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 12/31/19| Inception Date: | 11/01/99 |
|---|---|
| Strategy Assets*: | $3.4 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
Sector Weightings
| Sector | % of Assets | Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond | Under/Overweight % |
|---|---|---|---|
| Communications | 20.0% | 20.9% | |
| Consumer Non Cyclical | 17.7% | 13.7% | |
| Consumer Cyclical | 16.2% | 16.4% | |
| Energy | 11.9% | 11.6% | |
| Capital Goods | 7.9% | 9.9% | |
| Insurance | 6.2% | 2.4% | |
| Finance Companies | 3.8% | 2.6% | |
| Basic Industry | 3.1% | 6.1% | |
| Technology | 2.8% | 6.6% | |
| Reits | 2.2% | 1.4% | |
Security Type Allocation
| Name | % of Assets |
|---|---|
| High Yield Corporate Debt | 79.5% |
| Investment Grade Corporate Debt | 5.9% |
| Syndicated Loans | 11.0% |
| Equity | 1.7% |
| Preferred Shares | 0.8% |
| Cash | 1.2% |
Maturity Schedule
| Range | % |
|---|---|
| < 1 Year | 1.7% |
| 1 to 3 Years | 3.8% |
| 3 to 5 Years | 18.4% |
| 5 to 7 Years | 29.9% |
| 7 to 10 Years | 19.0% |
| 10 to 20 Years | 6.3% |
| > 20 Years | 0.2% |
| Equities and Other | 20.7% |
Credit Quality of Bonds
| Class | % |
|---|---|
| AAA | 0.0% |
| AA | 0.0% |
| A | 0.0% |
| BBB | 6.1% |
| BB | 41.6% |
| B | 31.4% |
| CCC and below | 9.5% |
| Unrated Securities | 11.4% |
Representative Portfolio Ten Largest Holdings
| Company | Coupon | Maturity | % |
|---|---|---|---|
| Embarq Corp. | 8.00% | 6/1/2036 | 1.4 |
| Inmarsat Finance, PLC | 4.88% | 5/15/2022 | 1.1 |
| Cco Holdings Capital Corp. | 5.13% | 5/1/2027 | 1.1 |
| HUB International, Ltd. | 7.00% | 5/1/2026 | 1.0 |
| PetSmart, Inc. | 5.97% | 3/11/2022 | 0.8 |
| Ardagh Packaging Finance, PLC / Ardagh Holdings USA, Inc. | 6.00% | 2/15/2025 | 0.8 |
| Valeant Pharmaceuticals International | 8.50% | 1/31/2027 | 0.8 |
| CSC Holdings, LLC | 5.75% | 1/15/2030 | 0.8 |
| Sprint Corp. | 7.13% | 6/15/2024 | 0.8 |
| Acrisure, LLC / Acrisure Finance, Inc. | 7.00% | 11/15/2025 | 0.8 |
The results portrayed on this page are for the High Income Opportunities Strategy 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. 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. 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
| Name | 1-Year | 3-Year | 5-Year | 10-Year | 15-Year | Since Inception (11/99) |
|---|---|---|---|---|---|---|
| High Income Opportunities (Gross) | 14.47% | 6.14% | 5.49% | 6.68% | 6.43% | 7.48% |
| High Income Opportunities (Net) | 13.87% | 5.46% | 4.77% | 5.93% | 5.66% | 6.71% |
| Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond | 14.32% | 6.36% | 6.14% | 7.55% | 7.20% | 7.26% |
Calendar Year Returns
| Name | Qtr ending Dec 19 | 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) | 3.34% | 14.47% | -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) | 3.21% | 13.87% | -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 | 2.61% | 14.32% | -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
| Name | Calamos High Income Opportunities Composite | Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond |
|---|---|---|
| Alpha | 1.19% | N/A |
| Beta | 0.86 | 1.00 |
| Annualized Standard Deviation | 8.17% | 8.87% |
| Upside Semivariance | 3.40% | 4.02% |
| Downside Semivariance | 2.54% | 2.90% |
| Sharpe Ratio | 0.71 | 0.63 |
| Information Ratio | 0.07 | N/A |
Since Inception Up/Down Capture Vs. Bloomberg Barclays U.S. High Yield 2% Issuer Capped Bond
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. |
The High Income Opportunities Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
A discussion of the Calamos High Income Opportunities Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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.
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.