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 09/30/14
Inception Date:
10/01/01
Strategy Assets*:
$197.2 M
Benchmark:
BofA ML VG00 - Global 300

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 09/30/14
% of Assets BofA ML VG00 - Global 300 Under/Overweight %
Information Technology 21.0% 22.6%
Financials 19.5 22.3
Consumer Discretionary 15.6 13.4
Industrials 14.8 11.7
Health Care 12.1 12.4
Energy 6.5 5.1
Materials 5.9 3.7
Consumer Staples 2.1 2.0
Utilities 1.5 4.0
Telecommunication Services 1.0 2.8
 

Representative Portfolio Ten Largest Holdings

AS OF 09/30/14
Company Security Type Sector %
NVIDIA Corp. 1.00% Cv Due 2018 Information Technology 2.4
Nidec Corp. 0% Cv Due 2015 Industrials 2.4
Beach Energy, Ltd. 3.95% Cv Due 2017 Energy 2.4
United Technologies Corp. 7.50% Cv Pfd Industrials 2.3
MetLife, Inc. 5.00% Cv Pfd Financials 2.2
Salesforce.com, Inc. 0.25% Cv Due 2018 Information Technology 2.1
Priceline Group, Inc. 1.00% Cv Due 2018 Consumer Discretionary 2.1
LEG Immobilien, AG 0.50% Cv Due 2021 Financials 2.0
Azimut Holding, S.p.A. 2.13% Cv Due 2020 Financials 1.8
H.I.S. Co., Ltd. 0% Cv Due 2019 Consumer Discretionary 1.8

Characteristics

AS OF 09/30/14
  Calamos Portfolio BofA ML VG00 - Global 300
Assets in Strategy $197.2 million N/A
# of Holdings 121 300
Portfolio Turnover % (5-Year) 68.9% N/A
Average Credit Quality† BB BB
Median Investment Premium 21.4% 19.1%
Median Conversion Premium 25.8% 21.3%

Credit Quality of Bonds

AS OF 09/30/14
AAA 0.0%
AA 1.3%
A 2.1%
BBB 26.3%
BB 36.4%
B 32.1%
CCC and below 1.8%
Unrated Securities 0.0%

Largest Country Weightings

AS OF 09/30/14
Representative Portfolio BofA ML VG00 - Global 300
United States 60.5% 58.2%
Japan 8.7% 5.1%
United Kingdom 3.6% 1.1%
Germany 3.3% 4.4%
Italy 3.1% 1.4%
China 3.0% 0.9%
France 2.6% 8.2%
Australia 2.4% 0.3%
Taiwan 2.0% 1.5%
Switzerland 1.9% 0.9%

Global Summary

AS OF 09/30/14
Representative Portfolio BofA ML VG00 - Global 300
Developed Markets 88.2% 0.0%
Emerging Markets 11.8% 0.0%

Composite Summary

AS OF 09/30/14
Period Ending Composite Assets (in Millions) Total Assets (in Millions) % Of Total Assets Managed # Of Clients Average Acct. Size (in Millions)
12/31/2012 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 09/30/14
1-Year3-Year5-Year10-YearSince Inception (10/01)
Global Convertible (Gross)8.10%7.99%7.39%7.94%8.26%
Global Convertible (Net)6.76%6.96%6.52%7.04%7.31%
BofA ML VG00 - Global 3006.73%11.20%8.13%6.84%7.03%
BofA ML Global 300 Convertible Index (Local)8.99%12.78%8.98%6.55%6.09%

Calendar Year Returns

AS OF 09/30/14
                           Qtr ending Sep 14YTD 201420132012201120102009200820072006200520042003200210/1/2001 to 12/31/2001
Global Convertible (Gross)-3.57%2.86%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)-3.91%1.80%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 300-2.87%2.47%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)-0.76%4.59%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 09/30/14
  Calamos Global Convertible Composite BofA ML VG00 - Global 300
Alpha 1.53% N/A
Beta 0.93 1.00
Standard Deviation 10.14% 10.22%
Upside Semivariance 5.14% 4.86%
Downside Semivariance 3.92% 4.21%
Sharpe Ratio 0.67 0.54
Information Ratio 0.33 N/A

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

AS OF 09/30/14

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.
Investment Team View the Growth Equity/Fixed Income Team biographies