Calamos Global Convertible Capabilities - JULY 2020 - Calamos Investments
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JULY 2020 Calamos Global Convertible Capabilities NOT FDIC INSURED | MAY LOSE VALUE | NO BANK GUARANTEE This document does not constitute an offer or solicitation to invest in the Fund. It is directed only at professional/sophisticated investors and it is for their use and information. This document should not be shown or given to retail investors. Any entity responsible for forwarding this material to other parties takes responsibility for ensuring compliance with the financial promotion rules. This presentation is for investment professional use only and is not intended for further distribution or dissemination. The opinions referenced are as of the date of publication and are subject to change due to changes in market or economic conditions and may not necessarily come to pass.
CALAMOS GLOBAL CONVERTIBLE CAPABILITIES Introduction
CALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Calamos Firm Overview
Calamos Overview
Key Features
• Multi-disciplined, global asset manager
• Active – Global – Growth
• Headquartered in Chicago-metro area, offices in New
York, San Francisco, Milwaukee and the Miami area • Pioneer in convertible, liquid alternative
and fundamental low-volatility strategies
• Founded in 1977
• Unique blend of quantitative and
• AUM of U.S. $26.5 billion, including $10.8 billion in qualitative investment processes
convertible assets
• Comprehensive analysis of idiosyncratic
• Institutional Assets† of U.S. $13.9 billion risk factors, including ESG-related
principles (UN PRI signatory)
• 311 employees*, 74 investment professionals
• Team of teams platform and product set,
integrated through Co-CIO-led
Assets By Category (in USD, Millions) investment committee and institutional-
quality infrastructure
• Alternatives $10,406 M
• Lower-Volatility Equity/Risk Managed $3,268 M
• Convertibles $2,494 M
• Fixed Income $4,299 M
• Growth Equity $2,810 M
Data as of June 30, 2020.
† Institutional Assets include institutional share classes of open-end funds as well as assets managed for institutions.
* Total represents full-time employees of the operating subsidiaries of Calamos Asset Management, Inc. Part-time employees and consultants are excluded. 3
033059 0620Q IO
CALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Calamos: A Pioneer in Convertible Investing
Calamos has been using convertibles since the 1970s seeking to manage risk and returns
1996
Launches global
lower-volatility
1988
equity strategy
John P.
John P. Calamos, Sr. Calamos, Sr. 1990 2002
develops proprietary publishes first Launches one of the first Launches the first of seven 2020
convertible bond book on liquid alternative mutual multi-asset convertible Today Calamos manages
strategy to potentially convertible funds, leveraging our closed-end funds, which total $10.8 billion in total
manage risk securities convertible expertise $7.4 billion AUM today convertible assets
1970s 1980s 1990s 2000s 2010s-2020s
1977 1994 2007
John P. Calamos, 1985
Launches global Launch of Dublin-
Sr. establishes an Launches one of
convertible strategy domiciled UCITS for
investment firm the first convertible
non-U.S. investors
mutual funds that
1998
1979 has nearly $948 2008
John P.
Inception of Calamos million AUM Launches a risk-
Calamos, Sr.
Convertible strategy publishes managed emerging
second book markets equity strategy
on convertible that utilizes convertibles
securities
As of 6/30/20. See appendix for discussion of "lower-volatility“. 4
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES 2020 Refinitiv Lipper Fund Award . Calamos Global Convertible Fund – Class A U.S. $ Accumulating Winner of the Refinitiv Lipper Fund Award for 10-Year Risk-Adjusted performance in the Bond Convertibles Global Category The Refinitiv Lipper Fund Award received is for risk-adjusted performance for the 10-year period among 24 funds in the United Kingdom in the Bond Convertibles Global category as of 12/31/19. The Refinitiv Lipper Fund Awards, granted annually, highlight funds and fund companies that have excelled in delivering consistently strong risk-adjusted performance relative to their peers. The Refinitiv Lipper Fund Awards are based on the Lipper Leader for Consistent Return rating, which is a risk-adjusted performance measure calculated over 36, 60 and 120 months. The fund with the highest Lipper Leader for Consistent Return (Effective Return) value in each eligible classification wins the Refinitiv Lipper Fund Award. For more information, see lipperfundawards.com. Although Refinitiv Lipper makes reasonable efforts to ensure the accuracy and reliability of the data contained herein, the accuracy is not guaranteed by Refinitiv Lipper. Used with permission by Refinitiv Lipper. 5 033059 0620Q IO
CALAMOS GLOBAL CONVERTIBLE CAPABILITIES Overview of Convertible Securities
CALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Summary
Convertibles have historically:
Enhanced
opportunities for
Performed well in Helped to mitigate Outperformed
investors to tailor
rising equity downside during bonds when
the risk and reward
markets declines interest rates rise
characteristics of
their portfolios
Convertible Securities Risk: The value of a convertible security is influenced by changes in interest rates, with investment value declining as interest rates increase and increasing as interest rates decline. The credit
standing of the issuer and other factors also may have an effect on the convertible security’s investment value. 7
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Defining Convertible Securities
Is a convertible fixed income or equity?
• Technically a debt instrument, with attributes of a bond or preferred stock:
interest payment/dividend and bond maturity date
• Most often issued as senior debt and subject to credit default risk
• One important difference: It can be exchanged (converted) into a specific
number of shares of common stock, at the option of the holder
Why do companies issue convertibles?
• Convertibles are an alternative capital structure option
• Cost: Lowers cost of both debt and equity
• Capital structure consideration
o Less restrictive covenants
o Ability to refinance when debt spreads are high
o Serial offerings allow growth while controlling debt/equity ratio
• Monetize volatility of equities
8
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Because of Hybrid Characteristics, Actively Managed Convertibles May Offer Many Potential Benefits
UPSIDE OPPORTUNITY
When the underlying stock rises, convertibles
may capture a portion of the capital appreciation
DOWNSIDE RISK MITIGATION POTENTIAL
If the underlying stock price drops, convertibles
provide consistent income and other fixed
income characteristics (e.g., principal repayment)
Reduced vulnerability to rising rates.
Equity characteristics make convertibles less sensitive to rising interest rates than Treasury bonds and investment grade credits.
Enhanced capital appreciation potential.
Potential for greater total return than traditional fixed-income asset classes.
Equity upside participation.
Convertibles can participate in the advance of their underlying stocks (due to conversion feature).
Potential downside risk mitigation.
Convertibles offer lower-volatility equity participation, as bond characteristics provide a floor when equities move downward.
Diversification.
The performance of convertibles does not correlate directly to either the stock or bond market, so the addition of convertibles to
a portfolio may reduce overall volatility
Convertible securities are subject to default risk. See appendix for discussion of "lower-volatility“. 9
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Convertibles Demand Experienced Active Management
Yield
Total Return Alternatives Equity Alternatives
Alternatives
Hybrid Equity
Fixed income Yield Alternatives:
characteristics characteristics
characteristics Exhibit more fixed income
characteristics and lower levels of
equity sensitivity.
Total Return Alternatives:
Offer a favorable balance of equity and
fixed‐income characteristics.
Equity Alternatives:
Exhibit higher levels of equity
sensitivity.
US Convertible Market Composition
Convertibles are complex and active
Mar 2000 19% 28% 53% management is key. Their attributes may
differ considerably and a specific
Feb 2009 67% 21% 12% convertible may be more equity-like at
Jun 2020 22% 46% 32% certain periods and more fixed-income-
like in others.
Active management does not guarantee investment returns and does not eliminate the risk of loss. A convertible bond is at a "distressed" valuation when it is worth significantly less than the theoretical value of a
similar non-convertible bond and is highly sensitive to changes in the underlying equity price. A convertible bond has "fixed income characteristics" when it is valued at about the same level as a similar non-
convertible bond and is not as sensitive to the underlying equity. A convertible bond has "hybrid characteristics" when it has fixed income characteristics as previously explained but is becoming increasingly
sensitive to changes in the underlying equity price. "Equity characteristics" represents a convertible bond that is highly sensitive to movements in the underlying equity. Percentages shown represent the
proportion of convertible bonds in the ICE BofA, All U.S. Convertibles Index (VXA0) that fall into each classification. Totals may not equal 100% due to rounding. Source: ICE BofA, All U.S. Convertibles Index (VXA0).
Data as of June 30, 2020. 10
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Opportunities in the Global Convertible Market
A convertible bond is at a "distressed" valuation when it is worth
Yield significantly less than the theoretical value of a similar non-
Total Return Alternatives Equity Alternatives convertible bond and is highly sensitive to changes in the
Alternatives
Hybrid Equity characteristics underlying equity price. A convertible bond has "fixed income
Fixed income characteristics" when it is valued at about the same level as a
characteristics
characteristics similar non-convertible bond and is not as sensitive to the
underlying equity. A convertible bond has "hybrid characteristics"
when it has fixed income characteristics as previously explained
but is becoming increasingly sensitive to changes in the underlying
equity price. "Equity characteristics" represents a convertible bond
that is highly sensitive to movements in the underlying equity.
Percentages shown represent the proportion of convertible bonds
in VXA0, VE00, VASI, VJEU and CONV that fall into each
classification. Totals may not equal 100% due to rounding. Source:
ICE BofA Research.
Regional Convertible Market Composition as of June 30, 2020
US 22% 46% 32% Employing a global convertible
strategy is crucial to access
Europe 59% 31% 10%
opportunities across different
Asia 43% 28% 29% regions of the global
Japan 77% 17% 6% convertible market.
Global
33% 39% 29%
Market 11
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Adding Convertibles to Either Stock or Bond Portfolios May Lead to A More Efficient Frontier
Hypothetical Illustration
Efficient Frontier: U.S. Stocks, Bonds and Convertibles
Including Converts Excluding Converts
17%
15%
100% Stocks
100% Converts
Annualized Average Total Return
13%
85% Converts, 15% Bonds
85% Stocks, 15% Bonds
RETURN
70% Converts, 30% Bonds
11% 70% Stocks, 30% Bonds
55% Converts, 45% Bonds
55% Stocks, 45% Bonds
9% 40% Converts, 60% Bonds
25% Converts, 75% 40% Stocks, 60% Bonds
Bonds
7%
25% Stocks, 75% Bonds
5%
3% 5% 7% 9% 11% 13% 15%
RISK
Annualized Standard Deviation
Source: BofA Global Research, ICE Data Indices, LLC. The data shown is for illustrative purposes only and is not intended to represent or predict the performance of any investment. The risk and returns shown for Convertibles,
Stocks and Bonds are represented by the standard deviation and the annualized returns from January 2009 to June 30, 2020 for the ICE BofA All Traditional Convertibles Index (V0A0), S&P 500 Index and the ICE BofA Corporate &
Government Master Index, respectively. Indexes are unmanaged, do not entail fees or expenses and are not available for direct investment. 12
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES Global Convertibles Have A Low Correlation to Traditional Bonds Correlations versus traditional asset classes Global convertibles 1.00 Refinitiv Global Convertible Bond U.S. government bonds -0.33 Bloomberg Barclays U.S. Government U.S. aggregate bonds 0.05 Bloomberg Barclays U.S. Aggregate Bond Ex-U.S. government bonds 0.35 ICE BofA Global Government-ex-U.S. Latin American government bonds 0.61 JP Morgan GBI-EM Latin America Emerging market bonds 0.67 JP Morgan Global Emerging Markets Bond Emerging market equities 0.83 MSCI Emerging Markets U.S. high yield bonds 0.85 Credit Suisse High Yield Index U.S. equities 0.88 S&P 500 Global developed market equities 0.93 MSCI World Source: Morningstar. Data as of 10/1/10 (earliest common inception date) to 6/30/20. 13 033059 0620Q IO
CALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Historically, Convertibles Have Been More Resilient to Rising Rates than Bonds
Using the 10-year U.S. Treasury as an example, over the past 25 years there have been 11 occasions where the
yield increased by more than 100 bps
Returns in Rising Interest Rate Environments
Oct 93- Jan 96- Oct 98- Nov 01- Jun 03- Jun 05- Dec 08- Oct 10- Jul 12- Jul 16- Sep 17-
Nov 94 Jun 96 Jan 00 Apr 02 Jun 04 Jun 06 Jun 09 Feb 11 Dec 13 Dec 16 Nov 18
Yield Increase (bps) 286 150 263 122 176 134 187 134 157 123 119
During these
Convertibles
periods of ICE BofA All U.S. -2.28% 11.97% 68.85% 2.29% 11.49% 9.46% 24.68% 11.63% 35.49% 7.58% 9.12%
rising rates, Convertibles Index
convertibles
outperformed Stocks 2.22 11.42 46.59 3.07 14.66 6.71 9.41 14.89 42.09 8.65 16.41
equities 4 S&P 500 Index
times and Bonds
bonds 11 Bloomberg Barclays U.S. -5.15 -4.08 -3.38 -3.09 -3.64 -1.49 -2.08 -3.94 -2.14 -4.88 -3.26
times Govt/Credit Index
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. Indexes are unmanaged,
do not reflect fees or expenses and are not available for direct investment. The ICE BofA All U.S. Convertibles Index is a measure of the U.S. convertible market. The S&P 500 Index is a measure of the
U.S. stock market. The Bloomberg Barclays U.S. Govt/Credit Index is comprised of long-term government and investment grade corporate debt securities. Source: Morningstar Direct and Bloomberg.
Most recent data as of 6/30/20. Rising rate environment periods from troughs to peak from October 1993 to November 2018. 14
033059 0620Q IO 14CALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Convertibles Outperformed High Yield In Rising Rate Environments
When interest rates rose more than 100 bps When interest rates rose more than 50 bps
Average returns of the 11 periods when U.S. interest rates rose more Average returns of the 15 periods when U.S. interest rates rose more
than 100 basis points since 1993 than 50 basis points since 2006
20
20
18 17.30 18
16.01
16 16
14 14
12 12
% %
10 10
7.94
8 8
6 6 5.67
5.17
4 4 3.18
2 2
0 0
ICE BofA ICE BofA S&P 500 ICE BofA ICE BofA S&P 500
All U.S. Convertibles U.S. HY All U.S. Convertibles U.S. HY
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. Indexes are unmanaged, do not reflect fees or
expenses and are not available for direct investment. Source: Morningstar. Data shown is cumulative. Rising rate environment periods from troughs to peak through May 2018. Most recent data available as of 6/30/20.
15
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Despite Volatility, Global Convertible Issuance Has Been Strong in 2020
• Convertible markets are often among the first to reopen after periods of market stress, and we have seen this trend hold
this year.
• Globally, companies have issued $92 bil, led by the U.S. at $67 bil—a record for 1H calendar year issuance.
• We’re seeing attractive structures with good risk/reward attributes, with many companies accessing the convertible
market for the first time.
• In addition to growth-oriented companies, issuers have also included larger consumer and cyclical names.
Global Convertible Issuance ($ billions)
180
167 163
159
160 Geographic breakdown of 2020 YTD issuance:
US: $67.3 Europe: $11.9
140 Asia: $12.2 Japan: $0.4
120 112
101 98
100 96 93 93 92
89
85 85 85
83 81 77
80 72 76 75
63
60 55
47
40
20
0
'98 '99 '00 '01 '02 '03 '04 '05 '06 '07 '08 '09 '10 '11 '12 '13 '14 '15 '16 '17 '18 '19 '20
YTD
‘20
As of June 30, 2020. Source: BofA Global Research. The ICE BofA Global 300 Convertible Index is a global convertible index composed of companies representative of the market
structure of countries in North America, Europe and the Asia/Pacific region. 16
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Defaults in Convertible Market Have Historically Been Lower Than High Yield
Default Rate, 2003-April 2020
20%
17.0% U.S. Convertibles (Bonds Only) High Yield
8%
6.6%
The average convertible default rate
6% 5.6%
from 2003 to April 2020 was 1.1%
versus 3.5% for high yield defaults
4.3% 4.3%
4% 3.6%
3.5%
3.1%
2.5%
2.3%
2.2% 2.0% 1.9% 2.1%
2% 1.6% 1.6% 1.7%
1.4% 1.4%
1.3% 1.0% 1.3% 1.1% 1.2% 1.1% 1.3% 1.2%
0.7% 0.9%
0.6% 0.6%
0.4% 0.4% 0.3% 0.2%
0.0%
0%
2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 Apr-20
Past performance is no guarantee of future results.
Source: Barclays Equity Research. 17
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Non-Rated and Tech Issues Reported Lower Default Rates
From 2003-April 2019, within the U.S. convertible market:
• Non-rated convertible securities have seen fewer defaults than rated issues
• The growth-oriented tech sector* accounted for only 9% of total defaults, although it is one of the largest
sectors within the convertible market (more than one-third)
Aggregate Defaults by Ratings Sector Mix of Defaults
All Convertible Structures, in face value (2003-April 2019) By Face Value, in billions (2003-April 2019)
Communications. $3.2 Materials $2.2
40 6% 4%
$34.1
35 Utilities $3.4 Financial $12.7
Non-IG 6% 23%
30 $18.6
Consumer, Non-
25
$21.8 cyclical, $4.6
($bn)
20 8%
15
IG Technology, $5.3
10 $15.5 9% Consumer,
Cylical $12.6
5
23%
Industrial $5.3
0 9%
Energy $6.7
Rated Non-Rated 12%
Past performance is no guarantee of future results. Source: Barclays Equity Research, April 16, 2019, using data from Barclays Research as of April 12, 2019.
*Based on GICS sector classification as of April 5, 2019. 18
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Managing Risk over Market Cycles
Calamos Global Convertible Strategy (Gross of Fees) MSCI World Index (USD)
INTERNET COVID-19
RECOVERY FINANCIAL RECOVERY
BUBBLE CRASH PANDEMIC
4/1/03-10/31/07 CRISIS 3/1/09-12/31/19
10/1/01- 1/1/20-
11/1/07-
ANNUALIZED RETURNS (%)*
3/31/03 6/30/20
2/28/09
22.00
16.62 14.08
9.55 11.73
2.46
-5.48
-11.62
-22.42
Strategy advanced, 76% of market upside
68% of market upside Strategy advanced,
index declined
-43.94 index declined
51% of market
downside
$50
$45.0 M
$45 Growth of $10 Million
$40
$35
$30 $37.8 M
MILLIONS
$25
$20
$15
$10
$5
$-
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018 2019 YTD
‘20
*Returns of less than 12 months are not annualized.
Past performance is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value and return of an investment will fluctuate so that
your shares, when redeemed, may be worth more or less than their original cost. For the most recent strategy performance information visit www.calamos.com. Index data shown is from 10/1/01,
since comparative index data is available only for full monthly periods. Source: Mellon Analytical Solutions LLC. Data as of 6/30/20. 19
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Synthetic Convertibles: Expanding the Opportunity Set
• Combine a non-convertible debt instrument with
an option or warrant to create the characteristics of Advantages:
a convertible issue
Increased opportunities: Effectively expanding
“convertible-like” exposure to companies that
• May provide investors with enhanced opportunities
don’t necessarily offer straight convertible bonds.
to capture specific risk and reward characteristics
Diversification: Synthetics permit investors to
diversify in order to help manage risk. They allow
investment exposure to market sectors where
traditional convertibles are not well represented.
Bonds
+ Option or
warrant
Customization: Synthetic convertibles can be
customized to fit requirements.
Liquidity: Synthetics are comprised of straight
bonds and call options. Bonds and options are all
publically traded. Liquidity of bonds and options
is variable but doesn’t typically present unusual
constraints.
Synthetic Convertible
Yield Enhancement: Higher than market yields
may potentially be obtained by designing the
synthetic convertible for a specific investment
outlook.
Options risk: The Fund’s ability to close out its position as a purchaser or seller of an over-the-counter or exchange-listed put or call option is dependent, in part, upon the liquidity of the option
market. There are significant differences between the securities and options markets that could result in an imperfect correlation among these markets, causing a given transaction not to achieve its
objectives. The Fund’s ability to utilize options successfully will depend on the ability of the Fund’s investment adviser to predict pertinent market movements, which cannot be assured. Synthetic
convertible instruments risk consists of fluctuations inconsistent with a convertible security and the risk of components expiring worthless. 20
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
When Managed Properly, Convertibles Can Address Multiple Allocation Goals
Lower Volatility Equity
“” It is not simply the convertibles that make a strategy work,
but how convertibles are managed to achieve a particular
An innovative solution for
investors who wish to participate
investment objective. in equity markets but are
concerned about downside
equity volatility
John P. Calamos, Sr.
Founder, Chairman and Global Chief Investment Officer
Enhanced Fixed Income
• Often, convertibles are thought of as a single asset class, but Convertible strategies may be
convertibles do not have uniform characteristics—they can look fixed used to diversify a traditional
income-like, equity-like or hybrid in nature. fixed income portfolio, especially
during periods of rising interest
• Structurally, the risk/reward characteristics of convertibles allow them rates and inflation
to support a range of asset allocation goals, but because of their
structural complexities, convertibles demand active management
within asset allocations.
Alternatives
• Our approach is to use different convertibles within specific Convertibles with a range of
investment strategies to allow clients to meet various risk/reward characteristics can be used
targets. within alternative allocations,
such as hedge strategies that
employ convertible arbitrage
The views and strategies described may not be suitable for all investors. References to specific securities, asset classes and financial markets are for illustrative purposes only and are not intended to be, and should not
be interpreted as, recommendations. Convertible Hedging Risk: If the market price of the underlying common stock increases above the conversion price on a convertible security, the price of the convertible security
will increase. The fund’s increased liability on any outstanding short position would, in whole or in part, reduce this gain. There can be no assurance the fund(s) will achieve its investment objective. See appendix for
discussion of "lower-volatility“. 21
033059 0620Q IOAppendix
CALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Calamos Global Convertible Fund Portfolio Characteristics
Sector Weightings Characteristics
Calamos Global Refinitiv Global Convertible
Calamos Global Refinitiv Global
Convertible Fund Bond Index
Convertible Fund Convertible Bond Index
Information Technology 27.5% 25.0%
# of Holdings 130 478
Consumer Discretionary 16.3% 16.0%
Portfolio Turnover (12 mos) 61.84% N/A
Communication Services 13.8% 14.5%
Median Investment Premium 19.34% 11.20%
Health Care 9.6% 13.1%
Median Conversion Premium 28.42% 29.34%
Industrials 7.3% 7.6%
Duration 2.27 years 1.95 years
Financials 5.9% 5.2%
Real Estate 5.4% 5.2%
Materials 4.0% 5.1%
Consumer Staples 3.2% 1.1% 1
Energy 2.8% 2.1% Credit Quality Allocation of Bonds
Utilities 2.0% 5.1%
Calamos Global Refinitiv Global Convertible
Convertible Fund Bond Index
AAA 0.0% 0.0%
Asset Allocation AA 2.2% 0.5%
Calamos Global A 5.5% 6.5%
Convertible Fund
BBB 20.3% 21.1%
Convertibles 97.6%
BB 45.6% 48.8%
Cash and Receivables/Payables 2.3% B 18.4% 18.2%
Options 0.1% CCC and below 8.0% 4.9%
Unrated Securities 0.0% 0.0%
Data as of June 30, 2020.
Fund composition weightings are calculated as a percentage of Net Assets. This table excludes cash or cash equivalents, any government / sovereign bonds or broad based indexes the portfolio may hold. You can obtain a
complete listing of holdings by visiting www.calamos.com/global. The portfolio is actively managed. Holdings and weightings are subject to change daily. Sector weightings exclude certain index options that have representation
across all sectors. Ten Largest Holdings table excludes cash or cash equivalents, any government / sovereign bonds or broad based indexes the portfolio may hold. You can obtain a complete listing of holdings by visiting
www.calamos.com/global. Holdings are provided for informational purposes only and should not be deemed as a recommendation to buy or sell the securities mentioned. *Statistics based on common stock holdings. The
composite and/or strategy discussed is not a registered Fund available for investment. 1 Bond credit quality allocation reflects the higher of the ratings of Standard & Poor’s Corp. and Moody’s Investment Service Inc. as well as
Calamos’ proprietary credit scores and are adjusted to the scale shown. Ratings are relative, subjective and not absolute standards of quality. The security’s credit rating does not eliminate risk. The table excludes equity
securities, cash and cash equivalents. For more information about securities ratings, please see the Fund’s Statement of Additional Information at www.calamos.com. Additional information on ratings methodologies are
available by visiting the NRSRO websites: www.standardandpoors.com and www.moodys.com. 23
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Calamos Global Convertible Fund Portfolio Characteristics
Ten largest Holdings*
Company Industry Security type Country % of Net Assets
Carrefour, SA Hypermarkets & Super Centers 0% Cv Due 2024 France 2.3%
Royal Caribbean Cruises, Ltd. Hotels, Resorts & Cruise Lines 4.25% Cv Due 2023 United States 2.3%
Bank of America Corp. Diversified Banks 7.25% Cv Pfd United States 2.3%
Wells Fargo & Company Diversified Banks 7.50% Cv Pfd United States 2.2%
NCL Corp. Ltd- Class C Hotels, Resorts & Cruise Lines 6.00% Cv Due 2024 United States 2.0%
Carnival Corp. Hotels, Resorts & Cruise Lines 5.75% Cv Due 2023 United States 2.0%
BASF, SE Diversified Chemicals 0.93% Cv Due 2023 Germany 2.0%
Air Canada Airlines 4.00% Cv Due 2025 Canada 1.9%
Southwest Airlines Company Airlines 1.25% Cv Due 2025 United States 1.9%
Snap, Inc. Interactive Media & Services 0.75% Cv Due 2026 United States 1.9%
TOTAL 20.9%
Data as of June 30, 2020.
Largest Ten Holdings are calculated as a percentage of Net Assets. The table excludes cash or cash equivalents, any government / sovereign bonds or broad based index hedging securities the portfolio may hold.
Holdings are provided for informational purposes only and should not be deemed as a recommendation to buy or sell the securities mentioned. Holdings are subject to change daily. The composite and/or strategy
discussed is not a registered Fund available for investment. 24
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Calamos Global Convertible Fund Geographic Distribution
Regional Allocations (% of net assets)*
Calamos Global Convertible Fund Refinitiv Global Convertible Bond Index
70% 65.3%
58.6%
60%
50%
40%
30%
22.4%
20% 16.7%
14.8%
17.1%
10%
0.5% 0.2% 0.4% 0.9% 0.0% 0.8%
0%
North America Europe Asia/Pacific Caribbean Middle East/Africa Latin America
Summary* Largest Country Weights
Calamos Global Refinitiv Global Convertible Calamos Global Refinitiv Global Convertible
Convertible Fund Bond Index Convertible Fund Bond Index
# of Countries Invested In 20 36 United States 63.3% 57.9%
Developed Markets 90.6% 90.8% France 5.5% 5.4%
Emerging Markets 7.2% 9.2% Germany 5.1% 3.9%
China 5.1% 6.8%
Japan 4.8% 5.2%
Data as of June 30, 2020.
*Geographical distribution weightings are calculated as a percentage of net assets. These tables exclude cash or cash equivalents and any options on broad market indexes the portfolio may hold. Companies are classified
geographically according to their country of domicile. You can obtain a complete listing of holdings by visiting www.calamos.com/global. The portfolio is actively managed. Holdings and weightings are subject to change
daily. The composite and/or strategy discussed is not a registered Fund available for investment. 25
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Calamos Investment Process
Key Characteristics of Our
Approach:
• Global macro outlook
• Bottom-up
fundamental analysis
• Capital structure
research
• High-conviction
portfolios
• Integrated, multi-team
approach
• Disciplined, consistent
processes
Investment candidates emerge from the intersection of our top-down and bottom-up analysis.
Each security is further vetted within the context of the portfolio.
Ongoing monitoring and risk management seek to ensure appropriate risk/reward parameters are maintained.
There can be no assurance the fund(s) will achieve its investment objective. 26
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Capital Structure Research
Calamos Proprietary Calamos Proprietary Calamos Proprietary
Credit Analysis Convertible Analysis Equity Analysis
• Principal Safety – Credit Analysis • Convertible Risk/Reward – • Company Growth Prospects –
Convertible Analysis Equity Analysis
• Bankruptcy prediction
• Risk/reward • Earnings potential
• Industry comparison
• Theoretical valuation • Cash Flow return on capital
• Multivariate analysis
• Protective covenants • Expected return
• Probability and ratio analysis
• Expected return • Management analysis and analyst
recommendations
Calamos Portfolio Construction Process
• Portfolio Construction – Analysis of the • Expected return on portfolio
Security Relative to the Overall Portfolio • Investment quality
• Security risk/reward • Cash flow from investment income
• Overall portfolio risk/reward o Equity analysis
• Sector participation o Credit analysis
• Industry/Sector diversification o Convertible analysis
There can be no assurance the strategy will achieve its investment objective. 27
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
U.S. Convertible Market
Convertible Market Assets ($bil) Convertible Issuance ($bil)
350 120
313 106
293 289
300 282 100 95
263 266 88
250 232
218 212 221 80
211 208 212 71
194 67
188
200 177 186 178 186 171 61 59
166 55
155 60
49 51 53
150 128 44 44
39 39 38 37 40
40 35 36 37
100 23 21
20
50
0 0
YTD '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 YTD
'20
'98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
‘20 ‘20
Credit Quality (VXA0) Summary Statistics (VXA0)
Average Current Yield 2.3%
Investment
Grade, Average Conversion Premium 26.9%
13%
Average Investment Premium 47.2%
High Yield,
Average Quality Rating BB2
18%
Not Rated,
69% Data as of June 30, 2020.
Source: BofA Global Research, ICE Data Indices, LLC; VXA0 Index, VNEW Index. Credit Quality — Reflects
the lower of the ratings of Standard & Poor’s Corporation and Moody’s Investors Service, Inc. and are
adjusted to the scale shown. Ratings are relative, subjective and not absolute standards of quality.
Conversion Premium is the amount by which the market price of a convertible bond or convertible
preferred exceeds conversion value, expressed as a percentage. It is a gauge of equity participation.
Current Yield reflects the dividends and interest earned during the 30-day period ended as of the date
stated above after deducting expenses for that same period.
Investment Premium is the amount that the market price of the convertible is above its investment value, expressed as a percent of the investment value. A zero coupon bond that is callable (by issuer), putable (by investor), and
convertible. LYONs are synthetic products that are financially engineered by Merrill Lynch. A mandatory convertible is a type of convertible bond that has a required conversion or redemption feature. Either on or before a
contractual conversion date, the holder must convert the mandatory convertible into the underlying common stock. Traditional convertible preferred stock is preferred stock that holders can exchange for common stock at a set
price after a certain date. Coupon convertibles bonds are convertibles with coupons, the interest rate stated on a bond when it's issued. See index definitions page. 28
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Global Convertible Market
Convertible Market Assets ($bil)* Convertible Issuance ($bil)
600 565 180 167
550 159 163
518 160
500 456 462 455 467 140
427
408
386 390 388 120 112
400 365
345 334 347 334 322 335 101
96 98
100 93 93 89 92
302 304 293 85 85 85
289 83 81 77
300 76 75
80 72
63
55
200 60 47
40
100
20
0 0
YTD '98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 YTD
'20
'98 '00 '02 '04 '06 '08 '10 '12 '14 '16 '18 '20
‘20 ‘20
Credit Quality (VG00) Summary Statistics (VG00)
Average Current Yield 1.5%
Average Conversion Premium 39.2%
Investment Average Investment Premium 26.2%
Grade, 21%
Not Average Quality Rating BBB3
Rated,
High Yield,
68%
10%
Data as of June 30, 2020.
Past performance is no guarantee of future results. *Convertible Market size is represented by the sum of the market capitalization of the ICE BofA regional convertible indicies. In 2015, BofA Convertible
Research began using pricing from third party data providers. Names that are not priced by those providers have been removed. Source: BofA Global Research, ICE Data Indices, LLC. The ICE BofA Global 300
Convertible Index is a global convertible index composed of companies representative of the market structure of countries in North America, Europe and the Asia/Pacific region. 29
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Calamos Global Convertible Strategy Annualized Returns %
As of June 30, 2020
20
Calamos Global Convertible Composite (Gross of Fees)
18.29 Calamos Global Convertible Composite (Net of Fees)
18 Refinitiv Global Convertible Bond Index
16.72
16
14
12
10.55 10.39
10
8.92 8.73
8.45 8.34
8.20
8 7.37 7.25 7.20 7.19 7.08 7.22
6.79
6.46
6 5.62
4
2
0
1-Year 3-Year 5-Year 10-Year 15-Year Since Inception (10/01)
Past performance is no guarantee of future results. Please see following pages for supplemental information.
Clients’ actual returns will be reduced by advisory fees and other expenses including custody, brokerage fees, and other services. Please see Calamos Advisors Form ADV Part 2A for standard fee structure. Please see
accompanying disclosures before making an investing decision. The composite and/or strategy discussed is not a registered Fund available for investment. 30
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Calamos Global Convertible Strategy Calendar Year Returns
As of June 30, 2020
45%
35%
25%
15%
5%
-5%
-15%
-25%
-35%
-45%
YTD 20 2019 2018 2017 2016 2015 2014 2013 2012 2011 2010 2009 2008 2007 2006 2005 2004 2003 2002
Calamos Global Convt Composite 11.73 16.23 -1.83 15.64 5.20 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
Refinitive Global Convt Bond Index 5.37 16.47 -3.74 12.83 3.48 -2.11 1.71 18.18 13.33 -7.03 11.76 41.37 -31.73 11.26 17.95 0.05 9.16 24.57 -0.53
MSCI World Index -5.48 28.40 -8.20 23.07 8.15 -0.32 5.50 27.37 16.54 -5.01 12.34 30.79 -40.33 9.57 20.65 10.02 15.25 33.76 -19.54
Past performance is no guarantee of future results. Please see following pages for supplemental information.
Clients’ actual returns will be reduced by advisory fees and other expenses including custody, brokerage fees, and other services. Please see Calamos Advisors Form ADV Part 2A for standard fee structure. Please see
accompanying disclosures before making an investing decision. The composite and/or strategy discussed is not a registered Fund available for investment. 31
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Refinitiv Focus Index: What Are You Paying For?
Annualized Performance
The Refinitiv Focus Index: 10 Yrs ended 1 Yr ended
Dec 31, 2019 Dec 31, 2008
• Has underperformed the Calamos Global Convertible Strategy (Gross of fees) 7.03% -25.55%
broader convertible
market over the long term Refinitiv Global Convertible Bond Index 6.13 -31.66
• Has not provided enough Refinitiv Global Focus Convertible Bond Index 4.22 -26.18
relative downside
protection (e.g., in 2008)
Past performance is no guarantee of future results. Source: Calamos Advisors, Bloomberg, and Morningstar. The Refinitiv Global Convertible Bond Index (USD) is a measure of the convertible
market. It has no restrictions on credit rating, may include mandatory convertible bonds and is unhedged. The Refinitiv Global Focus Convertible Bond Index is designed to measure the performance
of a segment of the convertible bond index, specifically, select larger balanced convertible bonds that meet monthly price and premium tests. 32
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Calamos Global Convertible Composite
33
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Calamos Global Convertible Composite
34
033059 0620Q IOCALAMOS GLOBAL CONVERTIBLE CAPABILITIES
Important Information
When we discuss volatility, our focus is on the variation of returns in our equity funds versus a full equity benchmark such as the S&P 500 Index. We consider a fund to have lower volatility when its beta versus the equity
benchmark is less than one. Beta is an historic measure of a fund’s relative volatility, which is one of the measures of risk. For example, a beta of 0.5 reflects half of the market’s volatility versus the index, while a beta of 2.0
would indicate twice the volatility of the index. From this perspective, the fund has a lower risk profile than its benchmark. There is no assurance that a fund will achieve or deliver low volatility results.
The S&P 500 Index is generally considered representative of the U.S. stock market. The Bloomberg Barclays Capital U.S. Aggregate Bond Index covers the U.S.-denominated, investment-grade, fixed-rate, taxable bond
market of SEC registered securities. The index includes bonds from the Treasury, Government-Related, Corporate, MBS (agency fixed-rate and hybrid ARM pass-throughs), ABS, and CMBS sectors. The ICE BofA All U.S.
Convertibles Index (VXA0) is comprised of approximately 700 issues of only convertible bonds and preferreds of all qualities. The Bloomberg Barclays U.S. Government/Credit Index is comprised of long-term government
and investment grade corporate debt securities. The Credit Suisse High Yield Index is a measure of the U.S. high yield market. The ICE BofA U.S. High Yield Master II Index tracks the performance of U.S. dollar denominated
below investment grade rated corporate debt publically issued in the U.S. domestic market. The ICE BofA Preferred Stock Fixed Rate Index consists of fixed rate U.S. dollar denominated preferred securities and fixed-to-
floating rate securities that are callable prior to the floating rate period and are at least one year from the start of the floating rate period. The ICE BofA All Investment Grade U.S. Convertibles Index is a measure of
investment grade convertibles. The ICE BofA Convertible New Issue Index (VNEW) consists of convertibles issued within the preceding six months.
Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Past performance is no
guarantee of future results. Indexes are unmanaged, do not reflect fees and expenses and are not available for direct investment. Information contained herein is derived from sources believed to be reliable, but we
cannot guarantee its accuracy, completeness, or timeliness.
Fixed income securities are subject to interest rate risk, credit risk, and liquidity risk. If rates increase, the value of fixed income investments generally declines.
The price of equity securities may rise or fall because of changes in the broad market or changes in a company’s financial condition, sometimes rapidly or unpredictably. These price movements may result from factors
affecting individual companies, sectors or industries or the securities market as a whole, such as changes in economic or political conditions.
As a result of political or economic instability in foreign countries, there can be special risks associated with investing in foreign securities, including fluctuations in currency exchange rates, increased price volatility and
difficulty obtaining information. In addition, emerging markets may present additional risk due to potential for greater economic and political instability in less developed countries.
The opinions referenced are as of the date of the publication, 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. Past performance is no guarantee of future results. Calamos UCITS Fund are sub-fund of Calamos Global Funds PLC, an investment company
with variable capital incorporated with limited liability in Ireland (registered number 444463). Calamos Global Funds PLC has been established as an umbrella fund with segregated liability between sub-funds and is
authorized pursuant to the European Communities (Undertakings for Collective Investment in Transferable Securities) Regulations 2003 as amended. Calamos Global Funds may not be offered or sold to citizens or
residents of the United States and should not be offered for sale or sold in the United States, its territories or possessions.
The Fund is offered solely to non-U.S. investors under the terms and conditions of the Fund’s current prospectus. The prospectus contains important information about the Fund and should be read carefully before
investing. A copy of the full and simplified prospectus for the Fund may be obtained by visiting www.calamos.com/global, or by contacting the local Paying Agent listed by jurisdiction at www.calamos.com/global, or
through the Fund’s Transfer Agent, RBC Investor Services Ireland Limited. Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges.
Investors cannot invest directly in an index.
Sources: Calamos Advisors LLC, RBC and Mellon Analytical Solutions, LLC.
Calamos Investments LLP is Authorized and Regulated by the Financial Conduct Authority.
© 2020 Calamos Investments LLC. All Rights Reserved. Calamos® and Calamos Investments® are registered trademarks of Calamos Investments LLC.
Calamos Investments LLC Calamos Global Funds PLC
2020 Calamos Court RBC Investor Services Ireland Limited
Naperville, IL 60563 George’s Quay House
Tel: +1.630.955.4899 x 3943 | U.S. Toll Free: +1.877.663.8056 43 Townsend Street | Dublin 2 | Ireland
Email: globalinfo@calamos.com Tel: +353 1 440 6555 | Fax: +353 1 613 0401
www.calamos.com/global
E-mail: dublin_ta_customer_support@rbc.com
35
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