Calamos Phineus Long/Short Fund Performance Update SEPTEMBER 18 FOR INVESTMENT PROFESSIONAL USE ONLY
Why Calamos Phineus Long/Short Equity-Like Returns with Superior Risk Profile Over Full Market Cycle PERFORMING THROUGH DIFFERENT MARKET CYCLES AS OF 9/3/18 AS OF 12/31/16 Calamos Phineus Long/Short Fund (I Shares) MSCI World Index S&P Index ANNUALIZED RETURNS (%) $7 $6 INTERNET BUBBLE CRASH /1/2-3/31/3 46% of market downside [S&P Index] 43% of market downside [MSCI World Index] -9.17-21. -19.9 RECOVERY 4/1/3-/31/7 21.68 22.2 16.13 134% of market upside [S&P Index] 98% of market upside [MSCI World Index] FINANCIAL CRISIS 11/1/7-2/28/9 9% of market downside [S&P Index] 6% of market downside [MSCI World Index] -24.39 RECOVERY 3/1/9-9/3/18 14.31 14.77 17.91 8% of market upside [S&P Index] 97% of market upside [MSCI World Index] $4 $ $4-43.83-41.39 $378 $3 $ $341 $ $ Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Performance reflected at NAV does not include the Fund s maximum front-end sales load of 4.7%. Had it been included, the Fund s return would have been lower. For the most recent month-end fund performance information visit www.calamos.com. The performance shown for periods prior to 4/6/16 is the performance of a predecessor investment vehicle (the Predecessor Fund ). The Predecessor Fund was reorganized into the Fund on 4/6/16, the date upon which the Fund commenced operations. On October 1, the parent company of Calamos Advisors, purchased Phineus Partners LP, the prior investment adviser to the Predecessor Fund ( Phineus ), and Calamos Advisors served as the Predecessor Fund s investment adviser between October 1, until it was reorganized into the Fund. Phineus and Calamos Advisors managed the Predecessor Fund using investment policies, objectives, guidelines and restrictions that were in all material respects equivalent to those of the Fund. Phineus and Calamos Advisors managed the Predecessor Fund in this manner either directly or indirectly by investing all of the Predecessor Fund s assets in a master fund structure. The Predecessor Fund performance information has been adjusted to reflect Class I share expenses. However, the Predecessor Fund was not a registered mutual fund and thus was not subject to the same investment and tax restrictions as the Fund. If it had been, the Predecessor Fund s performance may have been lower. Upside capture ratio measures a manager s performance in up markets relative to the named index itself. It is calculated by taking the security s upside capture return and dividing it by the benchmark s upside capture return. Downside capture ratio measures manager s performance in down markets as defined by the named index. A down-market is defined as those periods (months or quarters) in which named index return is less than. In essence, it tells you what percentage of the down-market was captures by the manager. For example, if the ratio is 1%, the manager has captured 1% of the down-market and therefore underperformed the market on the downside. Results are before taxes on fund distributions and assume reinvestment of dividends and capital gains. Index data shown is from 11/1/88, since comparative index data is available only for full monthly periods. Logarithmic scales can be useful when looking at performance data over a long period of time. Common percent changes are represented by an equal spacing between the numbers in the scale. For example, the distance between $1 and $2 is equal to the distance between $2 and $4 because both scenarios represent a % increase in price. Source: Morningstar, Inc. 242 918 Q C 2 INVESTMENT PROFESSIONAL USE ONLY
Why Calamos Phineus Long/Short Capital Preservation Over Periods of Market Stress 2% 1% % -1% CALAMOS PHINEUS LONG/SHORT AVERAGE MONTHLY RETURN IN DOWN MARKETS (All monthly rolling periods from 2 to 17) -2% -2.% -3% -4% -% Calamos Phineus Long/Short Fund S&P -3.6% 1.3% 1.6% 1.8% 1.%.9%.%.% - -.8% -.4% -.6% -.2% -.1%.% -1.% -1.3% -1.3% -1.7% -1.6% -1.% -2.2% 1 Month 3 Month 6 Month 9 Month 12 Month 18 Month 24 Month 36 Month 48 Month 6 Month 72 Month The chart shows the average return of the S&P vs. the Fund, during rolling periods from one to 72 months when the S&P was down. For example, on average, the Fund captured less downside than the market (-2.% vs. -3.6%) during all down rolling 1-month periods. In a longer time period, during all rolling 48-month periods, the Fund averaged +1.8% vs. -.2%. The fund preserved more capital than the market in all periods. The longer the holding period, the more likely we can work through difficult markets, and even in shorter periods, the Fund cushioned a good portion of the downside. Data as of 12/31/17. Slide updated annually. There can be no assurance that the Fund will achieve its investment objective. The performance shown for periods prior to 4/6/16 is the performance of a predecessor investment vehicle (the Predecessor Fund ). The Predecessor Fund was reorganized into the Fund on 4/6/16, the date upon which the Fund commenced operations. On October 1, the parent company of Calamos Advisors, purchased Phineus Partners LP, the prior investment adviser to the Predecessor Fund ( Phineus ), and Calamos Advisors served as the Predecessor Fund s investment adviser between October 1, until it was reorganized into the Fund. Phineus and Calamos Advisors managed the Predecessor Fund using investment policies, objectives, guidelines and restrictions that were in all material respects equivalent to those of the Fund. Phineus and Calamos Advisors managed the Predecessor Fund in this manner either directly or indirectly by investing all of the Predecessor Fund s assets in a master fund structure. The Predecessor Fund performance information has been adjusted to reflect Class I share expenses. However, the Predecessor Fund was not a registered mutual fund and thus was not subject to the same investment and tax restrictions as the Fund. If it had been, the Predecessor Fund s performance may have been lower. 242 918 Q C FOR INVESTMENT PROFESSIONAL USE ONLY 3
Why Calamos Phineus Long/Short Superior Risk-Adjusted Performance Since Inception HIGHER RISK-ADJUSTED RETURN AS OF 9/3/18 AS OF 12/31/16 CPLIX MSCI WORLD S&P 1% % 8% 6% 4% % 82% % 9% Captured 82% of the MSCI World upside But with % of the downside 1% % 8% 6% 4% % % % 89% % 6% % 4% 3% 2% 1% % UPSIDE CAPTURE RATIO.21%.% ALPHA 1.16%.21% annualized positive alpha generation since inception Sortino ratio greater than the MSCI World Index 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. For important definitions and disclosures please see the appendix of this presentation. 242 918 Q C 4 INVESTMENT PROFESSIONAL USE ONLY % 1.4% 1.% 1.%.8%.6%.4%.%.% DOWNSIDE CAPTURE RATIO 1.16%.71%.82% SORTINO RATIO
Calamos Phineus Long/Short Strategy Performance through time AS OF 9/3/18 Annualized return %, consecutive 3-year periods CPLIX US funds long/short category MSCI World S&P Inception- 6-8 9-11 12-14 -17 - - - - - - Return Peer Group Rank: 1 of 17 Funds - Return Peer Group Rank: 2 out 29 Funds - Return Peer Group Rank: of 48 Funds - Return Peer Group Rank: 49 of 87 Funds - Return Peer Group Rank: 8 of 194 Funds Sharpe: 1 st percentile Sharpe : th percentile Up capture: 9 th percentile Correlation positive but low Up capture: 3 rd percentile Low correlation to equities points to diversification benefits Sortino: th percentile Low correlation to equities highlights diversification benefits Past performance is no guarantee of future results. Source: Morningstar. Inception as of /1/2. Sortino: 24 th percentile Higher risk metrics, but due to upside deviation Correlation to equity markets high and desirable, illustrating benefits of flexibility Returns vs. MSCI World in line with beta Sharpe: 26 th percentile Sortino: 28 th percentile Low correlation to equities affirms diversification benefits
Appendix
Definitions Alpha. A historical measure of risk-adjusted performance. Alpha measures how much of a portfolio s performance is attributable to investment-specific factors versus broad market trends. A positive alpha suggests that the performance of a portfolio was higher than expected given the level of risk in the portfolio. A negative alpha suggests that the performance was less than expected given the risk. Beta. A common measure of historic volatility, beta measures how much of an investment s performance is attributable to market-wide factors (such as a rising stock market). An investment that goes up or down as much as a broad market measure has a beta of 1. An investment that captures only half of the market s movements would have a beta of.. Correlation. A statistic that measures the degree to which two securities move in relation to each other. Correlations are used in advanced portfolio management. Correlation is computed into what is known as the correlation coefficient, which has value that must fall between -1 and 1. Credit ratings. A measure of a company s credit worthiness and ability to service its debt. Ratings are relative, subjective and not absolute standards of quality. Ratings are measured using a scale that typically ranges from AAA (highest) to D (lowest). The security s credit rating does not eliminate risk. Downside capture. Calculated by taking the fund's monthly return during the periods of negative benchmark performance and dividing it by the benchmark return. Downside deviation. Measures only deviations below a specified benchmark. Duration. A measure of interest rate sensitivity. Event driven. Investing in the inefficiencies of mergers, acquisitions and other corporate events are subject to equity securities risk securities markets are volatile and prices may decline. Gross exposure. The sum of long exposure and short exposure. Gross exposure measures how much of the portfolio s assets are invested and the amount of leverage in the portfolio. Kurtosis. A statistical measure that is used to describe the distribution, or skewness, of observed data around the mean, sometimes referred to as the volatility of volatility. Long/short fixed income. The principal risks of investing in long/short fixed income strategies include: fixed income risk securities are subject to interest rate risk. If rates increase, the value of fixed income investments generally declines; short sale risk the strategy may incur a loss without limit as a result of a short sale if the market value of the security increases, and the manager may be unable to repurchase a borrowed security; leverage risk certain transactions such as loans and securities lending may create leverage and cause the strategy to be more volatile; foreign securities risk fluctuations of exchange rates may affect the U.S. dollar value of a security. Long/short equity. The principal risks of investing in long/short equity strategies include: equity securities risk securities markets are volatile and market prices may decline generally; short sale risk a portfolio may incur a loss without limit as a result of a short sale if the market value of the security increases, a portfolio may be unable to repurchase a borrowed security; leverage risk certain transactions such as loans and securities lending may create leverage and cause the fund to be more volatile; foreign securities risk fluctuations of exchange rates may affect the U.S. dollar value of a security. Max drawdown. A statistical measure that shows the maximum loss that occurred during any sub-period over the time period listed. Net exposure. The difference between a portfolio s long and short exposure, expressed as a percentage. If a portfolio holds a larger percentage in long positions than in short positions, the portfolio is net long. Conversely, a portfolio is net short when it has a larger percentage in short positions than in long positions. Short-only equity. The strategy may incur a loss without limit as a result of a short sale if the market value of the security increases. Standard deviation. Measures the overall risk of a fund. Sharpe ratio. A measure of risk-adjusted performance, where higher values are indicative of better investment decisions rather than the result of taking on a higher level of risk. Sharpe ratio is calculated by the determining difference between a portfolio s return and a risk-free rate, often that of the -year Treasury bond, and dividing the result by the portfolio s standard deviation. Sortino ratio. The excess return over the risk-free rate divided by the downside semi-variance, which measures the return to "bad" volatility (volatility caused by negative returns is considered bad or undesirable by an investor, while volatility caused by positive returns is good or acceptable). Upside deviation. Measures only deviations above a specified benchmark. Upside/downside capture ratios. Indicates whether a given fund has outperformed gained more or lost less than a broad market benchmark during periods of market strength and weakness, and if so, by how much. Upside capture. Calculated by taking the fund's monthly return during months when the benchmark had a positive return and dividing it by benchmark return of that same month. 242 918 Q C FOR INVESTMENT PROFESSIONAL USE ONLY 7
Important Risk Information Alternative investments may not be suitable for all investors, and the risks of alternative investments vary based on the underlying strategies used. Many alternative investments are highly illiquid, meaning that you may not be able to sell your investment when you wish to. An investment in the Fund(s) is subject to risks, and you could lose money on your investment in the Fund(s). There can be no assurance that the Fund(s) will achieve its investment objective. Your investment in the Fund(s) is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. The risks associated with an investment in the Fund(s) can increase during times of significant market volatility. The Fund(s) also has specific principal risks, which are described below. More detailed information regarding these risks can be found in the Fund s prospectus. The principal risks of investing in the Calamos Phineus Long/Short Fund include: equity securities risk consisting of market prices declining in general, short sale risk consisting of potential for unlimited losses, foreign securities risk, currency risk, geographic concentration risk, other investment companies (including ETFs) risk, derivatives risk, options risk, and leverage risk. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect any fees, expenses, or sales charges. Investors cannot invest directly in an index. HFRI Equity Hedge Index Equity Hedge: Investment Managers who maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. EH managers would typically maintain at least % exposure to, and may in some cases be entirely invested in, equities, both long and short. S&P Index is a market weighted index and is widely regarded as the standard for measuring U.S. stock market performance. MSCI World Index is a market capitalization weighted index composed of companies representative of the market structure of 21 developed market countries in North America, Europe, and the Asia/Pacific region. Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. The MSCI World Index consists of the following 23 developed market country indexes: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom, and the United States. Morningstar U.S. Funds Long/Short Category: Long-short portfolios hold sizable stakes in both long and short positions in equities and related derivatives. Some funds that fall into this category will shift their exposure to long and short positions depending on their macro outlook or the opportunities they uncover through bottom-up research. Some funds may simply hedge long stock positions through exchange-traded funds or derivatives. At least 7% of the assets are in equity securities or derivatives. Short Sale Risk The Fund may incur a loss (without limit) as a result of a short sale if the market value of the borrowed security (i.e., the Fund's short position) increases between the date of the short sale and the date the Fund replaces the security. The Fund may be unable to repurchase the borrowed security at a particular time or at an acceptable price. Leveraging Risk Leverage is the potential for the Fund to participate in gains and losses on an amount that exceeds the Fund's investment. Leveraging risk is the risk that certain transactions of the Fund may give rise to leverage, causing the Fund to be more volatile and experience greater losses than if it had not been leveraged. The Fund's use of short sales and investments in derivatives subject the Fund to leveraging risk. Derivatives Risk Derivatives are instruments, such as futures, options and forward foreign currency contracts, whose value is derived from that of other assets, rates or indices. The use of derivatives for non-hedging purposes may be considered more speculative than other types of investments. Derivatives can be used for hedging (attempting to reduce risk by offsetting one investment position with another) or non-hedging purposes. Hedging with derivatives may increase expenses, and there is no guarantee that a hedging strategy will work. Before investing carefully consider the fund's investment objectives, risks, charges and expenses. Please see the prospectus and summary prospectus containing this and other information which can be obtained by calling 1-8-82-699. Read it carefully before investing. NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE Calamos Financial Services LLC, Distributor Calamos Court Naperville, IL 663-2787 8.82.699 www.calamos.com caminfo@calamos.com 18 Calamos Investments LLC. All Rights Reserved. Calamos and Calamos Investments are registered trademarks of Calamos Investments LLC. 242 918 Q C FOR INVESTMENT PROFESSIONAL USE ONLY 8