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MARKET NEUTRAL INCOME

Strategy Objective

The Calamos Market Neutral Income Strategy 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 lower 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

Strategy Details




As of 03/31/17
Inception Date:
01/01/91
Strategy Assets*:
$3.8 B
Benchmark:
S&P 500 Index

Resources

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

Credit Quality of Bonds

AS OF 03/31/17
Class %
AAA 0.0%
AA 0.3%
A 5.4%
BBB 16.2%
BB 35.3%
B 34.6%
CCC and below 8.2%
Unrated Securities 0.0%

Composite Summary

AS OF 03/31/17
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2015 3,747 21,908 17.1% 1 3,747
12/31/2014 4,187 23,506 17.8% 1 4,187
12/31/2013 3,442 26,563 13.0% 1 3,442
12/31/2012 2,461 30,580 8.1% 2 1,231
12/31/2011 2,318 32,777 7.2% 1 2,318
12/31/2010 2,178 35,414 6.2% 1 2,178
12/31/2009 1,680 32,144 5.2% 1 1,680
12/31/2008 1,230 23,522 5.2% 1 1,230
12/31/2007 1,599 46,208 3.4% 1 1,599
12/31/2006 949 44,725 2.1% 1 949
12/31/2005 262 43,805 0.6% 1 262
12/31/2004 562 37,975 1.5% 1 562
12/31/2003 700 23,840 2.9% 1 700
12/31/2002 618 12,892 4.8% 1 618

Annualized Total Returns

AS OF 03/31/17
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
Market Neutral Income (Gross)7.72%4.32%4.73%4.43%5.27%8.03%
Market Neutral Income (Net)6.99%3.62%4.02%3.71%4.53%7.26%
Bloomberg Barclays U.S. Government/Credit Bond Index0.54%2.69%2.47%4.34%4.75%6.05%
Citigroup Treasury Bill - 30 Days0.26%0.12%0.09%0.53%1.17%2.52%

Calendar Year Returns

AS OF 03/31/17
                           Qtr Ending Mar 17YTD 201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
Market Neutral Income (Gross)2.06%2.06%6.06%2.32%3.28%7.13%7.08%3.72%6.15%15.10%-12.24%7.45%9.96%-0.64%6.52%10.90%8.17%10.42%12.52%15.94%12.21%16.25%10.33%16.73%-5.54%14.34%14.40%16.21%
Market Neutral Income (Net)1.89%1.89%5.34%1.63%2.58%6.39%6.37%3.02%5.41%14.31%-12.86%6.67%9.14%-1.38%5.75%10.07%7.38%9.62%11.68%15.09%11.40%15.40%9.52%15.86%-6.26%13.52%13.57%15.38%
Bloomberg Barclays U.S. Government/Credit Bond Index0.96%0.96%3.04%0.15%6.01%-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%9.48%9.76%2.90%19.24%-3.51%11.03%7.58%16.12%
Citigroup Treasury Bill - 30 Days0.11%0.11%0.20%0.02%0.02%0.03%0.05%0.05%0.12%0.09%1.34%4.56%4.75%2.93%1.21%1.02%1.65%3.69%5.65%4.44%4.54%4.87%4.97%5.36%3.83%2.87%3.25%5.12%



Risk/Reward Since Inception

AS OF 03/31/17
  Calamos Market Neutral Income Composite S&P 500 Index
Alpha 5.31% N/A
Beta 0.25 1.00
Standard Deviation 4.81% 14.24%
Upside Semivariance 1.74% 10.36%
Downside Semivariance 0.62% 7.26%
Sharpe Ratio 1.1037 0.7943
Information Ratio 0.3456 N/A

Strategy Vehicles

Institutional Mutual Fund (CMNIX) Minimum $1 million
Performance Review A discussion of the Calamos Market Neutral Income Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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Market Neutral Income Institutional Strategy Fact Sheet
Fact Sheet The Market Neutral Income Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
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