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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 09/30/17
Inception Date:
10/01/01
Strategy Assets*:
$267.5 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 09/30/17
% of Assets BofA ML VG00 - Global 300 Under/Overweight %
Information Technology 21.5% 23.9%
Consumer Discretionary 19.1 12.0
Financials 16.5 12.4
Health Care 11.7 12.7
Industrials 9.0 10.8
Real Estate 8.7 6.2
Energy 5.4 5.5
Materials 3.9 4.5
Telecom Services 3.7 4.5
Utilities 0.5 5.2
 

Representative Portfolio Ten Largest Holdings

AS OF 09/30/17
Company Security Type Sector %
Treasury Notes Other 4.0
United States Treasury Note Other 4.0
Credit Agricole, Sa 0% Cv Due 2019 Financials 2.7
Wells Fargo & Company 7.50% Cv Pfd Financials 2.7
Bank Of America Corp. 7.25% Cv Pfd Financials 2.7
Salesforce.Com, Inc. 0.25% Cv Due 2018 Information Technology 2.3
Safran, Sa 0% Cv Due 2020 Industrials 2.3
Priceline Group, Inc. 0.90% Cv Due 2021 Consumer Discretionary 2.3
Aurelius Equity Opportunities 1.00% Cv Due 2020 Financials 2.2
America Movil 0% Cv Due 2020 Telecom Services 2.1

Characteristics

AS OF 09/30/17
  Calamos Portfolio BofA ML VG00 - Global 300
Assets in Strategy $267.5 million N/A
# of Holdings 114 297
Portfolio Turnover % (12-Month) 59.7% N/A
Average Credit Quality† BB+ BB
Median Investment Premium 19.3% 12.1%
Median Conversion Premium 21.1% 23.4%

Credit Quality of Bonds

AS OF 09/30/17
Class %
AAA 8.2%
AA 0.0%
A 11.6%
BBB 23.0%
BB 36.3%
B 20.5%
CCC and below 0.4%
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 277 21,908 1.3% 2 139
12/31/2014 162 23,506 0.7% 1 162
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

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Annualized Total Returns

AS OF 09/30/17
1-Year3-Year5-Year10-Year15-YearSince Inception (10/01)
Global Convertible (Gross)12.29%7.25%7.49%5.47%8.73%8.06%
Global Convertible (Net)10.77%5.72%6.10%4.46%7.67%7.00%
BofA ML VG00 - Global 30012.66%7.58%8.83%5.58%7.92%7.13%
BofA ML VG00 (LOCAL) - Global 300 Convertible Index12.77%8.38%10.10%5.80%7.34%6.51%

Calendar Year Returns

AS OF 09/30/17
                           Qtr Ending Sep 17YTD 201720162015201420132012201120102009200820072006200520042003200210/01/2001 to 12/31/2001
Global Convertible (Gross)3.55%13.48%5.20%2.15%4.06%13.96%4.48%-0.94%13.34%32.98%-25.55%16.23%14.69%9.13%9.12%25.71%0.65%2.58%
Global Convertible (Net)3.20%12.34%3.74%0.58%2.61%12.91%3.71%-1.57%12.71%32.28%-26.02%15.06%13.52%8.02%8.00%24.45%-0.38%2.31%
BofA ML VG00 - Global 3004.11%13.26%7.19%1.38%3.66%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 VG00 (LOCAL) - Global 300 Convertible Index3.43%10.64%7.93%3.95%7.27%17.91%13.44%-5.66%11.73%36.34%-29.35%6.53%12.82%5.96%5.23%13.91%-3.53%3.15%



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Risk/Reward Since Inception

AS OF 09/30/17
  Calamos Global Convertible Composite BofA ML VG00 - Global 300
Alpha 1.27% N/A
Beta 0.95 1.00
Standard Deviation 9.65% 9.63%
Upside Semivariance 4.77% 4.45%
Downside Semivariance 3.43% 3.62%
Sharpe Ratio 0.7052 0.6099
Information Ratio 0.2909 N/A

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

AS OF 09/30/17 Upside = 101.85
Downside = 93.92

44602B

Strategy Vehicles

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

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Global Convertible Institutional Fact Sheet
Fact Sheet The Global 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 Global Convertible Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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