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Strategy Objective
The Calamos High Income Opportunities strategy invests primarily in a diversified portfolio of US 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
- Our portfolio construction process demands keen, security-level awareness of appropriate compensation for risks taken.
- An expanded investable universe, including bank loans and preferred securities, enhances portfolio opportunities, construction and risk management.
- Our robust, independent credit research, uniting quantitative and qualitative analyses in historical and forward-looking models, produces a credit rating reflective of where a company is heading.
- Our macro-overlay, which considers the business cycle, geopolitical factors, inflation and real rate expectations, acts as a risk control while capitalizing on opportunities in misunderstood industries and sectors.
Strategy Details
As of 9/30/23| Inception Date: | 11/01/99 |
|---|---|
| Strategy Assets*: | $3.2 B |
| Benchmark: | Bloomberg US High Yield 2% Issuer Capped Index |
*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.
Portfolio
Sector Weightings
| Sector | % of Assets | Bloomberg US High Yield 2% Issuer Capped Index | Under/Overweight % |
|---|---|---|---|
| Consumer Cyclical | 18.2% | 22.9% | |
| Communications | 14.5% | 14.4% | |
| Consumer Non Cyclical | 13.6% | 11.5% | |
| Energy | 12.9% | 11.7% | |
| Capital Goods | 7.9% | 10.9% | |
| Technology | 5.4% | 7.1% | |
| Basic Industry | 5.4% | 5.0% | |
| Finance Companies | 4.5% | 3.1% | |
| Transportation | 3.7% | 2.6% | |
| Insurance | 3.5% | 1.9% | |
Security Type Allocation
| Name | % of Assets |
|---|---|
| High Yield Corporate Debt | 76.1 |
| Investment Grade Corporate Debt | 7.5 |
| Syndicated Loans | 12.7 |
| Equity | 1.1 |
| Preferred Shares | 0.8 |
| Securitized Debt | 0.3 |
| Cash | 1.5 |
Maturity Schedule
| Range | % |
|---|---|
| < 1 Year | 3.7% |
| 1 to 3 Years | 13.6% |
| 3 to 5 Years | 32.7% |
| 5 to 7 Years | 32.6% |
| 7 to 10 Years | 10.1% |
| 10 to 20 Years | 2.6% |
| > 20 Years | 1.4% |
| Equities and Other | 3.4% |
Credit Quality of Bonds
| Class | % |
|---|---|
| AAA | 0.0% |
| AA | 0.0% |
| A | 0.5% |
| BBB | 8.4% |
| BB | 48.5% |
| B | 33.4% |
| CCC and below | 7.4% |
| Unrated Securities | 1.8% |
Representative Portfolio Ten Largest Holdings
| Company | Coupon | Maturity | % |
|---|---|---|---|
| Jefferies Finance, LLC / JFIN Co-Issuer Corp. | 5.00% | 8/15/2028 | 0.7 |
| Petsmart, Inc. / PetSmart Finance Corp. | 4.75% | 2/15/2028 | 0.7 |
| Team Health Holdings, Inc. | 10.56% | 2/2/2027 | 0.6 |
| CSC Holdings, LLC | 5.38% | 2/1/2028 | 0.6 |
| Tenet Healthcare Corp. | 6.25% | 2/1/2027 | 0.6 |
| Directv Financing, LLC / Directv Financing Co-Obligor, Inc. | 5.88% | 8/15/2027 | 0.6 |
| Burford Capital Global Financial, LLC | 6.88% | 4/15/2030 | 0.6 |
| Jazz Securities DAC | 4.38% | 1/15/2029 | 0.6 |
| Ford Motor Credit Company, LLC | 5.11% | 5/3/2029 | 0.5 |
| Iron Mountain, Inc. | 5.25% | 3/15/2028 | 0.5 |
Performance
Annualized Total Returns
| Name | 1-Year | 3-Year | 5-Year | 10-Year | Since Inception (11/01/99) |
|---|---|---|---|---|---|
| High Income Opportunities (Gross) | 10.05% | 3.20% | 3.34% | 4.18% | 6.66% |
| High Income Opportunities (Net) | 9.55% | 2.74% | 2.85% | 3.56% | 5.93% |
| Bloomberg US High Yield 2% Issuer Capped Index | 10.28% | 1.75% | 2.95% | 4.24% | 6.35% |
Calendar Year Returns
| Name | Qtr ending Sep 23 | YTD 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| High Income Opportunities (Gross) | 1.22% | 6.21% | -9.63% | 7.04% | 6.11% | 14.47% | -2.61% | 7.27% | 13.22% | -3.52% | 2.10% |
| High Income Opportunities (Net) | 1.10% | 5.85% | -10.04% | 6.56% | 5.61% | 13.87% | -3.27% | 6.47% | 12.38% | -4.24% | 1.37% |
| Bloomberg US High Yield 2% Issuer Capped Index | 0.46% | 5.87% | -11.18% | 5.26% | 7.05% | 14.32% | -2.08% | 7.50% | 17.13% | -4.43% | 2.46% |
Past performance does not guarantee or indicate future results. Current performance may be lower or higher than the performance quoted. 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, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.
The Bloomberg US High Yield 2% Issuer Capped Index measures the performance of high yield corporate bonds with a maximum allocation of 2% to any one issuer.
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
| Name | Calamos High Income Opportunities Composite | Bloomberg US High Yield 2% Issuer Capped Index |
|---|---|---|
| Alpha | 1.02% | N/A |
| Beta | 0.88 | 1.00 |
| Annualized Standard Deviation | 8.51% | 9.10% |
| Upside Semivariance | 3.35% | 3.94% |
| Downside Semivariance | 2.98% | 3.24% |
| Sharpe Ratio | 0.58 | 0.51 |
| Information Ratio | 0.11 | N/A |
Since Inception Up/Down Capture Vs. Bloomberg US High Yield 2% Issuer Capped Index
Vehicles & Minimums
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. |
Literature
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 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.