U.S. Sustainable Equities Strategy

Strategy Objective

The Calamos U.S. 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

Inception Date: 2/01/20
Benchmark: S&P 500 Index

Resources

Sector Weightings

As of 6/30/21
Representative Portfolio % of Assets S&P 500 Index Under/Overweight %
Information Technology 23.0% 27.5%
Financials 13.7% 11.2%
Health Care 13.3% 13.0%
Consumer Discretionary 11.9% 12.3%
Consumers Staples 7.5% 5.8%
Industrials 13.9% 8.5%
Communication Services 5.7% 11.2%
Energy 0.0% 2.8%
Materials 3.1% 2.6%
Utilities 3.4% 2.5%
Real Estate 4.4% 2.6%

Representative Portfolio Ten Largest Holdings

As of 6/30/21
Company Industry %
ALPHABET INC-CL A Communication Services 2.33
APPLE INC Information Technology 2.33
QUANTA SERVICES INC Industrials 2.25
PNC FINANCIAL SERVICES GROUP Financials 1.81
APPLIED MATERIALS INC Information Technology 1.64
MICROSOFT CORP Information Technology 1.57
AMERICAN TOWER CORP Real Estate 1.55
DARLING INGREDIENTS INC Consumer Staples 1.50
TRACTOR SUPPLY COMPANY Consumer Discretionary 1.45
NIKE INC -CL B Consumer Discretionary 1.45

Characteristics

As of 6/30/21
Name Calamos Portfolio S&P 500 Index
Number of Holdings 52 500
Weighted Average Market Cap (mil) $282,189 $543,699
ROIC - Market Cap Weighted Average 26.5% 15.4%
ROIC - Average 15% 10.6%
Debt/Capital 48.9% 48.6%

ESG Characteristics

As of 6/30/21
Name Calamos Portfolio S&P 500 Index
Sustainalytics Rank 80.9 62.8
Sustainalytics Environmental Score 87.1 68.2
Sustainalytics Social Score 71.8 59.8
Sustainalytics Governance Score 65.3 51.4
ISS Quality Score 3.8 5.5
S&P Global ESG Rank 71.4 65.5
Board Gender Diversity (% of women on board) 32.3 31.1
Board Independence (% of independent directors) 85.7 85.8

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 U.S. Sustainable Equities Composite, which is an actively managed composite that utilizes an integrated proprietary ESG process benchmarked to the S&P 500 Index to invest in common stocks, preferred stocks, securities convertible into U.S. common stocks, and U.S. dollar-denominated American Depository Receipts, primarily in high growth industries and companies across all market capitalizations. On August 25, 2021, Calamos acquired Pearl Impact Capital, LLC, which has managed the strategy since its inception in 2020. The Calamos U.S. Sustainable Equities Composite was formerly named the PIC U.S. Opportunities Portfolio. This name change was effected August 25, 2021.The Composite was created February 1, 2020, calculated with an inception date of February 1, 2020. The Composite results include all fully discretionary accounts, including those no longer with the Firm.

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.

ESG Characteristics are based on a market cap weighted average.

Active share is the fraction of a portfolio's holdings that deviate from the benchmark index.

Sustainalytics rank/score is the overall percentile rank assigned to the company based on its environmental, social and governance (ESG) total score relative to its industry peers. For the top 1% the percentile is 99%; for the bottom 1% the percentile is 1%. This is Sustainalytics' most comprehensive percentile rank. Aggregate ESG performance encompasses a company's level of preparedness, disclosure and controversy across all three ESG themes.

ISS Quality Score is the overall score assigned by Institutional Shareholder Services (ISS) to the company's governance practices. The score ranges from 1 for best to 10 for worst.

S&P Global ESG Rank or the Total Sustainability Score is based on individual questions that roll up into criteria, which in turn roll up into the three dimensions of Economic, Environmental and Social. The types and weights of individual questions and criteria are adjusted for each industry-specific questionnaire to reflect the materiality of specific sustainability themes within each industry.

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.

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: BNY Mellon Analytical Services LLC and Calamos Advisors LLC.

Annualized Total Returns

As of 6/30/21
Name 1-Year Since Inception
U.S. Sustainable Equities (Gross) 47.17% 27.32%
U.S. Sustainable Equities (Net) 45.34% 25.74%
S&P 500 Index 40.79% 24.68%

Calendar Year Returns

As of 6/30/21
Name Qtr ending Jun 21 YTD 2021 2020
U.S. Sustainable Equities (Gross) 6.87% 14.70% 22.59%
U.S. Sustainable Equities (Net) 6.54% 13.99% 21.20%
S&P 500 Index 8.55% 15.25% 18.45%

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 U.S. Sustainable Equities Composite, which is an actively managed composite that utilizes an integrated proprietary ESG process benchmarked to the S&P 500 Index to invest in common stocks, preferred stocks, securities convertible into U.S. common stocks, and U.S. dollar-denominated American Depository Receipts, primarily in high growth industries and companies across all market capitalizations. On August 25, 2021, Calamos acquired Pearl Impact Capital, LLC, which has managed the strategy since its inception in 2020. The Calamos U.S. Sustainable Equities Composite was formerly named the PIC U.S. Opportunities Portfolio. This name change was effected August 25, 2021.The Composite was created February 1, 2020, calculated with an inception date of February 1, 2020. The Composite 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.

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.

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.