Institutional Strategies Main

GLOBAL CONVERTIBLE

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 BofA Merrill Lynch Global 300 Convertible Index.

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 31/3/15
Inception Date:
01/10/01
Strategy Assets*:
$178.5 M
Benchmark:
BofA ML VG00 - Global 300

Resources

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

Sector Weightings

AS OF 31/3/15
% of Assets BofA ML VG00 - Global 300 Under/Overweight %
Information Technology 29.3% 24.2%
Financials 19.5 22.2
Health Care 15.5 14.6
Industrials 12.9 10.8
Consumer Discretionary 12.8 12.0
Materials 4.2 3.2
Energy 3.3 5.3
Utilities 1.5 3.7
Telecommunication Services 1.0 1.8
Consumer Staples 0.0 2.2
 

Representative Portfolio Ten Largest Holdings

AS OF 31/3/15
Company Security Type Sector %
Wells Fargo & Company 7.50% Cv Pfd Financials 2.8
NVIDIA Corp. 1.00% Cv Due 2018 Information Technology 2.5
Priceline Group, Inc. 1.00% Cv Due 2018 Consumer Discretionary 2.4
United Technologies Corp. 7.50% Cv Pfd Industrials 2.2
Salesforce.com, Inc. 0.25% Cv Due 2018 Information Technology 2.1
LEG Immobilien, AG 0.50% Cv Due 2021 Financials 2.1
Actavis, PLC 5.50% Cv Pfd Health Care 2.1
Bank of America Corp. 7.25% Cv Pfd Financials 2.0
MISUMI Group, Inc. 0% Cv Due 2018 Industrials 1.8
Nidec Corp. 0% Cv Due 2015 Industrials 1.7

Characteristics

AS OF 31/3/15
  Calamos Portfolio BofA ML VG00 - Global 300
Assets in Strategy $178.5 million N/A
# of Holdings 114 300
Portfolio Turnover % (5-Year) 74.5% N/A
Average Credit Quality† BB BB
Median Investment Premium 28.7% 25.8%
Median Conversion Premium 19.2% 16.7%

Credit Quality of Bonds

AS OF 31/3/15
AAA 0.0%
AA 0.0%
A 2.6%
BBB 25.2%
BB 43.7%
B 26.7%
CCC and below 1.8%
Unrated Securities 0.0%

Largest Country Weightings

AS OF 31/3/15
Representative Portfolio BofA ML VG00 - Global 300
United States 65.8% 59.6%
Japan 7.4% 5.5%
France 3.1% 7.5%
Taiwan 3.1% 1.5%
Germany 3.0% 4.8%
Netherlands 2.8% 0.6%
Italy 2.8% 1.3%
China 1.9% 1.3%
Philippines 1.6% 0.4%
United Kingdom 1.5% 0.1%

Global Summary

AS OF 31/3/15
Representative Portfolio BofA ML VG00 - Global 300
Developed Markets 88.3% 90.9%
Emerging Markets 11.7% 9.1%

Composite Summary

AS OF 31/3/15
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2013 423 26,543 1.6% 3 141
12/31/2012 476 30,580 1.6% 5 95
12/31/2011 957 32,777 2.9% 8 120
12/31/2010 1,119 35,414 3.2% 10 112
12/31/2009 816 32,144 2.5% 9 91
12/31/2008 427 23,522 1.8% 2 213
12/31/2007 39 46,208 0.1% 1 39
12/31/2006 30 44,725 0.1% 1 30
12/31/2005 24 43,805 0.1% 1 24
12/31/2004 21 37,975 0.1% 1 21
12/31/2003 14 23,840 0.1% 1 14
12/31/2002 07 12,892 0.1% 1 07

44609C

Annualized Total Returns

AS OF 31/3/15
1-Year3-Year5-Year10-YearSince Inception (10/01)
Global Convertible (Gross)4.95%6.84%7.01%8.02%8.34%
Global Convertible (Net)3.42%5.67%6.04%7.09%7.37%
BofA ML VG00 - Global 3002.93%8.86%7.56%6.87%7.02%
BofA ML Global 300 Convertible Index (Local)9.38%11.60%8.80%7.15%6.43%

Calendar Year Returns

AS OF 31/3/15
                           Qtr ending Mar 15YTD 2015201420132012201120102009200820072006200520042003200210/1/2001 to 12/31/2001
Global Convertible (Gross)3.93%3.93%4.06%13.96%4.49%-0.95%13.34%32.99%-25.54%16.23%14.69%9.13%9.12%25.70%0.66%2.58%
Global Convertible (Net)3.52%3.52%2.61%12.92%3.70%-1.59%12.73%32.29%-26.02%15.06%13.52%8.02%8.00%24.44%-0.38%2.31%
BofA ML VG00 - Global 3002.17%2.17%3.62%16.86%12.55%-5.65%12.34%36.78%-27.76%9.80%16.02%0.18%7.96%21.21%2.10%0.51%
BofA ML Global 300 Convertible Index (Local)4.78%4.78%7.23%17.90%13.44%-5.66%11.73%36.34%-29.35%6.53%12.82%5.97%5.23%13.91%-3.52%3.15%



44602B

Risk/Reward Since Inception

AS OF 31/3/15
  Calamos Global Convertible Composite BofA ML VG00 - Global 300
Alpha 1.61% N/A
Beta 0.93 1.00
Standard Deviation 10.02% 10.08%
Upside Semivariance 5.08% 4.77%
Downside Semivariance 3.79% 4.07%
Sharpe Ratio 0.69 0.55
Information Ratio 0.36 N/A

Since Inception Up/Down Capture Vs. BofA ML VG00 - Global 300

AS OF 31/3/15

44602B

Strategy Vehicles

Separately Managed Accounts Minimum: $25 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.
Performance Review A discussion of the Calamos Global Convertible Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.