Strategy Objective
The Strategy tactically invests in a mix of large-capitalization companies that exhibit either defensive or growth characteristics-depending on our determination of which style will outperform near term. We construct the portfolio based on fundamental, quantitative and market-sentiment considerations. In addition, we conduct proprietary style research to assess the market's appetite for risk and adjust the portfolio accordingly.
Key Differentiators
- The team attributes much of its performance to knowing whether investors are embracing growth versus value and the degree of price momentum.
- The strategy's models have a strong sensitivity to price momentum and help the team understand investors' appetite for adding or removing risk.
- Proprietary style research provides an edge in anticipating potential market turning points and preemptively responding.
- The team seeks to sell winners more aggressively near inflection points and take profits proactively.
Strategy Details
As of 3/31/24| Inception Date: | 5/01/17 |
|---|---|
| Strategy Assets*: | $3.0 M |
| Benchmark: | Russell 1000 Index |
*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.
Portfolio
Sector Weightings
| Sector | % of Assets | Russell 1000 Index | Under/Overweight % |
|---|---|---|---|
| Information Technology | 32.0% | 28.3% | |
| Consumer Discretionary | 13.1% | 10.4% | |
| Health Care | 11.7% | 12.3% | |
| Communication Services | 9.6% | 8.7% | |
| Industrials | 7.5% | 9.7% | |
| Financials | 6.6% | 13.8% | |
| Energy | 4.5% | 3.9% | |
| Consumer Staples | 4.5% | 5.7% | |
| Materials | 4.4% | 2.6% | |
| Utilities | 2.2% | 2.1% | |
| Real Estate | 1.6% | 2.5% | |
| Other | 2.3% | 0.0% | |
Representative Portfolio Ten Largest Holdings
| Company | Sector | % |
|---|---|---|
| Microsoft Corp. | Information Technology | 7.4 |
| NVIDIA Corp. | Information Technology | 5.8 |
| Amazon.com, Inc. | Consumer Discretionary | 4.5 |
| Alphabet, Inc. - Class C | Communication Services | 4.0 |
| Meta Platforms, Inc. - Class A | Communication Services | 3.8 |
| SPDR S&P Biotech ETF | N/A | 2.3 |
| Apple, Inc. | Information Technology | 2.1 |
| Arista Networks, Inc. | Information Technology | 2.0 |
| Martin Marietta Materials, Inc. | Materials | 1.6 |
| JPMorgan Chase & Company | Financials | 1.6 |
Characteristics
| Name | Calamos Portfolio | Russell 1000 Index |
|---|---|---|
| Number of Holdings | 90 | 1,004 |
| Portfolio Turnover (12 months) | 69.9% | N/A |
| Median Market Cap | $67.4 B | $14.5 B |
| Weighted Avg. Market Cap | $733.9 B | $734.3 B |
Performance
Annualized Total Returns
| Name | 1-Year | 3-Year | 5-Year | Since Inception (5/01/17) |
|---|---|---|---|---|
| Timpani Enhanced Alpha (Gross) | 37.09% | 10.59% | 16.12% | 14.94% |
| Timpani Enhanced Alpha (Net) | 36.40% | 9.97% | 15.50% | 14.33% |
| Russell 1000 Index | 29.87% | 10.45% | 14.76% | 13.84% |
Calendar Year Returns
| Name | Qtr ending Mar 24 | YTD 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 5/1/17 - 12/31/17 |
|---|---|---|---|---|---|---|---|---|---|
| Timpani Enhanced Alpha (Gross) | 13.28% | 13.28% | 23.97% | -15.95% | 27.45% | 27.16% | 25.40% | -6.00% | 16.30% |
| Timpani Enhanced Alpha (Net) | 13.14% | 13.14% | 23.35% | -16.43% | 26.68% | 26.52% | 24.77% | -6.47% | 15.92% |
| Russell 1000 Index | 10.30% | 10.30% | 26.53% | -19.13% | 26.46% | 20.96% | 31.43% | -4.78% | 13.57% |
Past performance does not guarantee or indicate future results. Current performance may be lower or higher than the performance quoted. 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.
Returns and Risk/Reward statistics presented reflect the Calamos Timpani Enhanced Alpha Composite Composite, which is an actively managed Composite investing in a mix of large capitalization companies that exhibit either defensive or growth characteristics, based on the probability of which style will outperform over the near term. The Composite was created May 1, 2017, and calculated with an inception date of 5/1/2017. Results include all fully discretionary accounts, including those no longer with the Firm. On May 31, 2019, Calamos acquired Timpani Capital Management LLC, which has managed the strategy since its inception in 2017. All returns are net of commission and other similar fees charged on securities transactions and include reinvestment of net realized gains and interest.
Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.
The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 1000 Index is published and maintained by FTSE Russell.
Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Calamos Advisors LLC.
Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions.
Risk/Reward
Risk/Reward Since Inception
| Name | Calamos Timpani Enhanced Alpha Composite | Russell 1000 Index |
|---|---|---|
| Alpha | 2.19% | N/A |
| Beta | 0.91 | 1.00 |
| Annualized Standard Deviation | 16.42% | 17.27% |
| Upside Semivariance | 15.63% | 15.91% |
| Downside Semivariance | 8.20% | 10.11% |
| Sharpe Ratio | 0.79 | 0.69 |
| Information Ratio | 0.21 | N/A |
| Sortino Ratio | 1.28 | 1.06 |
Vehicles & Minimums
Vehicles and Minimums
| Vehicle | Minimum | Availability |
|---|---|---|
| Separately Managed Accounts | $5 million | Available to new investors |