Institutional Strategies Main

HIGH INCOME

Strategy Objective

The Calamos High Income strategy is a higher quality, high yield strategy that seeks to invest in mid-grade credits of corporate issuers, based predominantly in the U.S. The strategy employs our rigorous, capital structure research process to identify attractive investment candidates, and to manage risk throughout all phases of the credit and economic cycles. The strategy seeks to outperform the BofA Merrill Lynch BB-B Constrained Index over a full market cycle and to generate an attractive yield, with a secondary emphasis on generating capital appreciation.

Key Differentiators
  • In-depth capital structure research to evaluate issuers holistically
  • Broader opportunity set including non-U.S. and non-U.S. dollar issues, and convertible securities
  • Total return orientation
  • Team approach to management

Strategy Details




As of 12/31/16
Inception Date:
11/01/99
Strategy Assets*:
$2.3 B
Benchmark:
BofA ML High Yield BB-B Constrained Index (HUC4)

Resources

* Strategy Assets reflect all assets that are currently being managed (collectively) under the Calamos High Income Strategy.

Sector Weightings

AS OF 12/31/16
% of Assets BofA ML High Yield BB-B Constrained Index (HUC4) Under/Overweight %
Consumer Discretionary 23.5% 20.6%
Industrials 13.0 10.5
Energy 11.9 14.3
Telecom Services 10.5 12.5
Health Care 10.2 7.0
Information Technology 10.1 6.8
Materials 9.7 9.8
Real Estate 4.6 2.7
Financials 3.6 8.1
Consumer Staples 2.7 4.2
 

Representative Portfolio Ten Largest Holdings

AS OF 12/31/16
Company Security Type Sector %
Sprint Corp. 7.88% Corp Bond Due 2023 Telecom Services 2.4
Cardtronics, Inc. 5.13% Corp Bond Due 2022 Information Technology 1.5
First Data Corp. 7.00% Corp Bond Due 2023 Information Technology 1.5
GLP Capital, LP / GLP Financing II, Inc. 5.38% Corp Bond Due 2026 Real Estate 1.4
Toll Brothers Finance Corp. 5.63% Corp Bond Due 2024 Consumer Discretionary 1.4
Huntsman International, LLC 5.13% Corp Bond Due 2022 Materials 1.4
T-Mobile USA, Inc. 6.63% Corp Bond Due 2023 Telecom Services 1.4
HCA, Inc. 4.75% Corp Bond Due 2023 Health Care 1.3
DISH DBS Corp. 5.13% Corp Bond Due 2020 Consumer Discretionary 1.3
United Rentals North America, Inc. 6.13% Corp Bond Due 2023 Industrials 1.3

Characteristics

AS OF 12/31/16
  Calamos Portfolio BofA ML High Yield BB-B Constrained Index (HUC4)
Assets in Strategy $2.3 billion N/A
# of Holdings 132 1,606
Portfolio Turnover % (12-Month) 43.2% N/A
Current Yield 6.3% 6.1%
Time to Maturity 6.0 years 7.3 years
Duration 4.7 years 4.9 years
Average Credit Quality† B+ BB-
Yield to Maturity 6.4% 5.6%

Credit Quality of Bonds

AS OF 12/31/16
AAA 0.0%
AA 0.0%
A 0.0%
BBB 4.4%
BB 49.6%
B 36.5%
CCC and below 9.5%
Unrated Securities 0.0%

Composite Summary

AS OF 12/31/16
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2015 81 21,908 0.4% 1 81
12/31/2014 141 23,506 0.6% 2 71
12/31/2013 338 26,543 1.3% 4 85
12/31/2012 382 30,580 1.3% 4 96
12/31/2011 316 32,777 1.0% 2 158
12/31/2010 338 35,414 1.0% 2 169
12/31/2009 332 32,144 1.0% 2 166
12/31/2008 167 23,522 0.7% 2 84
12/31/2007 252 46,208 0.5% 2 126
12/31/2006 335 44,725 0.7% 4 84
12/31/2005 283 43,805 0.6% 3 94
12/31/2004 236 37,975 0.6% 1 236
12/31/2003 184 23,840 0.8% 1 184
12/31/2002 46 12,892 0.4% 1 46

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Annualized Total Returns

AS OF 12/31/16
1-Year3-Year5-Year10-Year15-YearSince Inception (11/99)
High Income (Gross)13.22%3.70%6.14%6.31%7.81%7.72%
High Income (Net)12.38%2.94%5.37%5.53%7.02%6.93%
BofA ML High Yield BB-B Constrained Index (HUC4)14.70%4.89%7.04%6.94%7.64%6.84%
Credit Suisse US High Yield Index18.38%4.70%7.20%7.16%8.45%7.51%

Calendar Year Returns

AS OF 12/31/16
                           Qtr Ending Dec 162016201520142013201220112010200920082007200620052004200320022001200011/01/1999 to 12/31/1999
High Income (Gross)2.23%13.22%-3.52%2.10%7.34%12.55%5.49%12.35%48.33%-26.28%5.61%11.55%3.51%12.33%26.47%2.22%12.10%3.00%0.53%
High Income (Net)2.04%12.38%-4.24%1.37%6.55%11.74%4.73%11.52%47.28%-26.85%4.83%10.73%2.72%11.48%25.53%1.49%11.30%2.21%0.41%
BofA ML High Yield BB-B Constrained Index (HUC4)1.25%14.70%-2.79%3.49%6.30%14.58%5.40%14.25%46.06%-23.31%3.18%9.30%3.39%9.93%22.89%1.10%5.43%-3.91%1.96%
Credit Suisse US High Yield Index2.52%18.38%-4.86%1.91%7.52%14.72%5.51%14.42%54.22%-26.17%2.65%11.92%2.26%11.95%27.94%3.10%6.16%-5.66%2.71%



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Risk/Reward Since Inception

AS OF 12/31/16
  Calamos High Income Composite BofA ML High Yield BB-B Constrained Index (HUC4)
Alpha 1.14% N/A
Beta 0.96 1.00
Standard Deviation 8.66% 8.37%
Upside Semivariance 3.73% 3.44%
Downside Semivariance 2.91% 2.71%
Sharpe Ratio 0.6927 0.6120
Information Ratio 0.2673 N/A

Since Inception Up/Down Capture Vs. BofA ML High Yield BB-B Constrained Index (HUC4)

AS OF 12/31/16

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Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
Institutional Mutual Fund (CIHYX) Minimum: $1 million

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Calamos High Income Institutional Strategy Fact Sheet
Fact Sheet The High Income Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
Performance Review A discussion of the Calamos High Income Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
Calamos High Yield Investment Process
Credit research has been an integral part of the Calamos investment process since the 1970s. Co-Portfolio Managers Jeremy Hughes and Chris Langs provide an overview of the Calamos high yield investment process — a comprehensive, disciplined process driven by fundamental research.
Calamos High Yield Monthly Snapshot
High Yield Snapshot Jeremy Hughes, CFA, SVP and Co-Portfolio Manager, provides a snapshot of the high yield market.