Market Neutral Income Strategy

Strategy Objective

The Calamos Market Neutral Income Strategy is an absolute return, historically lower-volatility strategy that seeks to generate consistent income and capital appreciation through complimentary underlying strategies of convertible arbitrage and covered call writing. The strategy historically has exhibited a lower equity beta, lower correlations to both the equity and fixed income markets, lower absolute volatility and limited drawdowns.

Key Differentiators

  • Absolute return, outcome orientation
  • Complimentary underlying investment strategies which allow the strategy to achieve its objective in varying market environments
  • Liquid alternative strategy: full transparency, fund governance and liquidity
  • Competitive fees relative to typical alternative strategies
  • Long standing, distinguished track record generated by seasoned investment team

Strategy Details
As of 6/30/19
Inception Date: 1/01/91
Strategy Assets*: $7.9 B
Benchmark: Bloomberg Barclays U.S. Government/Credit Bond Index

*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.

Resources

Credit Quality of Bonds

As of 6/30/19
Class %
AAA 1.3%
AA 0.0%
A 3.9%
BBB 4.4%
BB 47.8%
B 37.1%
CCC and below 5.5%
Unrated Securities 0.0%

The results portrayed on this page are for the Market Neutral Income 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.

Annualized Total Returns

As of 6/30/19
Name 1-Year 3-Year 5-Year 10-Year 15-Year Since Inception (1/91)
Market Neutral Income (Gross) 5.02% 5.74% 4.59% 5.82% 4.85% 7.80%
Market Neutral Income (Net) 4.31% 5.03% 3.88% 5.10% 4.12% 7.03%
BBgBarc US Govt/Credit Bond Index 8.52% 2.41% 3.11% 4.09% 4.33% 5.90%
FTSE 30 Day Treasury Bill Index 2.27% 1.31% 0.81% 0.44% 1.24% 2.45%

Calendar Year Returns

As of 6/30/19
Name Qtr ending Jun 19 YTD 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002 2001 2000 1999 1998 1997 1996 1995 1994 1993 1992 1991
Market Neutral Income (Gross) 1.72% 4.90% 2.84% 5.92% 6.06% 2.32% 3.28% 7.13% 7.08% 3.72% 6.15% 15.10% -12.24% 7.45% 9.96% -0.64% 6.52% 10.90% 8.17% 10.42% 12.52% 15.94% 12.21% 16.25% 10.33% 16.73% -5.54% 14.34% 14.40% 16.21%
Market Neutral Income (Net) 1.55% 4.55% 2.15% 5.21% 5.34% 1.63% 2.58% 6.39% 6.37% 3.02% 5.41% 14.31% -12.86% 6.67% 9.14% -1.38% 5.75% 10.07% 7.38% 9.62% 11.68% 15.09% 11.40% 15.40% 9.52% 15.86% -6.26% 13.52% 13.57% 15.38%
Bloomberg Barclays U.S. Government/Credit Bond Index 3.53% 6.90% -0.42% 4.00% 3.04% 0.15% 6.01% -2.35% 4.82% 8.74% 6.59% 4.52% 5.70% 7.23% 3.78% 2.37% 4.19% 4.67% 11.04% 8.50% 11.85% -2.15% 9.48% 9.76% 2.90% 19.24% -3.51% 11.03% 7.58% 16.12%
Citigroup Treasury Bill - 30 Days 0.61% 1.22% 1.81% 0.80% 0.20% 0.02% 0.02% 0.03% 0.05% 0.05% 0.12% 0.09% 1.34% 4.56% 4.75% 2.93% 1.21% 1.02% 1.65% 3.69% 5.65% 4.44% 4.54% 4.87% 4.97% 5.36% 3.83% 2.87% 3.25% 5.12%

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 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 U.S. 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 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. Government/Credit Bond Index includes treasuries and agencies that represent the government portion of the index, and includes publicly issued U.S. corporate and foreign debentures and secured notes that meet specified maturity, liquidity, and quality requirements to represent credit interests.

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

As of 6/30/19
Name Calamos Market Neutral Income Composite Bloomberg Barclays U.S. Government/Credit Bond Index
Alpha 6.59% N/A
Beta 0.21 1.00
Annualized Standard Deviation 4.66% 4.12%
Upside Semivariance 1.64% 1.25%
Downside Semivariance 0.58% 0.39%
Sharpe Ratio 1.11 0.79
Information Ratio 0.34 N/A

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 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 U.S. 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 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.

S&P 500 Index-Is generally considered representative of the U.S. stock market.

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
Institutional Mutual Fund (CMNIX) $1 million These investment offerings are intended for investors inside the United States.
calamos-market-neutral-income-institutional-strategy-fact-sheet.pdf
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.

calamos-market-neutral-income-strategy-performance-review.pdf
Performance Review

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