CVSIX CMNIX Calamos Market Neutral Income Fund An Absolute Return, Liquid Alternative Strategy 2Q 2017 The opinions referenced are as of the date of the publication, 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. Past performance is no guarantee of future results. NOT FDIC INSURED MAY LOSE VALUE NO BANK GUARANTEE INVESTMENT PROFESSIONAL USE ONLY
Agenda Topics» Firm Overview» Investment Team» Investment Opportunity and Process Convertible Arbitrage Covered Call Writing» Product Profile» Appendix 2
Firm Overview
AS OF 3/31/17 Calamos Firm Overview CALAMOS OVERVIEW» Multi-disciplined, global asset manager» Headquartered in Chicago-metro area, offices in New York, San Francisco and London» Founded in 1977» AUM^ of U.S. $18.8 billion» Institutional Assets of U.S. $6.4 billion» 331 employees*, 64 investment professionals DIFFERENTIATORS» 40 years in global asset management» Fundamental research, top-down thematic» Capital structure analysis» High active share, high conviction» Focus on risk-adjusted alpha ASSETS BY STRATEGY (IN USD, MILLIONS) ACTIVE GROWTH EQUITY $2,306 U.S. Growth $1,825 International Growth $288 Global Growth $179 Emerging Market Equity $14 LOWER-VOLATILITY EQUITY/ RISK MANAGED $5,804 Emerging Economies $422 U.S. Opportunities $4,817 Global Opportunities $565 CONVERTIBLES $1,865 U.S. Convertible $1,623 Global Convertible $242 FIXED INCOME $2,516 ALTERNATIVES $4,574 OTHER $1,705 Other-Global $848 Other-U.S. $857 TOTAL ASSETS $18,770 ^ AUM excludes assets under advisement of $339 million for which the company provides model portfolio design and oversight. Institutional Assets include institutional share classes of open-end funds as well as assets managed for institutions. * Information as of 3/31/2017. Total represents full-time employees of the operating subsidiaries of Calamos Asset Management, Inc. Part-time employees and consultants are excluded.
Alternative Strategies Are Part of Our Heritage A TRADITION OF ALTERNATIVE INVESTING Throughout our history, Calamos has provided investors with alternative strategies to help them tailor the risk and return characteristics of their asset allocations. 1985 While convertible securities now enjoy recognition in the global markets, they were not well known in 1985 when we introduced Calamos Convertible Fund, one of the first convertible mutual funds. 1990 1990s 2012 Calamos Market Neutral Income Fund brought strategies typically reserved for hedge funds to individual investors, making it one of the first liquid alternative funds available for mutual fund investors. Calamos Market Neutral Income Fund management team was nominated for 2012 U.S. Morningstar Alternatives Fund Manager of the Year. 2013 We introduced Calamos Long/Short Fund in 2013 to meet the growing demand for liquid alternative strategies. 2010s 1980s 1990s 1996 2005 2007 2008 2014 Calamos launched Hedged Equity Income Fund in December 2014, leveraging our role as a pioneer in alternative investing for more than two decades. The fund serves as a natural extension of our covered call capabilities. 5
Firm and Global Investment Management History STRATEGY DEVELOPMENTS 1979 Convertible 1988 Began investing in non-u.s. securities 1990 Market Neutral 1989 Income U.S. Opportunities 1991 U.S. Growth 1996 Global Opportunities 2005 International Growth 1999 High Income 2007 Global Growth 2008 Emerging Economies 2013 Emerging Market Equity International Growth Concentrated 1970s 1980s 1990s 2000s 2010s 1977 John P. Calamos, Sr. establishes an investment firm 1981 First institutional client 2007 Launch of Dublindomiciled UCITS for non- U.S. investors 2009 Established London office 2012 Established New York office 2015 Established San Francisco office 2015 Phineus Long/Short team joined 2016 John Koudounis joined as CEO BUSINESS DEVELOPMENTS 6
Investment Team
Calamos Investment Organization Chief Investment Officer Team INVESTMENT PROFESSIONALS Number of Prof. Avg. Yrs. Ind. Exp. Global CIO/Co-CIOs 5 29 Co-PMs 8 22 Research Team 38 11 Portfolio Specialists 3 23 Trading 7 24 Risk Mgt. 3 23 FIRM TOTAL 64 INVESTMENT DISCIPLINES U.S. Growth Equities Global Equities Convertibles Multi-Asset Fixed Income Alternatives Investment Committee Global Trading Portfolio Specialists SECTOR RESEARCH Portfolio Risk Management Technology Healthcare Financials Consumer Cyclicals Investment Operations Data as of 3/31/17. 8
Portfolio Management: Calamos Market Neutral Income Fund John P. Calamos, Sr. Chairman, Global CIO Industry Experience: 47 years Tenure: 40 years Eli Pars, CFA Co-CIO, Head of Alternative Strategies and Co-Head of Convertible Strategies, Sr. Co-PM Industry Experience: 29 years Tenure: 10 years Jason Hill Co-Portfolio Manager Industry Experience: 16 years Tenure: 13 years David O Donohue Co-Portfolio Manager Industry Experience: 17 years Tenure: 3 years This team also draws upon the resources of the broader Calamos Investment Organization. As of the prospectus effective February 28, 2017. Tenure refers to tenure with Calamos Investments. 9
Investment Opportunity and Process
The Trend in Stocks: Higher Volatility» Investors are searching for new alternatives in an era of higher volatility» This chart shows the increase in volatility since the 2008 financial crisis S&P 500 INDEX WEEKLY RETURNS DISTRIBUTION 14% Recent: Jan 2008 to December 2016 (Std Dev: 19.09%) Historical: Jan 1928 to Dec 2007 (Std Dev: 17.73%) 12% 10% Since 2008: Percentage of weekly returns less than -4% Since 2008: Percentage of weekly returns greater than 4% % of Total Weeks 8% 6% 4% 2% 0% Less than -4.0% -3.5% to -4.0% -3.0% to -3.5% -2.5% to -3.0% -2.0% to -2.5% -1.5% to -2.0% -1% to -1.5% -0.5% to 0% to -1.0% -0.5% Weekly Return 0% to 0.5% 0.5% to 1.0% 1.0% to 1.5% 1.5% to 2.0% 2.0% to 2.5% 2.5% to 3.0% 3.0% to 3.5% 3.5% to 4.0% More than 4.0% Source: Bloomberg. Past performance is no guarantee of future results. 11
Alternatives May Provide a More Comfortable Way to Invest in Volatile Markets» Downturns such as market corrections actually occur quite frequently» Staying the course is crucial to reap the long-term growth potential» An alternative strategy can potentially mitigate the risks inherent in equity investing through hedging, while providing lower volatility and a steady income stream MARKET CORRECTIONS (5% OR GREATER) Source: Bloomberg. Past performance is no guarantee of future results. The S&P 500 Index is a measure of the performance of the U.S. stock market. Indexes are unmanaged, not available for direct investment and do not include fees or expenses. A 200-day moving average is a security or index s average closing price over the past 200 days. 12
Market Neutral Income Fund: Overview An absolute return fund that utilizes convertible arbitrage and covered call writing strategies to achieve its investment objectives:» Absolute return» Historically low equity beta and volatility; limited drawdowns» Income and capital appreciation with goal of preservation of capital Complementary investment strategies designed to optimally utilize volatility to generate returns while managing risk:» Convertible arbitrage (long volatility strategy) provides hedged equity exposure and potential alpha» Covered call writing (short volatility strategy) provides income from options writing and upside participation Managed by a seasoned investment team; one of the first liquid, alternative 40 Act funds in the market, launched in 1990:» Investment team with a distinguished track record managing alternative and convertible arbitrage strategies» Full transparency and fund governance» Daily liquidity, no lockups» Highly competitive fees relative to traditional hedge funds and other alternative investments Alpha is the measurement of performance on a risk adjusted basis. A positive alpha shows that performance of a portfolio was higher than expected given the risk. A negative alpha shows that the performance was less than expected given the risk. 13
Market Neutral Income Fund Strategies As complementary strategies, convertible arbitrage and covered call writing together strive to provide a lower-risk profile and attractive returns due to their differing responses to volatility. By combining these strategies, the fund seeks to deliver more consistent returns over a full market cycle. Convertible Arbitrage Objective is to provide market neutral returns through asymmetric risk/reward profiles Lower beta Market neutral Lower absolute return Lower risk Covered Call Writing Objective is to provide equity market participation and additional income with downside protection + = Higher beta Net long Higher absolute returns Collared Market Neutral Income A blend of complementary strategies seeks to produce an efficient portfolio with a positive risk-adjusted profile over a full market cycle 14
Market Neutral Income Fund Strategies SOURCES OF POTENTIAL RETURN CONVERTIBLE ARBITRAGE Invest in convertible securities and short the underlying stock with aim to hedge risk. Convertible Yield Advantage Income from coupons or dividends from convertible securities. + + Short Interest Rebate Potential income from rebate of portion of interest charged by lender on shares to short seller of shares (fund). Gains from Hedging and Appreciation of Underlying Securities COVERED CALL WRITING Begin with a portfolio of stocks, most of which pay dividends. Sell calls and buy protective puts against a portion of the portfolio. Net Option Premium Net income from the sales of call options less the purchase of puts. + + Stock Dividends Dividend income from portfolio holdings. Capital Appreciation Price gains on stocks (potentially capped by option hedges). 15
Convertible Arbitrage
Convertible Arbitrage Investment Process LIFE CYCLE OF A CONVERTIBLE ARBITRAGE TRADE Our investment process starts with fundamental research and proprietary scans to identify opportunities. We then establish an optimal structure and trading strategy and re-balance or exit positions as warranted. Sell/Cover Fundamental Research/Scans Convertible Opportunity Identified Gamma Trade/Trade Maintenance Sizing Based on Attractiveness and Risk Profile Trade/Hedge Construction 17
Convertible Arbitrage Investment Process: Idea Generation BOTTOM UP» Fundamental Research Credit Equity valuation Specific catalysts or events» Buy convertibles where we can structure to isolate cheap options Look for positive probabilityweighted expected return profiles and asymmetric payouts PROPRIETARY SCANS» Scan using proprietary tools to identify mispriced convertibles» Identify portfolio needs Buy puts if downside protection needed or calls for upside participation» Identify market inefficiencies Market conditions often shape which trade types are cheap or rich NEW ISSUE CALENDAR» We purchase new convertible issues directly from the underwriter» New issues typically price at a discount to theoretical value which can create an attractive risk/reward and positive return profile» New issues can provide a good source of liquidity Fundamental Research/Scans Sell/Cover Gamma Trade/Trade Maintenance Sizing Based on Attractiveness and Risk Profile Convertible Opportunity Identified Trade/Hedge Construction To source our ideas, we utilize bottom-up research and proprietary scans to identify mispriced convertibles in the primary and secondary markets. 18
Convertible Arbitrage Investment Process: Portfolio Structure/Construction» Identify optimal structure and trading strategy with rebalancing criteria» Use options or equity hedges to adjust payout profile based on fundamental research and risk/reward profile» Evaluate and manage risk profile» Monitor company, sector and trade type risks» Assess liquidity» Trading limits and targets set» Monitor position as factors change» Trade gamma, adjust hedges or exit positions as warranted Fundamental Research/Scans Sell/Cover Convertible Opportunity Identified Gamma Trade/Trade Maintenance Sizing Based on Attractiveness and Risk Profile Trade/Hedge Construction How much the convertible value rises or falls for a given stock move is referred to as delta. The higher the delta, the higher the sensitivity to the stock s moves. The change in delta as stock price moves is what we refer to as gamma. 19
Convertible Arbitrage Traditional Convertible Arbitrage Trades VOLATILITY» Isolate cheap optionality by buying convertibles where the volatility is mispriced relative to listed options, historic observations and/or future expectations» Look for attractive probability weighted expected return profile» Realize value through gamma trading or price appreciation SKEW (ASYMMETRIC PAYOFFS)» Strong risk/reward profile given asymmetric payoffs Often out of the money synthetic calls or puts We can buy synthetic calls and puts cheaper than listed option market and often times at or below intrinsic value FUNDAMENTAL DRIVEN» Seek to profit from convertible mispricing related to credit spreads or equity valuations» Look to hedge downside if possible» Manage company specific and aggregate portfolio risk through hedges and position sizing Skewness describes asymmetry of returns from the normal distribution. 20
Convertible Arbitrage Volatility Trade» Market volatility can provide opportunities to profit through what is referred to as gamma trading.» We buy convertible bonds and sell short shares of the underlying stock as a hedge. If the stock rises, we will lose money on the shares we are short but we will make money on the bonds we own as they appreciate in value.» As the stock price changes we adjust our hedge and short or cover shares. As a result we are mechanically buying as prices fall and selling as prices rise. The more volatile the stock, the more opportunities we have to buy low and sell high. GAMMA TRADING HYPOTHETICAL XYZ closing stock price Source: Calamos Investments. The above example is not meant to represent the performance of any given security. It is a hypothetical illustration of general investment themes. 21
Convertible Arbitrage Risk Management Risk management is a firm-wide responsibility integrated throughout our investment process. TOP-DOWN RISK MANAGEMENT TOOLS: Internally developed tools» Position Risk Management» Calamos Research System» Calamos Corporate System Externally sourced tools» BARRA» Bloomberg Portfolio & Risk Analytics» Cap IQ BOTTOM-UP RISK MANAGEMENT PROCESS: Monitor position risk» Evaluate position size» Takeover risk, structure risk, major catalysts» Credit risk» Jump to 0% recovery» Jump to 40% recovery 22
Covered Call Writing
Covered Call Writing Strategy Overview The covered call strategy involves constructing an optimized portfolio of long common equities and writing (selling) call options against the equity holdings to generate income» Long stock portfolio is an actively managed, optimized portfolio of S&P 500 companies» Call options are primarily written on broad equity indices, and opportunistically against individual equity holdings» Protective puts are utilized to protect against significant equity market declines» Investment team actively manages the options strategies to optimally generate income Sources of Potential Return for Covered Call Writing Strategy:» Equity upside participation» Dividends on long equity positions» Net option premiums» Rebalancing/Trading The covered call writing strategy seeks to build a long portfolio of common stocks optimized to the S&P 500 Index, and generally writing index options against this basket of stocks to generate income through option premium capture. The strategy also purchases put protection through long index put options to protect principal against downside moves in the equity market. The combined option premium captured (carry) generates investment income for the fund, with limited total equity exposure. Net option premium is the amount paid for selling one option and purchasing another. It can be positive (outflow) or negative (inflow). 24
Covered Call Writing Payoff» The covered call strategy seeks to generate income from writing call options against long equity positions. The option premium may provide some downside protection.» Call options are typically written on broad equity indices or on individual equity holdings. Sources of Potential Return for Covered Call Writing Strategy 1. Upside equity price movement (capped at option strike price) 2. Dividends on long equity positions 3. Call option premiums 1 HYPOTHETICAL ILLUSTRATION Buy Shares Long Position: Investor buys a stock for $50. The profit or loss will change as the stock price changes (unlimited upside, $50 max downside). Sell Calls Short Call Option: Investor writes/sells a call, earning a premium ($3), and caps their potential maximum upside at the option s strike price ($55). Covered Call Payoff: If the stock rises above $50, the upside is capped at $55 ($55-$50=$5), plus the $3 premium. If the stock trades flat or falls, the option will expire, but investor keeps the premium. PROFIT LOSS STOCK PURCHASE $50 LOSS Payoff PROFIT OPTION STRIKE PRICE $55 $3 Option Premium from Covered Call PAYOFF STOCK PURCHASE $50 BREAK EVEN $47 100% Hedged Strategy Option Premium Upside Potential with 80% OPTION STRIKE PRICE $55 1 The amount per share that an option buyer pays to the seller. This illustration is hypothetical and not meant to represent actual performance. A call option strategy is 80% hedged if it writes calls on only 80% of the portfolio. This can provide for potentially more participation in the equity s upside in exchange for possibly marginally more downside. 25
Covered Call Writing Hedging Opportunities: Buy Puts» Put options may be used to balance the risk/reward and protect against significant declines in the equity markets HYPOTHETICAL ILLUSTRATION Covered Call Payoff Buy a Protective Put: Buying a put option at $45 gives the investor the right to sell the stock at $45 by the expiration date, for the cost of a premium ($2). Covered Call with a Put: If the stock falls below the put strike price ($45), the investor only loses the difference in stock purchase price and put strike price, minus the put premium, but keeps the $3 call premium ($50-$45-$2+$3=-$4). STOCK PURCHASE $50 100% Hedged Strategy BREAK EVEN $49 PUT STRIKE PRICE $45 BREAK EVEN $47 Payoff $2 Premium Paid Limited Downside Potential PUT STRIKE PRICE $45 PAYOFF Limited Downside 50% Hedged Strategy 100% Hedged Strategy 100% Hedged Strategy OPTION STRIKE PRICE $55 STOCK PURCHASE $50 A call option strategy is 80% hedged if it writes calls on only 80% of the portfolio. This can provide for potentially more participation in the equity s upside in exchange for potentially more downside at the margin. A put option strategy is 50% hedged if it purchases puts on only 50% of the portfolio. This can reduce put option costs compared to a 100% hedged strategy. This illustration is hypothetical and not meant to represent actual performance. 26
Covered Call Writing Investment Process We look to: BUILD A LONG PORTFOLIO WRITE CALLS BUY PROTECTIVE PUTS OPTIMIZE AND REBALANCE» Long portfolio of equities with high correlation to S&P 500 Index» Index optimized» Actively managed equity portfolio» Emphasis on dividend yield» Sell highly correlated call options against the long equity to enhance cash flow» Set criteria for distribution of option expiration, moneyness and coverage ratio» Seeks to offset some of the risk of a potential decline in a portfolio holding» Protect against significant equity market declines» Purchase puts on broad-based indices and individual securities» Rebalance the hedge for changes in implied volatility, volatility term structure or market characteristics and time» Actively trade options portfolio to maximize alpha There can be no assurance the fund will achieve its investment objective. Correlation is a statistical relationship between two variables. A positive correlation occurs when two variables move in tandem one variable increases as the other increases and vice versa. Negative correlation occurs when they move in opposite directions one variable increases as the other decreases and vice versa. Moneyness refers to the intrinsic value of an option in its present state. It is a description of a derivative relating the price of its underlying asset to its strike price. A call or put option is out of moneyness when it is a call option with a strike price that is higher than the market price of the underlying asset, or a put option with a strike price that is lower than the market price of the underlying asset. 27
Covered Call Writing Income Generation from Option Premiums COMPONENTS OF INCOME Long Equity Dividends + Call Premiums Put Premiums Received = Paid Strategy Yield Seek to build a long basket of common stocks representing the S&P 500 Index and can earn income through investments in dividendpaying stocks Write calls against the index and may also selectively write calls against a portion of the basket of stocks to generate income through option premium capture May also purchase put options on individual securities and indexes to protect principal against downside moves in the equity market The combination of equity dividends and net premiums received from options strategies generate investment income, with limited total equity exposure This is an illustration of how the fund seeks to generate income and does not necessarily represent fund performance. 28
Calamos Market Neutral Income Fund Product Profile
MNI Has Capitalized on Market Volatility Compared to the S&P 500 Index, the fund has historically offered:» Lower sensitivity to drawdowns during heightened volatility due to the fund s covered call strategy. The strategy acts as a hedge to the S&P 500 through a combination of low beta, income generated from dividends and option premiums, and gains in our put hedges.» Smaller drawdowns, which were then followed by relatively strong performance as a result of the fund s convertible arbitrage strategy. The strategy shorts the underlying convertible bond s stock. CVSIX VS. S&P 500 AGAINST QUARTER-END CLOSING LEVELS OF THE VIX 12/31/1990 3/31/2017 Calamos Market Neutral Income Fund Return - A Shares at NAV S&P 500 Index Total Return CBOE Market Volatility Index (VIX) Closing Value 25 50 20 40 15 30 RETURNS (%) 10 5 0-5 20 10 0-10 VIX CLOSING PRICE -10-15 -20 MNI provided downside protection vs. S&P 500 during periods of high volatility -20-30 -40-25 -50 Dec-90 Nov-93 Oct-96 Sep-99 Aug-02 Jul-05 Jun-08 May-11 Apr-14 Mar-17 Source: Monthly Data, Morningstar Direct. Past performance is no guarantee of future results, and there is no assurance that the fund will achieve its investment objectives. 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 2.25% had it been included, the Fund s return would have been lower. You can obtain performance data current to the most recent month end by visiting www.calamos.com. 30
AS OF 3/31/17 MNI Has Provided Consistent Returns Over Time Calamos Market Neutral Income Fund Has Provided Consistent Positive Returns, with Only Two Rolling Three-year Periods in Negative Territory CALAMOS MARKET NEUTRAL INCOME FUND ROLLING THREE-YEAR PERIOD RETURNS (CLASS I SHARES) SINCE I SHARE INCEPTION THROUGH MARCH 31, 2017 12 10 8 % 6 4 2 0-2 -4 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Source: Morningstar. Data as of June 2003, the first three year rolling period following the fund s I share inception (5/10/2000). 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 of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. You can obtain performance data current to the most recent month end by visiting www.calamos.com. 31
AS OF 3/31/17 Attractive Diversification Potential: Low Correlations Historically, the correlation between Calamos Market Neutral Income Fund and other asset classes is low. The fund may provide expanded diversification within an investor s portfolio. CORRELATIONS SINCE INCEPTION (9/4/90) Citigroup 30-Day T-Bill Index 0.02 Bloomberg Barclays U.S. Government/Credit Index 0.18 Bloomberg Barclays U.S. Aggregate Bond Index 0.19 S&P 500 Index 0.74 Credit Suisse U.S. High Yield Index 0.68 MSCI EAFE Index 0.67 FTSE NAREIT All Equity REITs Index 0.57 Past performance is no guarantee of future results. Source: Morningstar. Diversification does not guarantee investment returns and does not eliminate the risk of loss. Correlation refers to how asset classes perform in relation to one another. Correlation is based on a range of 1 to -1; 1 represents two assets being highly correlated with each other and -1 representing two assets being negatively correlated with each other. Please refer to additional definitions included in this presentation. 32
AS OF 3/31/17 Historically Lower Volatility vs. Equities Volatility has been comparable to fixed income indexes and significantly lower than equities. STANDARD DEVIATION Calamos Market Neutral Income Fund - I Shares Bloomberg Barclays U.S. Government/Credit Index S&P 500 Index 18% 16% 14% 15.30% 14.70% 12% 10% 10.41% 10.20% 8% 6% 4% 3.97% 6.24% 3.24% 3.44% 3.25% 3.32% 5.50% 4.89% 3.97% 4.17% 2% 0% 1.31% 1-YEAR 3-YEAR 5-YEAR 10-YEAR SINCE JUNE 1, 2000* Past performance is no guarantee of future results. *Since the beginning of the first full month after the inception date of 5/10/2000. The Bloomberg Barclays U.S. Government/Credit Index is comprised of long-term government and investment grade corporate debt securities. 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. Diversification does not guarantee investment returns and does not eliminate risk of loss. 33
AS OF 3/31/17 Calamos Market Neutral Income Fund: Portfolio Characteristics PORTFOLIO STATISTICS MARKET NEUTRAL INCOME FUND # of Holdings 617 Time to Maturity 3.4 years Duration 2.0 years Investment Premium 20.58% Conversion Premium 24.35% Portfolio Turnover (12 months) 39.41% SEC Yield (I shares) 0.68% RISK/REWARD STATISTICS SINCE INCEPTION CALAMOS MARKET NEUTRAL INCOME FUND (I SHARES) S&P 500 INDEX Annualized Alpha 3.76% N/A Beta 0.17 1.00 Standard Deviation 4.89% 14.70% Sharpe Ratio 0.61 0.24 R-squared 65.25 100.00 Max Drawdown -18.02% -50.95% STRATEGY ALLOCATION CREDIT QUALITY ALLOCATION OF BONDS 1 MARKET NEUTRAL INCOME FUND Covered Call 47.3% Convertible Arbitrage 52.7 MARKET NEUTRAL INCOME FUND AAA 0.0% AA 0.3 A 5.4 BBB 14.5 BB 13.6 B 11.6 CCC and below 1.7 Unrated Securities 52.9 Portfolio Turnover is the percentage of assets in a portfolio that changed or were reinvested into other holdings over a certain period, often a year; higher turnover indicates greater buying and selling activity. Time to Maturity refers to the weighted time to receive all future cash flows on a fixed-income security. Duration measures the responsiveness of a bond s price to interest rate changes. Beta is an historic measure of a fund s relative volatility, which is one of the measures of risk; a beta of 0.5 reflects 1/2 the market s volatility as represented by the fund s primary benchmark, while a beta of 2.0 reflects twice the volatility. Standard deviation is measure of volatility. 1 Bond Credit Quality- Reflects the higher of the ratings of Standard & Poor s Corporation; Moody s Investors Service, Inc. Ratings are relative, subjective and not absolute standards of quality, represent the opinions of the independent Nationally Recognized Statistical Rating Organizations (NRSRO), and are adjusted to the Standard & Poor s scale shown. Ratings are measured using a scale that typically ranges from AAA (highest) to D (lowest). In addition, CAL has assigned its own ranking to the unrated bonds based on its fundamental and proprietary investment process and has years of experience actively managing risk. The security s credit rating does not eliminate risk. The table excludes equity securities, cash and cash equivalents. For more information about securities ratings, please see the Fund s Statement of Additional Information at www.calamos.com. Additional information on ratings methodologies are available by visiting the NRSRO websites: www.standardandpoors.com, www.moodys.com, www.fitchratings.com. Please see appendix for definitions. 34
AS OF 3/31/17 Calamos Market Neutral Income Fund: Performance ANNUALIZED RETURNS Calamos Market Neutral Fund - A Shares at NAV (9/4/90) Calamos Market Neutral Fund - I Shares (5/10/00) Citigroup 30-Day T-Bill Index Calamos Market Neutral Fund - A Shares Load-Adjusted Bloomberg Barclays U.S. Government/Credit Index 8% 7% 6% 6.36% 6.70% 6.39% 6.19% 6.21% 5.32% 5% 4.34% 4.61% 4% 3% 3.00% 3.27% 2.69% 3.70% 3.44% 2.43% 2.46% 3.16% 2.66% 3.42% 2.57% 2% 1% 0% 1.27% 1.34% 0.54% 0.27% 0.12% 0.09% 1- YEAR 3- YEAR 5- YEAR 10-YEAR SINCE A SHARE INCEPTION 0.53% SINCE I SHARE INCEPTION 1.53% The gross expense ratios as of the prospectus dated 2/28/17 are 1.22% for A shares and 0.97% for I shares. 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 of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. A Shares at NAV returns do not include the fund's maximum 2.25% front-end sales load, had it been included returns would have been lower. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Class I shares are offered primarily for direct investment by investors through certain tax-exempt retirement plans and by institutional clients, provided such plans or clients have assets of at least $1 million. For eligibility requirements and other available share classes see the prospectus and other Fund documents as www.calamos.com. Returns greater than 12 months are annualized. Annualized 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. 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. Please see Important Risk Information section of this presentation for additional risk disclosures and the Appendix for index definitions. Source: State Street Corporation and Mellon Analytical Solutions, LLC. 35
AS OF 3/31/17 Calamos Market Neutral Income Fund: Performance CALENDAR RETURNS 8% Calamos Market Neutral Fund - A Shares at NAV Calamos Market Neutral Fund - I Shares Citigroup 30-Day T-Bill Index Calamos Market Neutral Fund - A Load-Adjusted Bloomberg Barclays U.S. Government/Credit Index 4.72% 5.04% 6.01% 5.85% 6.17% 4% 0% 1.73% 3.05% 1.82% 0.96% 0.11% 0.21% 1.03% 1.30% 0.15% 2.00% 2.21% 0.83% 0.02% 0.02% 0.03% -0.29% -4% -3.11% -3.80% -2.87% -2.35% -8% YTD 2017 2016 2015 2014 2013 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 of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. A Shares at NAV returns do not include the fund's maximum 2.25% front-end sales load, had it been included returns would have been lower. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Class I shares are offered primarily for direct investment by investors through certain tax-exempt retirement plans and by institutional clients, provided such plans or clients have assets of at least $1 million. For eligibility requirements and other available share classes see the prospectus and other Fund documents as www.calamos.com. Returns greater than 12 months are annualized. Annualized 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. 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. Please see Important Risk Information section of this presentation for additional risk disclosures and the Appendix for index definitions. Source: State Street Corporation and Mellon Analytical Solutions, LLC. 36
AS OF 3/31/17 Calamos Market Neutral Income Fund: Calendar Year Returns CVSIX A SHARES AT NAV CVSIX A SHARES LOAD-ADJUSTED CMNIX I SHARES BLOOMBERG BARCLAYS U.S. GOVERNMENT/CREDIT INDEX CG T-BILL 30 DAY YTD 2017 1.73% -3.11% 1.82% 0.96% 0.11% 2016 4.72-0.29 5.04 3.05 0.21 2015 1.03-3.80 1.30 0.15 0.02 2014 2.00-2.87 2.21 6.01 0.02 2013 5.85 0.83 6.17-2.35 0.03 2012 5.81 0.81 6.05 4.82 0.05 2011 2.51-2.38 2.71 8.74 0.05 2010 4.90-0.10 5.21 6.59 0.12 2009 13.80 8.37 14.11 4.52 0.09 2008-13.28-17.41-13.09 5.70 1.35 2007 5.93 0.94 6.14 7.23 4.56 2006 8.42 3.27 8.71 3.78 4.75 2005-2.05-6.68-1.63 2.37 2.93 2004 4.94-0.06 5.17 4.19 1.21 2003 9.36 4.14 9.63 4.67 1.03 2002 6.61 1.55 6.88 11.04 1.65 2001 8.49 3.32 8.71 8.50 3.69 2000 10.32 5.08 11.85 5.65 1999 13.69 8.29-2.15 4.44 1998 10.04 4.82 9.47 4.54 1997 14.00 8.55 9.76 4.87 1996 8.17 3.06 2.90 4.97 1995 14.46 9.07 19.24 5.36 1994-7.41-11.79-3.51 3.83 1993 12.13 6.80 11.03 2.87 1992 12.18 6.84 7.58 3.25 1991 13.97 8.60 16.13 5.13 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 of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. A Shares at NAV returns do not include the fund's maximum 2.25% front-end sales load, had it been included returns would have been lower. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Class I shares are offered primarily for direct investment by investors through certain tax-exempt retirement plans and by institutional clients, provided such plans or clients have assets of at least $1 million. For eligibility requirements and other available share classes see the prospectus and other Fund documents as www.calamos.com. Returns greater than 12 months are annualized. Annualized 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. 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. Please see Important Risk Information section of this presentation for additional risk disclosures and the Appendix for index definitions. Source: State Street Corporation and Mellon Analytical Solutions, LLC. 37
Appendix
Biographies ELI PARS, CFA Co-CIO, Head of Alternative Strategies and Co-Head of Convertible Strategies, Sr. Co-PM As a Co-Chief Investment Officer, Eli Pars is responsible for oversight of investment team resources, investment processes, performance and risk. As Head of Alternative Strategies and Co-Head of Convertible Strategies, he manages investment team members and has portfolio management responsibilities for those investment verticals. He is also a member of the Calamos Investment Committee, which is charged with providing a top-down framework, maintaining oversight of risk and performance metrics, and evaluating investment process. Eli has 29 years of industry experience, including 10 at Calamos. Prior to returning to Calamos in 2013, he was a Portfolio Manager at Chicago Fundamental Investment Partners, where he co-managed a convertible arbitrage portfolio. Previously, he held senior roles at Mulligan Partners LLC, Ritchie Capital and SAM Investments/The Hampshire Company. Earlier in his career, Eli was a Vice President and Assistant Portfolio Manager at Calamos. He received a B.A. in English Literature from the University of Illinois and an M.B.A. with a specialization in Finance from the University of Chicago Graduate School of Business. JASON HILL Senior Vice President, Co-Portfolio Manager Jason Hill is responsible for portfolio management and investment research, focusing on market neutral and hedged equity strategies. He joined Calamos in 2004 and contributes 16 years of industry experience. Prior to joining Calamos, he worked at HFR Asset Management, LLC, with responsibilities in risk and portfolio management. Jason received a B.A. in Finance from North Central College and a M.S. in Finance from DePaul University. DAVID O DONOHUE Vice President, Co-Portfolio Manager David O Donohue is responsible for portfolio management and investment research, focusing on market neutral and hedged equity strategies. He joined the firm in 2014. His investment industry experience of 17 years includes co-manager responsibilities at Hard Eight Futures, Forty4 Asset Management, Chicago Fundamental Investment Partners, Mulligan Partners LLC and Ritchie Capital. He began his career as a trader at SAM Investments. David graduated from the University of Illinois with a B.S. in Finance. 40
Calamos Market Neutral Income Fund: Information A SHARES C SHARES I SHARES INCEPTION DATE 9/4/90 2/16/00 5/10/00 TICKER SYMBOL CVSIX CVSCX CMNIX CUSIP NUMBER 128119203 128119849 128119880 MINIMUM INITIAL/SUBSEQUENT INVESTMENT $2,500/$50 $2,500/$50 $1 million/$0 IRA INITIAL INVESTMENT $500 $500 N/A SALES LOAD/MAXIMUM SALES CHARGE Front-End/2.25% Level-Load/1.00% N/A GROSS EXPENSE RATIO 1.22% 1.97% 0.97% DISTRIBUTIONS Quarterly dividends; annual capital gains As of the prospectus dated 2/28/17. 41
AS OF 3/31/17 Calamos Market Neutral Income Fund: Historical Strategy Allocation HISTORICAL ALLOCATIONS Convertible Arbitrage Covered Call Opportunistic 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 Source Calamos Investments. For illustration purposes only. 42
Resilience in Rising Interest Rate Environments» Since the fund s inception, the Market Neutral Income Fund has outperformed the index in every period when the 10-year Treasury yield has increased more than 100 basis points (1 percentage point). CALAMOS MARKET NEUTRAL INCOME FUND RETURNS VS. BLOOMBERG BARCLAYS U.S. AGGREGATE BOND INDEX Market Neutral Income Fund (A Shares at NAV) Bloomberg Barclays U.S. Aggregate Bond Index 30% 25% 23.86% 20% 15% 10% 5% 6.51% 1.97% 2.61% 4.96% 7.30% 3.97% 7.81% 2.79% 0% -5% -10% Interest Rate Move (bps) -0.86% -0.29% -1.80% -2.07% -2.18% -1.82% -3.40% -2.96% -4.24% JAN '96-JUN '96 OCT '98-JAN '00 NOV '01-APR '02 JUN '03-JUN '04 JUN '05-JUN '06 DEC '08-JUN '09 OCT '10-FEB 11 JUL '12-DEC '13 JUL '16-DEC '16 150 263 122 176 134 187 134 157 123 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 investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. There is no assurance the Fund will achieve or maintain its investment objective. Source: Morningstar. Rising rate environment periods from troughs to peak for past 20-years, from January 1996 to December 2016. Most recent data as of March 31, 2017. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. In calculating net investment income, all applicable fees and expenses are deducted from the returns. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance shown is for Class A (or equivalent) shares at net asset value and do not take into account any sales loads. Performance would have been reduced had such loads been included. The Funds offer multiple other share classes, the performance of which may vary. 43
Rise of Alternatives in Investors Allocations AUM GROWTH IN THE ALTERNATIVE MORNINGSTAR CATEGORY ($BIL)» Assets into Morningstar s alternative category have nearly quadrupled since 2008» 40 Act alternative funds could reach $490 billion by 2018 according to Strategic Insight $180 $160 $140 $120 $100 Alternatives can offer unique solutions and improve portfolio allocation through: 1. Diversification 2. Low correlations to traditional asset classes 3. Potentially Lower volatility $80 $60 $40 $20 $0 1993 1994 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 Source: Morningstar and Strategic Insight, Alternatives Industry Analysis 2014. Funds in the Morningstar alternative category may take short positions or invest in currencies, derivatives, or other instruments. Funds in this group may attempt to move in the opposite direction of the market or may have performance that is not correlated with the broader markets. 44
Convertibles Hybrid Characteristics Provide Unique Advantages UPSIDE POTENTIAL When the underlying stock rises, convertibles may capture a portion of the capital appreciation DOWNSIDE PROTECTION If the underlying stock price drops, convertibles provide consistent income and other fixed income characteristics (e.g., principal repayment) CONVERTIBLES HAVE HISTORICALLY PROVIDED:» Reduced vulnerability to rising rates. Equity characteristics make convertibles less sensitive to rising interest rates than Treasury bonds and investment grade credits» Enhanced capital appreciation potential. Potential for greater total return than traditional fixed-income asset classes» Equity upside participation. Convertibles can participate in the advance of their underlying stocks (due to conversion feature)» Potential downside protection. Convertibles offer lower-volatility equity participation, as bond characteristics provide a floor when equities move downward» Diversification. The performance of convertibles does not correlate directly to either the stock or bond market, so the addition of convertibles to a portfolio may reduce overall volatility Convertible Securities Risk: The value of a convertible security is influenced by changes in interest rates, with investment value declining as interest rates increase and increasing as interest rates decline. The credit standing of the issuer and other factors also may have an effect on the convertible security s investment value. 45
Convertibles Demand Experienced Active Management CHARACTERISTICS OF THE CONVERTIBLE UNIVERSE Distressed YIELD ALTERNATIVES Fixed income characteristics TOTAL RETURN ALTERNATIVES Hybrid characteristics EQUITY ALTERNATIVES Equity characteristics Due to their structural complexities, the attributes of convertibles may vary. Convertibles can be classified as follows:» Yield Alternatives: Exhibit more fixed income characteristics and lower levels of equity sensitivity. Investment Value (Bond)» Total Return Alternatives: Offer a favorable balance of equity and fixed income characteristics.» Equity Alternatives: Exhibit higher levels of equity sensitivity. CURRENT STOCK PRICE CONVERTIBLE MARKET COMPOSITION MAR 2000 18.9% 27.8% 53.3% FEB 2009 67.4% 20.9% 11.7% Calamos typically emphasizes total return alternatives because they offer a compelling balance of equity and fixed income features MAR 2017 35.9% 39.2% 24.9% Active management does not guarantee investment returns and does not eliminate the risk of loss. A convertible bond is at a "distressed" valuation when it is worth significantly less than the theoretical value of a similar nonconvertible bond and is highly sensitive to changes in the underlying equity price. A convertible bond has "fixed income characteristics" when it is valued at about the same level as a similar non-convertible bond and is not as sensitive to the underlying equity. A convertible bond has "hybrid characteristics" when it has fixed income characteristics as previously explained but is becoming increasingly sensitive to changes in the underlying equity price. "Equity characteristics" represents a convertible bond that is highly sensitive to movements in the underlying equity. Percentages shown represent the proportion of convertible bonds in the BofA Merrill Lynch, All U.S. Convertibles Index (VXAO) that fall into each classification. Source: BofA Merrill Lynch, All U.S. Convertibles Index (VXA0). Data as of 3/31/17. 46
U.S. Convertible Market AS OF 3/31/17 Source: BofA ML Convertible Research, VXA0 Index, VNEW Index. Conversion Premium is the amount by which the market price of a convertible bond or convertible preferred exceeds conversion value, expressed as a percentage. It is a gauge of equity participation. Current Yield reflects the dividends and interest earned during the 30-day period ended as of the date stated above after deducting expenses for that same period. Investment Premium is the amount that the market price of the convertible is above its investment value, expressed as a percent of the investment value. A zero coupon bond that is callable (by issuer), putable (by investor), and convertible. LYONs are synthetic products that are financially engineered by Merrill Lynch. A mandatory convertible is a type of convertible bond that has a required conversion or redemption feature. Either on or before a contractual conversion date, the holder must convert the mandatory convertible into the underlying common stock. Traditional convertible preferred stock is preferred stock that holders can exchange for common stock at a set price after a certain date. Coupon convertibles bonds are convertibles with coupons, the interest rate stated on a bond when it's issued. See index definitions page. 47
Global Convertible Market AS OF 3/31/17 CONVERTIBLE MARKET ASSETS* CONVERTIBLE ISSUANCE $ BILLIONS 600 500 400 300 200 100 346 427 386 462 456 565 550 455 467 518 302 390 408 334 347 365 334 304 289 308 $ BILLIONS 180 160 140 120 100 80 60 40 20 72 83 167 101 96 159 98 63 112 163 93 85 76 47 55 93 89 81 77 24 0 1998 2000 2002 2004 2006 2008 2010 2012 2014 2016 MAR 2017 0 '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 MAR 17 CREDIT QUALITY (VG00) SUMMARY STATISTICS BofA ML GLOBAL 300 CONVERTIBLE INDEX (VG00) Not Rated 53% Investment Grade 26% High Yield 21% Average Current Yield 1.87% Average Conversion Premium 55.42% Average Investment Premium 20.42% Past performance is no guarantee of future results. *Convertible Market size is represented by the sum of the market capitalization of the BofA Merrill Lynch regional convertible indicies. In 2015, BofA ML Convertible Research began using pricing from third party data providers. Names that are not priced by those providers have been removed. Source: BofA ML Convertible Research, VG00 Index. The BofA Merrill Lynch Global 300 Convertible Index is a global convertible index composed of companies representative of the market structure of countries in North America, Europe and the Asia/Pacific region. 48
Definitions The Citigroup 30-Day Treasury Bill Index is an unmanaged index generally considered representative of the performance of short-term money market instruments. U.S. Treasury Bills are backed by the full faith and credit of the U.S. government and offer a guarantee as to the repayment of principal and interest at maturity. The Bloomberg Barclays Capital U.S. Government/Credit Bond Index is composed of long-term government and investment-grade corporate debt securities and is generally considered representative of the performance of the broad U.S. bond market. The Bloomberg Barclays Capital U.S. Aggregate Bond Index is an unmanaged index comprised of U.S. investment grade, fixed rate bond market securities, including government, government agency, corporate and mortgage-backed securities between one and ten years to maturity. 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. The 500 is one of the most widely used benchmarks of U.S. equity performance. The MSCI EAFE Index is an arithmetic, market value-weighted average of the performance of securities listed on the stock exchanges of selected countries in Europe, the Far East and Australia. The index is calculated on a total return basis, which includes reinvestment of gross dividends before deduction of withholding taxes. The Credit Suisse High Yield Index consists of USdenominated high yield issues of developed countries. Issues held in the index must be publicly registered in the U.S. or issued under Rule 144A with registration rights, must be rated BB or lower, and the minimum amount outstanding (par value) must be at least $75 million. The FTSE NAREIT All Equity REITs Index measures the performance of all publicly traded equity real estate investment trusts traded on U.S. exchanges. 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. 49