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 30/9/16
Inception Date:
01/10/1979
Strategy Assets*:
$1.8 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 30/9/16
% of Assets BofA ML VOAO - All ex Mand Index Under/Overweight %
Information Technology 34.7% 38.3%
Consumer Discretionary 17.8 11.2
Health Care 17.0 16.4
Financials 8.5 14.7
Real Estate 5.7 4.8
Utilities 4.5 0.9
Energy 4.3 5.1
Industrials 2.5 4.3
Telecom Services 1.7 0.5
Materials 1.7 2.0
 

Representative Portfolio Ten Largest Holdings

AS OF 30/9/16
Company Security Type Sector %
Tesla Motors, Inc. 1.25% Cv Due 2021 Consumer Discretionary 4.6
NVIDIA Corp. 1.00% Cv Due 2018 Information Technology 3.3
Intel Corp. 3.25% Cv Due 2039 Information Technology 3.1
Salesforce.com, Inc. 0.25% Cv Due 2018 Information Technology 3.0
Priceline Group, Inc. 0.35% Cv Due 2020 Consumer Discretionary 3.0
Wells Fargo & Company 7.50% Cv Pfd Financials 2.9
Allergan, PLC 5.50% Cv Pfd Health Care 2.8
Bank of America Corp. 7.25% Cv Pfd Financials 2.8
NXP Semiconductors, NV 1.00% Cv Due 2019 Information Technology 2.6
Synchronoss Technologies, Inc. 0.75% Cv Due 2019 Information Technology 2.6

Characteristics

AS OF 30/9/16
  Calamos Portfolio BofA ML VOAO - ex Mand Index
Assets in Strategy $1.8 billion N/A
# of Holdings 85 396
Portfolio Turnover % (12-Month) 50.0% N/A
Average Credit Quality† BB BB-
Median Investment Premium 22.0% 15.6%
Median Conversion Premium 16.3% 32.5%

Credit Quality of Bonds

AS OF 30/9/16
AAA 0.0%
AA 0.0%
A 3.7%
BBB 24.6%
BB 45.7%
B 23.6%
CCC and below 2.4%
Unrated Securities 0.0%

Composite Summary

AS OF 30/9/16
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 30/9/16
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Convertible (Gross)8.31%4.90%8.02%5.90%6.78%9.56%
U.S. Convertible (Net)7.55%4.17%7.28%5.21%6.11%8.90%
BofA ML VOAO - All ex Mand Index10.00%7.07%11.53%7.22%7.58%9.82%

Calendar Year Returns

AS OF 30/9/16
                           Qtr Ending Sep 16YTD 20162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Convertible (Gross)6.17%5.54%-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)5.99%4.99%-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 Index7.41%8.87%-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 30/9/16
  Representative Portfolio BofA ML VOAO - ex Mand Index
Alpha 1.29% N/A
Beta 0.84 1.00
Standard Deviation 10.61% 11.82%
Upside Semivariance 6.37% 7.37%
Downside Semivariance 3.64% 4.94%
Sharpe Ratio 0.6407 0.5975
Information Ratio -0.0604 N/A

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

AS OF 30/9/16

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.