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 31/12/16
Inception Date:
01/10/1979
Strategy Assets*:
$1.7 B
Benchmark:
BofA ML 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 31/12/16
% of Assets BofA ML VOAO - All ex Mand Index Under/Overweight %
Information Technology 32.3% 38.7%
Consumer Discretionary 18.8 11.6
Health Care 15.0 15.7
Financials 9.1 14.4
Industrials 6.8 4.2
Real Estate 5.8 4.8
Energy 5.2 5.5
Utilities 4.9 0.9
Telecom Services 1.5 0.5
Materials 0.6 1.8
 

Representative Portfolio Ten Largest Holdings

AS OF 31/12/16
Company Security Type Sector %
Tesla Motors, Inc. 1.25% Cv Due 2021 Consumer Discretionary 4.4
Intel Corp. 3.25% Cv Due 2039 Information Technology 3.4
NVIDIA Corp. 1.00% Cv Due 2018 Information Technology 3.4
Priceline Group, Inc. 0.90% Cv Due 2021 Consumer Discretionary 3.1
Bank of America Corp. 7.25% Cv Pfd Financials 3.0
Wells Fargo & Company 7.50% Cv Pfd Financials 2.9
Salesforce.com, Inc. 0.25% Cv Due 2018 Information Technology 2.8
Allergan, PLC 5.50% Cv Pfd Health Care 2.2
Lam Research Corp. Common Stock Information Technology 2.2
Micron Technology, Inc. 1.63% Cv Due 2033 Information Technology 2.2

Characteristics

AS OF 31/12/16
  Calamos Portfolio BofA ML VOAO - ex Mand Index
Assets in Strategy $1.7 billion N/A
# of Holdings 86 382
Portfolio Turnover % (12-Month) 41.9% N/A
Average Credit Quality† BB- BB-
Median Investment Premium 18.6% 13.5%
Median Conversion Premium 23.0% 32.3%

Credit Quality of Bonds

AS OF 31/12/16
AAA 0.0%
AA 0.0%
A 4.1%
BBB 21.9%
BB 42.1%
B 29.7%
CCC and below 2.2%
Unrated Securities 0.0%

Composite Summary

AS OF 31/12/16
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 70 26,543 0.3% 6 12
12/31/2012 183 30,580 0.6% 17 11
12/31/2011 602 32,777 1.8% 18 33
12/31/2010 831 35,414 2.3% 23 36
12/31/2009 716 32,144 2.2% 22 33
12/31/2008 719 23,522 3.1% 19 38
12/31/2007 1,120 46,208 2.4% 25 45
12/31/2006 1,133 44,725 2.5% 26 44
12/31/2005 1,056 43,805 2.4% 26 41
12/31/2004 1,140 37,975 3.0% 22 52
12/31/2003 1,063 23,840 4.5% 18 59

44603C

Annualized Total Returns

AS OF 31/12/16
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Convertible (Gross)5.56%2.97%7.16%5.47%6.37%9.46%
U.S. Convertible (Net)4.83%2.25%6.43%4.78%5.70%8.80%
BofA ML VOAO - All ex Mand Index11.70%5.90%11.18%6.97%7.26%9.83%

Calendar Year Returns

AS OF 31/12/16
                           Qtr Ending Dec 1620162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Convertible (Gross)0.02%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)-0.16%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%
BofA ML VOAO - All ex Mand Index2.61%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 31/12/16
  Representative Portfolio BofA ML VOAO - ex Mand Index
Alpha 1.19% N/A
Beta 0.84 1.00
Standard Deviation 10.58% 11.78%
Upside Semivariance 6.32% 7.33%
Downside Semivariance 3.62% 4.90%
Sharpe Ratio 0.6360 0.6024
Information Ratio -0.0848 N/A

Since Inception Up/Down Capture Vs. BofA ML VOAO - All ex Mand Index

AS OF 31/12/16

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.