How CMNIX Has Battled Volatility Over Its 31 Years

How CMNIX Has Battled Volatility Over Its 31 Years

This is an extraordinarily challenging year in the markets, with equities near bear-market levels and bonds flirting with double-digit declines. As of Friday, the S&P 500 is off to its fourth worst start to a year in the history of the index.

Calamos Market Neutral Income Fund (CMNIX), valued by investment professionals over the last three decades as a fixed income alternative in clients' portfolios, is battling the volatility with more favorable results. It closed April with a -3.56% year-to-date return.

In the fund's 31 years, all but three have ended with positive returns. Intra-year drawdowns, however, have occurred every year. In fact, there have been six years-19% of the time-when the drawdown exceeded 5% and the year finished positive. As recently as the first quarter of 2020, the fund was down 8% and finished the year ahead 5.35%.

Over three decades, CMNIX has demonstrated its consistency and resiliency across diverse markets and market conditions (see post). It's in this volatility where the fund's primary strategies have found opportunity.

Compared to the S&P 500 Index, CMNIX has historically offered:

• Lower sensitivity to drawdowns during heightened volatility due to the fund's hedged equity 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.

Investment professionals, for more information about CMNIX, please reach out to your Calamos Investment Consultant at 888-571-2567 or [email protected].