Fund Evaluator:
Calamos Market Neutral Income R6 (CVSOX)
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Best Performing in Relative Value Arbitrage Over the Last Year
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Fund Details
Calamos Market Neutral Income R6 Overview
Calamos Market Neutral Income R6 (CVSOX) is an actively managed Alternative Relative Value Arbitrage fund. Calamos launched the fund in 2020.
The investment seeks high current income consistent with stability of principal. The fund i) invests in equities, (ii) convertible securities of U.S. companies without regard to market capitalization and (iii) employs short selling and enters into total return swaps to enhance income and hedge against market risk. The average term to maturity of the convertible securities purchased by the fund will typically range from two to ten years. It may seek to generate income from option premiums by writing (selling) options. The fund may invest without limit in high yield fixed-income securities (often referred to as "junk bonds").
About Calamos Market Neutral Income R6 (CVSOX)
There are 6 members of the management team with an average tenure of 13.80 years: Eli Pars (2014), Jason Hill (2013), David O’Donohue (2015), Jimmy Young (2019), Anthony Vecchiolla (2023), John Calamos (1990). Management tenure is more important for actively managed funds than passive index funds.
The fund has 2 primary benchmarks: Bloomberg US Agg Bond TR USD index with a weighting of 100% and Bloomberg Short Treasury 1-3 Mon TR USD index with a weighting of 100%. Calamos Market Neutral Income R6 has 1118 securities in its portfolio. The top 10 holdings constitute 33.1% of the fund’s assets. The fund meets the SEC requirement of being classified as a diversified fund. The fund is not considered to have an ESG focus with its investment selection and management.
Calamos Market Neutral Income R6 is part of the Alternative Strategies global asset class and is within the Alternative fund group. Calamos Market Neutral Income R6 has -2.4% of its portfolio invested in foreign issues. The overall assets allocated to domestic stock is 33.9%. There is -2.9% allocated to foreign stock, and 5.0% is allocated to preferred stocks. The bond allocation as a percentage of total assets is 2.0% (1.6% domestic bond, 0.5% foreign bond and 35.5% convertible bond). Calamos Market Neutral Income R6 has 26.5% of the portfolio in cash.
Assets Under Management
The fund has $503 million in total assets, which is below the $1 billion average for the Relative Value Arbitrage category. Normally, lower assets under management translates to higher average expense ratios, and greater total assets are desired. However, for some investment categories, such as small-cap investing, it may be difficult for the manager to fully employ the desired active strategy if assets grow too large or too quickly.
CVSOX Performance and Fees
The expense ratio measures how much of a fund’s assets are used for administrative expenses and operating expenses, including adviser fees and fees for the transfer agent and custodial services. The Calamos Market Neutral Income R6 expense ratio is high compared to funds in the Relative Value Arbitrage category. Calamos Market Neutral Income R6 has an expense ratio of 0.92%, which is 35% lower than its category average, making the fund expense ratio grade a A. While it is difficult to predict returns, it is known that high annual expense ratios reduce your rate of return, and excessive fees are difficult to overcome. Active management normally comes with higher expense ratios than passive index management. Certain investment categories such as small company and foreign also normally have higher expense ratios. It is best to compare fund expense ratios against the category averages for meaningful assessments.
High portfolio turnover can translate to higher expenses and lower aftertax returns. Calamos Market Neutral Income R6 has a portfolio turnover rate of 43%, indicating that holds its assets around 0.0 years. By way of comparison, the average portfolio turnover is 252% for the Relative Value Arbitrage category.
Recently, in the month of July 2026, Calamos Market Neutral Income R6 returned 0.6%, which earned it a grade of A, as the Relative Value Arbitrage category had an average return of 0.3%. The letter grades of A, B, C, D and F are based upon relative rankings within the investment category. A grade of A, for example, would indicate that the return is in the highest 20% for that time period compared to all funds in that category.
Calamos Market Neutral Income R6 has a trailing yield of 1.76%, which is below the 2.27% category average. The fund normally distributes its income quarterly.
It’s natural to seek the best-performing investments, but you must consider the relationship between risk and return and the impact of costs and taxes on your realized returns.
Calamos Market Neutral Income R6 Grades
Year to date, the fund has returned 3.7%, 0.5 percentage points worse than the category, which translates into a grade of D. The fund has returned 6.6% over the past year (grade of D), 7.0% over the past three years (grade of D) and 5.0% per year over the past five years (grade of B) and 4.7% per year over the past 10 years (grade of C).
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CVSOX Trailing NAV Total Returns Data as of 7/31/26
| Last Month |
Last Quarter |
Ann'l. 1Yr |
Ann'l. 3Yr |
Ann'l. 5Yr |
Ann'l. 10Yr |
|
| CVSOX Return (NAV) | 0.6% | 1.8% | 6.6% | 7.0% | 5.0% | 4.7% |
| CVSOX Grade | A | B | D | D | B | C |
| +/- Category | 0.3% | 0.2% | -0.9% | -0.1% | 0.4% | -0.3% |
| Relative Value Arbitrage Avg | 0.3% | 1.6% | 7.6% | 7.1% | 4.6% | 5.1% |
| CVSOX Tax Cost Ratio | na | na | 0.7% | 1.1% | 0.8% | na |
CVSOX Annual NAV Total ReturnsData as of 7/31/26
| 2026 | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
| CVSOX Return (NAV) | 3.7% | 7.2% | 7.4% | 9.3% | -4.1% | 5.0% | 5.4% | 6.4% | 1.5% | 4.6% | 4.7% |
| CVSOX Grade | D | D | C | A | C | B | F | D | C | C | D |
| +/- Category | -0.5% | -1.0% | 0.1% | 2.4% | -0.4% | 0.5% | -5.6% | -0.8% | 0.6% | 0.5% | -0.8% |
| Relative Value Arbitrage Avg | 4.2% | 8.2% | 7.4% | 6.9% | -3.7% | 4.6% | 11.0% | 7.2% | 0.9% | 4.0% | 5.5% |
| Risk Measures | |
| Standard Deviation: | 1.6% |
| Total Risk Index: | 0.13 - Low |
| Category Risk Index: | 0.80 - Below Average |
| Category Risk Grade: | B (24% Rank) |
| Beta: | 0.11 |
| R-Squared: | 85% |
| Leveraged Fund: | No |
| Inverse Fund: | No |
| Portfolio Characteristics | |
| Equity Investment Style: | Large-Cap Blend |
| Bond Investment Style: | na |
| Yield: | 1.8% |
| Dividend Distribution: | Quarterly |
| Cap Gains Distribution: | |
| Total Assets: | $18394 Mil |
| Fund Total Assets: | $ 504 Mil |
| Share Class Type: | Retirement |
| Portfolio Turnover: | 43% |
Management Team
| Number of Managers: 6 | |||
| Longest Tenure: 35.9 years | |||
| Average Tenure: 13.8 years | |||
| Managers (Year): Calamos John (1990), Hill Jason (2013), Pars Eli (2014), O’Donohue David (2015), Young Jimmy (2019), Vecchiolla Anthony (2023) | |||
Portfolio Composition (as of 6/30/26)
| # of Holdings: | 1118 |
| % in Top 10 Holdings: | 33.1% |
| Fund is Non-Diversified: | No |
| % in Foreign Issues: | -2.4% |
Portfolio Allocation |
|
| Domestic Stock: | 33.9% |
| Foreign Stock: | -2.9% |
| Preferred Stock: | 5.0% |
| Domestic Bond: | 1.6% |
| Foreign Bond: | 0.5% |
| Convertible Bond: | 35.5% |
| Other: | 0.0% |
| Cash: | 26.5% |
Purchase Information
| Fund Family: | Calamos |
| Phone Number: | 800-582-6959 |
| Website: | www.calamos.com |
| Status: | Open |
| Inception Date: | June 23, 2020 |
| Min. Initial Purchase: | $ 0 |
| Min. Initial IRA Purchase: | $ 0 |
| True No-Load: | Yes |
| Front Load Maximum: | 0.00% |
| Deferred Charge Maximum: | 0.00% |
| Redemption Charge Maximum: | 0.00% |
| 12b-1 Fee: | na |
Expenses and Fees | |
| Expense Ratio (%): | 0.92% ( Rating : High ) |
| Category Average Expense Ratio (%): | 1.43% |
| Share Class: | Calamos Market Neutral Income A |
| Min. Subsequent Purchase: | $ 0 |
| Min. Subsequent IRA Purchase: | $ 0 |
