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 ICE BofA All US Convertibles 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

Strategy Details

As of 9/30/21
Inception Date: 10/01/79
Strategy Assets*: $3.1 B
Benchmark: ICE BofA All US Convertibles Index

*Strategy Assets reflect all assets that are currently being managed (collectively) under the strategy, which may contain multiple performance composites.

Portfolio

Sector Weightings

As of 9/30/21
Sector % of Assets ICE BofA All US Convertibles Index Under/Overweight %
Information Technology 31.8% 29.8%
Consumer Discretionary 22.3% 14.6%
Health Care 17.1% 17.6%
Communication Services 11.7% 12.4%
Industrials 7.3% 5.9%
Utilities 2.9% 5.8%
Financials 2.5% 7.4%
Real Estate 1.9% 2.4%
Materials 1.1% 1.0%
Energy 0.8% 2.1%
Consumer Staples 0.4% 1.1%
Other 0.0% 0.0%

Representative Portfolio Ten Largest Holdings

As of 9/30/21
Company Security Type Sector %
Snap, Inc. Convertible Bonds Communication Services 2.4
Tesla, Inc. Convertible Bonds Consumer Discretionary 2.2
Microchip Technology, Inc. Convertible Bonds Information Technology 2.1
Royal Caribbean Cruises, Ltd. Convertible Bonds Consumer Discretionary 1.9
Uber Technologies, Inc. Convertible Bonds Industrials 1.8
Shift4 Payments, Inc. Convertible Bonds Information Technology 1.7
Broadcom, Inc. DECS,ACES,PRIDES Information Technology 1.7
Danaher Corp. DECS,ACES,PRIDES Health Care 1.6
RingCentral, Inc. Convertible Bonds Information Technology 1.6
DexCom, Inc. Convertible Bonds Health Care 1.6

Characteristics

As of 9/30/21
Name Calamos Portfolio ICE BofA All US Convertibles Index
Number of Holdings 121 536
Portfolio Turnover (12 months) 42.6% N/A
Investment Premium 29.1% 19.7%
Conversion Premium 21.9% 25.4%

Credit Quality of Bonds

As of 9/30/21
Class %
AAA 0.0%
AA 0.0%
A 2.0%
BBB 12.1%
BB 55.9%
B 24.2%
CCC and below 5.7%
Unrated Securities 0.0%

Performance

Annualized Total Returns

As of 9/30/21
Name 1-Year 3-Year 5-Year 10-Year Since Inception (1/91)
U.S. Convertible (Gross) 23.77% 20.40% 17.37% 12.60% 10.79%
U.S. Convertible (Net) 22.89% 19.55% 16.55% 11.82% 10.10%
ICE BofA All US Convertibles Index 27.30% 20.21% 17.37% 14.37% 10.86%

Calendar Year Returns

As of 9/30/21
Name Qtr ending Sep 21 YTD 2021 2020 2019 2018 2017 2016 2015 2014 2013 2012
U.S. Convertible (Gross) 0.40% 5.08% 49.49% 20.46% 1.60% 15.82% 5.56% -2.62% 6.22% 21.41% 6.59%
U.S. Convertible (Net) 0.22% 4.52% 48.43% 19.63% 0.89% 15.02% 4.83% -3.31% 5.48% 20.61% 5.88%
ICE BofA All US Convertibles Index -0.49% 6.38% 46.22% 23.15% 0.15% 13.70% 10.43% -2.99% 9.44% 24.92% 14.96%

Past performance does not guarantee or indicate future results. Portfolios are managed according to their respective strategies which may differ significantly in terms of security holdings, industry weightings, and asset allocation from those of the benchmark(s). Portfolio performance, characteristics and volatility may differ from the benchmark(s) shown.

Returns and Risk/Rewards statistics presented reflect the Calamos Institutional Convertible Composite which is an actively managed composite investing in primarily high-quality US convertible securities. The Composite was created March 1, 2014, calculated with an inception date of January 1, 1991 and includes all fully discretionary, fee paying accounts, including those no longer with the Firm.

Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

The ICE BofA All US Convertibles Index (VXA0) measures the return of all US convertibles.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Calamos Advisors LLC.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions.

Risk/Reward

Risk/Reward Since Inception

As of 9/30/21
Name Calamos Institutional Convertible Composite ICE BofA All US Convertibles Index
Alpha 1.41% N/A
Beta 0.86 1.00
Annualized Standard Deviation 11.06% 12.21%
Upside Semivariance 7.36% 8.09%
Downside Semivariance 3.63% 5.15%
Sharpe Ratio 0.75 0.69
Information Ratio -0.02 N/A

Since Inception Up/Down Capture Vs. ICE BofA All US Convertibles Index

As of 9/30/21

Vehicles & Minimums

Vehicles and Minimums

Vehicle Minimum Availability
Separately Managed Accounts $25 million Available to new investors
Institutional Mutual Fund (CICVX) $1 million These investment offerings are intended for investors inside the United States.

Literature

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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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Convertible Securities Offer Many Benefits, Including as a Hedge Against Higher Interest Rates and Inflation

For more than 50 years, John P. Calamos, Sr. has helped investors manage the risks that difficult markets and challenging economic environments present. In this paper, he discusses how actively managed convertible securities can provide an array of benefits for the long-term investor. In addition to providing lower-volatility stock market participation, convertibles can be used as a hedge against rising inflation and long-term interest rates.