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 03/31/14
Inception Date:
10/01/79
Strategy Assets*:
$2.4 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.

Sector Weightings

AS OF 03/31/14
% of Assets BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0) Under/Overweight %
Financials 26.5% 18.5%
Information Technology 21.7 26.6
Health Care 17.8 19.3
Consumer Discretionary 13.7 12.3
Industrials 13.0 8.1
Energy 4.3 7.9
Materials 2.0 3.3
Utilities 1.0 0.7
Consumer Staples 0.0 1.8
Telecommunication Services 0.0 1.5
 

Representative Portfolio Ten Largest Holdings

AS OF 03/31/14
Company Security Type Sector %
United Technologies Corp. 7.50% Cv Pfd Industrials 3.6
Gilead Sciences, Inc. 1.63% Cv Due 2016 Health Care 3.6
Priceline.com, Inc. 1.00% Cv Due 2018 Consumer Discretionary 3.3
WellPoint, Inc. 2.75% Cv Due 2042 Health Care 3.3
SanDisk Corp. 0.50% Cv Due 2020 Information Technology 3.2
MetLife, Inc. 5.00% Cv Pfd Financials 2.9
Ares Capital Corp. 4.75% Cv Due 2018 Financials 2.7
Illumina, Inc. 0.25% Cv Due 2016 Health Care 2.6
Fidelity National Financial, Inc. 4.25% Cv Due 2018 Financials 2.1
Omnicom Group, Inc. 0% Cv Due 2032 Consumer Discretionary 2.1

Characteristics

AS OF 03/31/14
  Calamos Portfolio BofA ML Index (V0A0)
Assets in Strategy $2.4 billion N/A
# of Holdings 91 474
Portfolio Turnover % (5-Year) 79.3% N/A
Average Credit Quality† BB+ BB-
Median Investment Premium 30.8% 33.1%
Median Conversion Premium 22.0% 21.7%

Credit Quality of Bonds

AS OF 03/31/14
AAA 0.0%
AA 0.0%
A 12.4%
BBB 39.9%
BB 22.5%
B 25.2%
CCC and below 0.0%
Unrated Securities 0.0%

Largest Country Weightings

AS OF 03/31/14
Representative Portfolio BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)
United States 95.3% 98.6%
Israel 1.8% 0.4%
Ireland 1.3% 0.1%
Netherlands 1.2% 0.0%
China 0.4% 0.0%
Cayman Islands 0.0% 0.5%
Bermuda 0.0% 0.4%
Switzerland 0.0% 0.0%
United Kingdom 0.0% 0.0%
Hong Kong 0.0% 0.0%

Global Summary

AS OF 03/31/14
Representative Portfolio BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)
Developed Markets 99.6% 0.0%
Emerging Markets 0.4% 0.0%

Composite Summary

AS OF 03/31/14
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
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 03/31/14
1-Year3-Year5-Year10-Year15-YearSince V0A0 Inception (1/88)Since Strategy Inception (10/79)
Convertible (Gross)15.93%6.24%13.49%6.27%7.61%9.98%11.33%
Convertible (Net)15.23%5.64%12.89%5.73%7.08%9.39%10.61%
BofA ML All U.S. Convertibles Ex Mandatory Index (V0A0)20.96%10.92%19.24%7.30%7.41%9.89%

Calendar Year Returns

AS OF 03/31/14
                           Qtr ending Mar 14YTD 2014201320122011201020092008200720062005200420032002200120001999199819971996199519941993199219911990198919881987198619851984198319821981198010/1/1979 to 12/31/1979
Convertible (Gross)2.93%2.93%19.56%6.45%-3.13%13.97%34.27%-25.39%9.07%11.83%1.08%7.46%26.21%-5.63%-5.82%2.67%41.11%9.79%17.18%15.65%27.12%-6.32%20.39%13.32%28.58%-1.77%18.60%7.56%1.97%19.62%23.52%8.11%18.16%23.86%10.61%21.21%4.36%
Convertible (Net)2.78%2.78%18.83%5.82%-3.57%13.42%33.63%-25.76%8.54%11.26%0.58%6.93%25.62%-6.06%-6.32%2.18%40.59%9.23%16.62%15.07%26.53%-6.92%19.79%12.69%27.93%-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)4.39%4.39%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 03/31/14
  Representative Portfolio BofA ML Index (V0A0)
Alpha 0.96% N/A
Beta 0.85 1.00
Standard Deviation 10.72% 11.77%
Upside Semivariance 6.59% 7.34%
Downside Semivariance 3.70% 4.93%
Sharpe Ratio 0.60 0.54
Information Ratio -0.01 N/A

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

AS OF 03/31/14

Strategy Vehicles

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 A discussion of the Calamos Convertible Strategy’s performance versus a benchmark, positioning, related market commentary, and outlook.