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 31/12/15
Inception Date:
01/10/2001
Strategy Assets*:
$276.2 M
Benchmark:
BofA ML 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 31/12/15
% of Assets BofA ML VG00 - Global 300 Under/Overweight %
Information Technology 31.3% 24.7%
Financials 22.2 20.3
Health Care 14.8 13.2
Consumer Discretionary 12.4 12.8
Industrials 9.6 9.4
Telecommunication Services 3.2 3.7
Energy 2.9 4.7
Materials 2.4 3.5
Utilities 1.2 4.9
Consumer Staples 0.0 2.8
 

Representative Portfolio Ten Largest Holdings

AS OF 31/12/15
Company Security Type Sector %
Wells Fargo & Company 7.50% Cv Pfd Financials 2.5
Bank of America Corp. 7.25% Cv Pfd Financials 2.4
Allergan, PLC 5.50% Cv Pfd Health Care 2.3
Eurazeo 0% Cv Due 2016 Financials 2.3
America Movil, SAB de CV 0% Cv Due 2020 Telecom Services 2.2
NVIDIA Corp. 1.00% Cv Due 2018 Information Technology 2.2
LinkedIn Corp. 0.50% Cv Due 2019 Information Technology 2.1
Salesforce.com, Inc. 0.25% Cv Due 2018 Information Technology 2.0
Priceline Group, Inc. 0.90% Cv Due 2021 Consumer Discretionary 1.9
Azimut Holding, S.p.A. 2.13% Cv Due 2020 Financials 1.9

Characteristics

AS OF 31/12/15
  Calamos Portfolio BofA ML VG00 - Global 300
Assets in Strategy $276.2 million N/A
# of Holdings 121 300
Portfolio Turnover % (5-Year) 75.4% N/A
Average Credit Quality† BB BB
Median Investment Premium 20.7% 20.7%
Median Conversion Premium 27.8% 30.8%

Credit Quality of Bonds

AS OF 31/12/15
AAA 0.0%
AA 0.0%
A 6.9%
BBB 22.3%
BB 47.0%
B 23.5%
CCC and below 0.3%
Unrated Securities 0.0%

Largest Country Weightings

AS OF 31/12/15
Representative Portfolio BofA ML VG00 - Global 300
United States 62.1% 58.6%
Japan 6.4% 7.6%
Netherlands 6.1% 3.2%
Italy 4.0% 1.4%
France 3.9% 7.9%
United Kingdom 3.4% 1.9%
Germany 2.8% 4.2%
Taiwan 2.8% 1.4%
China 2.0% 1.4%
Australia 1.6% 0.0%

Global Summary

AS OF 31/12/15
Representative Portfolio BofA ML VG00 - Global 300
Developed Markets 92.0% 92.7%
Emerging Markets 8.0% 7.3%

Composite Summary

AS OF 31/12/15
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
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

44609C

Annualized Total Returns

AS OF 31/12/15
1-Year3-Year5-Year10-YearSince Inception (10/01)
Global Convertible (Gross)2.15%6.60%4.63%6.49%7.75%
Global Convertible (Net)0.58%5.23%3.53%5.54%6.75%
BofA ML VG00 - Global 3001.37%7.07%5.45%6.31%6.58%
BofA ML Global 300 Convertible Index (Local)3.94%9.53%7.06%6.17%6.02%

Calendar Year Returns

AS OF 31/12/15
                           Qtr ending Dec 152015201420132012201120102009200820072006200520042003200210/1/2001 to 12/31/2001
Global Convertible (Gross)3.19%2.15%4.06%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)2.81%0.58%2.61%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 VG00 - Global 3002.42%1.37%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%
BofA ML Global 300 Convertible Index (Local)3.20%3.94%7.23%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 31/12/15
  Calamos Global Convertible Composite BofA ML VG00 - Global 300
Alpha 1.44% N/A
Beta 0.94 1.00
Standard Deviation 9.90% 9.93%
Upside Semivariance 4.94% 4.62%
Downside Semivariance 3.68% 3.93%
Sharpe Ratio 0.65 0.52
Information Ratio 0.33 N/A

Since Inception Up/Down Capture Vs. BofA ML VG00 - Global 300

AS OF 31/12/15

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.