Institutional Strategies Main

Global Convertible

Strategy Details




As of 31/12/18
Inception Date:
01/10/2001
Strategy Assets*:
$339.0 M
Benchmark:
Thomson Reuters Global Convertible Bond 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 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 Thomson Reuters Global Convertible Bond Index.

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 31/12/18
% of Assets Thomson Reuters Global Convertible Bond Index Under/Overweight %
Information Technology 26.0% 18.8%
Financials 13.2% 8.4%
Consumer Discretionary 10.8% 12.3%
Real Estate 10.3% 8.7%
Health Care 7.6% 12.4%
Industrials 7.6% 9.4%
Energy 7.0% 4.3%
Communication Services 6.3% 9.8%
Materials 6.1% 8.2%
Consumer Staples 3.6% 2.3%
Utilities 1.5% 5.4%
 

Representative Portfolio Ten Largest Holdings

AS OF 31/12/18
Company Security Type Sector %
Total, Sa 0.50% Cv Due 2022 Energy 3.7
Carrefour Sa 0% Cv Due 2024 Consumer Staples 2.7
Basf Se 0.93% Cv Due 2023 Materials 2.6
Wells Fargo & Company 7.50% Cv Pfd Financials 2.6
Bank Of America Corp. 7.25% Cv Pfd Financials 2.6
Corestate Capital Holding, Sa 1.38% Cv Due 2022 Real Estate 2.4
Ayc Finance, Ltd. 0.50% Cv Due 2019 Real Estate 2.2
Citrix Systems, Inc. 0.50% Cv Due 2019 Information Technology 1.9
Aurelius Equity Opportunities 1.00% Cv Due 2020 Financials 1.9
Ctrip.Com Intl Ltd 1.25% Cv Due 2022 Consumer Discretionary 1.9

Characteristics

AS OF 12/31/18
  Calamos Portfolio Thomson Reuters Global Convertible Bond Index
Assets in Strategy $339.0 million N/A
# of Holdings 120 460
Portfolio Turnover % (12-Month) 35.9% N/A
Average Credit Quality† BB+ BB
Median Investment Premium 16.2% 9.6%
Median Conversion Premium 37.5% 42.2%

Credit Quality of Bonds

AS OF 31/12/18
Class %
AAA 9.6%
AA 3.7%
A 5.8%
BBB 21.4%
BB 40.0%
B 19.5%
CCC and below 0.0%
Unrated Securities 0.0%

Composite Summary

AS OF 31/12/18
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2017 294 20,788 1.4% 2 147
12/31/2016 234 18,278 1.3% 2 117
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

44609C

Annualized Total Returns

AS OF 31/12/18
1-Year3-Year5-Year10-Year15-YearSince Inception (10/01)
Global Convertible (Gross)-1.83%6.10%4.89%8.48%6.76%7.46%
Global Convertible (Net)-3.13%4.66%3.42%7.36%5.69%6.38%
Thomson Reuters Global Convertible Bond Index-3.74%3.97%2.27%8.21%5.25%6.13%

Calendar Year Returns

AS OF 31/12/18
                           Qtr Ending Dec 182018201720162015201420132012201120102009200820072006200520042003200210/01/2001 to 12/31/2001
Global Convertible (Gross)-6.08%-1.83%15.64%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)-6.40%-3.13%14.09%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%
Thomson Reuters Global Convertible Bond Index-7.06%-3.74%12.83%3.48%-2.11%1.71%18.18%13.33%-7.03%11.76%41.37%-31.73%11.26%17.95%0.05%9.16%24.57%-0.53%4.64%



44602B

Risk/Reward Since Inception

AS OF 31/12/18
  Calamos Global Convertible Composite Thomson Reuters Global Convertible Bond Index
Alpha 2.03% N/A
Beta 0.87 1.00
Standard Deviation 9.44% 10.24%
Upside Semivariance 4.50% 4.70%
Downside Semivariance 3.29% 4.29%
Sharpe Ratio 0.6537 0.4728
Information Ratio 0.3923 N/A

Since Inception Up/Down Capture Vs. Thomson Reuters Global Convertible Bond Index

AS OF 31/12/18

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.
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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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