Strategy Objective

A lower-volatility equity strategy that leverages Calamos' capital structure research by investing in equities and equity-sensitive securities of growth companies, in order to generate alpha and manage downside volatility versus the S&P 500 Index over a full market cycle.

Key Differentiators

  • In-depth capital structure analysis
  • Rigorous top-down and fundamental research
  • Broader opportunity set to generate alpha and manage risk
  • Team approach to management

Strategy Details

As of 3/31/22
Inception Date: 1/01/89
Strategy Assets*: $2.8 B
Benchmark: S&P 500 Index

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

Portfolio

Sector Weightings

As of 3/31/22
Sector % of Assets S&P 500 Index Under/Overweight %
Information Technology 26.5% 28.0%
Consumer Discretionary 12.8% 12.0%
Health Care 12.5% 13.6%
Communication Services 11.2% 9.4%
Financials 10.2% 11.1%
Industrials 8.9% 7.9%
Consumer Staples 5.7% 6.1%
Energy 4.5% 3.9%
Materials 3.1% 2.6%
Utilities 2.1% 2.7%
Real Estate 1.5% 2.7%
Other 1.1% 0.0%

Representative Portfolio Ten Largest Holdings

As of 3/31/22
Company Sector %
Apple, Inc. Information Technology 6.7
Microsoft Corp. Information Technology 5.9
Alphabet, Inc. - Class A Communication Services 4.3
Amazon.com, Inc. Consumer Discretionary 3.6
NVIDIA Corp. Information Technology 2.1
UnitedHealth Group, Inc. Health Care 1.9
Visa, Inc. - Class A Information Technology 1.5
Raytheon Technologies Corp. Industrials 1.4
Meta Platforms, Inc. - Class A Communication Services 1.3
JPMorgan Chase & Company Financials 1.2

Characteristics

As of 3/31/22
Name Calamos Portfolio S&P 500 Index
Number of Holdings 170 505
Portfolio Turnover (12 months) 16.8% N/A
Median Market Cap $138.2 B $31.9 B
Weighted Avg. Market Cap $809.1 B $646.6 B
ROIC 24.0% 25.0%
Debt/Capital 45.5% 45.5%
PEG Ratio 2.1x 2.1x

Credit Quality of Bonds

As of 3/31/22
Class %
AAA 0.0%
AA 0.0%
A 5.0%
BBB 30.3%
BB 46.7%
B 13.1%
CCC and below 5.0%
Unrated Securities 0.0%

Performance

Annualized Total Returns

As of 3/31/22
Name 1-Year 3-Year 5-Year 10-Year Since Inception (1/91)
US Opportunities (Gross) 11.31% 17.99% 14.86% 11.65% 13.27%
US Opportunities (Net) 10.56% 17.20% 14.09% 10.91% 12.49%
S&P 500 Index 15.65% 18.92% 15.99% 14.64% 10.97%

Calendar Year Returns

As of 3/31/22
Name Qtr ending Mar 22 YTD 2022 2021 2020 2019 2018 2017 2016 2015 2014 2013
US Opportunities (Gross) -4.81% -4.81% 22.42% 23.74% 27.30% -2.84% 17.65% 8.38% 2.79% 8.44% 18.06%
US Opportunities (Net) -4.97% -4.97% 21.59% 22.91% 26.47% -3.49% 16.88% 7.65% 2.10% 7.73% 17.29%
S&P 500 Index -4.60% -4.60% 28.70% 18.40% 31.49% -4.39% 21.83% 11.96% 1.38% 13.69% 32.38%

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 US Opportunities Composite, which is an actively managed composite investing in equity, convertible and fixed-income securities seeking long-term total return through growth and current income. The Composite was created August 31, 2013 calculated with an inception date of January 1, 1991 and includes all fully discretionary, fee paying 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.

S&P 500 Index is generally considered representative of the US stock market.

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 3/31/22
Name Calamos US Opportunities Composite S&P 500 Index
Alpha 4.71% N/A
Beta 0.76 1.00
Annualized Standard Deviation 12.66% 14.48%
Upside Semivariance 10.12% 10.94%
Downside Semivariance 4.44% 7.41%
Sharpe Ratio 0.85 0.59
Information Ratio 0.32 N/A

Since Inception Up/Down Capture Vs. S&P 500 Index

As of 3/31/22

Vehicles & Minimums

Vehicles and Minimums

Vehicle Minimum Availability
Separately Managed Accounts $25 million Available to new investors
Institutional Mutual Fund (CGIIX) $1 million These investment offerings are intended for investors inside the United States.

Literature

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Fact Sheet

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

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Performance Review

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