Institutional Strategies Main

Global Convertible

Strategy Details




As of 09/30/18
Inception Date:
10/01/01
Strategy Assets*:
$373.4 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 09/30/18
% of Assets Thomson Reuters Global Convertible Bond Index Under/Overweight %
Information Technology 25.1% 24.9%
Consumer Discretionary 14.7 12.5
Financials 12.1 8.1
Real Estate 10.9 8.0
Industrials 9.8 9.3
Health Care 8.3 13.5
Energy 8.1 4.9
Materials 6.2 7.7
Consumer Staples 2.9 2.5
Utilities 1.9 4.8
 

Representative Portfolio Ten Largest Holdings

AS OF 09/30/18
Company Security Type Sector %
Total, Sa 0.50% Cv Due 2022 Energy 3.5
Basf Se 0.93% Cv Due 2023 Materials 2.7
Bank Of America Corp. 7.25% Cv Pfd Financials 2.7
Wells Fargo & Company 7.50% Cv Pfd Financials 2.6
Corestate Capital Holding, Sa 1.38% Cv Due 2022 Real Estate 2.2
Safran Sa 0% Cv Due 2020 Industrials 2.2
Ayc Finance, Ltd. 0.50% Cv Due 2019 Real Estate 2.1
Citrix Systems, Inc. 0.50% Cv Due 2019 Information Technology 2.1
Carrefour Sa 0% Cv Due 2024 Consumer Staples 2.0
Ctrip.Com Intl Ltd 1.25% Cv Due 2022 Consumer Discretionary 1.9

Characteristics

AS OF 9/30/18
  Calamos Portfolio Thomson Reuters Global Convertible Bond Index
Assets in Strategy $373.4 million N/A
# of Holdings 123 472
Portfolio Turnover % (12-Month) 40.3% N/A
Average Credit Quality† BB+ BB
Median Investment Premium 17.9% 10.3%
Median Conversion Premium 24.5% 26.3%

Credit Quality of Bonds

AS OF 09/30/18
Class %
AAA 9.4%
AA 3.6%
A 7.9%
BBB 22.1%
BB 39.3%
B 17.7%
CCC and below 0.0%
Unrated Securities 0.0%

Composite Summary

AS OF 09/30/18
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2016 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
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 09/30/18
1-Year3-Year5-Year10-Year15-YearSince Inception (10/01)
Global Convertible (Gross)6.51%9.48%7.27%8.15%7.77%7.97%
Global Convertible (Net)5.11%7.99%5.80%7.06%6.69%6.89%
Thomson Reuters Global Convertible Bond Index5.20%6.95%4.75%7.86%6.32%6.68%

Calendar Year Returns

AS OF 09/30/18
                           Qtr Ending Sep 18YTD 2018201720162015201420132012201120102009200820072006200520042003200210/01/2001 to 12/31/2001
Global Convertible (Gross)1.38%4.52%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)1.04%3.49%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 Index1.35%3.57%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 09/30/18
  Calamos Global Convertible Composite Thomson Reuters Global Convertible Bond Index
Alpha 2.05% N/A
Beta 0.87 1.00
Standard Deviation 9.41% 10.19%
Upside Semivariance 4.57% 4.77%
Downside Semivariance 3.23% 4.19%
Sharpe Ratio 0.7118 0.5306
Information Ratio 0.3796 N/A

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

AS OF 09/30/18 95.23 = Upside
82.34 = Downside

44602B

Strategy Vehicles

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