Institutional Strategies Main

Global Opportunities

Strategy Details




As of 30/9/18
Inception Date:
01/10/1996
Strategy Assets*:
$1.2 B
Benchmark:
MSCI ACWI

Resources

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

Strategy Objective

A lower-volatility global equity strategy that leverages Calamos’ capital structure research by investing in equities and equity-sensitive securities of global growth companies, in order to generate consistent alpha and manage downside volatility versus the MSCI All Country World Index over a full market cycle.

Key Differentiators
  • In-depth capital structure analysis
  • Rigorous top-down and fundamental research
  • Broader opportunity set to generate alpha and manage risk
  • Team approach to management

Sector Weightings

AS OF 30/9/18
% of Assets MSCI ACWI Under/Overweight %
Information Technology 28.3% 20.1%
Financials 16.4 17.1
Consumer Discretionary 11.1 12.3
Health Care 10.9 11.8
Energy 10.2 6.7
Consumer Staples 7.4 7.9
Industrials 6.8 10.7
Materials 5.0 5.0
Real Estate 2.8 2.8
Utilities 1.1 2.8
 

Representative Portfolio Ten Largest Holdings

AS OF 30/9/18
Company Country Sector %
Alibaba Exchangeable (Softbank) China Information Technology 2.8
Ping An Exchangeable (JP Morgan) China Financials 2.3
Johnson & Johnson United States Health Care 2.3
Total, Sa France Energy 2.2
Apple, Inc. United States Information Technology 2.1
Glencore Funding, Llc Switzerland Materials 1.7
Mastercard, Inc. - Class A United States Information Technology 1.7
Workday, Inc. United States Information Technology 1.6
Walt Disney Company United States Consumer Discretionary 1.6
Alphabet, Inc. - Class A United States Information Technology 1.6

Characteristics

AS OF 9/30/18
  Calamos Portfolio MSCI ACWI
Assets in Strategy $1.2 billion N/A
Average Credit Quality† BBB- 0
Debt/Capital % 35.5% 39%
Duration 1.9 years --
Median Conversion Premium 19.4% --
Median Investment Premium 20.4% --
# of Holdings 107 2791
PEG Ratio (1 year forward) 1.6x 1.8x
ROIC % 18.8% 17.7%
Portfolio Turnover % (12-Month) 81.8% N/A
Weighted Average Market Cap ($bil) $218.5 $160.7
Average Credit Quality† BBB- --

Credit Quality of Bonds

AS OF 30/9/18
Class %
AAA 14.9%
AA 10.3%
A 1.7%
BBB 9.6%
BB 42.3%
B 19.1%
CCC and below 2.1%
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 499 18,278 2.7% 11 45
12/31/2015 617 21,098 2.8% 11 56
12/31/2014 882 23,506 3.8% 11 80
12/31/2013 1,287 26,543 4.8% 16 80
12/31/2012 3,126 30,580 10.2% 32 98
12/31/2011 2,923 32,777 8.9% 32 91
12/31/2010 2,572 35,414 7.3% 27 95
12/31/2009 1,609 32,144 5.0% 25 64
12/31/2008 1,073 23,522 4.6% 25 43
12/31/2007 1,558 46,208 3.4% 10 156
12/31/2006 1,011 44,725 2.3% 5 202
12/31/2005 573 43,805 1.3% 2 287
12/31/2004 308 37,975 0.8% 1 308
12/31/2003 116 23,840 0.5% 1 116
12/31/2002 36 12,892 0.3% 1 36

44606B

Annualized Total Returns

AS OF 30/9/18
1-Year3-Year5-Year10-Year15-YearSince Inception (10/96)
Global Opportunities (Gross)8.86%10.45%7.41%8.24%8.38%9.52%
Global Opportunities (Net)8.12%9.59%6.59%7.36%7.45%8.54%
MSCI ACWI10.34%14.01%9.25%8.77%8.69%7.03%

Calendar Year Returns

AS OF 30/9/18
                           Qtr Ending Sep 18YTD 201820172016201520142013201220112010200920082007200620052004200320022001200019991998199710/01/1996 to 12/31/1996
Global Opportunities (Gross)2.56%3.65%21.42%2.10%2.20%3.88%13.58%7.93%-1.05%16.40%34.33%-34.45%15.63%17.32%20.81%10.38%24.69%-3.73%-5.34%-4.14%50.09%16.37%20.71%5.10%
Global Opportunities (Net)2.44%3.15%20.46%1.24%1.43%3.08%12.73%7.05%-1.93%15.39%33.13%-35.08%14.55%16.19%19.64%9.30%23.46%-4.70%-6.28%-5.09%48.66%15.23%19.53%4.85%
MSCI ACWI4.40%4.26%24.62%8.48%-1.84%4.71%23.44%16.80%-6.86%13.21%35.41%-41.85%12.19%21.53%11.37%15.75%34.63%-18.98%-15.91%-13.94%26.82%21.97%15.00%4.24%



44606B

Risk/Reward Since Inception

AS OF 30/9/18
  Calamos Global Opportunities Composite MSCI ACWI (USD)
Alpha 4.25% N/A
Beta 0.71 1.00
Standard Deviation 12.26% 15.31%
Upside Semivariance 8.23% 10.46%
Downside Semivariance 4.92% 9.44%
Sharpe Ratio 0.6022 0.3193
Information Ratio 0.3537 N/A

Since Inception Up/Down Capture Vs. MSCI ACWI

AS OF 30/9/18

44606B

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
Commingled Pool $5 million
Available for both qualified and non-qualified plans.

34606E

Global and Emerging Markets Lower Volatility Strategies A discussion of the risk mitigation approach of employing a lower volatility equity strategy to both the Global Opportunities and Emerging Economies strategies.
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Fact Sheet The Global Opportunities 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 Opportunities Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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Managing Risk Using a Lower-Volatility Equity Strategy A discussion of the Calamos Global Opportunities Strategy which has historically provided strong excess returns versus the MSCI ACWI Index with less volatility; downside risk mitigation in most periods; and alpha generation throughout market cycles.
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