U.S. Sustainable Equities Strategy

Strategy Objective

The Calamos US Sustainable Equities Strategy employs an integrated, fundamental and proprietary ESG screening process, benchmarked to the S&P 500 Index, to evaluate and select what we deem are the highest-quality, ESG-adherent growth opportunities throughout the United States and across market capitalizations.

Key Differentiators

  • Investment Team has managed ESG funds and portfolios for more than 20 years.
  • We believe that the best way to identify sustainable growth is to consider all aspects of a company's quality profile, including environmental, social, and governance factors that are too often ignored and can represent substantial investment risks.
  • We take a flexible approach to opportunities and believe that attractive investments are found across sectors and market capitalizations.
  • We believe that maximum value is created over the long term. As such, we look to hold investments across business and economic cycles. This promotes sustainable growth with lower transaction costs and tax efficiency.
  • Markets don't always get it right. Therefore, we look to take advantage of short-term market inefficiencies to establish positions or add to existing investments.
  • We will sell an investment in cases of valuation adjustments, availability of more attractive alternatives, or breakdowns in financial fundamentals or ESG performance.

Strategy Details

As of 9/30/21
Inception Date: 2/01/20
Benchmark: S&P 500 Index

Resources

Sector Weightings

As of 9/30/21
Sector % of Assets S&P 500 Index Under/Overweight %
Information Technology 23.7% 27.6%
Health Care 14.6% 13.3%
Financials 12.7% 11.4%
Consumer Discretionary 12.5% 12.4%
Industrials 12.5% 8.0%
Communication Services 6.4% 11.3%
Consumer Staples 5.5% 5.8%
Materials 4.3% 2.5%
Real Estate 3.9% 2.6%
Utilities 3.8% 2.5%
Energy 0.0% 2.7%
Other 0.0% 0.0%

Representative Portfolio Ten Largest Holdings

As of 9/30/21
Company Sector %
Microsoft Corp. Information Technology 3.6
Alphabet Inc- Class A Communication Services 3.6
Apple, Inc. Information Technology 3.2
Verizon Communications, Inc. Communication Services 2.9
Texas Instruments, Inc. Information Technology 2.6
Quanta Services, Inc. Industrials 2.6
Ball Corp. Materials 2.4
Jones Lang LaSalle, Inc. Real Estate 2.2
Cisco Systems Inc/Delaware Information Technology 2.2
Intuit, Inc. Information Technology 2.2

Characteristics

As of 9/30/21
Name Calamos Portfolio S&P 500 Index
Number of Holdings 51 505
Portfolio Turnover (12 months) 0.5% N/A
Median Market Cap $62.9 B $30.7 B
Weighted Avg. Market Cap $300.0 B $563.2 B
ROIC 21.4% 24.6%
Debt/Capital 47.5% 47.0%

MSCI ESG Company Rating

As of 9/30/21
Category Representative Portfolio % MSCI ACWI EX US Index (Net) %
AAA 13.5 9.6
AA 25.6 16.0
A 31.5 20.4
BBB 23.6 37.5
BB 4.8 11.5
B 0.0 4.7
CCC 0.0 0.3
N/A 1.0 0.1

The results portrayed on this page are for the U.S. Sustainable Equities Strategy and as such only relate to the representative portfolio shown at that point in time. Other portfolios will vary in composition, characteristics, and will experience 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.

Returns or Risk/Rewards statistics presented reflect the Calamos US Sustainable Equities Composite II, which is an actively managed, U.S focused composite that seeks long-term capital appreciation. The Composite invests primarily in the common stock of companies in the US that excel at managing environmental risks and opportunities, societal impact and corporate governance (ESG) factors and exhibit attractive financial attributes and competitive advantages. On August 25, 2021 Calamos acquired Pearl Impact Capital LLC which has managed the strategy since its inception in 2020. Firm assets shown represent assets managed by Calamos Advisors and not assets managed by Pearl Impact Capital LLC. The Calamos US Sustainable Equities Composite II was formerly named the PIC US Opportunities Composite. This name change was effected August 25, 2021. The Composite was created August 31, 2021, calculated with an inception date of February 1, 2020. Results include all fully discretionary advisory accounts, including those no longer with the Firm. Past performance is no guarantee of future results.

Statistics based on percentage of invested portfolio and are subject to change. Sector weightings exclude any government/sovereign bonds or broad-based index hedging securities the portfolio may hold.

MSCI ESG company ratings are assessed and rated on a 'AAA' to 'CCC' scale according to their exposure to industry specific, financially material ESG risks and the companies' ability to manage those risks relative to peers. Cash is excluded from the allocations shown.

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.

The information provided in this page should not be considered a recommendation to purchase or sell any particular security. There is no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account's entire portfolio and in the aggregate may represent only a small percentage of an account's portfolio holdings. Ten Largest Holdings exclude any government/sovereign bonds or broad-based index hedging securities the portfolio may hold.

It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Calamos Advisors LLC.

Annualized Total Returns

As of 9/30/21
Name 1-Year Since Inception (2/20)
U.S. Sustainable Equities (Gross) 37.01% 23.79%
U.S. Sustainable Equities (Net) 35.35% 22.28%
S&P 500 Index 30.00% 20.93%

Calendar Year Returns

As of 9/30/21
Name Qtr ending Sep 21 YTD 2021 2/1/20 - 12/31/20
U.S. Sustainable Equities (Gross) 1.54% 16.46% 22.59%
U.S. Sustainable Equities (Net) 1.22% 15.39% 21.22%
S&P 500 Index 0.58% 15.92% 18.44%

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 or Risk/Rewards statistics presented reflect the Calamos US Sustainable Equities Composite II, which is an actively managed, U.S focused composite that seeks long-term capital appreciation. The Composite invests primarily in the common stock of companies in the US that excel at managing environmental risks and opportunities, societal impact and corporate governance (ESG) factors and exhibit attractive financial attributes and competitive advantages. On August 25, 2021 Calamos acquired Pearl Impact Capital LLC which has managed the strategy since its inception in 2020. Firm assets shown represent assets managed by Calamos Advisors and not assets managed by Pearl Impact Capital LLC. The Calamos US Sustainable Equities Composite II was formerly named the PIC US Opportunities Composite. This name change was effected August 25, 2021. The Composite was created August 31, 2021, calculated with an inception date of February 1, 2020. Results include all fully discretionary advisory accounts, including those no longer with the Firm. Past performance is no guarantee of future results.

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.

Vehicles and Minimums

Vehicle Minimum Availability
Separately Managed Accounts $5 million Available to new investors
U.S. Sustainable Equities Strategy Fact Sheet

The U.S. Sustainable Equities Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.

ESG Investing in China: The Calamos Sustainable Equity Team Approach

China’s ESG initiatives include many that are in line with those of the West and others that are unique to China. Chinese companies that understand the importance of ESG risks and opportunities can take advantage of “first-mover” competitive advantages, explains Co-Portfolio Manager Tony Tursich.

Environmental Investing: Risk and Opportunity

Drawing on nearly 25 years of ESG investing experience, Anthony Tursich discusses the philosophy of the Calamos Sustainable Equities Team and explains why environmental considerations are so important for understanding investment risk and opportunities.