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 09/30/16
Inception Date:
10/01/01
Strategy Assets*:
$239.5 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 09/30/16
% of Assets BofA ML VG00 - Global 300 Under/Overweight %
Information Technology 19.9% 23.7%
Consumer Discretionary 15.8 12.4
Financials 14.3 14.0
Health Care 14.2 13.1
Industrials 12.4 11.2
Real Estate 9.4 5.2
Telecom Services 5.0 3.9
Energy 4.5 6.4
Materials 2.5 3.6
Utilities 2.0 3.9
 

Representative Portfolio Ten Largest Holdings

AS OF 09/30/16
Company Security Type Sector %
NVIDIA Corp. 1.00% Cv Due 2018 Information Technology 3.5
Wells Fargo & Company 7.50% Cv Pfd Financials 3.2
Bank of America Corp. 7.25% Cv Pfd Financials 3.0
Credit Agricole Sa 0% Cv Due 2019 Financials 2.6
Safran, SA 0% Cv Due 2020 Industrials 2.4
America Movil, SAB de CV 0% Cv Due 2020 Telecom Services 2.4
Salesforce.com, Inc. 0.25% Cv Due 2018 Information Technology 2.3
Azimut Holding, S.p.A. 2.13% Cv Due 2020 Financials 2.3
Priceline Group, Inc. 1.00% Cv Due 2018 Consumer Discretionary 2.2
Tesla Motors, Inc. 1.25% Cv Due 2021 Consumer Discretionary 2.0

Characteristics

AS OF 09/30/16
  Calamos Portfolio BofA ML VG00 - Global 300
Assets in Strategy $239.5 million N/A
# of Holdings 102 300
Portfolio Turnover % (12-Month) 55.1% N/A
Average Credit Quality† BB BB
Median Investment Premium 16.2% 11.6%
Median Conversion Premium 22.2% 34.1%

Credit Quality of Bonds

AS OF 09/30/16
AAA 0.0%
AA 0.0%
A 10.4%
BBB 25.1%
BB 40.9%
B 23.6%
CCC and below 0.0%
Unrated Securities 0.0%

Composite Summary

AS OF 09/30/16
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2015 277 21,908 1.3% 2 139
12/31/2014 162 23,506 0.7% 1 162
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 09/30/16
1-Year3-Year5-Year10-YearSince Inception (10/01)
Global Convertible (Gross)9.71%5.91%6.71%6.28%7.78%
Global Convertible (Net)8.17%4.43%5.47%5.30%6.76%
BofA ML VG00 - Global 30010.37%5.66%8.73%6.18%6.77%
BofA ML VG00 (LOCAL) - Global 300 Convertible Index9.28%7.15%10.12%6.06%6.11%

Calendar Year Returns

AS OF 09/30/16
                           Qtr Ending Sep 16YTD 20162015201420132012201120102009200820072006200520042003200210/01/2001 to 12/31/2001
Global Convertible (Gross)5.85%6.32%2.15%4.06%13.96%4.48%-0.94%13.34%32.98%-25.55%16.23%14.69%9.13%9.12%25.71%0.65%2.58%
Global Convertible (Net)5.49%5.21%0.58%2.61%12.91%3.71%-1.57%12.71%32.28%-26.02%15.06%13.52%8.02%8.00%24.45%-0.38%2.31%
BofA ML VG00 - Global 3005.11%7.77%1.38%3.66%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 VG00 (LOCAL) - Global 300 Convertible Index4.84%5.89%3.95%7.27%17.91%13.44%-5.66%11.73%36.34%-29.35%6.53%12.82%5.96%5.23%13.91%-3.53%3.15%



44602B

Risk/Reward Since Inception

AS OF 09/30/16
  Calamos Global Convertible Composite BofA ML VG00 - Global 300
Alpha 1.34% N/A
Beta 0.95 1.00
Standard Deviation 9.91% 9.90%
Upside Semivariance 4.95% 4.62%
Downside Semivariance 3.64% 3.85%
Sharpe Ratio 0.6546 0.5530
Information Ratio 0.3082 N/A

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

AS OF 09/30/16

44602B

Strategy Vehicles

Separately Managed Accounts Minimum: $25 million
Institutional Mutual Fund (CXGCX) Minimum: $1 million

34609E

Calamos Global Convertible Institutional Fact Sheet
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.