Institutional Strategies Main

U.S. Convertible

Strategy Details




As of 12/31/18
Inception Date:
10/01/79
Strategy Assets*:
$1.5 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 12/31/18
% of Assets ICE BofAML VOAO - All ex Mand Index Under/Overweight %
Information Technology 36.5% 35.4%
Health Care 16.5% 17.4%
Financials 10.9% 12.5%
Communication Services 8.3% 10.0%
Consumer Discretionary 7.3% 8.4%
Industrials 6.7% 4.0%
Energy 4.8% 4.4%
Utilities 4.5% 0.9%
Real Estate 3.3% 4.3%
Materials 1.2% 0.9%
Consumer Staples 0.0% 1.8%
 

Representative Portfolio Ten Largest Holdings

AS OF 12/31/18
Company Security Type Sector %
Workday, Inc. 0.25% Cv Due 2022 Information Technology 3.2
Wells Fargo & Company 7.50% Cv Pfd Financials 3.2
Palo Alto Networks, Inc. 0.75% Cv Due 2023 Information Technology 2.5
Splunk, Inc. 1.13% Cv Due 2025 Information Technology 2.5
Microchip Technology, Inc. 1.63% Cv Due 2027 Information Technology 2.4
Bank Of America Corp. 7.25% Cv Pfd Financials 2.3
Tesla, Inc. 1.25% Cv Due 2021 Consumer Discretionary 2.3
Booking Holdings, Inc. 0.35% Cv Due 2020 Consumer Discretionary 2.1
Nextera Energy, Inc. 6.12% Cv Pfd Utilities 2.0
Ares Capital Corp. 3.75% Cv Due 2022 Financials 1.8

Characteristics

AS OF 12/31/18
  Calamos Portfolio ICE BofAML VOAO - ex Mand Index
Assets in Strategy $1.5 billion N/A
# of Holdings 120 393
Portfolio Turnover % (12-Month) 62.1% N/A
Average Credit Quality† BB BB-
Median Investment Premium 23.5% 15.3%
Median Conversion Premium 31.3% 40.9%

Credit Quality of Bonds

AS OF 12/31/18
Class %
AAA 2.2%
AA 2.2%
A 5.0%
BBB 18.0%
BB 38.4%
B 33.7%
CCC and below 0.5%
Unrated Securities 0.0%

Composite Summary

AS OF 12/31/18
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2017 617 20,788 3.0% 2 309
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

44603C

Annualized Total Returns

AS OF 12/31/18
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Convertible (Gross)1.60%7.50%5.14%9.35%6.25%9.39%
U.S. Convertible (Net)0.89%6.75%4.41%8.61%5.57%8.72%
ICE BofAML VOAO - All ex Mand Index0.65%9.16%6.70%12.60%7.07%9.69%

Calendar Year Returns

AS OF 12/31/18
                           Qtr Ending Dec 182018201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Convertible (Gross)-7.76%1.60%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)-7.93%0.89%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 Index-9.24%0.65%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 12/31/18
  Representative Portfolio ICE BofAML VOAO - ex Mand Index
Alpha 1.22% N/A
Beta 0.84 1.00
Standard Deviation 10.35% 11.53%
Upside Semivariance 6.04% 7.01%
Downside Semivariance 3.49% 4.72%
Sharpe Ratio 0.6528 0.6121
Information Ratio -0.0715 N/A

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

AS OF 12/31/18

Strategy Vehicles

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