Institutional Strategies Main

GLOBAL CONVERTIBLE

Strategy Objective

A global convertible strategy that leverages Calamos' capital structure research by investing in convertible securities, in order to generate alpha and manage downside volatility.

Attributes
  • Rigorous Capital Structure Analysis
  • Holistic Approach Tying Macro Perspectives to Fundamental Analysis
  • Broad Opportunity set of Global Equity and Equity Sensitive Securities
  • Asymmetric Risk/Reward Profile
  • Team-Managed
Benefits
  • Diversification from Market Cpaitalization Weighted Indices
  • Opportunistic Approach with Various Levers to Manage Risk/Reward Profile Across Various Market Environments
  • Selective Convertibles Seeking to Provide Structural Hedge to Manage Downside
  • Leveraging the Experience of over 50 Investment Professionals

Sector Weightings

AS OF 31/3/13
% of Assets BofA ML Global 300 Convertible Index Under/Overweight %
Health Care 21.3% 11.6%
Information Technology 19.8 17.5
Energy 11.4 7.9
Consumer Discretionary 10.1 15.3
Financials 10.0 19.7
Industrials 8.3 9.3
Consumer Staples 4.4 4.4
Materials 4.2 5.4
Telecommunication Services 4.1 7.2
Utilities 2.1 1.7
 

Representative Portfolio Ten Largest Holdings

AS OF 31/3/13
Company Security Type Sector %
Deutsche Post, AG 0.60% Cv Due 2019 Industrials 4.8
SAP, AG Common Stock Information Technology 4.6
Novo Nordisk, A/S - Class B Common Stock Health Care 4.3
Temasek Financial, Ltd. (Standard Chartered, PLC) 0% Cv Due 2014 Financials 3.2
Swatch Group, AG Common Stock Consumer Discretionary 3.0
Priceline.com, Inc. 1.00% Cv Due 2018 Consumer Discretionary 2.7
Chesapeake Energy Corp. 5.75% Cv Pfd Energy 2.7
Elekta, AB 2.75% Cv Due 2017 Health Care 2.6
Shire, PLC 2.75% Cv Due 2014 Health Care 2.6
Billion Express Investments, Ltd. 0.75% Cv Due 2015 Telecom Services 2.4

Characteristics

AS OF 31/3/13
  Calamos Portfolio BofA ML Global 300 Convertible Index
Assets in Strategy $407.5 million N/A
# of Holdings 69 300
Portfolio Turnover % (5-Year) 60.9% N/A
Average Credit Quality† BBB- BB+
Median Investment Premium 18.6% 11.7%
Median Conversion Premium 21.2% 23.6%

Credit Quality of Bonds

AS OF 31/3/13
AAA 5.1%
AA 6.3%
A 8.7%
BBB 36.3%
BB 31.4%
B 12.2%
CCC and below 0.0%
Unrated Securities 0.0%

Largest Country Weightings

AS OF 31/3/13
Representative Portfolio BofA ML Global 300 Convertible Index
United States 34.0% 54.4%
Germany 13.8% 5.4%
Japan 7.9% 9.3%
United Kingdom 5.4% 2.5%
Canada 5.0% 0.0%
Sweden 4.9% 0.8%
France 4.2% 7.7%
Taiwan 4.2% 1.8%
Denmark 4.1% 0.0%
Ireland 3.0% 0.6%

Global Summary

AS OF 31/3/13
Representative Portfolio BofA ML Global 300 Convertible Index
Developed Markets 93.1% 0.0%
Emerging Markets 6.9% 0.0%

Composite Summary

AS OF 31/3/13
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2012 476 30,580 1.6% 5 95
12/31/2011 957 32,777 2.9% 8 120
12/31/2010 1,119 35,414 3.2% 10 112
12/31/2009 816 32,144 2.5% 9 91
12/31/2008 427 23,522 1.8% 2 213
12/31/2007 39 46,208 0.1% 1 39
12/31/2006 30 44,725 0.1% 1 30
12/31/2005 24 43,805 0.1% 1 24
12/31/2004 21 37,975 0.1% 1 21
12/31/2003 14 23,840 0.1% 1 14
12/31/2002 07 12,892 0.1% 1 07

Past performance does not guarantee or indicate future results. Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown.

The information portrayed on the composition tab is supplemental information to the Calamos Global Convertible Composite and as such only relate to the representative portfolio shown. Representative holdings and portfolio characteristics are specific only to the portfolio shown at that point in time. Other portfolios will vary in composition, characteristics, and will experienced different investment results. The representative portfolio shown has been selected by the advisor based on account characteristics that the advisor feels accurately represents the investment strategy as a whole.

The Calamos Global Convertible Composite is an actively managed composite investing primarily in a globally diversified portfolio of convertible securities. The Composite includes all fully discretionary fee paying accounts, including those no longer with the Firm. Accounts valued at less than $1,000,000 are not included. The Composite was created May 15, 2008, calculated with an inception date of October 1, 2001.

The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. Information contained herein is for informational purposes only and should not be considered investment advice.

The information provided in this report should not be considered a recommendation to purchase or sell any particular security. There is no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account's entire portfolio and in the aggregate may represent only a small percentage of an account's portfolio holdings.

It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.

The BofA Merrill Lynch Global 300 Cv Index (VG00) is a $US/Local-denominated unmanaged index generally indicative of the overall global convertible market.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Russell/Mellon Analytical Services LLC and Calamos Advisors LLC.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees, expenses or sales changes. Investors cannot invest directly in an index.

44609C

As of 31/3/13

Annualized Total Returns

1.13%5.18%4.69%8.96%8.09%
0.31%4.47%4.05%8.07%7.18%
8.17%6.47%4.83%7.16%6.64%
10.39%6.58%5.31%6.21%5.45%

As of 31/3/13

Calendar Year Returns




As of 31/3/13

Rolling 5-Year Returns

5 Years Ended




Past performance does not guarantee or indicate future results. Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown.

The Calamos Global Convertible Composite is an actively managed composite investing primarily in a globally diversified portfolio of convertible securities. The Composite includes all fully discretionary fee paying accounts, including those no longer with the Firm. Accounts valued at less than $1,000,000 are not included. The Composite was created May 15, 2008, calculated with an inception date of October 1, 2001.

The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. Information contained herein is for informational purposes only and should not be considered investment advice.

The information provided in this report should not be considered a recommendation to purchase or sell any particular security. There is no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account's entire portfolio and in the aggregate may represent only a small percentage of an account's portfolio holdings.

It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.

The BofA Merrill Lynch Global 300 Cv Index (VG00) is a $US/Local-denominated unmanaged index generally indicative of the overall global convertible market.

The MSCI World Index is a market capitalization weighted index composed of companies representative of the market structure of developed market countries in North America, Europe, and the Asia/Pacific Region.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Russell/Mellon Analytical Services LLC and Calamos Advisors LLC.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees, expenses or sales changes. Investors cannot invest directly in an index.

44602B

Risk/Reward Since Inception

AS OF 31/3/13
  Calamos Global Convertible Composite BofA ML Global 300 Convertible Index (USD)
Alpha 1.74% N/A
Beta 0.93 1.00
Standard Deviation 10.42% 10.59%
Upside Semivariance 5.27% 5.04%
Downside Semivariance 4.26% 4.65%
Sharpe Ratio 0.62 0.47
Information Ratio 0.37 N/A

Since Inception Up/Down Capture Vs. BofA ML Global 300 Convertible Index

AS OF 31/3/13

Past performance does not guarantee or indicate future results. Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown.

The Calamos Global Convertible Composite is an actively managed composite investing primarily in a globally diversified portfolio of convertible securities. The Composite includes all fully discretionary fee paying accounts, including those no longer with the Firm. Accounts valued at less than $1,000,000 are not included. The Composite was created May 15, 2008, calculated with an inception date of October 1, 2001.

The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. Information contained herein is for informational purposes only and should not be considered investment advice.

The information provided in this report should not be considered a recommendation to purchase or sell any particular security. There is no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account's entire portfolio and in the aggregate may represent only a small percentage of an account's portfolio holdings.

It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.

The BofA Merrill Lynch Global 300 Cv Index (VG00) is a $US/Local-denominated unmanaged index generally indicative of the overall global convertible market.

The MSCI World Index is a market capitalization weighted index composed of companies representative of the market structure of developed market countries in North America, Europe, and the Asia/Pacific Region.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Russell/Mellon Analytical Services LLC and Calamos Advisors LLC.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees, expenses or sales changes. Investors cannot invest directly in an index.

44602B

Strategy Vehicles

The Calamos Global Convertible Strategy is closed to new investors.

Separately Managed Accounts Minimum: $25 million
Institutional Mutual Fund Minimum $1 million

34609E

Fact Sheet The Global Convertible Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
Performance Review
Quarterly
Yearly
A discussion of the Calamos Global Convertible Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
Investment Team View the Growth/Convertible Team biographies
Investment Team View the Value Team biographies

Strategy Details




As of 31/3/13
Inception Date:
01/10/01
Strategy Assets*:
$407.5 M
Benchmark:
BofA ML Global 300 Convertible Index

Resources

* Strategy Assets includes assets under management as well as assets for which the company provides model portfolio design and oversight.