Aug 20, 2018 - ... through derivatives; the holdings are largely cash instruments. ... Corporate, MBS (agency fixed-rate
Calamos Alternatives Snapshot November 19, 2018 (data as of November 16, 2018) BROAD INDEX PERFORMANCE1
WEEKLY HEADLINES Even a Diversified Portfolio Is Nowhere to Hide This Year “Asset allocators are facing the toughest conditions they've seen in the past 50 years as market segments of all types experience widespread weakness.” That’s according to a November 15 analysis by The Leuthold Group. The group studies the performance of a portfolio of equal weights of seven asset classes (large caps, small caps, international, REITs, commodities, 10-year U.S. Treasuries and gold). During the 45 years ended in 2017, such a portfolio would have nearly matched the S&P 500 total return (+10.2% annualized versus +10.4%, respectively), but with dramatically less annual volatility (11.7% versus 17.5%). This “agnostic” asset allocation portfolio has fallen flat during 2018, delivering a total return of -1.2% through November 2. “If a year-end rally doesn’t develop across most of the assets, there’s risk of a seventh down year in the 46-year (hypothetical) life of the strategy,” Leuthold says.
Economic Releases vs. Consensus (week of 11/12) CPI/Core CPI: 0.3%/0.2% vs. 0.3%/0.2% Retail Sales: 0.8% vs. 0.5% Jobless Claims: 216K vs. 214K Economic Releases (week of 11/19) Durable Goods (11/21) Leading Indicators (11/21) MORNINGSTAR WEEKLY EST. NET FLOWS ($MIL)1 2 Wks 3 Wks Last Week Ago Ago Multialternative 195 (53) (211) Options-based 48 (27) 135 Nontraditional Bond 31 37 (328) Convertibles 7 24 (19) Market Neutral (6) (39) (42) Commodities Broad (26) (58) (165) Bear Market (33) 46 (58) Long-Short Credit (40) (41) (74) Multicurrency (41) (22) (27) Real Estate (70) (117) (98) Energy LPs (79) (79) (138) Managed Futures (174) (188) (135) Long-Short Equity (484) (274) (213)
S&P 500 Russell 3000 Russell 2000 Russell 1000 Russell Mid Cap MSCI EM MSCI ACWI MSCI World MSCI EAFE ICE BofAML Global Cv Index ICE BofAML All U.S. Cv (VXA0) ICE BofAML US HY Master II BBgBarc US Agg Bond
Gold Oil Gasoline
MTD 1.07 1.03 1.16 1.02 1.50 3.22 0.92 0.63 0.01 0.08 0.42 -1.03 0.43
QTD -5.84 -6.41 -9.83 -6.13 -6.93 -5.76 -6.62 -6.73 -7.94 -4.15 -5.65 -2.65 -0.36
YTD 4.11 3.49 0.55 3.71 0.01 -12.73 -2.64 -1.24 -8.85 1.12 4.19 -0.20 -1.95
US Convertibles US Long-Short Equity US Option Based US Market Neutral US Bear Market US Multialternative US Managed Futures US Multicurrency US Real Estate US Energy LPs US Precious Metals US Commodities Broad US Nontraditional Bond
0.33
0.38
-0.49
-2.33
US Long-Short Credit
11.16.18 1216 55.6 2.69
11.9.18 1219 63.1 2.75
12.31.17 11.16.17 1297 1278 60.5 55.1 2.52 2.59
MARKET PULSE1
MONTH-TO-DATE
4 Wks Weekly Ago Streak (130) 1 (85) 1 (284) 2 (11) 2 (39) (4) (16) (4) 98 (1) (21) (17) (14) (12) (72) (6) 32 (3) (102) (25) (154) (35)
1 week -1.54 -1.49 -1.37 -1.50 -1.09 1.05 -1.18 -1.45 -1.42 -0.67 -0.90 -1.29 0.47
BBgBarc US Govt/Credit
COMMODITIES2
MORNINGSTAR ALTERNATIVE CATEGORIES1
BOND RATES2 Effective Fed Funds Rate 2-Year Treasury 10-Year Treasury ICE BofAML US Corp. AAA
1 week -0.94 -0.86 -0.69 -0.33 1.24 -0.58 -0.98 -0.12 0.03 -2.20 0.80 0.02 -0.40
MTD -0.05 0.42 1.02 0.07 -1.62 -0.08 -1.92 -0.16 2.28 -0.11 1.06 -1.24 -0.21
QTD -5.22 -4.29 -3.21 -0.07 10.13 -2.64 -5.33 0.55 -1.18 -7.76 2.42 -4.27 -0.84
YTD 1.82 -2.31 -2.92 -0.24 -3.24 -2.74 -7.69 -0.38 -0.11 -5.96 -8.29 -4.64 -0.41
-0.66
-0.51
-1.42
-0.83
11.16.18 2.19 2.86 3.11 3.75
11.9.18 2.20 2.94 3.19 3.79
12.31.17 11.16.17 1.42 1.16 1.89 1.72 2.40 2.37 2.93 2.96
Over Time, Few Stocks Have Outperformed the 1-Month Treasury
As of
YEAR-TO-DATE
VALUE
CORE GROWTH 11/16/2018
VALUE
CORE GROWTH
2.15
1.02
-0.14
LARGE
0.66
3.71
6.47
1.87
1.50
0.97
MID
-2.51
0.01
3.14
1.56
1.16
0.76
SMALL
-0.94
0.55
1.88
Past performance is not indicative of future results. This material is provided for internal and educational purposes only and should not be construed as investment advice or an offer or solicitation to buy or sell securities. Source: 1Morningstar (Net Flows as of previous Wed.), 2St. Louis Federal Reserve (FRED Database). FOR INVESTMENT PROFESSIONAL USE ONLY.
An analysis of the 25,300 companies that have appeared in the Center for Research in Securities Prices monthly stock return database, which contains all common stocks listed on the NYSE, Amex, and Nasdaq exchanges that issued stock from 1926 to 2016.
Source: Do Stocks Outperform Treasury Bills?, Hendrik Bessembinder, May 2018
Definitions and Disclosures June 22, 2015 Definitions and Disclosures The Nontraditional Bond category contains funds that pursue strategies divergent in one or more ways from conventional practice in the broader bond-fund universe. Multialternative funds offer investors exposure to several different alternative investment tactics. Funds in this category have a majority of their assets exposed to alternative strategies. The gross short exposure is greater than 20%. Bear Market funds dedicate a majority of the fund’s assets to equities. Most of the portfolio is dedicated to short stock positions in an attempt to take advantage of anticipated market or stock declines producing a net exposure to equities of less than or equal to negative 20%. These funds will typically have a beta of less than negative 0.3 to equity indexes such as the S&P 500 or MSCI World. Managed Futures funds primarily trade liquid global futures, options, swaps, and foreign exchange contracts, both listed and over-the-counter. These funds obtain exposure primarily through derivatives; the holdings are largely cash instruments. Commodities Broad-basket portfolios can invest in a diversified basket of commodity goods including but not limited to grains, minerals, metals, livestock, cotton, oils, sugar, coffee, and cocoa. Investment can be made directly in physical assets or commodity-linked derivative instruments, such as commodity swap agreements. Energy Limited Partnership strategies invest a significant amount of their portfolio in energy master limited partnerships, also known as MLPs. These include but are not limited to limited partnerships specializing in midstream operations in the energy industry. Multicurrency portfolios invest in multiple currencies through the use of shortterm money market instruments; derivative instruments including and not limited to forward currency contracts, index swaps, and options; and cash deposits. Market Neutral funds attempt to reduce systematic risk created by factors such as exposures to sectors, market-cap ranges, investment styles, currencies, and/or countries. A distinguishing feature of funds in this category is that they typically have low beta exposures (< 0.3 in absolute value) to market indexes such as MSCI World. Real Estate portfolios invest primarily in real estate investment trusts of various types. REITs are companies that develop and manage real estate properties. There are several different types of REITs, including apartment, factory-outlet, health-care, hotel, industrial, mortgage, office, and shopping center REITs. Convertible-bond portfolios are designed to offer some of the capital-appreciation potential of stock portfolios while also supplying some of the safety and yield of bond portfolios. The S&P 500 Index is considered generally representative of the U.S. equity market. The MSCI World Index is considered generally representative of the market for developed market equities. The MSCI Emerging Markets Index is a free float adjusted market capitalization index cited as a measure of the performance of emerging market equities. The MSCI ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI consists of 46 country indexes comprising 23 developed and 23 emerging market country indexes. The DM country indexes included are: 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. The EM country indexes included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. The Russell 3000 Index measures the performance of 3,000 publicly held US companies based on total market capitalization, which represents approximately 98% of the investable US equity market. The Russell 2000 Index measures the performance of the small-cap segment of the U.S. equity universe and includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 1000 Index measures the performance of the large-cap segment of the U.S. equity universe and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell Midcap Index measures the performance of the mid-cap segment of the U.S. equity universe and includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The ICE BofA ML U.S. High Yield Master II Index tracks the performance of U.S. dollar denominated below investment grade rated corporate debt publically issued in the U.S. domestic market. The Bloomberg Barclays Capital U.S. Aggregate Bond Index covers the U.S.-denominated, investment-grade, fixed-rate, taxable bond market of SEC registered securities. The index includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS sectors. The ICE BofA ML Global 300 Cv Index (VG00) is a $US/Local-denominated unmanaged index generally indicative of the overall global convertible market. The ICE BofA ML All U.S. Convertibles Index (VXA0) is comprised of approximately 700 issues of only convertible bonds and preferreds of all qualities. Source ICE Data Indices, LLC, used with permission. ICE permits use of the ICE BofAML Indices and related data on an ‘as is’ basis, makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofAML Indices or data included in, related to, or derived therefrom, assumes no liability in connection with the use of the foregoing and does not sponsor, endorse or recommend Calamos Advisors LLC or any of its products or services. Oil - West Texas Intermediate (WTI - Cushing): A crude stream produced in Texas and southern Oklahoma which serves as a reference or "marker" for pricing a number of other crude streams and which is traded in the domestic spot market at Cushing, Oklahoma. Gasoline: Weighted average based on sampling of approximately 900 retail outlets, 8:00AM Monday. The price represents self-service unless only full-service is available and includes all taxes. Gold - Gold Fixings Price: The Fixings are an open process at which market participants can transact business on the basis of a single quoted price. Orders can be changed throughout the proceedings as the price is moved higher and lower until such time as buyers' and sellers' orders are satisfied and the price is said to be 'fixed'. Orders executed at the fixings are conducted as principal-to-principal transactions between the client and the dealer through whom the order is placed.
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