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Strategy Objective
A US 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 3/31/23| Inception Date: | 10/01/79 |
|---|---|
| Strategy Assets*: | $2.0 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.
Portfolio
Sector Weightings
| Sector | % of Assets | ICE BofA All US Convertibles Index | Under/Overweight % |
|---|---|---|---|
| Information Technology | 29.6% | 27.7% | |
| Health Care | 20.4% | 17.3% | |
| Consumer Discretionary | 13.9% | 13.8% | |
| Communication Services | 9.5% | 9.4% | |
| Financials | 8.2% | 10.2% | |
| Utilities | 6.4% | 6.7% | |
| Industrials | 5.2% | 7.0% | |
| Energy | 2.9% | 3.0% | |
| Materials | 2.7% | 1.3% | |
| Consumer Staples | 0.7% | 1.4% | |
| Real Estate | 0.5% | 2.4% | |
| Other | 0.0% | 0.0% | |
Representative Portfolio Ten Largest Holdings
| Company | Security Type | Sector | % |
|---|---|---|---|
| DexCom, Inc. | Convertible Bonds | Health Care | 3.0 |
| Shift4 Payments, Inc. | Convertible Bonds | Financials | 2.7 |
| Palo Alto Networks, Inc. | Convertible Bonds | Information Technology | 2.3 |
| Ford Motor Company | Convertible Bonds | Consumer Discretionary | 2.2 |
| ON Semiconductor Corp. | Convertible Bonds | Information Technology | 2.2 |
| Microchip Technology, Inc. | Convertible Bonds | Information Technology | 2.1 |
| NextEra Energy, Inc. | DECS,ACES,PRIDES | Utilities | 1.9 |
| Splunk, Inc. | Convertible Bonds | Information Technology | 1.9 |
| Vail Resorts, Inc. | Convertible Bonds | Consumer Discretionary | 1.7 |
| Etsy, Inc. | Convertible Bonds | Consumer Discretionary | 1.6 |
Characteristics
| Name | Calamos Portfolio | ICE BofA All US Convertibles Index |
|---|---|---|
| Number of Holdings | 101 | 485 |
| Portfolio Turnover (12 months) | 36.4% | N/A |
| Median Investment Premium | 15.7% | 5.5% |
| Median Conversion Premium | 36.2% | 51.3% |
Credit Quality of Bonds
| Class | % |
|---|---|
| AAA | 0.0% |
| AA | 0.0% |
| A | 2.2% |
| BBB | 9.5% |
| BB | 3.2% |
| B | 0.9% |
| CCC and below | 0.0% |
| Unrated Securities | 84.1% |
Performance
Annualized Total Returns
| Name | 1-Year | 3-Year | 5-Year | 10-Year | Since Inception (1/91) |
|---|---|---|---|---|---|
| US Convertible (Gross) | -11.26% | 14.33% | 9.33% | 8.74% | 9.66% |
| US Convertible (Net) | -11.88% | 13.52% | 8.56% | 7.98% | 8.97% |
| ICE BofA All US Convertibles Index | -10.84% | 14.93% | 9.57% | 9.61% | 9.75% |
Calendar Year Returns
| Name | Qtr ending Mar 23 | YTD 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| US Convertible (Gross) | 3.38% | 3.38% | -20.12% | 6.46% | 49.49% | 20.46% | 1.60% | 15.82% | 5.56% | -2.62% | 6.22% |
| US Convertible (Net) | 3.20% | 3.20% | -20.68% | 5.70% | 48.43% | 19.63% | 0.89% | 15.02% | 4.83% | -3.31% | 5.48% |
| ICE BofA All US Convertibles Index | 3.75% | 3.75% | -18.71% | 6.34% | 46.22% | 23.15% | 0.15% | 13.70% | 10.43% | -2.99% | 9.44% |
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
| Name | Calamos Institutional Convertible Composite | ICE BofA All US Convertibles Index |
|---|---|---|
| Alpha | 1.15% | N/A |
| Beta | 0.87 | 1.00 |
| Annualized Standard Deviation | 11.29% | 12.35% |
| Upside Semivariance | 7.25% | 7.96% |
| Downside Semivariance | 4.02% | 5.43% |
| Sharpe Ratio | 0.64 | 0.59 |
| Information Ratio | -0.02 | N/A |
Since Inception Up/Down Capture Vs. ICE BofA All US Convertibles Index
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
Fact Sheet
The US Convertible Strategy fact sheet provides a snap shot of the investment team, the investment strategy, performance, composition, ratings and returns.
Performance Review
A discussion of the Calamos US Convertible Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
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.