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 31/3/18
Inception Date:
01/10/2001
Strategy Assets*:
$329.3 M
Benchmark:
ICE BofAML VG00 - Global 300

Resources

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

Sector Weightings

AS OF 31/3/18
% of Assets ICE BofAML VG00 - Global 300 Under/Overweight %
Information Technology 25.7% 23.1%
Consumer Discretionary 14.9 12.9
Financials 14.1 10.8
Real Estate 10.0 7.6
Industrials 9.0 9.7
Health Care 8.8 12.8
Energy 6.8 5.6
Materials 5.5 5.3
Telecom Services 4.2 5.1
Utilities 1.0 4.4
 

Representative Portfolio Ten Largest Holdings

AS OF 31/3/18
Company Security Type Sector %
Treasury Notes Other 3.3
United States Treasury Note Other 3.2
Bank Of America Corp. 7.25% Cv Pfd Financials 2.7
Wells Fargo & Company 7.50% Cv Pfd Financials 2.7
Corestate Capital Holding, Sa 1.38% Cv Due 2022 Real Estate 2.4
Salesforce.Com, Inc. 0.25% Cv Due 2018 Information Technology 2.4
America Movil 0% Cv Due 2020 Telecom Services 2.3
Treasury Notes Other 2.2
Citrix Systems, Inc. 0.50% Cv Due 2019 Information Technology 2.0
Ctrip.Com Intl Ltd 1.25% Cv Due 2022 Consumer Discretionary 2.0

Characteristics

AS OF 31/3/18
  Calamos Portfolio ICE BofAML VG00 - Global 300
Assets in Strategy $329.3 million N/A
# of Holdings 124 298
Portfolio Turnover % (12-Month) 64.3% N/A
Average Credit Quality† BB+ BB
Median Investment Premium 17.4% 11.7%
Median Conversion Premium 21.5% 25.5%

Credit Quality of Bonds

AS OF 31/3/18
Class %
AAA 8.8%
AA 1.8%
A 12.6%
BBB 19.1%
BB 39.0%
B 18.7%
CCC and below 0.0%
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 277 21,908 1.3% 2 139
12/31/2014 162 23,506 0.7% 1 162
12/31/2013 423 26,543 1.6% 3 141
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

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Annualized Total Returns

AS OF 31/3/18
1-Year3-Year5-Year10-Year15-YearSince Inception (10/01)
Global Convertible (Gross)12.83%6.87%8.04%6.35%8.65%8.06%
Global Convertible (Net)11.33%5.37%6.59%5.31%7.58%7.00%
ICE BofAML VG00 - Global 30014.29%8.35%8.70%6.74%7.67%7.26%
ICE BofAML VG00 (LOCAL) - Global 300 Convertible Index10.92%7.31%9.26%7.26%7.21%6.58%

Calendar Year Returns

AS OF 31/3/18
                           Qtr Ending Mar 18YTD 2018201720162015201420132012201120102009200820072006200520042003200210/01/2001 to 12/31/2001
Global Convertible (Gross)2.08%2.08%15.64%5.20%2.15%4.06%13.96%4.48%-0.94%13.34%32.98%-25.55%16.23%14.69%9.13%9.12%25.71%0.65%2.58%
Global Convertible (Net)1.75%1.75%14.09%3.74%0.58%2.61%12.91%3.71%-1.57%12.71%32.28%-26.02%15.06%13.52%8.02%8.00%24.45%-0.38%2.31%
ICE BofAML VG00 - Global 3003.12%3.12%16.05%7.13%1.38%3.62%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%
ICE BofAML VG00 (LOCAL) - Global 300 Convertible Index2.08%2.08%13.06%7.93%3.95%7.27%17.91%13.44%-5.66%11.73%36.34%-29.35%6.53%12.82%5.96%5.23%13.91%-3.53%3.15%



44602B

Risk/Reward Since Inception

AS OF 31/3/18
  Calamos Global Convertible Composite ICE BofAML VG00 - Global 300
Alpha 1.16% N/A
Beta 0.95 1.00
Standard Deviation 9.54% 9.52%
Upside Semivariance 4.69% 4.38%
Downside Semivariance 3.33% 3.51%
Sharpe Ratio 0.7140 0.6307
Information Ratio 0.2560 N/A

Since Inception Up/Down Capture Vs. ICE BofAML VG00 - Global 300

AS OF 31/3/18 Upside = 101.40
Downside = 94.27

44602B

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million

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