(PUB) Morningstar FundInvestor

4

Data through July 31, 2014 Calamos Market Neutral Income A

Ticker

Status Yield Total Assets

Mstar Category Market Neutral

CVSIX Open

1.0% $4,068 mil

Morningstar Analyst Rating 07-22-14

Investment Style Equity Stock %

Historical Profile Return Risk Rating Above Avg Above Avg Above Avg

35% 58% 62% 62% 49% 43% 44% 46% 46%

ˇ

Manager Change Partial Manager Change

16.0

Morningstar Pillars Process Performance

Growth of $10,000

Neutral Neutral Neutral Neutral Positive

14.0

¶ ¶ ¶ ¶

Investment Values of Fund Investment Values of BC Agg Bnd

12.0

People Parent Price

10.0

∞

NAV Total Return % +/-BC Agg Bnd +/-3Mth T-Bill Income Return % Capital Return % Capital Gains $ Expense Ratio % Income Ratio % Turnover Rate % Net Assets $mil Total Rtn % Rank Cat Income $ Performance Quartile (within Category) History

2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 07-14

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 ¨

14.20

13.51 4.94 0.60 3.51 6.42 -1.48

12.24 -2.05 -4.48 -5.39 7.49 -9.54

12.73

13.00

10.38

11.58 13.79

11.99 4.90 -1.64 4.76 1.33 3.57

12.10 2.51 -5.33 2.45 1.57 0.94

12.65

12.96

13.04

9.36 5.26 8.31 6.95 2.41 0.95 0.31 1.50 3.70 117 416 42

8.42 4.09 3.36 4.37 4.05 0.53 0.00 1.14 4.34 29

-13.28 5.93 -18.52 -1.04 -14.79 1.16

5.81 1.60 5.72 1.26 4.55 0.15 0.00 1.13 1.65 2

5.85 7.87 5.79 1.32 4.53 0.17 0.26 1.12 1.33 111 15

1.10 0.76 0.48 0.62 0.06 0.00 . 43

7.86

13.63

3.81

4.83

2.05

-18.11 2.12

11.74

34

95

42

44

37

34

28

Pillar Spectrum Positive ∞

0.88 0.48 1.51 3.64 . 326

0.99 0.00 1.32 3.45

0.48 0.00 1.18 3.63 105

0.62 0.29 1.12 2.40 112 753

0.21 0.00 1.15 2.80

0.15 0.00 1.14 2.00

0.19 0.00 1.14 1.80

§ Negative

¶ Neutral

. . .

Performance 07-31-14 1st Qtr 2nd Qtr

3rd Qtr

4th Qtr

Total 4.90 2.51 5.81 5.85

74

78

80

88

98

83

2010 2011 2012 2013 2014

1.49 -4.47 1.84 0.23 3.84 -0.11 1.92 -0.42 0.46 1.26

4.99 3.05 -3.48 4.05 2.72 -0.70 1.66 2.59

140

556

1,051

1,078

1,248

1,218

1,143

1,458

1,616

Portfolio Analysis 04-30-14 Share change since 03-14 Total Stocks:278 Sector

Rating and Risk Time Load-Adj

PE Tot Ret% % Assets

Morningstar

Morningstar Risk vs Cat

Morningstar Risk-Adj Rating

. . .

Period Return % Rtn vs Cat

Fidelityfi Instl MM Fds P

. . . Technology 15.4 20.41 1.91 11.84 Finan Svs 14.3 0.60 1.12 Finan Svs 12.7 13.55 1.00 Hlth care 18.5 10.77 0.92 . . . . . . Finan Svs 13.9 5.79 0.83 0.92 0.87 Energy 13.5 -0.93 1.44

1 Yr 3 Yr 5 Yr

-1.04 2.58 4.06 3.12 6.54

Trailing

Total

+/- BC +/- 3Mth %Rank Growth of

Apple Inc

Return% Agg Bnd 0.41 0.26

T-Bill

Cat

$10,000

+Avg +Avg +Avg

Avg

Exxon Mobil Corporation JPMorgan Chase & Co Wells Fargo & Co Johnson & Johnson On Semicon Cv 2.625% Micron Tech Cv 1.625% Berkshire Hathaway Inc C Salix Pharmaceuticals Cv

3 Mo 6 Mo 1 Yr

50 10,041 25 10,205 22 10,389 2 11,333 9 12,812 13 14,270 1 21,209

. . .

+Avg +Avg

2.05 1.76 3.89 3.33 4.26 3.71

10 Yr Incept

3 Yr Avg 5 Yr Avg 10 Yr Avg 15 Yr Avg

6.64

Other Measures

Standard Index Best Fit Index BC Agg Bnd Mstr Lft Mod 2025

5.08 4.34 15.54

3.62 1.35 5.14 2.32

5.51

Alpha

4.4

0.2

0.81

.

. . .

Beta

-0.08

0.41

Microsoft Corp Chevron Corp

Technology 16.4 16.87 0.78

R-Squared

0

94

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 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

Energy Industrl

12.6 5.12 0.78 18.8 -3.64 0.76

Standard Deviation

4.10 4.26 1.02

General Electric Co Procter & Gamble Co Mgm Resorts Intl Cv 4.25

Cnsmr Def 20.6 -2.70 0.74

Mean

0.71 0.68 0.66

. . . . . . . . .

Sharpe Ratio

Nvidia 144A Cv 1%

Concur Tech 144A Cv 0.5%

Pfizer Inc

Hlth care 17.5 -3.75 0.66 Hlth care 37.5 15.12 0.65 Cnsmr Cyc 20.6 -0.67 0.65

Merck & Co Inc Home Depot Inc

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.

Current Investment Style

Sector Weightings

% of Stocks

Rel BC Agg Bnd High

3 Year Low

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

Cyclical 34.25 BasicMat 3.45 CnsmrCyc11.23 FinanSvs 18.73 Real Est 0.84 Sensitive 40.42 CommSrvs 3.53 Energy 10.53 Industrl 10.61 Technlgy 15.75 Defensive25.33 CnsmrDef 9.08 Hlthcare 13.19 Utilities 3.06

. .

h r t y u j i o p a k s d f

4 3

. 12 5 . 19 11

1 0

. . .

5 3

Value Measures Price/Earnings Price/Book Price/Sales Price/Cash Flow Dividend Yield % Long-Term Erngs Book Value Sales Cash Flow Historical Erngs Growth Measures

Rel Category

. 14 9 . 11 8 . 24 15

16.29 2.23 1.66 6.31 2.25 10.38 7.81 2.37 7.68 11.16

1.07 1.20 1.61 0.95 1.24 0.98 2.16 3.70 1.57 1.57

.

. 14 9 . 15 12

% Rel Category

3 1

.

Composition - Net

Cash 14.6 Stocks 36.8 Bonds 15.1 Other 33.4 Foreign 0.7

Address:

Calamos Investment Trust Naperville, IL 60563 800-582-6959 www.calamos.com

Minimum Purchase: Min Auto Inv Plan:

$2500 $2500

Add: $50 IRA: $500

Add: $50

Profitability

% Rel Category

Sales Fees:

4.75%L,

Return on Equity Return on Assets Net Margin

20.41 8.10 14.47

1.26 1.28 1.30

Web Address: Inception: Advisor: Subadvisor: NTF Plans:

Management Fee:

0.75% mx./0.65% mn. Mgt:0.68% Dist:0.25%

(% of Stock)

09-04-90

Actual Fees:

Calamos Advisors LLC

Expense Projections: Income Distribution:

3Yr:$862 Quarterly

5Yr:$1145 10Yr:$1947

None

Fidelity Retail-NTF

Mutual Funds ß ®

© 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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