4
Morningstar Analyst Rating
07-22-14
ˇ
Morningstar Pillars
Process
Performance
People
Parent
Price
¶
¶
¶
¶
Neutral
Neutral
Neutral
Neutral
Positive
Morningstar Analyst Rating
Morningstar evaluates mutual funds based on five key pillars, which
its analysts believe lead to funds that are more likely to outperform
over the long term on a risk-adjusted basis.
Analyst Rating Spectrum
Œ „ ´ˇ ¨
Pillar Spectrum
Positive
§
Negative
¶
Neutral
NAV
13.04
12.96
12.65
12.10
11.99
11.58
10.38
13.00
12.73
12.24
13.51
14.20
Total Return %
1.10
5.85
5.81
2.51
4.90
13.79
-13.28
5.93
8.42
-2.05
4.94
9.36
+/-BC Agg Bnd
0.76
7.87
1.60
-5.33
-1.64
7.86
-18.52
-1.04
4.09
-4.48
0.60
5.26
+/-3Mth T-Bill
.
5.79
5.72
2.45
4.76
13.63
-14.79
1.16
3.36
-5.39
3.51
8.31
Income Return %
0.48
1.32
1.26
1.57
1.33
2.05
4.83
3.81
4.37
7.49
6.42
6.95
Capital Return %
0.62
4.53
4.55
0.94
3.57
11.74
-18.11
2.12
4.05
-9.54
-1.48
2.41
Total Rtn % Rank Cat
43
15
2
28
34
37
44
42
29
95
34
42
Income $
0.06
0.17
0.15
0.19
0.15
0.21
0.62
0.48
0.53
0.99
0.88
0.95
Capital Gains $
0.00
0.26
0.00
0.00
0.00
0.00
0.29
0.00
0.00
0.00
0.48
0.31
Expense Ratio %
.
1.12
1.13
1.14
1.14
1.15
1.12
1.18
1.14
1.32
1.51
1.50
Income Ratio %
.
1.33
1.65
1.80
2.00
2.80
2.40
3.63
4.34
3.45
3.64
3.70
Turnover Rate %
.
111
83
98
88
80
112
105
78
74
.
117
Net Assets $mil
1,616
1,458
1,143
1,218
1,248
1,078
753
1,051
556
140
326
416
Performance
07-31-14
1st Qtr
2nd Qtr
3rd Qtr
4th Qtr
Total
2010
2011
2012
2013
2014
1.49 -4.47
4.99 3.05
4.90
1.84 0.23
-3.48 4.05
2.51
3.84 -0.11
2.72 -0.70
5.81
1.92 -0.42
1.66 2.59
5.85
0.46 1.26
. . .
Trailing
Total
+/- BC +/- 3Mth %Rank Growth of
Return% Agg Bnd
T-Bill
Cat
$10,000
3 Mo
6 Mo
1 Yr
3 Yr Avg
5 Yr Avg
10 Yr Avg
15 Yr Avg
0.41 0.26
.
50 10,041
2.05 1.76
.
25 10,205
3.89 3.33
.
22 10,389
4.26 3.71
6.64
2 11,333
5.08 4.34 15.54
9 12,812
3.62 1.35
5.51
13 14,270
5.14 2.32
.
1 21,209
Tax Analysis
Tax-Adj Rtn% %Rank Cat Tax-Cost Rat %Rank Cat
3 Yr (estimated)
5 Yr (estimated)
10 Yr (estimated)
1.92
23
0.65
78
3.45
9
0.58
67
1.73
42
1.34
87
Potential Capital Gain Exposure: 2% of assets
Rating and Risk
Time Load-Adj
Morningstar
Morningstar
Morningstar
Period Return % Rtn vs Cat
Risk vs Cat
Risk-Adj Rating
1 Yr
-1.04
3 Yr
2.58
+Avg
Avg
5 Yr
4.06
+Avg
+Avg
10 Yr
3.12
+Avg
+Avg
Incept
6.54
Other Measures
Standard Index
Best Fit Index
BC Agg Bnd Mstr Lft Mod 2025
Alpha
4.4
0.2
Beta
-0.08
0.41
R-Squared
0
94
Standard Deviation
4.10
Mean
4.26
Sharpe Ratio
1.02
Morningstar’s Take
by Josh Charney, CFA 07-22-14
The departure of Calamos Market Neutral Income’s
lead manager has prompted Morningstar to lower its
Morningstar Analyst Rating to Neutral from Bronze.
This fund’s lead manager, Christopher Hartman,
departed Calamos at the end of June, citing personal
reasons. But even before Hartman’s exit, questions
were mounting regarding the fund’s capacity and its
parent company. Following Calamos’ hiring of former
Janus CEO, Gary Black, in August 2012, a number of
key personnel exited, including recent departures of
another key portfolio manager, and the firm’s president
and chief operating officer. Additionally, Calamos had
historically been keen to limit this fund’s assets, as
convertible arbitrage tends to be a capacity
constrained strategy. But since the fund’s early 2013
reopening, assets have soared to record levels, from
$2.5 to $4 billion. Hartman’s departure was also
sudden, giving the firm little opportunity to look for an
outside replacement. His replacement, Eli Pars,
rejoined Calamos last year. Although he boasts more
than a decade of experience in convertibles, his tenure
at Calamos is short, and his management track record
is unknown.
It does not consist entirely of convertible arbitrage,
employing three low-beta strategies: convertible
arbitrage (48.5%), covered call (45.0%), and equity
market-neutral (6.5%), as of June 30. The growth of
the covered-call and market-neutral strategies reflects
management’s desire to diversify away from
convertible bonds, which can get squeezed at
inopportune times. It indicates that opportunities are
becoming scarcer--the fund has ramped up its
exposure to synthetic convertibles as well. If inflows
continue, the fund may be forced to rely more heavily
on synthetics, its covered-call sleeve, or its newer
market-neutral strategy. Historically, it appears the
convertible-arbitrage sleeve has exhibited a superior
track record compared with the covered-call sleeve.
Although this fund is one of the cheaper options in
the Morningstar Category and has a strong track
record, investors should consider waiting on the
sidelines until the dust settles.
Address:
Calamos Investment Trust
Naperville, IL 60563
800-582-6959
Web Address:
Inception:
09-04-90
Advisor:
Calamos Advisors LLC
Subadvisor:
None
NTF Plans:
Fidelity Retail-NTF
Minimum Purchase:
$2500
Add: $50 IRA: $500
Min Auto Inv Plan:
$2500
Add: $50
Sales Fees:
4.75%L,
Management Fee:
0.75% mx./0.65% mn.
Actual Fees:
Mgt:0.68% Dist:0.25%
Expense Projections:
3Yr:$862
5Yr:$1145 10Yr:$1947
Income Distribution:
Quarterly
Data through July 31, 2014
Calamos Market Neutral Income A
Ticker
Status Yield Total Assets
Mstar Category
CVSIX Open
1.0% $4,068 mil
Market Neutral
35% 58% 62% 62% 49% 43% 44% 46% 46%
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 07-14
Historical Profile
Return
Risk
Rating
Above Avg
Above Avg
Above Avg
Investment Style
Equity
Stock %
Manager Change
Partial Manager Change
Growth of $10,000
Investment Values of
Fund
Investment Values of
BC Agg Bnd
Performance Quartile
(within Category)
History
10.0
12.0
14.0
16.0
Portfolio Analysis
04-30-14
Share change since 03-14 Total Stocks:278 Sector
PE Tot Ret% % Assets
Fidelityfi Instl MM Fds P
. . .
11.84
Apple Inc
Technology 15.4 20.41 1.91
Exxon Mobil Corporation
Energy
13.5 -0.93 1.44
JPMorgan Chase & Co
Finan Svs 14.3 0.60 1.12
Wells Fargo & Co
Finan Svs 12.7 13.55 1.00
Johnson & Johnson
Hlth care 18.5 10.77 0.92
On Semicon Cv 2.625%
. . .
0.92
Micron Tech Cv 1.625%
. . .
0.87
Berkshire Hathaway Inc C
Finan Svs 13.9 5.79 0.83
Salix Pharmaceuticals Cv
. . .
0.81
Microsoft Corp
Technology 16.4 16.87 0.78
Chevron Corp
Energy
12.6 5.12 0.78
General Electric Co
Industrl
18.8 -3.64 0.76
Procter & Gamble Co
Cnsmr Def 20.6 -2.70 0.74
Mgm Resorts Intl Cv 4.25
. . .
0.71
Nvidia 144A Cv 1%
. . .
0.68
Concur Tech 144A Cv 0.5%
. . .
0.66
Pfizer Inc
Hlth care 17.5 -3.75 0.66
Merck & Co Inc
Hlth care 37.5 15.12 0.65
Home Depot Inc
Cnsmr Cyc 20.6 -0.67 0.65
Current Investment Style
Market Cap %
Giant
56.0
Large
33.8
Mid
9.2
Small
0.7
Micro
0.4
Avg $mil:
72,333
Value Blnd Growth
Large Mid Small
Value Measures
Rel Category
Price/Earnings
Price/Book
Price/Sales
Price/Cash Flow
Dividend Yield %
16.29
2.23
1.66
6.31
2.25
1.07
1.20
1.61
0.95
1.24
Growth Measures
% Rel Category
Long-Term Erngs
Book Value
Sales
Cash Flow
Historical Erngs
10.38
7.81
2.37
7.68
11.16
0.98
2.16
3.70
1.57
1.57
Profitability
% Rel Category
Return on Equity
Return on Assets
Net Margin
20.41
8.10
14.47
1.26
1.28
1.30
Sector
Weightings
% of
Stocks
Rel BC
Agg Bnd High
3 Year
Low
Cyclical 34.25
.
BasicMat 3.45
.
4 3
CnsmrCyc11.23
.
12 5
FinanSvs 18.73
.
19 11
Real Est 0.84
.
1 0
Sensitive 40.42
.
CommSrvs 3.53
.
5 3
Energy 10.53
.
14 9
Industrl 10.61
.
11 8
Technlgy 15.75
.
24 15
Defensive25.33
.
CnsmrDef 9.08
.
14 9
Hlthcare 13.19
.
15 12
Utilities 3.06
.
3 1
h
r
t
y
u
j
i
o
p
a
k
s
d
f
Composition - Net
(% of Stock)
Cash 14.6
Stocks 36.8
Bonds 15.1
Other
33.4
Foreign 0.7
©
2014Morningstar, Inc.All rights reserved.The informationherein is not represented orwarranted tobeaccurate, correct, completeor
timely. Pastperformance is no guarantee of future results.Access updated reportsat
Toorder reprints, call312-696-6100.
mfb.morningstar.com.
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