Institutional Strategies Main

U.S. CONVERTIBLE

Strategy Objective

A U.S. convertible strategy that leverages Calamos' capital structure research by investing in convertible securities, in order to generate alpha and manage downside volatility.

Attributes
  • Rigorous Capital Structure Analysis
  • Holistic Approach Tying Macro Perspectives to Fundamental Analysis
  • Broad Opportunity set of Equity and Equity Sensitive Securities
  • Asymmetric Risk/Reward Profile
  • Team-Managed
Benefits
  • Diversification from Market Cpaitalization Weighted Indices
  • Opportunistic Approach with Various Levers to Manage Risk/Reward Profile Across Various Market Environments
  • Selective Convertibles Seeking to Provide Structural Hedge to Manage Downside
  • Leveraging the Experience of over 50 Investment Professionals

Sector Weightings

AS OF 31/3/13
% of Assets BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0) Under/Overweight %
Information Technology 34.2% 25.2%
Financials 15.4 19.8
Health Care 14.6 18.3
Consumer Discretionary 12.9 10.4
Industrials 9.6 8.9
Energy 7.1 8.1
Materials 4.1 3.5
Consumer Staples 1.1 2.6
Utilities 1.0 0.5
Telecommunication Services 0.0 2.7
 

Representative Portfolio Ten Largest Holdings

AS OF 31/3/13
Company Security Type Sector %
SanDisk Corp. 1.50% Cv Due 2017 Information Technology 3.3
Gilead Sciences, Inc. 1.63% Cv Due 2016 Health Care 3.1
EMC Corp. 1.75% Cv Due 2013 Information Technology 2.5
ARRIS Group, Inc. 2.00% Cv Due 2026 Information Technology 2.5
Xilinx, Inc. 2.63% Cv Due 2017 Information Technology 2.3
Symantec Corp. 1.00% Cv Due 2013 Information Technology 2.3
Ixia 3.00% Cv Due 2015 Information Technology 2.2
Wells Fargo & Company 7.50% Cv Pfd Financials 2.2
Fidelity National Financial, Inc. 4.25% Cv Due 2018 Financials 2.2
Trinity Industries, Inc. 3.88% Cv Due 2036 Industrials 2.1

Characteristics

AS OF 31/3/13
  Calamos Portfolio BofA ML Index (V0A0)
Assets in Strategy $2.3 billion N/A
# of Holdings 72 451
Portfolio Turnover % (5-Year) 55.0% N/A
Average Credit Quality† BB BB-
Median Investment Premium 26.3% 24.7%
Median Conversion Premium 22.7% 23.4%

Credit Quality of Bonds

AS OF 31/3/13
AAA 1.2%
AA 0.0%
A 14.0%
BBB 27.1%
BB 24.6%
B 30.6%
CCC and below 2.5%
Unrated Securities 0.0%

Largest Country Weightings

AS OF 31/3/13
Representative Portfolio BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)
United States 94.8% 98.4%
Israel 1.8% 0.3%
Germany 1.4% 0.0%
Ireland 1.2% 0.1%
Canada 0.8% 0.0%
France 0.0% 0.9%
Bermuda 0.0% 0.3%
Switzerland 0.0% 0.0%
United Kingdom 0.0% 0.0%
Netherlands 0.0% 0.0%

Global Summary

AS OF 31/3/13
Representative Portfolio BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)
Developed Markets 100.0% 0.0%
Emerging Markets 0.0% 0.0%

Composite Summary

AS OF 31/3/13
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)

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.

The information portrayed on the composition tab is supplemental information to the Calamos Institutional Convertible Composite and as such only relate to the representative portfolio shown. Representative holdings and portfolio characteristics are specific only to the portfolio shown at that point in time. Other portfolios will vary in composition, characteristics, and will experienced 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 from October 1, 1979 through December 31, 1990 reflect the Calamos Institutional Convertible Composite (or "Calamos Convertible"), which is an actively managed composite investing in higher quality foreign and U.S. convertible bonds. The Composite was created January 1, 2001, calculated with an inception date of December 1, 1979 and includes all fully discretionary, tax-exempt, fee paying accounts of $250,000 or more, including those no longer with the Firm.

Returns presented from January 1, 1991 through the current period reflect the Calamos Calamos Institutional Convertible Composite Composite (or "Calamos Convertible) which is an actively managed composite investing in primarily high-quality U.S. convertible securities. The Composite was created January 1, 2001, calculated with an inception date of October 1, 1981 and includes all fully discretionary, tax-exempt, fee paying accounts of $1,000,000 or more, including those no longer with the Firm.

The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. Information contained herein is for informational purposes only and should not be considered investment advice.

The information provided in this report 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.

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.

The BofA Merrill Lynch All U.S. Convertibles Ex Mandatory Index (V0A0) measures the return of all U.S. Convertibles excluding mandatory convertibles.

BofA Merrill Lynch All US Convertible Index (VXA0) is comprised of approximately 700 issues of only convertible bonds and preferreds of all qualities.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Russell/Mellon Analytical Services LLC and Calamos Advisors LLC.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees, expenses or sales changes. Investors cannot invest directly in an index.

44603C

As of 31/3/13

Annualized Total Returns

6.64%6.79%5.89%7.53%6.84%9.75%11.19%
5.95%6.23%5.35%7.00%6.32%9.16%10.48%
12.35%9.67%7.60%7.75%6.41%9.48%

As of 31/3/13

Calendar Year Returns




As of 31/3/13

Rolling 5-Year Returns

5 Years Ended




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 from October 1, 1979 through December 31, 1990 reflect the Calamos Institutional Convertible Composite (or “Calamos Convertible”), which is an actively managed composite investing in higher quality foreign and U.S. convertible bonds. The Composite was created January 1, 2001, calculated with an inception date of December 1, 1979 and includes all fully discretionary, tax-exempt, fee paying accounts of $1,000,000 or more, including those no longer with the Firm.

Returns presented from January 1, 1991 through the current period reflect the Calamos Institutional Convertible Composite (or “Calamos Convertible) which is an actively managed composite investing in primarily high-quality U.S. convertible securities. The Composite was created January 1, 2001, calculated with an inception date of October 1, 1981 and includes all fully discretionary, tax-exempt, fee paying accounts of $250,000 or more, including those no longer with the Firm.

Returns presented from January 1, 1991 through the current period reflect the Calamos Calamos Institutional Convertible Composite Composite (or "Calamos Convertible) which is an actively managed composite investing in primarily high-quality U.S. convertible securities. The Composite was created January 1, 2001, calculated with an inception date of October 1, 1981 and includes all fully discretionary, tax-exempt, fee paying accounts of $1,000,000 or more, including those no longer with the Firm.

The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. Information contained herein is for informational purposes only and should not be considered investment advice.

The information provided in this report 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.

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.

The BofA Merrill Lynch All U.S. Convertibles Ex Mandatory Index (V0A0) measures the return of all U.S. Convertibles excluding mandatory convertibles.

BofA Merrill Lynch All US Convertible Index (VXA0) is comprised of approximately 700 issues of only convertible bonds and preferreds of all qualities.

The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and insdustry group representation. It is a market-value weighted index (stock price times number of shares outstanding), with each stock's weight in the index proportionate to its market value. The "500" is one of the most widely used benchmarks of U.S. equity performance.

Manager's fees are further described in Form ADV Part 2A, which is available upon request.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Russell/Mellon Analytical Services LLC and Calamos Advisors LLC.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees, expenses or sales changes. Investors cannot invest directly in an index.

Risk/Reward Since Inception

AS OF 31/3/13
  Representative Portfolio BofA ML Index (V0A0)
Alpha 1.05% N/A
Beta 0.85 1.00
Standard Deviation 10.85% 11.90%
Upside Semivariance 6.67% 7.37%
Downside Semivariance 3.83% 5.10%
Sharpe Ratio 0.56 0.48
Information Ratio 0.03 N/A

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

AS OF 31/3/13

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 from October 1, 1979 through December 31, 1990 reflect the Calamos Institutional Convertible Composite (or “Calamos Convertible”), which is an actively managed composite investing in higher quality foreign and U.S. convertible bonds. The Composite was created January 1, 2001, calculated with an inception date of December 1, 1979 and includes all fully discretionary, tax-exempt, fee paying accounts of $1,000,000 or more, including those no longer with the Firm.

Returns presented from January 1, 1991 through the current period reflect the Calamos Institutional Convertible Composite (or “Calamos Convertible) which is an actively managed composite investing in primarily high-quality U.S. convertible securities. The Composite was created January 1, 2001, calculated with an inception date of October 1, 1981 and includes all fully discretionary, tax-exempt, fee paying accounts of $250,000 or more, including those no longer with the Firm.

Returns presented from January 1, 1991 through the current period reflect the Calamos Calamos Institutional Convertible Composite Composite (or "Calamos Convertible) which is an actively managed composite investing in primarily high-quality U.S. convertible securities. The Composite was created January 1, 2001, calculated with an inception date of October 1, 1981 and includes all fully discretionary, tax-exempt, fee paying accounts of $1,000,000 or more, including those no longer with the Firm.

The opinions referenced are as of the date of publication and are subject to change due to changes in the market or economic conditions and may not necessarily come to pass. Information contained herein is for informational purposes only and should not be considered investment advice.

The information provided in this report 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.

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.

The BofA Merrill Lynch All U.S. Convertibles Ex Mandatory Index (V0A0) measures the return of all U.S. Convertibles excluding mandatory convertibles.

BofA Merrill Lynch All US Convertible Index (VXA0) is comprised of approximately 700 issues of only convertible bonds and preferreds of all qualities.

The S&P 500 Index consists of 500 stocks chosen for market size, liquidity, and insdustry group representation. It is a market-value weighted index (stock price times number of shares outstanding), with each stock's weight in the index proportionate to its market value. The "500" is one of the most widely used benchmarks of U.S. equity performance.

Manager's fees are further described in Form ADV Part 2A, which is available upon request.

Fees include the investment advisory fee charge by Calamos Advisors LLC. Returns greater than 12 months are annualized. Chart Data Sources: Russell/Mellon Analytical Services LLC and Calamos Advisors LLC.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

Unmanaged index returns assume reinvestment of any and all distributions and do not reflect fees, expenses or sales changes. Investors cannot invest directly in an index.

Strategy Vehicles

The Calamos Convertible Strategy is closed to new investors.

Separately Managed Accounts Minimum: $25 million
Institutional Mutual Fund (CICVX) Minimum $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
Quarterly
Yearly
A discussion of the Calamos Convertible Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.
Investment Team View the Growth/Convertible Team biographies
Investment Team View the Value Team biographies

Strategy Details




As of 31/3/13
Inception Date:
01/10/79
Strategy Assets*:
$2.3 B
Benchmark:
BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)

Resources

* Strategy Assets includes assets under management as well as assets for which the company provides model portfolio design and oversight.