Institutional Strategies Main

Global Convertible

Strategy Details




As of 12/31/18
Inception Date:
10/01/01
Strategy Assets*:
$339.0 M
Benchmark:
Thomson Reuters Global Convertible Bond 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 global convertible strategy that leverages Calamos’ capital structure research by investing predominantly in a portfolio of global convertible securities, in order to generate consistent alpha and manage downside volatility. The strategy seeks to outperform the Thomson Reuters Global Convertible Bond Index.

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 Thomson Reuters Global Convertible Bond Index Under/Overweight %
Information Technology 26.0% 18.8%
Financials 13.2% 8.4%
Consumer Discretionary 10.8% 12.3%
Real Estate 10.3% 8.7%
Health Care 7.6% 12.4%
Industrials 7.6% 9.4%
Energy 7.0% 4.3%
Communication Services 6.3% 9.8%
Materials 6.1% 8.2%
Consumer Staples 3.6% 2.3%
Utilities 1.5% 5.4%
 

Representative Portfolio Ten Largest Holdings

AS OF 12/31/18
Company Sector %
Total, Sa Energy 3.7
Carrefour Sa Consumer Staples 2.7
Basf Se Materials 2.6
Wells Fargo & Company Financials 2.6
Bank Of America Corp. Financials 2.6
Corestate Capital Holding, Sa Real Estate 2.4
Ayc Finance, Ltd. Real Estate 2.2
Citrix Systems, Inc. Information Technology 1.9
Aurelius Equity Opportunities Financials 1.9
Ctrip.Com Intl Ltd Consumer Discretionary 1.9

Characteristics

AS OF 12/31/18
  Calamos Portfolio Thomson Reuters Global Convertible Bond Index
Strategy Assets $339.0 million N/A
# of Holdings 120 460
Portfolio Turnover % (12-Month) 35.9% N/A
Average Credit Quality† BB+ BB
Median Investment Premium 16.2% 9.6%
Median Conversion Premium 37.5% 42.2%

Credit Quality of Bonds

AS OF 12/31/18
Class %
AAA 9.6%
AA 3.7%
A 5.8%
BBB 21.4%
BB 40.0%
B 19.5%
CCC and below 0.0%
Unrated Securities 0.0%

44609C

Annualized Total Returns

AS OF 12/31/18
1-Year3-Year5-Year10-Year15-YearSince Inception (10/01)
Global Convertible (Gross)-1.83%6.10%4.89%8.48%6.76%7.46%
Global Convertible (Net)-3.13%4.66%3.42%7.36%5.69%6.38%
Thomson Reuters Global Convertible Bond Index-3.74%3.97%2.27%8.21%5.25%6.13%

Calendar Year Returns

AS OF 12/31/18
                           Qtr Ending Dec 18YTD 2018201720162015201420132012201120102009200820072006200520042003200210/01/2001 to 12/31/2001
Global Convertible (Gross)-6.08%-1.83%15.64%5.20%2.15%4.06%13.96%4.48%-0.94%13.34%32.98%-25.55%16.23%14.69%9.13%9.12%25.71%0.65%2.58%
Global Convertible (Net)-6.40%-3.13%14.09%3.74%0.58%2.61%12.91%3.71%-1.57%12.71%32.28%-26.02%15.06%13.52%8.02%8.00%24.45%-0.38%2.31%
Thomson Reuters Global Convertible Bond Index-7.06%-3.74%12.83%3.48%-2.11%1.71%18.18%13.33%-7.03%11.76%41.37%-31.73%11.26%17.95%0.05%9.16%24.57%-0.53%4.64%



44602B

Risk/Reward Since Inception

AS OF 12/31/18
  Calamos Global Convertible Composite Thomson Reuters Global Convertible Bond Index
Alpha 2.03% N/A
Beta 0.87 1.00
Standard Deviation 9.44% 10.24%
Upside Semivariance 4.50% 4.70%
Downside Semivariance 3.29% 4.29%
Sharpe Ratio 0.6537 0.4728
Information Ratio 0.3923 N/A

Since Inception Up/Down Capture Vs. Thomson Reuters Global Convertible Bond Index

AS OF 12/31/18

44602B

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
Institutional Mutual Fund (CXGCX) Minimum: $1 million

34609E

Fact Sheet The Global 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 Global Convertible Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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