Institutional Strategies Main

U.S. Convertible

Strategy Details




As of 03/31/19
Inception Date:
10/01/79
Strategy Assets*:
$1.7 B
Benchmark:
ICE BofAML All US Convert 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 03/31/19
% of Assets ICE BofAML All US Convert Ex Mand Index Under/Overweight %
Information Technology 35.8% 36.1%
Health Care 18.8% 17.2%
Financials 9.8% 12.3%
Communication Services 9.1% 10.0%
Consumer Discretionary 7.5% 7.7%
Utilities 5.6% 0.7%
Industrials 5.0% 5.4%
Energy 4.2% 4.5%
Real Estate 3.2% 3.8%
Materials 1.0% 1.0%
Consumer Staples 0.0% 1.3%
 

Representative Portfolio Ten Largest Holdings

AS OF 03/31/19
Company Security Type Sector %
Palo Alto Networks, Inc. 0.75% Cv Due 2023 Information Technology 2.9
Wells Fargo & Company 7.50% Cv Pfd Financials 2.7
Microchip Technology, Inc. 1.63% Cv Due 2027 Information Technology 2.6
Splunk, Inc. 1.13% Cv Due 2025 Information Technology 2.3
Workday, Inc. 0.25% Cv Due 2022 Information Technology 2.1
Bank Of America Corp. 7.25% Cv Pfd Financials 2.0
Tesla, Inc. 1.25% Cv Due 2021 Consumer Discretionary 2.0
Nextera Energy, Inc. 6.12% Cv Pfd Utilities 1.8
Booking Holdings, Inc. 0.35% Cv Due 2020 Consumer Discretionary 1.8
Intel Corp. 3.25% Cv Due 2039 Information Technology 1.7

Characteristics

AS OF 3/31/19
  Calamos Portfolio ICE BofAML US Convert Ex Mand Index
Strategy Assets $1.7 B N/A
# of Holdings 119 381
Portfolio Turnover % (12-Month) 59.7% N/A
Average Credit Quality† BB BB-
Median Investment Premium 23.3% 15.3%
Median Conversion Premium 24.3% 30.7%

Credit Quality of Bonds

AS OF 03/31/19
Class %
AAA 1.9%
AA 2.0%
A 4.5%
BBB 18.2%
BB 39.4%
B 31.8%
CCC and below 2.2%
Unrated Securities 0.0%

44603C

Annualized Total Returns

AS OF 03/31/19
1-Year3-Year5-Year10-Year15-YearSince Inception (1/91)
U.S. Convertible (Gross)7.49%11.73%6.52%9.96%6.51%9.64%
U.S. Convertible (Net)6.74%10.96%5.77%9.22%5.82%8.96%
ICE BofAML All US Convert Ex Mand Index7.76%13.69%7.84%13.40%7.48%9.98%

Calendar Year Returns

AS OF 03/31/19
                           Qtr Ending Mar 19YTD 20192018201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
U.S. Convertible (Gross)8.93%8.93%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)8.74%8.74%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 All US Convert Ex Mand Index10.08%10.08%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 03/31/19
  Representative Portfolio ICE BofAML US Convert Ex Mand Index
Alpha 1.22% N/A
Beta 0.84 1.00
Standard Deviation 10.36% 11.54%
Upside Semivariance 6.13% 7.12%
Downside Semivariance 3.46% 4.68%
Sharpe Ratio 0.6757 0.6360
Information Ratio -0.0811 N/A

Since Inception Up/Down Capture Vs. ICE BofAML All US Convert Ex Mand Index

AS OF 03/31/19

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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