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
  • The BofA Merrill Lynch BB-B U.S. High Yield Constrained Index (HUC4) contains all securities in The BofA Merrill Lynch U.S. High Yield Index rated BA1 through B3, based on an average of Moody's, S&P and Fitch, but caps issuer exposure at 2%. Index constituents are capitalization-weighted, based on their current amount outstanding, provided the total allocation to an individual issuer does not exceed 2%.

Strategy Details




As of 03/31/14
Inception Date:
11/01/99
Strategy Assets*:
$3.1 B
Benchmark:
BofA ML High Yield BB-B Constrained Index (HUC4)

Resources

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

Sector Weightings

AS OF 03/31/14
% of Assets BofA ML High Yield BB-B Constrained Index (HUC4) Under/Overweight %
Consumer Discretionary 26.1% 21.1%
Energy 16.9 15.2
Industrials 13.0 10.5
Materials 10.8 8.7
Information Technology 7.7 4.3
Health Care 7.0 8.3
Financials 6.5 14.8
Telecommunication Services 4.8 9.4
Consumer Staples 4.6 4.1
Utilities 2.6 3.6
 

Representative Portfolio Ten Largest Holdings

AS OF 03/31/14
Company Security Type Sector %
Ryland Group, Inc. 6.63% Corp Bond Due 2020 Consumer Discretionary 2.1
HCA Holdings, Inc. 7.75% Corp Bond Due 2021 Health Care 1.5
Community Health Systems, Inc. 7.13% Corp Bond Due 2020 Health Care 1.4
Hughes Satellite Systems Corp. 7.63% Corp Bond Due 2021 Information Technology 1.4
United Rentals North America, Inc. 7.63% Corp Bond Due 2022 Industrials 1.4
W&T Offshore, Inc. 8.50% Corp Bond Due 2019 Energy 1.3
Viasystems, Inc. 7.88% Corp Bond Due 2019 Information Technology 1.3
Jaguar Land Rover Automotive, PLC 8.13% Corp Bond Due 2021 Consumer Discretionary 1.3
Post Holdings, Inc. 7.38% Corp Bond Due 2022 Consumer Staples 1.3
New Gold, Inc. 6.25% Corp Bond Due 2022 Materials 1.3

Characteristics

AS OF 03/31/14
  Calamos Portfolio BofA ML High Yield BB-B Constrained Index (HUC4)
Assets in Strategy $3.1 billion N/A
# of Holdings 159 1,747
Portfolio Turnover % (5-Year) 65.8% N/A
Current Yield 6.2% 6.4%
Time to Maturity 6.8 years 8.8 years
Duration 5.1 years 5.3 years
Average Credit Quality† BB-/B+ BB-
Yield to Maturity 5.3% 5.4%

Credit Quality of Bonds

AS OF 03/31/14
AAA 0.0%
AA 0.0%
A 0.0%
BBB 7.3%
BB 54.2%
B 37.3%
CCC and below 1.2%
Unrated Securities 0.0%

Largest Country Weightings

AS OF 03/31/14
Representative Portfolio BofA ML High Yield BB-B Constrained Index (HUC4)
United States 84.3% 82.1%
Canada 3.5% 2.7%
United Kingdom 3.0% 3.5%
Luxembourg 2.0% 2.4%
Switzerland 1.7% 0.4%
Australia 1.0% 0.7%
France 0.9% 1.2%
Norway 0.9% 0.5%
Japan 0.9% 0.5%
Cyprus 0.7% 0.1%

Global Summary

AS OF 03/31/14
Representative Portfolio BofA ML High Yield BB-B Constrained Index (HUC4)
Developed Markets 98.8% 0.0%
Emerging Markets 1.2% 0.0%

Composite Summary

AS OF 03/31/14
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
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

44607C

Annualized Total Returns

AS OF 03/31/14
1-Year3-Year5-Year10-YearSince Inception (11/99)
High Income (Gross)7.75%8.23%15.31%7.97%8.68%
High Income (Net)6.98%7.46%14.48%7.18%7.89%
BofA ML High Yield BB-B Constrained Index (HUC4)6.91%8.45%15.71%7.79%7.36%
Credit Suisse High Yield Index7.67%8.92%17.47%8.39%8.21%

Calendar Year Returns

AS OF 03/31/14
                           Qtr ending Mar 14YTD 20142013201220112010200920082007200620052004200320022001200011/1/1999 to 12/31/1999
High Income (Gross)3.20%3.20%7.34%12.55%5.50%12.34%48.34%-26.29%5.60%11.55%3.50%12.32%26.46%2.24%12.10%3.00%0.53%
High Income (Net)3.02%3.02%6.57%11.75%4.74%11.53%47.27%-26.85%4.82%10.72%2.73%11.49%25.53%1.48%11.28%2.23%0.41%
BofA ML High Yield BB-B Constrained Index (HUC4)2.98%2.98%6.31%14.58%5.40%14.26%46.06%-23.31%3.19%9.29%3.39%9.93%22.89%1.10%5.43%-3.91%1.96%
Credit Suisse High Yield Index3.07%3.07%7.54%14.72%5.47%14.42%54.22%-26.17%2.65%11.92%2.26%11.95%27.94%3.10%5.80%-5.21%2.59%



44607B

Risk/Reward Since Inception

AS OF 03/31/14
  Calamos High Income Composite BofA ML High Yield BB-B Constrained Index (HUC4)
Alpha 1.52% N/A
Beta 0.95 1.00
Standard Deviation 9.06% 8.77%
Upside Semivariance 4.12% 3.73%
Downside Semivariance 3.26% 3.06%
Sharpe Ratio 0.73 0.61
Information Ratio 0.36 N/A

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

AS OF 03/31/14

44607B

Strategy Vehicles

Separately Managed Accounts $5 million
Institutional Mutual Fund (CIHYX) Minimum $1 million

34607E

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.
High Yield Monthly Snapshot Jeremy Hughes, CFA, SVP and Co-Portfolio Manager and Chris Langs, CFA, SVP and Co-Portfolio Manager provide a snapshot of the high yield market.