Hedged Equity and as such only relate to the representative portfolio shown. Representative holdings and portfolio characteristics are specific only to the portfolio shown at that point in time. Other portfolios will vary in composition, characteristics, and will experienced 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 and Risk/Reward statistics presented reflect the Calamos Hedged Equity Composite which is an actively managed composite seeking to generate total return with lower volatility than equity markets. The strategy invests in a broadly diversified portfolio of equity securities while also writing (selling) index call options and/or entering into other options strategies on equity securities and/or broad based indices. The Composite was created January 13, 2015 calculated with an inception date of January 1, 2015. The Calamos Hedged Equity Composite was formerly named the Calamos Covered Call Composite. This name change was effected March 1, 2019. 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.

S&P 500 Index-Is generally considered representative of the U.S. stock market.

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.

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 6/30/19
Name 1-Year 3-Year Since Inception (1/15)
Hedged Equity (Gross) 4.98% 7.99% 6.09%
Hedged Equity (Net) 4.82% 7.40% 5.45%
S&P 500 Index 10.42% 14.19% 10.50%
Bloomberg Barclays U.S. Aggregate Bond Index 7.87% 2.31% 2.83%

Calendar Year Returns

As of 6/30/19
Name Qtr ending Jun 19 YTD 2019 2018 2017 2016 2015
Hedged Equity (Gross) 1.98% 6.56% 3.33% 9.36% 6.53% 1.74%
Hedged Equity (Net) 1.94% 6.48% 2.87% 8.55% 5.73% 0.98%
S&P 500 Index 4.30% 18.54% -4.39% 21.83% 11.96% 1.38%
Bloomberg Barclays U.S. Aggregate Bond Index 3.08% 6.11% 0.01% 3.54% 2.64% 0.55%

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 and Risk/Reward statistics presented reflect the Calamos Hedged Equity Composite which is an actively managed composite seeking to generate total return with lower volatility than equity markets. The strategy invests in a broadly diversified portfolio of equity securities while also writing (selling) index call options and/or entering into other options strategies on equity securities and/or broad based indices. The Composite was created January 13, 2015 calculated with an inception date of January 1, 2015. The Calamos Hedged Equity Composite was formerly named the Calamos Covered Call Composite. This name change was effected March 1, 2019. 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.

S&P 500 Index-Is generally considered representative of the U.S. stock market.

Bloomberg Barclays US Aggregate Bond Index is a broad-based flagship benchmark that measures the investment grade, US dollar-denominated, fixed-rate taxable bond market. The index includes Treasuries, government related and corporate securities, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS and CMBS (agency and non-agency).

Citigroup 30-Day T-Bill Index is generally considered representative of the performance of short-term money market instruments.

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.

Risk/Reward Since Inception

As of 6/30/19
Name Calamos Hedged Equity Composite S&P 500 Index
Alpha 1.67% N/A
Beta 0.41 1.00
Annualized Standard Deviation 5.59% 12.45%
Upside Semivariance 1.99% 8.37%
Downside Semivariance 0.83% 5.13%
Sharpe Ratio 0.92 0.77
Information Ratio -0.57 N/A

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 and Risk/Reward statistics presented reflect the Calamos Hedged Equity Composite which is an actively managed composite seeking to generate total return with lower volatility than equity markets. The strategy invests in a broadly diversified portfolio of equity securities while also writing (selling) index call options and/or entering into other options strategies on equity securities and/or broad based indices. The Composite was created January 13, 2015 calculated with an inception date of January 1, 2015. The Calamos Hedged Equity Composite was formerly named the Calamos Covered Call Composite. This name change was effected March 1, 2019. 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.

S&P 500 Index-Is generally considered representative of the U.S. stock market.

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.

Vehicles and Minimums

Vehicle Minimum Availability
Separately Managed Accounts $25 million Available to new investors
Institutional Mutual Fund (CIHEX) $1 million These investment offerings are intended for investors inside the United States.
calamos-hedged-equity-institutional-strategy-fact-sheet.pdf
Fact Sheet

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

calamos-covered-call-institutional-strategy-performance-review.pdf
Performance Review

A discussion of the Calamos Hedged Equity Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.