Institutional Strategies Main

U.S. Convertible

Strategy Details




As of 30/9/18
Inception Date:
01/10/1979
Strategy Assets*:
$1.6 B
Benchmark:
ICE BofAML VOAO - All ex Mand Index

Resources

*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.

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

Sector Weightings

AS OF 30/9/18
% of Assets ICE BofAML VOAO - All ex Mand Index Under/Overweight %
Information Technology 39.0% 39.4%
Health Care 16.4 17.7
Consumer Discretionary 11.4 12.2
Financials 10.3 12.3
Industrials 7.7 4.0
Energy 5.5 5.0
Utilities 4.1 1.0
Real Estate 3.7 4.0
Materials 1.2 1.2
Telecom Services 0.7 1.6
 

Representative Portfolio Ten Largest Holdings

AS OF 30/9/18
Company Security Type Sector %
Wells Fargo & Company 7.50% Cv Pfd Financials 2.9
Workday, Inc. 0.25% Cv Due 2022 Information Technology 2.7
Microchip Technology, Inc. 1.63% Cv Due 2027 Information Technology 2.4
Palo Alto Networks, Inc. 0.75% Cv Due 2023 Information Technology 2.3
Bank Of America Corp. 7.25% Cv Pfd Financials 2.2
Booking Holdings, Inc. 0.35% Cv Due 2020 Consumer Discretionary 2.2
Ares Capital Corp. 3.75% Cv Due 2022 Financials 2.0
Tesla, Inc. 1.25% Cv Due 2021 Consumer Discretionary 1.8
Nextera Energy, Inc. 6.12% Cv Pfd Utilities 1.8
Dish Network Corp. 3.38% Cv Due 2026 Consumer Discretionary 1.7

Characteristics

AS OF 9/30/18
  Calamos Portfolio ICE BofAML VOAO - ex Mand Index
Assets in Strategy $1.6 billion N/A
# of Holdings 121 403
Portfolio Turnover % (12-Month) 64.7% N/A
Average Credit Quality† BB B+
Median Investment Premium 27.6% 17.5%
Median Conversion Premium 23.7% 25.4%

Credit Quality of Bonds

AS OF 30/9/18
Class %
AAA 3.0%
AA 1.7%
A 4.9%
BBB 18.5%
BB 37.9%
B 32.8%
CCC and below 1.2%
Unrated Securities 0.0%

Composite Summary

AS OF 30/9/18
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2016 651 18,278 3.6% 3 217
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 30/9/18
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Convertible (Gross)12.84%11.39%8.05%8.88%7.50%9.80%
U.S. Convertible (Net)12.06%10.61%7.30%8.15%6.81%9.13%
ICE BofAML VOAO - All ex Mand Index12.92%13.13%10.07%11.38%8.33%10.17%

Calendar Year Returns

AS OF 30/9/18
                           Qtr Ending Sep 18YTD 2018201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Convertible (Gross)3.21%10.15%15.82%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)3.03%9.58%15.02%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%
ICE BofAML VOAO - All ex Mand Index4.02%10.89%15.70%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 30/9/18
  Representative Portfolio ICE BofAML VOAO - ex Mand Index
Alpha 1.24% N/A
Beta 0.84 1.00
Standard Deviation 10.29% 11.46%
Upside Semivariance 6.09% 7.07%
Downside Semivariance 3.39% 4.60%
Sharpe Ratio 0.6956 0.6569
Information Ratio -0.0874 N/A

Since Inception Up/Down Capture Vs. ICE BofAML VOAO - All ex Mand Index

AS OF 30/9/18 88.27 = Upside
85.38 = Downside

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
UCITS (Available in A, I, X Share Classes) $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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