High Income Opportunities Strategy

Strategy Objective

The Calamos High Income Opportunities strategy invests primarily in a diversified portfolio of U.S. high yield bonds. Rather than an exclusive focus on yield, the strategy employs a total return framework designed to enhance our ability to generate alpha and preserve capital over entire credit cycles.

Key Differentiators

  • Broader opportunity set including U.S. and non-U.S. dollar issues, and convertible securities
  • Total return orientation
  • Team approach to management

Strategy Details
As of 6/30/19
Inception Date: 11/01/99
Strategy Assets*: $3.3 B
Benchmark: Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond

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

Resources

Security Type Allocation

As of 6/30/19
Name % of Assets
Investment Grade Corporate Debt 4.2%
High Yield Corporate Debt 76.1%
Preferred Shares 0.9%
Equity 1.6%
Options 0.0%
Syndicated Loans 11.3%
Cash and Receivables/Payables 5.9%

Sector Weightings

As of 6/30/19
Sector %
Basic Materials 2.5
Communications 19.9
Consumer, Cyclical 13.3
Consumer, Non-cyclical 19.9
Diversified 0.0
Energy 13.8
Financial 15.1
Industrial 6.9
Technology 1.9
Utilities 0.8

Maturity Schedule

As of 6/30/19
Range %
Under 1 Year 6.1%
1 To 3 Years 6.4%
3 To 5 Years 19.8%
5 To 7 Years 40.2%
7 To 10 Years 16.2%
10 To 20 Years 5.8%
Over 20 Years 2.2%
Equity & Other 3.3%

Credit Quality of Bonds

As of 6/30/19
Class %
AAA 0.0%
AA 0.0%
A 0.0%
BBB 5.2%
BB 38.7%
B 41.6%
CCC and Below 10.2%
Unrated Securities 4.4%

Representative Portfolio Ten Largest Holdings

As of 6/30/19
Company Coupon Maturity %
Embarq Corp. 8.00% 06/01/2036 1.3
Teva Pharmaceutical Finance Netherlands III 6.00% 04/15/2024 1.3
Inmarsat Finance, PLC 4.88% 05/15/2022 1.0
CCO Holdings, LLC / CCO Holdings Capital 5.13% 05/01/2027 1.0
Sprint Corp. 7.88% 09/15/2023 0.9
PetSmart, Inc. 6.84% 03/11/2022 0.8
Ally Financial, Inc. 8.00% 11/01/2031 0.8
CSC Holdings, LLC 5.50% 04/15/2027 0.8
Ardagh Packaging Finance PLC / Ardagh Holdings 6.00% 02/15/2025 0.8
Bausch Health Cos., Inc. 9.00% 12/15/2025 0.7

The results portrayed on this page are for the High Income Opportunities 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.

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. For more information about securities ratings, please see the Fund's Statement of Additional Information at calamos.com. Additional information on ratings methodologies are available by visiting the NRSRO websites: www.standardandpoors.com and www.moodys.com.

The Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond Index measures the performance of high yield corporate bonds with a maximum allocation of 2% to any one issuer. 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 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 5-Year 10-Year 15-Year Since Inception (11/99)
High Income Opportunities (Gross) 6.66% 7.34% 3.92% 8.03% 6.85% 7.47%
High Income Opportunities (Net) 6.06% 6.60% 3.19% 7.26% 6.07% 6.69%
Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond 7.47% 7.51% 4.70% 9.22% 7.57% 7.24%

Calendar Year Returns

As of 6/30/19
Name Qtr ending Jun 19 YTD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 11/1/99 - 12/31/99
High Income Opportunities (Gross) 2.43% 10.06% -2.61% 7.27% 13.22% -3.52% 2.10% 7.34% 12.55% 5.49% 12.35% 48.33% -26.28% 5.61% 11.55% 3.51% 12.33% 26.47% 2.22% 12.10% 3.00% 0.53%
High Income Opportunities (Net) 2.30% 9.78% -3.27% 6.47% 12.38% -4.24% 1.37% 6.55% 11.74% 4.73% 11.52% 47.28% -26.85% 4.83% 10.73% 2.72% 11.48% 25.53% 1.49% 11.30% 2.21% 0.41%
Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond 2.50% 9.94% -2.09% 7.50% 17.13% -4.43% 2.46% 7.44% 15.78% 4.96% 14.94% 58.76% -25.88% 2.26% 10.76% 2.76% 11.14% 28.78% -0.24% 5.46% -5.79% 2.32%

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 High Income Opportunities Composite which is an actively managed composite investing in high yield fixed income securities, primarily with credit ratings lower than investment grade securities. The Composite was created January 1, 2001, calculated with an inception date of November 1, 1999 and includes all fully discretionary, fee paying 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 Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond Index measures the performance of high yield corporate bonds with a maximum allocation of 2% to any one issuer. 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. 

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 High Income Opportunities Composite Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond
Alpha 1.20% N/A
Beta 0.86 1.00
Annualized Standard Deviation 8.26% 8.98%
Upside Semivariance 3.45% 4.10%
Downside Semivariance 2.61% 2.97%
Sharpe Ratio 0.70 0.62
Information Ratio 0.07 N/A

Since Inception Up/Down Capture Vs. Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond

As of 6/30/19

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 High Income Opportunities Composite which is an actively managed composite investing in high yield fixed income securities, primarily with credit ratings lower than investment grade securities. The Composite was created January 1, 2001, calculated with an inception date of November 1, 1999 and includes all fully discretionary, fee paying 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 Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond Index measures the performance of high yield corporate bonds with a maximum allocation of 2% to any one issuer. 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. 

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 (CIHYX) $1 million These investment offerings are intended for investors inside the United States.
calamos-high-income-institutional-strategy-fact-sheet.pdf
Fact Sheet

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

calamos-high-income-institutional-strategy-performance-review.pdf
Performance Review

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

MFQACOM-18598-0917O-C_FINAL.PDF
Perspectives on Fixed Income: "Thinking Outside the Box" to Achieve Long-Term Results

Co-CIO and Head of Fixed Income Strategies Matt Freund, CFA, discusses the Calamos approach to fixed income and its key differentiators. He also shares his view of fixed income opportunities in the current environment.

FICOM-033032-0917O-C_FINAL.PDF
Calamos Fixed Income Credit Analysis Process

Credit analysis is the foundation of our fixed income investment process. We provide an overview of how our team of dedicated credit analysts evaluate a company’s ability to meet its debt obligations utilizing rigorous bottom-up fundamental analysis informed by macroeconomic insights.