International Sustainable Equities Strategy

Strategy Objective

The Calamos International Sustainable Equities Strategy employs an integrated, fundamental and proprietary ESG screening process, benchmarked to the MSCI ACWI ex US Index, to evaluate and select what we deem are the highest-quality, ESG-adherent opportunities outside the United States in developed and developing economies as well as across market capitalizations.

Key Differentiators

  • Investment Team has managed ESG funds and portfolios for more than 20 years.
  • We believe that the best way to identify sustainable growth is to consider all aspects of a company's quality profile, including environmental, social, and governance factors that are too often ignored and can represent substantial investment risks.
  • We take a flexible approach to opportunities and believe that attractive investments are found across geographies, sectors and market capitalizations.
  • We believe that maximum value is created over the long term. As such, we look to hold investments across business and economic cycles. This promotes sustainable growth with lower transaction costs and tax efficiency.
  • Markets don't always get it right. Therefore, we look to take advantage of short-term market inefficiencies to establish positions or add to existing investments.
  • We will sell an investment in cases of valuation adjustments, availability of more attractive alternatives, or breakdowns in financial fundamentals or ESG performance.

Strategy Details

As of 9/30/21
Inception Date: 4/01/19
Benchmark: MSCI ACWI ex US Index (Net)

Portfolio

Sector Weightings

As of 9/30/21
Sector % of Assets MSCI ACWI ex US Index (Net) Under/Overweight %
Financials 18.3% 19.3%
Industrials 16.3% 12.2%
Health Care 12.3% 9.5%
Information Technology 11.6% 13.2%
Consumer Discretionary 11.6% 12.7%
Consumer Staples 10.2% 8.5%
Materials 8.9% 7.9%
Communication Services 4.6% 6.3%
Utilities 3.4% 3.0%
Real Estate 2.8% 2.5%
Energy 0.0% 4.9%
Other 0.0% 0.0%

Representative Portfolio Ten Largest Holdings

As of 9/30/21
Company Country Sector %
Roche Holding, AG Switzerland Health Care 3.0
CAPITALAND LTD-SPON ADR Singapore Real Estate 2.8
Novo Nordisk, A/S Denmark Health Care 2.6
Taiwan Semiconductor Mfg (ADR) Taiwan Information Technology 2.6
Toronto-Dominion Bank Canada Financials 2.5
KONINKLIJKE AHOLD-SP ADR Netherlands Consumer Staples 2.5
CRODA INTERNATIONAL-UNS ADR United Kingdom Materials 2.5
Linde, PLC United Kingdom Materials 2.4
BCE INC Canada Communication Services 2.4
RECRUIT HOLDINGS CO LTD-ADR Japan Industrials 2.3

Characteristics

As of 9/30/21
Name Calamos Portfolio MSCI ACWI ex US Index (Net)
Number of Holdings 51 2,348
Portfolio Turnover (12 months) 1.3% N/A
Median Market Cap $47.8 B $10.1 B
Weighted Avg. Market Cap $92.9 B $94.7 B
ROIC 15.5% 14.4%
Debt/Capital 32.9% 33.5%

MSCI ESG Company Rating

As of 9/30/21
Category Representative Portfolio % MSCI ACWI EX US Index (Net) %
AAA 29.2 14.2
AA 36.8 25.7
A 21.0 26.7
BBB 10.5 16.8
BB 1.5 10.2
B 0.0 4.7
CCC 0.0 1.5
N/A 1.0 0.2

Performance

Annualized Total Returns

As of 9/30/21
Name 1-Year Since Inception (4/19)
International Sustainable Equities (Gross) 25.59% 17.95%
International Sustainable Equities (Net) 24.05% 16.50%
MSCI ACWI ex US Index (Net) 23.92% 10.72%

Calendar Year Returns

As of 9/30/21
Name Qtr ending Sep 21 YTD 2021 2020 4/1/19 - 12/31/19
International Sustainable Equities (Gross) -1.52% 7.81% 23.37% 13.71%
International Sustainable Equities (Net) -1.83% 6.81% 21.86% 12.67%
MSCI ACWI ex US Index (Net) -2.99% 5.90% 10.65% 10.15%

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 or Risk/Rewards statistics presented reflect the Calamos International Sustainable Equities Composite II, which is an actively managed, international focused composite that seeks long-term capital appreciation. The Composite invests primarily in the common stock of companies based outside the US that excel at managing environmental risks and opportunities, societal impact and corporate governance (ESG) factors and exhibit attractive financial attributes and competitive advantages. On August 25, 2021 Calamos acquired Pearl Impact Capital LLC which has managed the strategy since its inception in 2019. Firm assets shown represent assets managed by Calamos Advisors and not assets managed by Pearl Impact Capital LLC. The Calamos International Sustainable Equities Composite II was formerly named the PIC International Opportunities Composite. This name change was effected August 25, 2021. The Composite was created August 31, 2021, calculated with an inception date of April 1, 2019. Results include all fully discretionary advisory accounts, including those no longer with the Firm. Past performance is no guarantee of future results.

Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

The MSCI ACWI ex US Index (Net) captures large and mid-cap securities across 22 Developed Markets countries (excluding the US) and 26 Emerging Markets countries. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect any fees, expenses or sales charges. Net return basis approximates the minimum possible reinvestment of regular cash distributions by deducting withholding tax based on the maximum rate of the company's country of incorporation applicable to institutional investors. 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: 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 9/30/21
Name Calamos International Sustainable Equities II Composite MSCI ACWI ex US Index (Net)
Alpha 8.06% N/A
Beta 0.86 1.00
Annualized Standard Deviation 15.68% 17.74%
Upside Semivariance 14.43% 14.87%
Downside Semivariance 7.58% 11.44%
Sharpe Ratio 1.09 0.56
Information Ratio 1.53 N/A

Since Inception Up/Down Capture Vs. MSCI ACWI ex US Index (Net)

As of 9/30/21

Vehicles & Minimums

Vehicles and Minimums

Vehicle Minimum Availability
Separately Managed Accounts $5 million Available to new investors

Literature

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International Sustainable Equities Strategy Fact Sheet

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

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ESG Investing in China: The Calamos Sustainable Equity Team Approach

China’s ESG initiatives include many that are in line with those of the West and others that are unique to China. Chinese companies that understand the importance of ESG risks and opportunities can take advantage of “first-mover” competitive advantages, explains Co-Portfolio Manager Tony Tursich.

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Environmental Investing: Risk and Opportunity

Drawing on nearly 25 years of ESG investing experience, Anthony Tursich discusses the philosophy of the Calamos Sustainable Equities Team and explains why environmental considerations are so important for understanding investment risk and opportunities.