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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 03/31/17
Inception Date:
10/01/79
Strategy Assets*:
$1.6 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 03/31/17
% of Assets BofA ML VOAO - All ex Mand Index Under/Overweight %
Information Technology 33.9% 38.9%
Consumer Discretionary 19.3 13.3
Health Care 15.5 14.3
Financials 7.8 13.4
Industrials 7.3 4.2
Energy 6.5 6.0
Real Estate 5.4 5.1
Utilities 2.9 0.9
Telecom Services 0.8 0.5
Materials 0.6 1.7
 

Representative Portfolio Ten Largest Holdings

AS OF 03/31/17
Company Security Type Sector %
Tesla Motors, Inc. 1.25% Cv Due 2021 Consumer Discretionary 4.6
Priceline Group, Inc. 0.90% Cv Due 2021 Consumer Discretionary 3.5
Intel Corp. 3.25% Cv Due 2039 Information Technology 3.5
Wells Fargo & Company 7.50% Cv Pfd Financials 3.2
Salesforce.com, Inc. 0.25% Cv Due 2018 Information Technology 2.7
Allergan, PLC 5.50% Cv Pfd Health Care 2.6
Colony Starwood Homes 3.00% Cv Due 2019 Real Estate 2.3
Lam Research Corp. Common Stock Information Technology 2.3
Micron Technology, Inc. 1.63% Cv Due 2033 Information Technology 2.3
DISH Network Corp. 3.38% Cv Due 2026 Consumer Discretionary 2.3

Characteristics

AS OF 03/31/17
  Calamos Portfolio BofA ML VOAO - ex Mand Index
Assets in Strategy $1.6 billion N/A
# of Holdings 96 395
Portfolio Turnover % (12-Month) 44.7% N/A
Average Credit Quality† BB- BB-
Median Investment Premium 23.2% 12.9%
Median Conversion Premium 22.7% 30.7%

Credit Quality of Bonds

AS OF 03/31/17
AAA 0.0%
AA 0.0%
A 4.2%
BBB 18.6%
BB 39.8%
B 35.5%
CCC and below 1.9%
Unrated Securities 0.0%

Composite Summary

AS OF 03/31/17
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 03/31/17
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Convertible (Gross)15.00%4.17%6.92%5.97%6.68%9.60%
U.S. Convertible (Net)14.20%3.44%6.18%5.27%6.00%8.93%
BofA ML VOAO - All ex Mand Index21.08%6.31%10.31%7.31%7.63%9.96%

Calendar Year Returns

AS OF 03/31/17
                           Qtr Ending Mar 17YTD 201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Convertible (Gross)5.67%5.67%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)5.49%5.49%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 Index5.62%5.62%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 03/31/17
  Representative Portfolio BofA ML VOAO - ex Mand Index
Alpha 1.22% N/A
Beta 0.84 1.00
Standard Deviation 10.54% 11.73%
Upside Semivariance 6.30% 7.30%
Downside Semivariance 3.59% 4.86%
Sharpe Ratio 0.6535 0.6178
Information Ratio -0.0840 N/A

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

AS OF 03/31/17

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
Institutional Mutual Fund (CICVX) Minimum $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.