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PHINEUS LONG/SHORT

Introducing: The Calamos Phineus Long/Short Strategy

The Long Short Model | Calamos Phineus Long/Short Strategy

The Long/Short Model | Flexibility of Calamos Phineus Long/Short Strategy

Offering

  • Absolute return mandate, referencing S&P 500 and MSCI World Indices as return benchmarks
  • Global long/short strategy investing in publicly listed equity securities
  • Investible universe is global, liquid and scalable
  • Assets managed across pooled investment vehicles and SMA formats

Investment Opportunity

  • Track record (13+ years, GIPS compliant) underscores coherence of process and personnel
  • Combines compelling product with institutional class infrastructure
  • Top-down and bottom-up approach addresses limitations of competing strategies
  • Capital allocation opportunity across geography, market capitalization and style

Calamos Edge

  • 30+ year history in risk-adjusted alpha across equities and fixed income
  • Global investment and operating platform

 

Strategy Details

As of 3/31/17
Inception Date:
6/1/2002
Strategy Assets*:
$224.0 M
Benchmark(s):
MSCI World Index
S&P 500 Index

Resources

* Strategy Assets reflect all assets collectively under the Calamos Phineus Long/Short Strategy.

Sector Weightings

AS OF 3/31/17
LONG SHORT GROSS NET MSCI WORLD INDEX
Consumer Discretionary 12.8 0.0 12.9 12.8 12.4
Consumer Staples 0.0 5.6 5.6 -5.6 9.8
Energy 1.4 0.0 1.4 1.4 6.6
Financials 33.2 0.1 33.3 33.1 17.7
Health Care 1.6 8.2 9.8 -6.6 12.2
Industrials 7.8 0.0 7.8 7.8 11.3
Information Technology 14.9 0.1 15.0 14.9 15.4
Materials 0.0 0.0 0.0 0.0 5.1
Real Estate 1.8 0.0 1.8 1.8 3.2
Telecom Services 0.0 1.3 1.3 -1.3 3.1
Utilities 0.0 0.0 0.0 0.0 3.2
Other 19.4 33.5 53.0 -14.1 0.0
TOTAL 93.0 48.9 141.8 44.1 100.0

Numbers may not add up due to rounding. Sector weightings based on percentage of total account and are subject to change.
Sector weightings exclude cash or cash equivalents.

Regional Weightings

AS OF 3/31/17
LONG SHORT GROSS NET MSCI World Index
North America 67.4 48.8 116.2 18.6 62.1
Europe 18.9 0.1 18.9 18.8 24.3
Asia/Pacific 0.0 0.0 0.0 0.0 13.2
Middle East/Africa 0.0 0.0 0.0 0.0 0.3
Emerging Markets 6.7 0.0 6.7 6.7 0.2
TOTAL 93.0 48.9 141.8 44.1 100.0

Regional weightings are based on security's region of risk.

Long/Short Historical Equity Exposure

Long/Short Historical Equity Exposure

Prior to March 31, 2016, portfolio determined long/short equity exposure on a delta adjusted basis for options. After March 31, 2016 long/short equity exposure is determined on a cash basis.


Gross/Net Historical Equity Exposure

Gross/Net Historical Equity Exposure

Prior to March 31, 2016, portfolio determined long/short equity exposure on a delta adjusted basis for options. After March 31, 2016 long/short equity exposure is determined on a cash basis.


Market Capitalization

AS OF 3/31/17
LONG SHORT GROSS NET MSCI World Index
Small Cap Range (<=$3.0bil) 10.6 3.2 13.8 7.3 0.2
Small-Mid Cap Range (>$3.0bil<=$9.0bil) 11.7 3.4 15.1 8.3 7.9
Mid Cap Range (>$9.0bil<=$27.0bil) 25.4 11.2 36.6 14.3 23.3
Mid-Large Cap Range (>$27.0bil<=$94.0bil) 26.0 1.3 27.3 24.8 35.3
Large Cap Range (>$94.0bil) 19.2 29.8 49.0 -10.6 33.3
TOTAL 93.0 48.9 141.8 44.1 100.0

Numbers may not add up due to rounding.

Characteristics

AS OF 3/31/17
LONG SHORT MSCI World Index
# of Holdings 49 20 1,650
Equity Exposure 93.0 48.9 --
Median Mkt Cap ($bil) 26.6 32.4 11.8
Wtd. Avg. Mkt Cap ($bil) 85.2 149.0 115.4

Largest Holdings

AS OF 3/31/17
Long Portfolio Security Region/Industry Sector Weight
Vanguard FTSE Europe ETF Europe N/A 9.2
PayPal Holdings, Inc. Data Processing & Outsourced Services Information Technology 3.9
Global X MSCI Greece ETF Europe N/A 3.6
Priceline Group, Inc. Internet & Direct Marketing Retail Consumer Discretionary 3.4
Goldman Sachs Group, Inc. Investment Banking & Brokerage Financials 3.4


AS OF 3/31/17
Short Portfolio Security Region/Industry Sector Weight
ETF North America N/A -26.7
ETF North America N/A -6.8
ETF Pharmaceuticals Health Care -4.2
ETF All Consumer Staples Industries Consumer Staples -3.4
ETF Biotechnology Health Care -3.2

Composite Summary

AS OF 3/31/17
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (In Millions)
12/31/2015 6 21,908 0.0 1 6
12/31/2014 9 23,506 0.0 1 9
12/31/2013 11 26,543 0.0 1 11
12/31/2012 10 30,580 0.0 1 10
12/31/2011 12 32,777 0.0 1 12
12/31/2010 16 35,414 0.0 1 16
12/31/2009 9 32,144 0.0 1 9
12/31/2008 4 23,522 0.0 1 4
12/31/2007 16 46,208 0.0 1 16
12/31/2006 3 44,725 0.0 1 3
12/31/2005 3 43,805 0.0 1 3
12/31/2004 4 37,975 0.0 1 4
12/31/2003 4 23,840 0.0 1 4
12/31/2002 3 12,892 0.0 1 3

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.

The information portrayed on the composition tab is supplemental information to the Calamos Phineus Long/Short Composite and as such only relate to the representative portfolio shown. Representative holdings and portfolio characteristics are specific only to the portfolio shown at that point in time. Other portfolios will vary in composition, characteristics, and will experienced 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 and Risk/Reward statistics presented reflect the Calamos Phineus Long/Short Composite which is an actively managed composite primarily investing in long and short positions of global publicly listed equity securities. The Composite was created September 30, 2015 calculated with an inception date of June 1, 2002 and includes all fully discretionary fee paying accounts, including those no longer with the Firm. On October 1, 2015 Calamos acquired Phineus Partners, LP which has managed the strategy since its inception in 2002.

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. The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and industry group representation. It is a market-value weighted index (stock price times number of shares outstanding), with each stock's weight in the index proportionate to its market value and is one of the most widely used benchmarks of U.S. equity performance.

The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. Information contained herein is for informational purposes only and should not be considered investment advice.

The information provided in this report 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.

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.

Manager's fees are further described in Form ADV Part 2A, which is available upon request. Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Russell/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 assuming reinvestment of dividends and capital gains distributions.

Strategy Vehicles

Separately Managed Accounts Minimum: $10 million
Institutional Mutual Fund (CPLIX) Minimum Minimum: $1 million

34601E

Literature

Phineus Long/Short Fact Sheet The Phineus Long Short Strategy fact sheet provides a snap shot of the investment team, the fund strategy, performance, composition, ratings and returns.
Phineus Long Short Strategy Performance Review A discussion of the Calamos Phineus Long Short Strategy ’s performance versus a benchmark, positioning, related market commentary, and outlook.