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 12/31/14
Inception Date:
10/01/01
Strategy Assets*:
$166.9 M
Benchmark:
BofA ML VG00 - Global 300

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 12/31/14
% of Assets BofA ML VG00 - Global 300 Under/Overweight %
Information Technology 28.4% 25.1%
Financials 17.4 22.4
Industrials 16.0 11.0
Consumer Discretionary 13.6 12.0
Health Care 13.1 13.9
Energy 4.8 4.6
Materials 4.1 3.2
Utilities 1.6 3.8
Telecommunication Services 1.0 2.0
Consumer Staples 0.0 2.0
 

Representative Portfolio Ten Largest Holdings

AS OF 12/31/14
Company Security Type Sector %
Priceline Group, Inc. 1.00% Cv Due 2018 Consumer Discretionary 2.5
NVIDIA Corp. 1.00% Cv Due 2018 Information Technology 2.5
United Technologies Corp. 7.50% Cv Pfd Industrials 2.3
LEG Immobilien, AG 0.50% Cv Due 2021 Financials 2.2
Salesforce.com, Inc. 0.25% Cv Due 2018 Information Technology 2.1
Beach Energy, Ltd. 3.95% Cv Due 2017 Energy 2.1
SanDisk Corp. 0.50% Cv Due 2020 Information Technology 2.1
Nidec Corp. 0% Cv Due 2015 Industrials 1.8
MISUMI Group, Inc. 0% Cv Due 2018 Industrials 1.7
Azimut Holding, S.p.A. 2.13% Cv Due 2020 Financials 1.7

Characteristics

AS OF 12/31/14
  Calamos Portfolio BofA ML VG00 - Global 300
Assets in Strategy $166.9 million N/A
# of Holdings 123 300
Portfolio Turnover % (5-Year) 75.9% N/A
Average Credit Quality† BB BB
Median Investment Premium 27.1% 24.8%
Median Conversion Premium 22.6% 18.8%

Credit Quality of Bonds

AS OF 12/31/14
AAA 0.0%
AA 1.3%
A 3.8%
BBB 23.6%
BB 38.8%
B 31.0%
CCC and below 1.5%
Unrated Securities 0.0%

Largest Country Weightings

AS OF 12/31/14
Representative Portfolio BofA ML VG00 - Global 300
United States 63.7% 59.3%
Japan 6.1% 5.0%
Germany 4.5% 5.3%
France 3.5% 8.0%
Italy 2.9% 1.3%
Taiwan 2.8% 1.9%
Netherlands 2.7% 0.6%
United Kingdom 2.5% 0.3%
Australia 2.1% 0.3%
China 2.0% 1.1%

Global Summary

AS OF 12/31/14
Representative Portfolio BofA ML VG00 - Global 300
Developed Markets 89.3% 0.0%
Emerging Markets 10.7% 0.0%

Composite Summary

AS OF 12/31/14
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 12/31/14
1-Year3-Year5-Year10-YearSince Inception (10/01)
Global Convertible (Gross)4.06%7.41%6.82%7.20%8.19%
Global Convertible (Net)2.61%6.31%5.92%6.29%7.23%
BofA ML VG00 - Global 3003.66%10.89%7.64%6.18%6.99%
BofA ML Global 300 Convertible Index (Local)7.27%12.79%8.62%6.38%6.18%

Calendar Year Returns

AS OF 12/31/14
                           Qtr ending Dec 14201420132012201120102009200820072006200520042003200210/1/2001 to 12/31/2001
Global Convertible (Gross)1.17%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)0.80%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 3001.16%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 Global 300 Convertible Index (Local)2.56%7.27%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 12/31/14
  Calamos Global Convertible Composite BofA ML VG00 - Global 300
Alpha 1.50% N/A
Beta 0.93 1.00
Standard Deviation 10.06% 10.13%
Upside Semivariance 5.07% 4.78%
Downside Semivariance 3.86% 4.14%
Sharpe Ratio 0.67 0.55
Information Ratio 0.33 N/A

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

AS OF 12/31/14

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.
Investment Team View the Growth Equity/Fixed Income Team biographies