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 30/6/14
Inception Date:
01/10/79
Strategy Assets*:
$2.4 B
Benchmark:
BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)

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 30/6/14
% of Assets BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0) Under/Overweight %
Financials 26.0% 19.1%
Information Technology 23.4 27.3
Health Care 17.1 19.2
Industrials 12.9 6.5
Consumer Discretionary 12.0 12.2
Energy 4.5 8.6
Utilities 2.5 1.1
Materials 1.6 2.7
Consumer Staples 0.0 1.8
Telecommunication Services 0.0 1.5
 

Representative Portfolio Ten Largest Holdings

AS OF 30/6/14
Company Security Type Sector %
SanDisk Corp. 0.50% Cv Due 2020 Information Technology 3.5
United Technologies Corp. 7.50% Cv Pfd Industrials 3.4
WellPoint, Inc. 2.75% Cv Due 2042 Health Care 3.3
Citrix Systems, Inc. 0.50% Cv Due 2019 Information Technology 3.2
Priceline Group, Inc. 1.00% Cv Due 2018 Consumer Discretionary 3.2
Gilead Sciences, Inc. 1.63% Cv Due 2016 Health Care 3.1
MetLife, Inc. 5.00% Cv Pfd Financials 2.9
Ares Capital Corp. 4.75% Cv Due 2018 Financials 2.5
Stanley Black & Decker, Inc. 4.75% Cv Pfd Industrials 2.5
Novellus Systems, Inc. 2.63% Cv Due 2041 Information Technology 2.3

Characteristics

AS OF 30/6/14
  Calamos Portfolio BofA ML Index (V0A0)
Assets in Strategy $2.4 billion N/A
# of Holdings 91 468
Portfolio Turnover % (5-Year) 77.9% N/A
Average Credit Quality† BB+ BB-
Median Investment Premium 31.7% 32.1%
Median Conversion Premium 17.5% 20.1%

Credit Quality of Bonds

AS OF 30/6/14
AAA 0.0%
AA 0.0%
A 11.5%
BBB 42.1%
BB 20.9%
B 24.9%
CCC and below 0.6%
Unrated Securities 0.0%

Largest Country Weightings

AS OF 30/6/14
Representative Portfolio BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)
United States 97.4% 99.0%
Israel 1.7% 0.4%
Netherlands 0.9% 0.0%
Bermuda 0.0% 0.4%
Ireland 0.0% 0.2%
Switzerland 0.0% 0.0%
United Kingdom 0.0% 0.0%
Singapore 0.0% 0.0%
Hong Kong 0.0% 0.0%
Cayman Islands 0.0% 0.0%

Global Summary

AS OF 30/6/14
Representative Portfolio BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)
Developed Markets 100.0% 0.0%
Emerging Markets 0.0% 0.0%

Composite Summary

AS OF 30/6/14
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2012 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 30/6/14
1-Year3-Year5-Year10-Year15-YearSince V0A0 Inception (1/88)Since Strategy Inception (10/79)
Convertible (Gross)19.10%8.49%12.49%6.85%7.38%10.05%11.37%
Convertible (Net)18.40%7.87%11.89%6.30%6.83%9.42%10.63%
BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)24.91%13.00%16.66%7.91%7.25%10.00%

Calendar Year Returns

AS OF 30/6/14
                           Qtr ending Jun 14YTD 2014201320122011201020092008200720062005200420032002200120001999199819971996199519941993199219911990198919881987198619851984198319821981198010/1/1979 to 12/31/1979
Convertible (Gross)4.03%7.08%19.56%6.44%-3.14%13.96%34.27%-25.39%9.08%11.83%1.08%7.45%26.21%-5.63%-5.84%2.67%41.10%9.79%17.18%15.65%27.12%-6.29%20.40%13.32%28.57%-1.77%18.60%7.56%1.97%19.62%23.52%8.11%18.16%23.86%10.61%21.21%4.36%
Convertible (Net)3.88%6.77%18.83%5.81%-3.57%13.42%33.63%-25.76%8.54%11.27%0.58%6.93%25.58%-6.09%-6.30%2.17%40.36%9.19%16.54%14.99%26.38%-6.85%19.68%12.61%27.68%-2.58%17.62%6.64%0.93%18.49%22.34%7.10%17.02%22.67%9.53%20.05%4.11%
BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)5.08%9.70%25.00%14.41%-3.42%16.52%47.19%-33.02%4.12%12.75%-0.34%8.49%25.80%-4.95%-3.95%-11.70%44.32%8.21%18.99%14.30%24.75%-7.08%18.91%22.41%31.96%-6.99%12.46%12.80%



Risk/Reward Since Inception

AS OF 30/6/14
  Representative Portfolio BofA ML Index (V0A0)
Alpha 0.95% N/A
Beta 0.85 1.00
Standard Deviation 10.68% 11.73%
Upside Semivariance 6.55% 7.31%
Downside Semivariance 3.66% 4.89%
Sharpe Ratio 0.61 0.55
Information Ratio -0.02 N/A

Since Inception Up/Down Capture Vs. BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)

AS OF 30/6/14

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 Convertible Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
Investment Team View the Growth Equity/Fixed Income Team biographies