Institutional Strategies Main

GLOBAL CONVERTIBLE

Strategy Objective

A global convertible strategy that leverages Calamos’ capital structure research by investing predominantly in a portfolio of global convertible securities, in order to generate consistent alpha and manage downside volatility. The strategy seeks to outperform the BofA Merrill Lynch Global 300 Convertible Index.

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 31/3/14
Inception Date:
01/10/01
Strategy Assets*:
$195.7 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.

Sector Weightings

AS OF 31/3/14
% of Assets BofA ML Global 300 Convertible Index Under/Overweight %
Financials 23.4% 22.7%
Consumer Discretionary 19.6 14.0
Information Technology 18.0 19.7
Health Care 10.7 11.8
Industrials 8.7 11.6
Energy 7.1 8.1
Materials 5.7 5.1
Utilities 3.4 1.8
Consumer Staples 3.4 1.9
Telecommunication Services 0.0 3.3
 

Representative Portfolio Ten Largest Holdings

AS OF 31/3/14
Company Security Type Sector %
Industrivarden, AB 2.50% Cv Due 2015 Financials 4.0
Omnicom Group, Inc. 0% Cv Due 2032 Consumer Discretionary 3.1
MetLife, Inc. 5.00% Cv Pfd Financials 2.9
Priceline.com, Inc. 1.00% Cv Due 2018 Consumer Discretionary 2.9
WellPoint, Inc. 2.75% Cv Due 2042 Health Care 2.6
United Technologies Corp. 7.50% Cv Pfd Industrials 2.6
NextEra Energy, Inc. 5.60% Cv Pfd Utilities 2.5
Temasek Financial, Ltd. (Standard Chartered, PLC) 0% Cv Due 2014 Financials 2.5
SanDisk Corp. 0.50% Cv Due 2020 Information Technology 2.3
Glencore Finance Europe, SA 5.00% Cv Due 2014 Materials 2.2

Characteristics

AS OF 31/3/14
  Calamos Portfolio BofA ML Global 300 Convertible Index
Assets in Strategy $195.7 million N/A
# of Holdings 90 300
Portfolio Turnover % (5-Year) 68.5% N/A
Average Credit Quality† BB+ BB
Median Investment Premium 25.7% 21.2%
Median Conversion Premium 21.3% 21.2%

Credit Quality of Bonds

AS OF 31/3/14
AAA 0.0%
AA 3.7%
A 8.5%
BBB 38.6%
BB 22.1%
B 24.3%
CCC and below 2.8%
Unrated Securities 0.0%

Largest Country Weightings

AS OF 31/3/14
Representative Portfolio BofA ML Global 300 Convertible Index
United States 59.9% 56.0%
Japan 5.2% 5.3%
Switzerland 5.1% 1.0%
Sweden 4.0% 0.9%
France 3.9% 8.3%
United Kingdom 3.8% 1.0%
China 3.3% 2.0%
Italy 2.8% 0.1%
Taiwan 2.2% 1.6%
Australia 1.8% 0.3%

Global Summary

AS OF 31/3/14
Representative Portfolio BofA ML Global 300 Convertible Index
Developed Markets 89.1% 0.0%
Emerging Markets 10.9% 0.0%

Composite Summary

AS OF 31/3/14
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

44609C

Annualized Total Returns

AS OF 31/3/14
1-Year3-Year5-Year10-YearSince Inception (10/01)
Global Convertible (Gross)14.89%5.13%12.27%7.66%8.62%
Global Convertible (Net)13.73%4.26%11.47%6.78%7.69%
BofA ML Global 300 Convertible Index15.91%6.94%14.52%6.62%7.36%
BofA ML Global 300 Convertible Index (Local)15.15%7.78%14.20%6.15%6.19%

Calendar Year Returns

AS OF 31/3/14
                           Qtr ending Mar 14YTD 201420132012201120102009200820072006200520042003200210/1/2001 to 12/31/2001
Global Convertible (Gross)3.05%3.05%13.96%4.49%-0.95%13.34%32.99%-25.54%16.23%14.69%9.13%9.12%25.70%0.66%2.58%
Global Convertible (Net)2.72%2.72%12.92%3.70%-1.59%12.73%32.29%-26.02%15.06%13.52%8.02%8.00%24.44%-0.38%2.31%
BofA ML Global 300 Convertible Index2.86%2.86%16.86%12.55%-5.65%12.34%36.78%-27.76%9.80%16.02%0.18%7.96%21.21%2.10%0.51%
BofA ML Global 300 Convertible Index (Local)2.72%2.72%17.90%13.44%-5.66%11.73%36.34%-29.35%6.53%12.82%5.97%5.23%13.91%-3.52%3.15%



44602B

Risk/Reward Since Inception

AS OF 31/3/14
  Calamos Global Convertible Composite BofA ML Global 300 Convertible Index (USD)
Alpha 1.60% N/A
Beta 0.93 1.00
Standard Deviation 10.23% 10.34%
Upside Semivariance 5.29% 5.01%
Downside Semivariance 3.97% 4.30%
Sharpe Ratio 0.69 7.21
Information Ratio 0.33 N/A

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

AS OF 31/3/14

44602B

Strategy Vehicles

Separately Managed Accounts Minimum: $25 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 A discussion of the Calamos Global Convertible Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.