Strategy Objective

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.

Key Differentiators

  • May be a compelling choice for investors seeking income and the potential for steady performance.
  • Generates returns not dependent on interest rates, a key differentiator from traditional bond strategies.
  • Employs an absolute-return strategy with historically lower beta to fixed-income and equity markets as well as lower volatility and limited drawdowns.
  • As one of the first alternative strategies, capitalizes on more than four decades of experience in the convertible space.

Strategy Details

As of 12/31/23
Inception Date: 1/01/91
Strategy Assets*: $14.0 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.

Portfolio

Credit Quality of Bonds

As of 12/31/23
Class %
AAA 0.0%
AA 0.1%
A 3.0%
BBB 11.3%
BB 0.6%
B 0.2%
CCC and below 0.3%
Unrated Securities 84.5%

Performance

Annualized Total Returns

As of 12/31/23
Name 1-Year 3-Year 5-Year 10-Year Since Inception (1/01/91)
Market Neutral Income (Gross) 10.19% 4.11% 5.31% 4.69% 7.38%
Market Neutral Income (Net) 9.48% 3.43% 4.62% 3.99% 6.63%
Bloomberg US Govt/Credit Bond Index 5.72% -3.53% 1.41% 1.97% 5.09%
Bloomberg Short Treasury 1-3 Month Index 5.14% 2.21% 1.88% 1.24% 2.56%

Calendar Year Returns

As of 12/31/23
Name Qtr ending Dec 23 2023 2022 2021 2020 2019 2018 2017 2016 2015
Market Neutral Income (Gross) 2.48% 10.19% -3.38% 6.00% 6.53% 7.74% 2.84% 5.92% 6.06% 2.32%
Market Neutral Income (Net) 2.31% 9.48% -4.01% 5.30% 5.83% 7.01% 2.15% 5.21% 5.34% 1.63%
Bloomberg US Govt/Credit Bond Index 6.63% 5.72% -13.58% -1.75% 8.93% 9.71% -0.42% 4.00% 3.05% 0.15%
Bloomberg Short Treasury 1-3 Month Index 1.38% 5.14% 1.52% 0.04% 0.56% 2.22% 1.83% 0.82% 0.28% 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.

Risk/Reward

Risk/Reward Since Inception

As of 12/31/23
Name Calamos Market Neutral Income Composite Bloomberg US Govt/Credit Bond Index
Alpha 6.12% N/A
Beta 0.26 1.00
Annualized Standard Deviation 4.59% 4.56%
Upside Semivariance 1.55% 1.35%
Downside Semivariance 0.57% 0.56%
Sharpe Ratio 1.06 0.56
Information Ratio 0.41 N/A

Vehicles & Minimums

Vehicles and Minimums

Vehicle Minimum Availability
Institutional Mutual Fund (CMNIX) $1 million These investment offerings are intended for investors inside the United States.

Literature

Fact Sheet

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

Performance Review

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

Calamos Financial Services LLC, Distributor

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