Strategy Objective
To deliver absolute returns largely uncorrelated to equity and fixed income markets.
Key Differentiators
- Calamos is a pioneer in convertible and options investing, where analysis of public acquisitions and opportunities to alter risk reward through structure is an ingrained part of the investment process
- Our merger strategy is a natural extension of our experience managing hedged equity and convertible arbitrage strategies for more than 20 years on average as a team
- Because of this, we believe one of our main edges resides in public acquisitions where there are convertible bonds, liquid options or other securities within a target company's capital structure that allow us to alter risk reward through trade structure
Strategy Details
As of 6/30/24| Inception Date: | 12/01/19 |
|---|---|
| Strategy Assets*: | $594.4 M |
| Benchmark: | ICE BofA US 3 Month Treasury Bill Index (G0O1) |
*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.
Portfolio
Representative Portfolio Ten Largest Holdings
| Target Company | Sector | Acquiring Company | % |
|---|---|---|---|
| Hess Corp. | Energy | Chevron Corp. | 12.7 |
| Southwestern Energy Company | Energy | Chesapeake Energy Corp. | 11.6 |
| Juniper Networks, Inc. | Information Technology | Hewlett Packard Enterprise Company | 11.6 |
| Amedisys, Inc. | Health Care | UnitedHealth Group, Inc. | 10.0 |
| Perficient, Inc. | Information Technology | 9.5 | |
| Albertsons Companies, Inc. - Class A | Consumer Staples | Kroger Company | 9.1 |
| United States Steel Corp. | Materials | Nippon Steel Corp. | 7.5 |
| ANSYS, Inc. | Information Technology | Synopsys, Inc. | 7.5 |
| Equitrans Midstream Corp. | Energy | EQT Corp. | 7.2 |
| Shift4 Payments, Inc. | Financials | 6.2 |
Characteristics
| Name | Calamos Portfolio |
|---|---|
| Number of Holdings | 35 |
Asset Allocation
| Asset Allocation | % |
|---|---|
| Common Stock | 35.7945 |
| Convertibles | 26.0385 |
| Rights | 0.0472 |
| Corporate Bonds | 0 |
| Sovereign Bonds | 0 |
| US Government Securities | 0 |
| Options | -0.014 |
| Cash | 38.1339 |
Sector Weightings
| Sector | % of Assets |
|---|---|
| Information Technology | 38.8% |
| Health Care | 17.1% |
| Consumer Staples | 9.1% |
| Communication Services | 8.1% |
| Materials | 7.5% |
| Financials | 6.2% |
| Consumer Discretionary | 6.2% |
| Utilities | 4.4% |
| Energy | 2.3% |
| Industrials | 0.1% |
| Real Estate | 0.0% |
| Other | 0.0% |
Market Capitalization
| Market CAP Range | % of Assets |
|---|---|
| <=$0.10bil | 0.0% |
| >$0.10bil<=$5bil | 47.1% |
| >$5bil<=$30bil | 63.0% |
| >$30bil<=$200bil | 9.3% |
| >$200bil | -19.4% |
Performance
Annualized Total Returns
| Name | 1-Year | 3-Year | Since Inception (12/01/19) |
|---|---|---|---|
| Merger Arbitrage (Gross) | 5.09% | 3.04% | 3.44% |
| Merger Arbitrage (Net) | 4.25% | 2.22% | 2.62% |
| ICE BofA US 3 Month Treasury Bill Index (G0O1) | 5.40% | 3.03% | 2.16% |
Calendar Year Returns
| Name | Qtr ending Jun 24 | YTD 2024 | 2023 | 2022 | 2021 | 2020 | 12/1/19 - 12/31/19 |
|---|---|---|---|---|---|---|---|
| Merger Arbitrage (Gross) | -1.26% | -5.54% | 10.08% | 5.18% | 2.04% | 3.71% | 0.92% |
| Merger Arbitrage (Net) | -1.46% | -5.92% | 9.21% | 4.35% | 1.22% | 2.88% | 0.85% |
| ICE BofA US 3 Month Treasury Bill Index (G0O1) | 1.32% | 2.63% | 5.01% | 1.46% | 0.05% | 0.67% | 0.14% |
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 Merger Arbitrage Composite, which is an actively managed composite that seeks capital appreciation by generating absolute, uncorrelated returns to equity and fixed income markets. The Composite was created December 1, 2019 calculated with an inception date of December 1, 2019. The Composite 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 ICE BofA 3-Month US Treasury Bill Index (G0O1) is an unmanaged index that measures the performance of a single US Treasury issue with approximately three months to final maturity. The issue is purchased at the beginning of each month and held for one full month. At the end of the month, that issue is sold and rolled into a newly selected issue.
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
| Name | Calamos Merger Arbitrage Composite | ICE BofA US 3 Month Treasury Bill Index (G0O1) |
|---|---|---|
| Alpha | 4.71% | N/A |
| Beta | -0.48 | 1.00 |
| Annualized Standard Deviation | 6.35% | 0.65% |
| Sharpe Ratio | 0.19 | -0.11 |
| Information Ratio | 0.20 | N/A |
Vehicles & Minimums
Vehicles and Minimums
| Vehicle | Minimum | Availability |
|---|---|---|
| Separately Managed Accounts | $25 million | Available to new investors |
Literature
Videos
Merger Arbitrage Strategy Fact Sheet
The Merger Arbitrage Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.