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 31/3/18
Inception Date:
01/10/1979
Strategy Assets*:
$1.6 B
Benchmark:
ICE BofAML VOAO - All ex Mand Index

Resources

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

Sector Weightings

AS OF 31/3/18
% of Assets ICE BofAML VOAO - All ex Mand Index Under/Overweight %
Information Technology 41.0% 40.4%
Consumer Discretionary 15.9 13.3
Health Care 15.5 15.6
Financials 9.6 13.0
Industrials 7.7 4.8
Energy 3.5 4.5
Real Estate 3.4 4.4
Utilities 2.7 0.7
Materials 0.7 1.2
Consumer Staples 0.0 1.6
 

Representative Portfolio Ten Largest Holdings

AS OF 31/3/18
Company Security Type Sector %
Tesla, Inc. 1.25% Cv Due 2021 Consumer Discretionary 4.0
Wells Fargo & Company 7.50% Cv Pfd Financials 3.2
Micron Technology, Inc. 1.63% Cv Due 2033 Information Technology 3.2
Microchip Technology, Inc. 1.63% Cv Due 2027 Information Technology 2.9
Workday, Inc. 0.25% Cv Due 2022 Information Technology 2.7
Lam Research Corp. Common Stock Information Technology 2.6
Booking Holdings, Inc. 0.35% Cv Due 2020 Consumer Discretionary 2.5
Intel Corp. 3.25% Cv Due 2039 Information Technology 2.4
Bank Of America Corp. 7.25% Cv Pfd Financials 2.4
Nextera Energy, Inc. 6.12% Cv Pfd Utilities 2.0

Characteristics

AS OF 31/3/18
  Calamos Portfolio ICE BofAML VOAO - ex Mand Index
Assets in Strategy $1.6 billion N/A
# of Holdings 107 379
Portfolio Turnover % (12-Month) 47.5% N/A
Average Credit Quality† BB- BB-
Median Investment Premium 26.5% 15.3%
Median Conversion Premium 26.3% 30.8%

Credit Quality of Bonds

AS OF 31/3/18
Class %
AAA 2.2%
AA 0.0%
A 4.3%
BBB 19.7%
BB 36.4%
B 35.6%
CCC and below 1.8%
Unrated Securities 0.0%

Composite Summary

AS OF 31/3/18
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2015 994 21,908 4.5% 4 249
12/31/2014 1,393 23,506 5.9% 6 232
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 31/3/18
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Convertible (Gross)12.85%6.46%8.15%6.99%7.98%9.72%
U.S. Convertible (Net)12.07%5.71%7.40%6.27%7.29%9.05%
ICE BofAML VOAO - All ex Mand Index12.62%7.86%10.36%8.97%8.61%10.06%

Calendar Year Returns

AS OF 31/3/18
                           Qtr Ending Mar 18YTD 2018201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Convertible (Gross)2.96%2.96%15.82%5.56%-2.62%6.22%21.41%6.59%-3.02%12.48%34.80%-25.38%9.83%11.23%3.01%8.17%25.88%-4.99%-4.75%3.40%37.37%11.27%16.50%14.94%25.75%-6.51%20.37%13.14%29.08%
U.S. Convertible (Net)2.78%2.78%15.02%4.83%-3.31%5.48%20.61%5.88%-3.65%11.74%33.89%-25.80%9.21%10.57%2.41%7.53%25.14%-5.54%-5.27%2.84%36.64%10.64%15.87%14.34%25.07%-7.06%19.61%12.43%28.19%
ICE BofAML VOAO - All ex Mand Index2.81%2.81%15.70%11.70%-2.75%9.33%25.00%14.41%-3.41%16.52%47.19%-33.02%4.12%12.75%-0.34%8.49%25.80%-4.95%-3.94%-11.70%44.32%8.21%18.99%14.30%24.75%-7.08%18.91%22.41%31.97%



Risk/Reward Since Inception

AS OF 31/3/18
  Representative Portfolio ICE BofAML VOAO - ex Mand Index
Alpha 1.25% N/A
Beta 0.84 1.00
Standard Deviation 10.36% 11.53%
Upside Semivariance 6.14% 7.11%
Downside Semivariance 3.46% 4.68%
Sharpe Ratio 0.6817 0.6421
Information Ratio -0.0805 N/A

Since Inception Up/Down Capture Vs. ICE BofAML VOAO - All ex Mand Index

AS OF 31/3/18 88.30 = Upside
85.44 = Downside

Strategy Vehicles

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

34603E

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