Calamos Investments - News Item

Outlook & Commentary
Product & Performance
Education & PlanningLiteratureAccount Access
 

Morningstar says, “Calamos Market Neutral Income Fund is poised for a good run.”

by Nadia Papagiannis, CFA

August 31, 2009

This fund's covered call writing strategy, still about 60% of the approach, has outperformed its convertible bond arbitrage strategy (40%) since the March stock market rally. That's because implied volatility (the level of volatility that is priced into call options) is once again higher than realized volatility (the actual movement of the stock market), making writing (or selling) calls more profitable. Furthermore, despite the rally in the stock market, volatility levels have remained high and relatively steady, propping up the premiums that the fund collects. As long as the market remains uncertain, and volatility doesn't spike rapidly as it did in 2008, this strategy could see more profits.

Click to continue reading Morningstar’s Take on Calamos Market Neutral Income Fund
Return to All Mutual Fund News Items

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.

Strategy Allocation (as of 6.30.09): Covered Call 61.19%; Convertible Arbitrage 38.81%. Portfolios are actively managed. Holdings and weightings are subject to change daily. Sector weightings are provided for informational purposes only and should not be deemed as a recommendation to buy or sell the securities mentioned.

Important Fund Information
Convertible Arbitrage-Convertible arbitrage entails risks associated with equity securities, short sales and fixed income securities, including convertible securities. Proper correlation must be used to provide a proper safeguard in hedging the risks inherent in the positions.

Short Sale Risk-The Fund engages in short sales of convertible securities' underlying stock, which may increase volatility and portfolio turnover. Short sale risk includes the risk of loss due to increase in the market value of borrowed securities between the date of short sale and the date the Fund replaces the security.

Convertible Bond Risk-In addition to market risk, there are certain other risks associated with an investment in a convertible bond, such as default risk (the risk that the company issuing debt securities will be unable to repay principal and interest) and interest rate risk (the risk that the security may decrease in value if interest rates increase).

Option Risk-As the writer of a covered call option on a security, the Fund foregoes, during the option's life, the opportunity to profit from increases in the market value of the security, covering the call option above the sum of the premium and the exercise price of the call.

Past performance is no guarantee of future results. Current performance may be lower or higher than the performance quoted.

Before investing, carefully consider the fund's investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information or call 800-582-6959. Read it carefully.

Calamos Financial Services LLC, Distributor

Select a Fund
or Enter a Ticker