The Market Neutral Income Strategy combines two complementary strategies with differing responses to volatility: convertible arbitrage seeks alpha and uncorrelated returns, while hedged equity seeks to provide income from options writing and upside participation.
Inception Date: | 1/01/91 |
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Strategy Assets*: | $15.3 B |
Benchmark: | Bloomberg US Govt/Credit Bond Index |
*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.
Class | % |
---|---|
AAA | 0.0% |
AA | 0.2% |
A | 6.6% |
BBB | 13.2% |
BB | 0.8% |
B | 0.2% |
CCC and below | 0.0% |
Unrated Securities | 79.0% |
Name | 1-Year | 3-Year | 5-Year | 10-Year | Since Inception (1/01/91) |
---|---|---|---|---|---|
Market Neutral Income (Gross) | 8.42% | 4.90% | 5.44% | 5.20% | 7.41% |
Market Neutral Income (Net) | 7.71% | 4.22% | 4.75% | 4.50% | 6.66% |
Bloomberg US Govt/Credit Bond Index | 1.18% | -2.59% | -0.21% | 1.50% | 4.97% |
Bloomberg Short Treasury 1-3 Month Index | 5.31% | 3.98% | 2.49% | 1.76% | 2.64% |
Name | Qtr ending Dec 24 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2015 |
---|---|---|---|---|---|---|---|---|---|---|
Market Neutral Income (Gross) | 1.57% | 8.42% | 10.19% | -3.38% | 6.00% | 6.53% | 7.74% | 2.84% | 5.92% | 2.32% |
Market Neutral Income (Net) | 1.40% | 7.71% | 9.48% | -4.01% | 5.30% | 5.83% | 7.01% | 2.15% | 5.21% | 1.63% |
Bloomberg US Govt/Credit Bond Index | -3.08% | 1.18% | 5.72% | -13.58% | -1.75% | 8.93% | 9.71% | -0.42% | 4.00% | 0.15% |
Bloomberg Short Treasury 1-3 Month Index | 1.19% | 5.31% | 5.14% | 1.52% | 0.04% | 0.56% | 2.22% | 1.83% | 0.82% | 0.03% |
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 Market Neutral Income Composite which is an actively managed "market neutral" composite seeking to achieve maximum current income while maintaining a low correlation to the fluctuations of the US equity market as a whole. The Composite was created November 15, 2013 calculated with an inception date of January 1, 1991. 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.
The Bloomberg US Government/Credit Bond Index includes Treasuries and agencies that represent the government portion of the index, and includes publicly issued US corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements to represent credit interests.
The Bloomberg Short Treasury 1-3 Month Index is generally considered representative of the performance of short-term money market investments and compares performance to public obligations of the US Treasury with maturities of 1-3 months.
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.
Name | Calamos Market Neutral Income Composite | Bloomberg US Govt/Credit Bond Index |
---|---|---|
Alpha | 6.20% | N/A |
Beta | 0.25 | 1.00 |
Annualized Standard Deviation | 4.53% | 4.59% |
Upside Semivariance | 1.52% | 1.34% |
Downside Semivariance | 0.55% | 0.58% |
Sharpe Ratio | 1.06 | 0.51 |
Information Ratio | 0.44 | N/A |
Vehicle | Minimum | Availability |
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Institutional Mutual Fund (CMNIX) | $1 million | These investment offerings are intended for investors inside the United States. |
The Market Neutral Income Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
A discussion of the Calamos Market Neutral Income Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.