Institutional Strategies Main

U.S. Convertible

Strategy Details

As of 03/31/19
Inception Date:
Strategy Assets*:
$1.7 B
ICE BofAML All US Convert Ex Mand Index


*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 Sector %
Palo Alto Networks, Inc. Information Technology 2.9
Wells Fargo & Company Financials 2.7
Microchip Technology, Inc. Information Technology 2.6
Splunk, Inc. Information Technology 2.3
Workday, Inc. Information Technology 2.1
Bank Of America Corp. Financials 2.0
Tesla, Inc. Consumer Discretionary 2.0
Nextera Energy, Inc. Utilities 1.8
Booking Holdings, Inc. Consumer Discretionary 1.8
Intel Corp. Information Technology 1.7


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%


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
  Calamos Institutional Convertible Composite 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


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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