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

  • Designed to serve as a volatility dampener within an equity allocation, the strategy is an attractive equity substitute for investors expecting normal or above-normal levels of volatility.
  • The strategy blends a core long-equity portfolio with an actively managed option overlay.
  • Tactical management creates opportunities to add alpha from option market dynamics and equity market volatility.
  • An experienced investment team aims to capture uncorrelated, better risk-adjusted returns.
  • The strategy seeks to provide better upside/downside asymmetry than long-only equities.

Strategy Details

As of 12/31/22
Inception Date: 1/01/15
Strategy Assets*: $8.2 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.

Portfolio

Sector Weightings

As of 12/31/22
Sector % of Assets S&P 500 Index Under/Overweight %
Information Technology 25.6% 25.7%
Health Care 16.5% 15.8%
Financials 11.7% 11.7%
Consumer Discretionary 10.3% 9.8%
Industrials 8.6% 8.7%
Consumer Staples 7.4% 7.2%
Communication Services 7.3% 7.3%
Energy 5.5% 5.2%
Utilities 2.9% 3.2%
Materials 2.6% 2.7%
Real Estate 2.4% 2.7%
Other -0.8% 0.0%

Representative Portfolio Ten Largest Holdings

As of 12/31/22
Company Sector %
Apple, Inc. Information Technology 6.2
Microsoft Corp. Information Technology 6.0
Amazon.com, Inc. Consumer Discretionary 2.5
UnitedHealth Group, Inc. Health Care 2.0
Alphabet, Inc. - Class C Communication Services 1.7
Berkshire Hathaway, Inc. - Class B Financials 1.5
Alphabet, Inc. - Class A Communication Services 1.5
Visa, Inc. - Class A Information Technology 1.3
Johnson & Johnson Health Care 1.3
Chevron Corp. Energy 1.3

Characteristics

As of 12/31/22
Name Calamos Portfolio S&P 500 Index
Number of Holdings 273 503
Portfolio Turnover (12 months) 37.1% N/A
Median Market Cap $54.4 B $29.6 B
Weighted Avg. Market Cap $433.7 B $417.2 B

Performance

Annualized Total Returns

As of 12/31/22
Name 1-Year 3-Year 5-Year Since Inception (1/15)
Hedged Equity (Gross) -7.49% 3.34% 4.66% 5.09%
Hedged Equity (Net) -7.92% 2.90% 4.27% 4.55%
S&P 500 Index -18.11% 7.66% 9.42% 10.15%
Bloomberg US Aggregate Bond Index -13.01% -2.71% 0.02% 0.85%

Calendar Year Returns

As of 12/31/22
Name Qtr ending Dec 22 2022 2021 2020 2019 2018 2017 2016 2015
Hedged Equity (Gross) 4.61% -7.49% 10.95% 7.50% 10.12% 3.33% 9.36% 6.53% 1.74%
Hedged Equity (Net) 4.48% -7.92% 10.43% 7.14% 9.95% 2.87% 8.55% 5.73% 0.98%
S&P 500 Index 7.56% -18.11% 28.71% 18.40% 31.49% -4.38% 21.83% 11.96% 1.38%
Bloomberg US Aggregate Bond Index 1.87% -13.01% -1.54% 7.51% 8.72% 0.01% 3.54% 2.65% 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, 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 US stock market.

Bloomberg 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: 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 Hedged Equity Composite S&P 500 Index
Alpha 1.03% N/A
Beta 0.38 1.00
Annualized Standard Deviation 6.45% 15.94%
Upside Semivariance 2.23% 12.86%
Downside Semivariance 1.39% 8.95%
Sharpe Ratio 0.65 0.58
Information Ratio -0.50 N/A

Vehicles & Minimums

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.

Literature

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Fact Sheet

The Hedged Equity 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 Hedged Equity Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.

Calamos Financial Services LLC, Distributor

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