U.S. Convertible Strategy
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 6/30/21| Inception Date: | 10/01/79 |
|---|---|
| Strategy Assets*: | $3.0 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.
Resources
Sector Weightings
| Sector | % of Assets | ICE BofA All US Convertibles Index | Under/Overweight % |
|---|---|---|---|
| Information Technology | 31.3% | 30.1% | |
| Consumer Discretionary | 23.8% | 14.7% | |
| Health Care | 16.8% | 17.1% | |
| Communication Services | 10.8% | 13.0% | |
| Industrials | 7.7% | 5.8% | |
| Utilities | 2.9% | 5.8% | |
| Real Estate | 2.1% | 2.3% | |
| Financials | 2.0% | 7.1% | |
| Materials | 1.2% | 1.2% | |
| Energy | 0.8% | 2.1% | |
| Consumer Staples | 0.5% | 0.9% | |
| Other | 0.0% | 0.0% | |
Representative Portfolio Ten Largest Holdings
| Company | Security Type | Sector | % |
|---|---|---|---|
| Snap, Inc. | Convertible Bonds | Communication Services | 2.3 |
| Microchip Technology, Inc. | Convertible Bonds | Information Technology | 2.1 |
| Tesla, Inc. | Convertible Bonds | Consumer Discretionary | 2.0 |
| Shift4 Payments, Inc. | Convertible Bonds | Information Technology | 2.0 |
| RingCentral, Inc. | Convertible Bonds | Information Technology | 1.9 |
| Royal Caribbean Cruises, Ltd. | Convertible Bonds | Consumer Discretionary | 1.9 |
| Uber Technologies, Inc. | Convertible Bonds | Industrials | 1.9 |
| Broadcom, Inc. | DECS,ACES,PRIDES | Information Technology | 1.7 |
| Insulet Corp. | Convertible Bonds | Health Care | 1.5 |
| Danaher Corp. | DECS,ACES,PRIDES | Health Care | 1.5 |
Characteristics
| Name | Calamos Portfolio | ICE BofA All US Convertibles Index |
|---|---|---|
| Number of Holdings | 119 | 538 |
| Portfolio Turnover (12 months) | 49.8% | N/A |
| Median Investment Premium | 32.4% | 22.5% |
| Median Conversion Premium | 18.6% | 20.5% |
Credit Quality of Bonds
| Class | % |
|---|---|
| AAA | 0.0% |
| AA | 0.0% |
| A | 2.0% |
| BBB | 12.7% |
| BB | 54.4% |
| B | 24.8% |
| CCC and below | 6.1% |
| Unrated Securities | 0.0% |
The results portrayed on this page are for the U.S. Convertible Strategy and as such only relate to the representative portfolio shown at that point in time. Other portfolios will vary in composition, characteristics, and will experience different investment results. The representative portfolio shown has been selected by the advisor based on account characteristics that the advisor feels accurately represents the investment strategy as a whole.
Returns and Risk/Rewards statistics presented reflect the Calamos Institutional Convertible Composite which is an actively managed composite investing in primarily high-quality U.S. 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.
Bond Credit Quality allocation reflects the higher of the ratings of Standards & Poor's Corporation; Moody's Investors Service, Inc. Ratings are relative, subjective and not absolute standards of quality, represent the opinions of the independent, Nationally Recognized Statistical Rating Organizations (NRSRO), and are adjusted to the Standards & Poor's scale shown. Ratings are measured using a scale that typically ranges from AAA (highest) to D (lowest). The security's credit rating does not eliminate risk. The table excludes equity securities, cash and cash equivalents. Additional information on ratings methodologies are available by visiting the NRSRO websites: www.standardandpoors.com and www.moodys.com.
Sector Weightings percentages are based on invested portfolio and are subject to change. Other includes securities that do not have a sector classification.
Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.
The ICE BofA All U.S. Convertibles Index (VXA0) measures the return of all U.S. convertibles.
The information provided in this page should not be considered a recommendation to purchase or sell any particular security. There is no assurance that any securities discussed herein will remain in an account's portfolio at the time you receive this report or that securities sold have not been repurchased. The securities discussed do not represent an account's entire portfolio and in the aggregate may represent only a small percentage of an account's portfolio holdings. Ten Largest Holdings exclude any government/sovereign bonds or broad-based index hedging securities the portfolio may hold.
It should not be assumed that any of the securities transactions or holdings discussed were or will prove to be profitable, or that the investment recommendations or decisions we make in the future will be profitable or will equal the investment performance of the securities discussed herein.
Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Calamos Advisors LLC.
Annualized Total Returns
| Name | 1-Year | 3-Year | 5-Year | 10-Year | Since Inception (1/91) |
|---|---|---|---|---|---|
| U.S. Convertible (Gross) | 36.56% | 21.52% | 18.69% | 11.35% | 10.87% |
| U.S. Convertible (Net) | 35.59% | 20.66% | 17.86% | 10.59% | 10.18% |
| ICE BofA All US Convertibles Index | 45.75% | 21.97% | 18.86% | 12.85% | 10.97% |
Calendar Year Returns
| Name | Qtr ending Jun 21 | YTD 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| U.S. Convertible (Gross) | 2.89% | 4.67% | 49.49% | 20.46% | 1.60% | 15.82% | 5.56% | -2.62% | 6.22% | 21.41% | 6.59% |
| U.S. Convertible (Net) | 2.70% | 4.29% | 48.43% | 19.63% | 0.89% | 15.02% | 4.83% | -3.31% | 5.48% | 20.61% | 5.88% |
| ICE BofA All US Convertibles Index | 3.92% | 6.90% | 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 U.S. 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 assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.
The ICE BofA All U.S. Convertibles Index (VXA0) measures the return of all U.S. 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 Since Inception
| Name | Calamos Institutional Convertible Composite | ICE BofA All US Convertibles Index |
|---|---|---|
| Alpha | 1.39% | N/A |
| Beta | 0.86 | 1.00 |
| Annualized Standard Deviation | 11.09% | 12.24% |
| Upside Semivariance | 7.41% | 8.15% |
| Downside Semivariance | 3.66% | 5.18% |
| Sharpe Ratio | 0.75 | 0.69 |
| Information Ratio | -0.02 | N/A |
Since Inception Up/Down Capture Vs. ICE BofA All US Convertibles Index
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 U.S. 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 assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.
The ICE BofA All U.S. Convertibles Index (VXA0) measures the return of all U.S. 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.
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. |
The U.S. Convertible Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
A discussion of the Calamos U.S. Convertible Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
For nearly 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.