Institutional Strategies Main

U.S. CONVERTIBLE

Strategy Objective

A U.S. convertible strategy that leverages Calamos’ capital structure research by investing predominantly in convertible securities, in order to generate consistent alpha and manage downside volatility. The strategy seeks to outperform the BofA ML All US Convertibles Ex Mandatory Index over a full market cycle.

Key Differentiators
  • In-depth capital structure analysis
  • Rigorous top-down and fundamental research
  • Proprietary credit and convertible research
  • Team approach to management

Strategy Details




As of 31/12/15
Inception Date:
01/10/1979
Strategy Assets*:
$2.1 B
Benchmark:
BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)

Resources

* Strategy Assets reflect all assets that are currently being managed (collectively) under the Calamos U.S. Convertible Strategy.

Sector Weightings

AS OF 31/12/15
% of Assets BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0) Under/Overweight %
Information Technology 32.4% 36.8%
Health Care 21.5 17.6
Consumer Discretionary 19.4 11.6
Financials 15.3 20.1
Energy 3.3 4.2
Utilities 2.2 0.9
Telecommunication Services 1.9 0.6
Industrials 1.8 4.8
Consumer Staples 1.7 2.0
Materials 0.5 1.4
 

Representative Portfolio Ten Largest Holdings

AS OF 31/12/15
Company Security Type Sector %
Allergan, PLC 5.50% Cv Pfd Health Care 4.3
Tesla Motors, Inc. 1.25% Cv Due 2021 Consumer Discretionary 3.8
Salesforce.com, Inc. 0.25% Cv Due 2018 Information Technology 3.3
Priceline Group, Inc. 0.90% Cv Due 2021 Consumer Discretionary 3.1
NVIDIA Corp. 1.00% Cv Due 2018 Information Technology 2.9
Wells Fargo & Company 7.50% Cv Pfd Financials 2.9
LinkedIn Corp. 0.50% Cv Due 2019 Information Technology 2.8
Lam Research Corp. 0.50% Cv Due 2016 Information Technology 2.3
Intel Corp. 3.25% Cv Due 2039 Information Technology 2.1
Bank of America Corp. 7.25% Cv Pfd Financials 2.0

Characteristics

AS OF 31/12/15
  Calamos Portfolio BofA ML Index (V0A0)
Assets in Strategy $2.1 billion N/A
# of Holdings 87 428
Portfolio Turnover % (5-Year) 67.9% N/A
Average Credit Quality† BB BB-
Median Investment Premium 31.1% 21.5%
Median Conversion Premium 17.4% 33.1%

Credit Quality of Bonds

AS OF 31/12/15
AAA 0.0%
AA 0.0%
A 3.2%
BBB 23.8%
BB 42.0%
B 28.1%
CCC and below 2.9%
Unrated Securities 0.0%

Composite Summary

AS OF 31/12/15
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2013 1,416 26,543 5.3% 12 118
12/31/2012 1,605 30,580 5.3% 23 70
12/31/2011 3,141 32,777 9.7% 27 116
12/31/2010 4,679 35,414 13.4% 34 138
12/31/2009 4,124 32,144 12.8% 29 142
12/31/2008 1,644 23,522 7.0% 26 63
12/31/2007 2,058 46,208 4.5% 36 57
12/31/2006 2,193 44,725 4.9% 38 58
12/31/2005 2,262 43,805 5.2% 39 58
12/31/2004 2,659 37,975 7.0% 43 62
12/31/2003 2,706 23,840 11.3% 31 87

44603C

Annualized Total Returns

AS OF 31/12/15
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Convertible (Gross)-2.62%7.89%5.35%6.01%5.64%9.63%
U.S. Convertible (Net)-3.31%7.14%4.64%5.34%4.98%8.97%
BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)-2.75%9.95%7.99%7.07%6.18%9.76%

Calendar Year Returns

AS OF 31/12/15
                           Qtr ending Dec 15201520142013201220112010200920082007200620052004200320022001200019991998199719961995199419931992
U.S. Convertible (Gross)2.62%-2.62%6.21%21.41%6.58%-3.04%12.48%34.77%-25.37%9.84%11.22%3.02%8.17%25.89%-4.98%-4.75%3.39%37.38%11.25%16.49%14.94%25.77%-6.51%20.35%13.15%
U.S. Convertible (Net)2.44%-3.31%5.48%20.60%5.89%-3.65%11.74%33.90%-25.80%9.20%10.57%2.40%7.53%25.12%-5.54%-5.28%2.85%36.63%10.63%15.85%14.35%25.09%-7.06%19.62%12.44%
BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)1.04%-2.75%9.33%25.00%14.41%-3.42%16.52%47.19%-33.02%4.12%12.75%-0.34%8.49%25.80%-4.95%-3.95%-11.70%44.32%8.21%18.99%14.30%24.75%-7.08%18.91%22.41%



Risk/Reward Since Inception

AS OF 31/12/15
  Representative Portfolio BofA ML Index (V0A0)
Alpha 0.97% N/A
Beta 0.83 1.00
Standard Deviation 10.58% 11.82%
Upside Semivariance 6.40% 7.41%
Downside Semivariance 3.60% 4.94%
Sharpe Ratio 0.64 0.59
Information Ratio -0.06 N/A

Since Inception Up/Down Capture Vs. BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)

AS OF 31/12/15

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
UCITS (Available in A, I, X Share Classes) $1 million

34603E

Fact Sheet The Convertible Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
Performance Review A discussion of the Calamos U.S. Convertible Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.