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 09/30/17
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 09/30/17
% of Assets BofA ML VOAO - All ex Mand Index Under/Overweight %
Information Technology 37.4% 39.8%
Consumer Discretionary 18.9 12.6
Health Care 17.8 15.9
Financials 8.1 14.6
Industrials 6.1 4.4
Real Estate 4.0 4.5
Energy 3.7 4.6
Utilities 2.5 0.5
Telecom Services 0.8 0.5
Materials 0.7 1.0
 

Representative Portfolio Ten Largest Holdings

AS OF 09/30/17
Company Security Type Sector %
Tesla, Inc. 1.25% Cv Due 2021 Consumer Discretionary 4.4
Priceline Group, Inc. 0.90% Cv Due 2021 Consumer Discretionary 3.6
Intel Corp. 3.25% Cv Due 2039 Information Technology 3.3
Wells Fargo & Company 7.50% Cv Pfd Financials 3.2
Microchip Technology, Inc. 1.63% Cv Due 2027 Information Technology 2.9
Micron Technology, Inc. 1.63% Cv Due 2033 Information Technology 2.9
Lam Research Corp. Common Stock Information Technology 2.7
Workday, Inc. 0.25% Cv Due 2022 Information Technology 2.4
Bank Of America Corp. 7.25% Cv Pfd Financials 2.3
Allergan, Plc 5.50% Cv Pfd Health Care 2.3

Characteristics

AS OF 09/30/17
  Calamos Portfolio BofA ML VOAO - ex Mand Index
Assets in Strategy $1.6 billion N/A
# of Holdings 99 398
Portfolio Turnover % (12-Month) 44.1% N/A
Average Credit Quality† BB- BB-
Median Investment Premium 22.8% 14.5%
Median Conversion Premium 23.3% 28.7%

Credit Quality of Bonds

AS OF 09/30/17
Class %
AAA 0.0%
AA 0.0%
A 4.1%
BBB 20.5%
BB 42.3%
B 30.8%
CCC and below 2.3%
Unrated Securities 0.0%

Composite Summary

AS OF 09/30/17
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 1,416 26,543 5.3% 12 118
12/31/2012 1,605 30,580 5.3% 23 70
12/31/2011 3,141 32,777 9.7% 27 116
12/31/2010 4,679 35,414 13.4% 34 138
12/31/2009 4,124 32,144 12.8% 29 142
12/31/2008 1,644 23,522 7.0% 26 63
12/31/2007 2,058 46,208 4.5% 36 57
12/31/2006 2,193 44,725 4.9% 38 58
12/31/2005 2,262 43,805 5.2% 39 58
12/31/2004 2,659 37,975 7.0% 43 62
12/31/2003 2,706 23,840 11.3% 31 87

44603C

Annualized Total Returns

AS OF 09/30/17
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Convertible (Gross)13.08%5.76%8.54%5.80%8.00%9.69%
U.S. Convertible (Net)12.30%5.02%7.79%5.10%7.31%9.02%
BofA ML VOAO - All ex Mand Index16.58%7.73%11.55%7.57%9.12%10.07%

Calendar Year Returns

AS OF 09/30/17
                           Qtr Ending Sep 17YTD 201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Convertible (Gross)3.18%13.06%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)3.00%12.47%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 Index4.47%13.62%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 09/30/17
  Representative Portfolio BofA ML VOAO - ex Mand Index
Alpha 1.22% N/A
Beta 0.84 1.00
Standard Deviation 10.44% 11.62%
Upside Semivariance 6.21% 7.20%
Downside Semivariance 3.52% 4.77%
Sharpe Ratio 0.6714 0.6355
Information Ratio -0.0884 N/A

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

AS OF 09/30/17 88.12 = Upside
85.58 = Downside

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
Institutional Mutual Fund (CICVX) Minimum $1 million

34603E

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