Institutional Strategies Main

MARKET NEUTRAL INCOME

Fund Objective

The Calamos Market Neutral Income Fund is an absolute return, historically lower-volatility strategy that seeks to generate consistent income and capital appreciation through complimentary underlying strategies of convertible arbitrage and covered call writing. The strategy historically has exhibited a low equity beta, lower correlations to both the equity and fixed income markets, lower absolute volatility and limited drawdowns.

Key Differentiators
  • Absolute return, outcome orientation
  • Complimentary underlying investment strategies which allow the strategy to achieve its objective in varying market environments
  • Liquid alternative strategy: full transparency, fund governance and liquidity
  • Competitive fees relative to typical alternative strategies
  • Long standing, distinguished track record generated by seasoned investment team

Fund Details




As of 06/30/14
Inception Date:
09/04/90
Fund Assets*:
$4.1 B
Benchmark:
Barclays U.S. Government/Credit Index

Resources

* Fund Assets includes assets under management as well as assets for which the company provides model portfolio design and oversight.

Characteristics

AS OF 06/30/14
  Calamos Market Neutral Income Fund (A Shares)
Assets in Fund $4.1 billion
# of Holdings 683
Portfolio Turnover % (1-Year) 71.4%
SEC Yield (A Shares at NAV) 0.16%

Credit Quality of Bonds

AS OF 06/30/14
AAA 0.0%
AA 2.4%
A 11.8%
BBB 14.5%
BB 22.5%
B 7.2%
CCC and below 1.4%
Unrated Securities 40.2%

Annualized Total Returns

AS OF 06/30/14
1-Year3-Year5-Year10-Year15-Year20-YearSince Inception (09/04/90)Qtr ending 6/2014
Calamos Market Neutral Income Fund (Gross)6.09%4.59%5.81%3.66%5.25%6.41%6.81%1.26%
Calamos Market Neutral Income Fund (Net)1.02%2.90%4.78%3.15%4.91%6.16%6.59%-3.57%
Barclays U.S. Government/Credit Index4.28%4.08%5.09%4.94%5.66%6.18%6.68%1.92%

Calendar Year Returns

AS OF 06/30/14
                           YTD 201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991Since Inception through year end 1990
Calamos Market Neutral Income Fund (Gross)1.72%5.85%5.81%2.51%4.90%13.80%-13.28%5.93%8.42%-2.05%4.94%9.36%6.61%8.49%10.32%13.69%10.04%14.00%8.17%14.46%-7.41%12.13%12.18%13.97%2.90%
Calamos Market Neutral Income Fund (Net)-3.14%0.83%0.81%-2.38%-0.10%8.37%-17.41%0.94%3.27%-6.68%-0.06%4.14%1.55%3.32%5.08%8.29%4.82%8.55%3.06%9.07%-11.79%6.80%6.84%8.60%-2.00%
Barclays U.S. Government/Credit Index3.94%-2.35%4.82%8.74%6.59%4.52%5.70%7.23%3.78%2.37%4.19%4.67%11.04%8.50%11.85%-2.15%9.47%9.76%2.90%19.24%-3.51%11.03%7.58%16.13%



Risk/Reward Statistics for the 10-Year Period

AS OF 06/30/14
  Calamos Market Neutral Income Fund
(A Shares)
S&P 500 index
Alpha 2.03% N/A
Beta 0.26 1.00
Std. Deviation 5.38% 16.09%
Sharpe Ratio 0.22 -0.26
Info Ratio 0.33 N/A

Fund Vehicles

Institutional Mutual Fund* Minimum $1 million
Fact Sheet The Market Neutral Income Fund fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
Calamos Market Neutral Income Fund Quarterly Commentary A quarterly discussion of the Calamos Market Neutral Income Fund’s performance versus a benchmark, positioning, related market commentary, and outlook.
Equity Valuation Process A review of Calamos Investments’ research process for determining a company’s business valuation and how Calamos research uncovers the economic profits of a company and how our research determines the quality of the cash flows, the return on capital, and finally, the equity’s valuation.
Investment Team View the Alternatives Team biographies
Calamos Market Neutral Fund Prospectus (ABC) This summary contains important information about the Class A, B and C Market Neutral Income Fund investment objective, fees and expenses, principal investment strategies, principal risks and performance.
Calamos Market Neutral Income Fund Prospectus (IR) This summary contains important information about the Class I and R Market Neutral Income Fund investment objective, fees and expenses, principal investment strategies, principal risks and performance.
Statutory Prospectus (ABC) You should read the accompanying prospectus and any accompanying prospectus supplement, which contain important information, before deciding whether to invest in our securities.
Statutory Prospectus (IR) You should read the accompanying prospectus and any accompanying prospectus supplement, which contain important information, before deciding whether to invest in our securities.
SAI The statement of additional information is a supplementary document to the fund’s prospectus and contains additional information about the fund and includes further disclosure regarding its operations.