Ascending the Wall of Worry with Confident Footing

October 1, 2026

Summary Points:

After a strong first half, convertible securities paused in the third quarter amid profit-taking in some of the year’s AI winners.
Calamos Convertible Fund (CICVX) remains solidly positive for the year to date, ahead of peers, the convertible market and the equity market.
We continue to actively rebalance the portfolio, favoring total-return convertibles with attractive risk-reward over structures in which the underlying company or the convertible itself no longer supports that profile.
New convertible issuance has already set a calendar-year record with a quarter still to go, reflecting convertibles’ appeal both as growth capital and, given rising rates, as a refinancing option.

After a strong first half, convertible securities paused in the third quarter amid profit-taking in some of the year’s AI winners. Despite this, the fund remains solidly positive for the year. In our view, pauses like this are a normal part of the old adage that markets climb a wall of worry, though that wall has grown taller in recent months: the path for Fed policy has become less certain, interest rates are rising across the curve, conflict with Iran continues to weigh on oil markets, and the midterm election cycle is fast approaching, which could test the durability of the pro-growth fiscal policies that have helped drive this market.

We counterbalance those worries with our belief that AI remains in the early innings of what could prove to be one of the most significant secular growth trends in decades. While the market is focused on the return on that investment today, we suspect the bigger risk over time may be not investing enough. Expanding use cases continue to emerge, carrying productivity-enhancing benefits across virtually every sector of the economy that, in aggregate, have the potential to unleash disinflationary growth. Corporate fundamentals remain healthy, driven by strong earnings growth. Additionally, we believe markets would welcome the clarity that typically follows elections, along with potentially reduced political resistance to infrastructure projects that have become increasingly contentious. We are also mindful that a resolution to the conflict in Iran could, at any point, meaningfully ease energy-driven inflation and its downstream effects.

Stepping back, we believe convertibles are particularly useful in an environment like this. The convertible’s hybrid structure, combining equity characteristics with a fixed income floor, enables investors to position for upside participation while offering less-than-full exposure to the underlying equity’s downside, making convertibles a practical tool for managing risk in uncertain times.

Within Calamos Convertible Fund (CICVX), our focus remains on bottom-up company selection within our thematic exposures, paired with active management of risk-reward at the individual security level. We continue to emphasize companies with improving margins and free cash flow, accelerating returns on invested capital, and attractive equity valuations. We are particularly focused on companies that continue to beat expectations and raise guidance, a sign of strong execution and the growth opportunity still ahead.

Information technology and industrials remain the fund’s largest sector overweights, reflecting our view that the buildout of AI infrastructure, including the power and connectivity it requires, remains a multiyear investment cycle. We continue to favor total-return convertibles—those offering both attractive upside participation and a downside cushion—while actively rebalancing away from securities where either the underlying company’s fundamentals have deteriorated or the convertible structure no longer offers an attractive risk-reward. The financial sector remains our largest relative underweight, although this reflects bottom-up, security-specific decisions rather than a top-down call against the sector.

Global convertible new issuance stood at approximately $204 billion year to date through September 30, already the strongest single year on record with a full quarter still to go. That pace continues to validate convertibles as attractive both as growth capital and as a cost-effective refinancing option for issuers faced with rising interest rates across the curve.

It has been a good year for convertible investors thus far, and we expect that wall of worry to keep markets on edge into year-end as the election and policy pictures come into focus and events in the Middle East unfold. But walls of worry have a way of resolving, often when least expected, and we believe convertibles offer a disciplined way to stay invested through that uncertainty, participating in long-term growth while managing volatility along the way.

Total Returns as of 9/30/26	3Q26	1 Year	3 Year	5 Year	10 Year	Fund Inception
Calamos Convertible Fund (CICVX)	-6.70%	16.91%	18.77%	17.70%	6.32%	11.26%
Morningstar US Convertible Funds	-5.08%	12.06%	13.58%	14.70%	5.31%	10.26%
ICE BofA All US Convertibles Index	-6.19%	13.63%	15.87%	16.69%	6.45%	11.77%
S&P 500 Index	2.30%	12.75%	15.74%	22.88%	13.79%	15.33%

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost. Returns at NAV reflect the deduction of the Fund’s management fee and other expenses, which can be found on the Fund's webpage. For the most recent Fund month end performance information, visit www.calamos.com or call 1-866-363-9219.

The funds' gross expense ratios as of the prospectus dated 2/27/2026 are as follows: A Shares 1.14%, C Shares 1.89% and I Shares 0.89%.

Before investing, carefully consider the fund’s investment objectives, risks, charges and expenses. Please see the prospectus and summary prospectus containing this and other information which can be obtained by calling 1-866-363-9219. Read it carefully before investing.

Diversification and asset allocation do not guarantee a profit or protect against a loss. Source for convertible market data: BofA Global Research. The ICE BofA All US Convertibles Index measures the performance of US convertibles. The S&P 500 Index measures the performance of large-cap US stocks. Indexes are unmanaged, do not include fees or expenses, and are not available for direct investment.

Morningstar Convertibles Category funds are designed to offer some of the capital appreciation potential of stock portfolios while also supplying some of the safety and yield of bond portfolios. To do so, they focus on convertible bonds and convertible preferred stocks. Convertible bonds allow investors to convert the bonds into shares of stock, usually at a preset price. These securities thus act a bit like stocks and a bit like bonds.

Opinions, estimates, forecasts, and statements of financial market trends that are based on current market conditions constitute our judgment and are subject to change without notice. The views and strategies described may not be appropriate for all investors. References to specific securities, asset classes and financial markets are for illustrative purposes only and are not intended to be, and should not be interpreted as, recommendations.

Morningstar Ratings™ are based on risk-adjusted returns and are through 5/31/26 for the share class listed and will differ for other share classes. Morningstar ratings are based on a risk-adjusted return measure that accounts for variation in a fund’s monthly historical performance (reflecting sales charges), placing more emphasis on downward variations and rewarding consistent performance. Within each asset class, the top 10%, the next 22.5%, 35%, 22.5%, and the bottom 10% receive 5, 4, 3, 2 or 1 star, respectively. Each fund is rated exclusively against US domiciled funds. The information contained herein is proprietary to Morningstar and/or its content providers; may not be copied or distributed; and is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information. Source: ©2026 Morningstar, Inc.

Important Risk Information. An investment in the Fund(s) is subject to risks, and you could lose money on your investment in the Fund(s). There can be no assurance that the Fund(s) will achieve its investment objective. Your investment in the Fund(s) is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. The risks associated with an investment in the Fund(s) can increase during times of significant market volatility. The Fund(s) also has specific principal risks, which are described below. More detailed information regarding these risks can be found in the Fund’s prospectus.

The principal risks of investing in the Calamos Convertible Fund include a potential decline in the value of convertible securities during periods of rising interest rates and the possibility that borrowers miss payments. The credit standing of the issuer and other factors may also affect a convertible security’s investment value. Synthetic convertible instruments may fluctuate and perform inconsistently with an actual convertible security, and components of a synthetic convertible can expire worthless. The Fund may also be subject to foreign securities risk, equity securities risk, credit risk, high-yield risk, portfolio selection risk and liquidity risk.

As a result of political or economic instability in foreign countries, there can be special risks associated with investing in foreign securities, including fluctuations in currency exchange rates, increased price volatility, and difficulty obtaining information. In addition, emerging markets may present additional risk due to the potential for greater economic and political instability in less-developed countries.

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