Institutional Strategies Main

U.S. CONVERTIBLE

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 BofA ML All US Convertibles Ex Mandatory 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 30/6/15
Inception Date:
01/10/79
Strategy Assets*:
$2.8 B
Benchmark:
BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)

Resources

* Strategy Assets reflect all assets that are currently being managed (collectively) under the Calamos U.S. Convertible Strategy.

Sector Weightings

AS OF 30/6/15
% of Assets BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0) Under/Overweight %
Information Technology 33.7% 32.9%
Health Care 27.9 20.6
Financials 15.6 19.1
Consumer Discretionary 8.3 10.4
Industrials 5.6 5.4
Utilities 2.8 0.7
Energy 2.5 6.8
Materials 1.5 1.7
Consumer Staples 1.5 1.9
Telecommunication Services 0.6 0.5
 

Representative Portfolio Ten Largest Holdings

AS OF 30/6/15
Company Security Type Sector %
Anthem, Inc. 5.25% Cv Pfd Health Care 4.4
Teva Pharmaceutical Industries, Ltd. 0.25% Cv Due 2026 Health Care 3.2
Actavis, PLC 5.50% Cv Pfd Health Care 3.1
Citrix Systems, Inc. 0.50% Cv Due 2019 Information Technology 3.0
Lam Research Corp. 0.50% Cv Due 2016 Information Technology 3.0
United Technologies Corp. 7.50% Cv Pfd Industrials 2.9
Priceline Group, Inc. 0.35% Cv Due 2020 Consumer Discretionary 2.7
Wells Fargo & Company 7.50% Cv Pfd Financials 2.4
Gilead Sciences, Inc. 1.63% Cv Due 2016 Health Care 2.3
Fidelity National Financial, Inc. 4.25% Cv Due 2018 Financials 2.3

Characteristics

AS OF 30/6/15
  Calamos Portfolio BofA ML Index (V0A0)
Assets in Strategy $2.8 billion N/A
# of Holdings 83 460
Portfolio Turnover % (5-Year) 72.4% N/A
Average Credit Quality† BB+ BB-
Median Investment Premium 30.3% 26.4%
Median Conversion Premium 15.2% 24.7%

Credit Quality of Bonds

AS OF 30/6/15
AAA 2.2%
AA 0.0%
A 14.5%
BBB 39.0%
BB 28.8%
B 15.1%
CCC and below 0.4%
Unrated Securities 0.0%

Largest Country Weightings

AS OF 30/6/15
Representative Portfolio BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)
United States 96.3% 98.9%
Israel 3.2% 0.5%
United Kingdom 0.5% 0.0%
Ireland 0.0% 0.5%
Bermuda 0.0% 0.1%
Switzerland 0.0% 0.0%
Singapore 0.0% 0.0%
Hong Kong 0.0% 0.0%

Global Summary

AS OF 30/6/15
Representative Portfolio BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)
Developed Markets 100.0% 100.0%
Emerging Markets 0.0% 0.0%

Composite Summary

AS OF 30/6/15
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2013 70 26,543 0.3% 6 12
12/31/2012 183 30,580 0.6% 17 11
12/31/2011 602 32,777 1.8% 18 33
12/31/2010 831 35,414 2.3% 23 36
12/31/2009 716 32,144 2.2% 22 33
12/31/2008 719 23,522 3.1% 19 38
12/31/2007 1,120 46,208 2.4% 25 45
12/31/2006 1,133 44,725 2.5% 26 44
12/31/2005 1,056 43,805 2.4% 26 41
12/31/2004 1,140 37,975 3.0% 22 52
12/31/2003 1,063 23,840 4.5% 18 59

44603C

Annualized Total Returns

AS OF 30/6/15
1-Year3-Year5-Year10-Year15-YearSince V0A0 Inception (1/88)Since Strategy Inception (10/79)
U.S. Convertible (Gross)2.04%11.14%9.60%7.03%5.55%9.75%11.10%
U.S. Convertible (Net)1.45%10.47%8.99%6.48%5.01%9.12%10.36%
BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)3.37%14.90%12.86%8.21%5.71%9.75%

Calendar Year Returns

AS OF 30/6/15
                           Qtr ending Jun 15YTD 20152014201320122011201020092008200720062005200420032002200120001999199819971996199519941993199219911990198919881987198619851984198319821981198010/1/1979 to 12/31/1979
U.S. Convertible (Gross)0.24%1.77%7.37%19.56%6.44%-3.14%13.96%34.27%-25.39%9.08%11.83%1.08%7.45%26.21%-5.63%-5.84%2.67%41.10%9.79%17.18%15.65%27.12%-6.29%20.40%13.32%28.57%-1.77%18.60%7.56%1.97%19.62%23.52%8.11%18.16%23.86%10.61%21.21%4.36%
U.S. Convertible (Net)0.10%1.48%6.74%18.83%5.81%-3.57%13.42%33.63%-25.76%8.54%11.27%0.58%6.93%25.58%-6.09%-6.30%2.17%40.36%9.19%16.54%14.99%26.38%-6.85%19.68%12.61%27.68%-2.58%17.62%6.64%0.93%18.49%22.34%7.10%17.02%22.67%9.53%20.05%4.11%
BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)0.73%3.72%9.33%25.00%14.41%-3.42%16.52%47.19%-33.02%4.12%12.75%-0.34%8.49%25.80%-4.95%-3.95%-11.70%44.32%8.21%18.99%14.30%24.75%-7.08%18.91%22.41%31.96%-6.99%12.46%12.80%



Risk/Reward Since Inception

AS OF 30/6/15
  Representative Portfolio BofA ML Index (V0A0)
Alpha 0.88% N/A
Beta 0.85 1.00
Standard Deviation 10.56% 11.61%
Upside Semivariance 6.40% 7.17%
Downside Semivariance 3.58% 4.77%
Sharpe Ratio 0.60 0.55
Information Ratio -0.03 N/A

Since Inception Up/Down Capture Vs. BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)

AS OF 30/6/15

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
UCITS (Available in A, I, X Share Classes) $1 million

34603E

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