Institutional Strategies Main

Global Convertible

Strategy Details




As of 03/31/19
Inception Date:
10/01/01
Strategy Assets*:
$358.5 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 03/31/19
% of Assets Thomson Reuters Global Convertible Bond Index Under/Overweight %
Information Technology 26.5% 18.9%
Financials 11.3% 7.9%
Health Care 10.8% 12.8%
Real Estate 10.3% 7.6%
Consumer Discretionary 10.1% 12.3%
Communication Services 7.7% 11.2%
Energy 6.5% 4.1%
Industrials 6.1% 9.5%
Materials 5.0% 8.3%
Consumer Staples 3.6% 2.1%
Utilities 2.1% 5.3%
 

Representative Portfolio Ten Largest Holdings

AS OF 03/31/19
Company Sector %
Total, Sa Energy 3.5
United States Treasury Note N/A 3.3
United States Treasury Note N/A 3.0
Us Treasury N/B N/A 2.8
Carrefour Sa Consumer Staples 2.7
Bank Of America Corp. Financials 2.6
Wells Fargo & Company Financials 2.6
Basf Se Materials 2.5
Corestate Capital Hold Real Estate 2.0
Workday, Inc. Information Technology 2.0

Characteristics

AS OF 3/31/19
  Calamos Portfolio Thomson Reuters Global Convertible Bond Index
Strategy Assets $358.5 M N/A
# of Holdings 122 459
Portfolio Turnover % (12-Month) 43.7% N/A
Average Credit Quality† BB+ BB
Median Investment Premium 15.3% 9.0%
Median Conversion Premium 26.6% 29.8%

Credit Quality of Bonds

AS OF 03/31/19
Class %
AAA 9.2%
AA 3.6%
A 5.7%
BBB 20.0%
BB 39.5%
B 21.2%
CCC and below 0.8%
Unrated Securities 0.0%

44609C

Annualized Total Returns

AS OF 03/31/19
1-Year3-Year5-Year10-Year15-YearSince Inception (10/01)
Global Convertible (Gross)2.65%8.59%5.63%8.90%6.98%7.75%
Global Convertible (Net)1.29%7.13%4.15%7.75%5.90%6.66%
Thomson Reuters Global Convertible Bond Index1.82%6.63%3.13%8.88%5.60%6.51%

Calendar Year Returns

AS OF 03/31/19
                           Qtr Ending Mar 19YTD 20192018201720162015201420132012201120102009200820072006200520042003200210/01/2001 to 12/31/2001
Global Convertible (Gross)6.74%6.74%-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%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 Index7.98%7.98%-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 03/31/19
  Calamos Global Convertible Composite Thomson Reuters Global Convertible Bond Index
Alpha 1.99% N/A
Beta 0.87 1.00
Standard Deviation 9.43% 10.25%
Upside Semivariance 4.57% 4.81%
Downside Semivariance 3.25% 4.23%
Sharpe Ratio 0.6831 0.5077
Information Ratio 0.3687 N/A

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

AS OF 03/31/19

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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