Institutional Strategies Main

U.S. Convertible

Strategy Details

As of 12/31/18
Inception Date:
Strategy Assets*:
$1.5 B
ICE BofAML VOAO - All 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 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 Sector %
Workday, Inc. Information Technology 3.2
Wells Fargo & Company Financials 3.2
Palo Alto Networks, Inc. Information Technology 2.5
Splunk, Inc. Information Technology 2.5
Microchip Technology, Inc. Information Technology 2.4
Bank Of America Corp. Financials 2.3
Tesla, Inc. Consumer Discretionary 2.3
Booking Holdings, Inc. Consumer Discretionary 2.1
Nextera Energy, Inc. Utilities 2.0
Ares Capital Corp. Financials 1.8


AS OF 12/31/18
  Calamos Portfolio ICE BofAML VOAO - ex Mand Index
Strategy Assets $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%


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 18YTD 2018201720162015201420132012201120102009200820072006200520042003200220012000199919981997199619951994199319921991
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
  Calamos Institutional Convertible Composite 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


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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