Calamos Global Convertible Fund - Four Decades of Calamos Convertible Experience Applied Globally - Calamos Investments
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Calamos Global Convertible Fund Four Decades of Calamos Convertible Experience Applied Globally MARCH 2018
Important Risk Information
An investment in the Fund(s) is subject to risks, and you could lose money on your investment in the Fund(s). There can be no assurance that the Fund(s) will
achieve their investment objectives. Your investment in the Fund(s) is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance
Corporation (FDIC) or any other government agency. The risks associated with an investment in the Fund(s) can increase during times of significant market
volatility. The Fund(s) also have specific principal risks, which are described below. More detailed information regarding these risks can be found in the Fund(s)’
prospectus.
The principal risks of investing in the Calamos Global Convertible Fund include: convertible securities risk consisting of the potential for a decline in value during
periods of rising interest rates and the risk of the borrower to miss payments, synthetic convertible instruments risk consisting of fluctuations inconsistent with a
convertible security and the risk of components expiring worthless, foreign securities risk, emerging markets risk, equity securities risk, growth stock risk, interest
rate risk, credit risk, high yield risk, forward foreign currency contract risk, portfolio selection risk, and liquidity risk.
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.
Total return assumes reinvestment of dividends and capital gains distributions and reflects the deduction of any sales charges, where applicable. Performance
may reflect the waiver of a portion of the Fund's advisory or administrative fees for certain periods since the inception date. If fees had not been waived,
performance would have been less favorable.
Source ICE Data Indices, LLC, used with permission. ICE permits use of the ICE BofAML indices and related data on an ‘as is’ basis, makes no warranties regarding
same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofAML Indices or data included in, related to, or derived
therefrom, assumes no liability in connection with the use of the foregoing and does not sponsor, endorse or recommend Calamos Advisors LLC or any of its
products or services.
Before investing carefully consider the Fund's investment objectives, risks, charges and expenses. Please see the prospectus and summary
prospectus containing this and other information or call 1-800-582-6959. Read it carefully before investing.
Not FDIC Insured | May Lose Value | No Bank Guarantee
Calamos Financial Services LLC, Distributor
2020 Calamos Court | Naperville, IL 60563-2787
800.582.6959 | www.calamos.com | caminfo@calamos.com
©2018 Calamos Investments LLC. All Rights Reserved.
Calamos® and Calamos Investments® are registered trademarks of Calamos Investments LLC.
2
Agenda Topics
Overcoming Global Investment Challenges
» Volatility
» An eventual rise in interest rates
Realizing Global Investment Opportunities
» Risk-managed equity exposure throughout market cycles
» Resilience during rising interest rates
» Potential to strengthen portfolios
» Global convertible issuance surges
» Convertibles: A breadth of opportunity
» Convertibles and active management
Product Profile
Summary
3
Overcoming Global Investment Challenges
Convertibles May Provide a More Comfortable Way to Invest in Volatile Markets
Evidence Suggests Retail Investors Are Unlikely to Hold Equities Through Full Market Cycles
Domestic Equity Mutual Fund Flows (TTM) S&P 500 Mo. End Price
2500
200,000
Retail Investors Absent
150,000 2200
During Market Rally
100,000
1900
New Flows ($M)
50,000
S&P 500 Index
1600
0
-50,000 1300
-100,000
1000
-150,000
Retail Selling Was 700
-200,000 High at Bottom
-250,000 400
2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017
Source: Van Etten. Net Asset flows represented by U.S. Open-end Domestic Equity Morningstar Funds. The market data presented herein is for informational purposes only. Data as of 12/31/17.
5AS OF 3/31/18
Challenge: An Eventual Rise in Interest Rates
When interest rates rise, bond prices generally fall, and fixed-income investments often underperform.
RETURNS IN RISING INTEREST RATE ENVIRONMENTS
1/18/96- 10/5/98- 11/7/01- 6/13/03- 6/1/05- 12/30/08- 10/7/10- 7/26/12- 7/8/16-
6/12/96 1/20/00 4/1/02 6/14/04 6/28/06 6/10/09 2/8/11 12/27/13 12/16/16
YIELD INCREASE (bps)* 150 263 122 176 134 187 134 157 123
S&P 500 Index 11.42% 46.59% 3.07% 14.66% 6.71% 9.41% 14.89% 42.09% 8.65%
Bloomberg Barclays Capital
U.S. Government Credit -4.08% -3.38% -3.09% -3.64% -1.49% -2.08% -3.94% -2.14% -4.88%
Index
*10-year Treasury yield. Performance shown is cumulative.
Sources: Morningstar and Bloomberg
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. See last page for index definitions. Source: Morningstar Direct and Bloomberg. Most recent data as of
3/31/18. Rising rate environment periods from troughs to peak from October 1993 to December 2017. The indexes shown are not intended as proxies for the Fund’s actual performance and may
differ significantly once the Fund has a performance history.
6Realizing Global Investment Opportunities
AS OF 3/31/18
Opportunity: Risk-Managed Equity Exposure Throughout Market Cycles
Convertibles have historically offered equity-like returns with less volatility
» At Calamos, our emphasis on capital preservation sets us apart from passive strategies or investment managers who invest
more heavily in speculative issues.
» Through the Fund, we endeavor to provide an asymmetrical risk/return profile with lower standard deviation and beta than
the MSCI World Index, which means a smoother ride long term for investor portfolios.
RISK AND REWARD: 10-YEAR PERIOD ENDED MARCH 2018
13
12
11
10-year Annualized Return (%)
10
9
Over time, global convertibles
8 ICE BofAML VG00 - Global 300 have provided upside
7 MSCI WORLD INDEX participation in equity markets
6
with notably less volatility
5
4 than an equity-only portfolio.
3
2
1
0
0 4 8 12 16 20 24 28 32
10-Year Volatility (%)
Past performance is not a guarantee of future returns.
Source: Russell and State Street Corporation. Data from the 10-year period from 3/31/08 to 3/31/18. Stocks are represented by the MSCI World Index and convertible securities are represented by the ICE BofAML G300
Index (VG00). The indexes shown are not intended as proxies for the Fund’s actual performance and may differ significantly once the Fund has a performance history.
8AS OF 3/31/18
Opportunity: Resilience During Rising Interest Rates
Over the past 20 years when the 10-year Treasury yield rose more than 100 basis points, convertibles
have tended to perform more like equities than bonds
RETURNS IN RISING INTEREST RATE ENVIRONMENTS
1/18/96- 10/5/98- 11/7/01- 6/13/03- 6/1/05- 12/30/08- 10/7/10- 7/26/12- 7/8/16-
6/12/96 1/20/00 4/1/02 6/14/04 6/28/06 6/10/09 2/8/11 12/27/13 12/16/16
YIELD INCREASE (bps)* 150 263 122 176 134 187 134 157 123
ICE BofAML VXA0
11.97% 68.85% 2.29% 11.49% 9.46% 24.68% 11.63% 35.49% 7.58%
Convertibles Index
S&P 500 Index 11.42% 46.59% 3.07% 14.66% 6.71% 9.41% 14.89% 42.09% 8.65%
Bloomberg Barclays Capital
U.S. Government Credit -4.08% -3.38% -3.09% -3.64% -1.49% -2.08% -3.94% -2.14% -4.88%
Index
*10-year Treasury yield. Performance shown is cumulative.
Sources: Morningstar and Bloomberg
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. See last page for index definitions. Source: Morningstar Direct and Bloomberg. Most recent data as of
3/31/18. Rising rate environment periods from troughs to peak from October 1993 to March 2018. The indexes shown are not intended as proxies for the Fund’s actual performance and may
differ significantly once the Fund has a performance history.
9AS OF 3/31/18
Opportunity: Global Convertible Issuance
» Global convertible issuance in 2018 YTD is ahead of last year’s pace, totaling $27.8 billion as of 3/31/18.
» We anticipate attractive issuance trends in 2018, as appetite for risk assets remains high and companies seek new capital
growth in an expanding economy.
Past performance is no guarantee of future results. *Convertible Market size is represented by the sum of the market capitalization of the ICE BofAML regional convertible indices.
In 2015, ICE BofA ML Convertible Research began using pricing from third party data providers. Names that are not priced by those providers have been removed. Source: ICE BofA ML Convertible Research, VG00 Index. The
ICE BofAML 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.
10AS OF 3/31/18
Opportunity: The Potential for Diversification
The convertible universe offers diversification both geographically and across sectors
GEOGRAPHICAL DIVERSIFICATION SECTOR DIVERSIFICATION
ICE BofAML VG00 - Global 300 ICE BofAML VG00 - Global 300
Caribbean, 0.4% Consumer
Utilities, 4.4%
Middle East/Africa, 1.2% Staples, 2.7%
Latin America Telecom
0.2% Services, 5.1%
Materials, 5.3% Information
Asia/Pacific, Technology,
18.1% 23.2%
North America, Energy, 5.6%
53.5%
Consumer
Discretionary,
Europe, 26.7% Real Estate, 7.6% 12.9%
Health Care, Financials,
12.8% 10.8%
Industrials, 9.7%
The indexes shown are not intended as proxies for the Fund’s actual portfolio characteristics and may differ significantly from the Fund.
11Opportunity: Convertibles and Active Management
Active management of convertibles may help to identify the best total-return possibilities.
» Convertible securities vary in their levels of equity- and fixed-income sensitivity.
» Passive strategies cannot adjust to the changes in an individual convertible let alone the convertible universe as a whole.
» Calamos has actively managed global convertible portfolios for institutional clients since 2001.
Distressed Yield Alternatives Total Return Equity Alternatives
Fixed Income Alternatives Equity Characteristics
Characteristics Hybrid Characteristics
“Total-return” convertibles
Convertible Fair Value Price Track
can offer a compelling blend
of equity and fixed-income
Investment Value (Bond)
features
CURRENT STOCK PRICE
A convertible bonds 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 BofAML, All
U.S. Convertibles Index (VXAO) which fall into each classification. Source: ICE BofAML, All U.S. Convertibles Index (VXA0).
12Calamos and Convertible Securities
CALAMOS: A PIONEER IN CONVERTIBLE INVESTING
» Calamos has been using convertible securities since the 1970s to manage risk and returns
» Experience includes using convertibles to support lower-volatility equity and enhanced
fixed income objectives
» Convertibles have varied and changing characteristics; active management is essential
CHARACTERISTICS OF CONVERTIBLE SECURITIES
» Equity-linked securities that combine attributes of equities and fixed-income securities
» Upside equity participation with downside protection potential
» Benefit from volatility
» Fixed-income characteristics: all attributes of a bond or preferred stock; interest
payment/dividend and bond maturity date
» Equity characteristics: embedded option allows convertibles to be exchanged into a
specific number of shares of common stock, at the option of the holder
» Convertible issuance supported by economic growth
13Calamos Global Convertible Fund Profile
Overview – Calamos Global Convertible Fund
Objective
» The Fund seeks total return through capital appreciation and current income. Benchmarks: ICE BofAML VG00 -
Global 300 | MSCI World Index.
Investment strategy
» Top-down, global macroeconomic analysis helps identify the countries, sectors, industries and companies we
believe will offer the greatest investment value and growth potential.
» Bottom-up analysis encompasses comprehensive capital structure research, including proprietary equity, credit
and convertible analysis.
» We endeavor to provide a lower-volatility, asymmetrical risk/return profile, which should translate to lower
standard deviation and beta than the MSCI World Index.
There is no guarantee that the Fund will achieve its investment objective.
15Overview – Calamos Global Convertible Fund
A Potential Solution to Overcome Global Investment Challenges
» Offers the opportunity for upside participation in equity markets with less exposure to downside than an equity-only
portfolio over a full market cycle
» Potential resilience from future interest rate increases
» Provides broadly diversified exposure to the global convertible bond universe
From a Trusted Leader in Convertible Securities Investing
» Leverages more than 40 years of research in convertible security investing
» Experience in using convertibles to support lower-volatility and enhanced fixed-income objectives
» Applies an active approach to manage the changing characteristics of convertibles
16AS OF 3/31/18
Fund Information – Calamos Global Convertible Fund
A SHARES C SHARES I SHARES
INCEPTION DATE 12/31/2014 12/31/2014 12/31/2014
TICKER SYMBOL CAGCX CCGCX CXGCX
CUSIP NUMBER 128120748 128120730 128120722
MINIMUM INITIAL/SUBSEQUENT
$2,500/$50 $2,500/$50 $1 million/$0
INVESTMENT
IRA INITIAL INVESTMENT $500 $500 N/A
SALES LOAD/MAXIMUM SALES CHARGE Front-End/2.25% Level-Load/1.00% N/A
GROSS EXPENSE RATIO (ESTIMATED)+ 1.46% 2.20% 1.19%
NET EXPENSE RATIO (ESTIMATED)* 1.36% 2.11% 1.11%
DISTRIBUTIONS Quarterly dividends; annual capital gains
For more information, please visit www.calamos.com or contact us at 800.582.6959.
*The Fund’s investment advisor has contractually agreed to reimburse Fund expenses through March 1, 2019 to the extent necessary so that Total Annual Fund Operating Expenses (excluding taxes, interest, short interest,
short dividend expenses, brokerage commissions, acquired fund fees and expenses and extraordinary expenses, if any) of Class A, Class C, Class I and Class R are limited to 1.35%, 2.10%, 1.10% and 1.60% of average net
assets, respectively. This agreement is not terminable by either party. As of prospectus dated 3/1/18.
†Prior to 2/28/17, the Fund had a maximum front-end sales charge of 4.75%.
17AS OF 3/31/18
Portfolio Characteristics – Global Convertible Fund
SECTOR WEIGHTINGS* NET ASSETS (%) ICE BofAML VG00 – CREDIT QUALITY ALLOCATION GLOBAL ICE BofAML VG00 –
Global 300 (%) OF BONDS1 CONVERTIBLE GLOBAL 300 (%)
Information Technology 22.6% 23.2% FUND (%)
Consumer Discretionary 13.3 12.9 AAA 7.9% 0.1%
Financials 12.1 10.8 AA 1.9 0.8
Real Estate 8.9 7.6 A 8.7 9.8
Health Care 8.1 12.8 BBB 14.1 19.6
Industrials 8.0 9.7 BB 9.9 8.2
B 4.8 3.0
Treasury Bonds 7.5 0.0
CCC and below 0.0 1.8
Energy 6.0 5.6
Unrated Securities 52.8 56.7
Materials 4.8 5.3
Portfolio Turnover is the percentage of assets in a portfolio that changed or were reinvested into
Telecom Services 4.3 5.1 other holdings over a certain period, often a year; higher turnover indicates greater buying and selling
Utilities 0.9 4.4 activity. SEC Yield reflects the dividends and interest earned by the Fund during the 30-day period
ended as of the date stated above after deducting the Fund’s expenses for that same period. Time to
Consumer Staples 0.0 2.7 Maturity refers to the weighted time to receive all future cash flows on a fixed-income security.
Duration measures the responsiveness of a bond’s price to interest rate changes.
PORTFOLIO STATISTICS GLOBAL ICE BofAML VG00 –
CONVERTIBLE GLOBAL 300
# of Holdings FUND
151 298
Time to Maturity 2.93 years 4.25 years
Investment Premium 15.26% 11.72%
Conversion Premium 20.94% 25.53%
Portfolio Turnover (12
months) 35.48% N/A
*Sector weightings exclude cash or cash equivalents, any government/sovereign bonds or instruments on broad indexes the portfolio may hold. 1Bond Credit Quality- Reflects the higher of the ratings of Standard & Poor’s
Corporation; Moody’s Investors Service, Inc. Ratings are relative, subjective and not absolute standards of quality, represent the opinions of the independent Nationally Recognized Statistical Rating Organizations (NRSRO),
and are adjusted to the Standard & Poor’s scale shown. Ratings are measured using a scale that typically ranges from AAA (highest) to D (lowest. Additional information on ratings methodologies are available by visiting
the NRSRO websites: www.standardandpoors.com, www.moodys.com, www.fitchratings.com. Please see appendix for definitions.
18AS OF 3/31/18
Portfolio Characteristics – Global Convertible Fund
GEOGRAPHIC REGIONS NET ASSETS (%) TOP 5 COUNTRIES NET ASSETS (%)
49.3% United States 49.3%
North America
France 9.1
Europe 30.4
Germany 7.0
Asia/Pacific 16.0 Japan 5.8
Middle East/Africa 0.8 Netherlands 5.7
TEN LARGEST HOLDINGS*
COMPANY INDUSTRY SECURITY DESCRIPTION COUNTRY NET ASSETS (%)
United States Treasury Note Other United States 3.1%
United States Treasury Note Other United States 2.9
Bank of America Corp. Diversified Banks 7.25% Cv Pfd United States 2.6
Wells Fargo & Company Diversified Banks 7.50% Cv Pfd United States 2.4
Corestate Capital Holding, SA Real Estate Operating Companines 1.38% Cv Due 2022 Luxembourg 2.4
Salesforce.com, Inc. Application Software 0.25% Cv Due 2018 United States 2.3
America Movil, SAB de CV Integrated Telecommunication Services 0% Cv Due 2020 Netherlands 2.2
Citrix Systems, Inc. Application Software 0.50% Cv Due 2019 United States 1.9
Safran, SA Aerospace & Defense 0% Cv Due 2020 France 1.9
Altaba, Inc. Internet Software & Services 0% Cv Due 2018 United States 1.8
*Ten Largest Holdings exclude cash or cash equivalents, any government/sovereign bonds or broad based index hedging securities the portfolio may hold. Holdings and weightings are subject to change daily. Holdings are
provided for informational purposes only and should not be deemed as a recommendation to buy or sell the securities mentioned.
19AS OF 3/31/18
Performance – Global Convertible Fund
ANNUALIZED RETURNS
Calamos Global Convertible Fund - A Shares at NAV (12/31/14)* Calamos Global Convertible Fund - A Shares Load-Adjusted
Calamos Global Convertible Fund - I Shares (12/31/14) ICE BofAML VG00 - Global 300
MSCI World Index
16%
14.30%14.13%
14%
11.47% 11.70%
12%
10% 8.93%
8.35% 8.56% 8.41% 8.68%
8%
6% 5.36% 5.63%
4.68% 4.97%
3.79%
4% 2.98%
2%
0%
1-Year 3-Year Since Inception
Gross expense ratios are 1.46% for A shares and 1.19% for I shares as of the prospectus dated 3/1/2018. Performance data quoted represents past performance, which is no guarantee of future results. Current
performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. A Shares
at NAV returns do not include the fund's maximum 2.25% front-end sales load.* Had it been included returns would have been lower. You can obtain performance data current to the most recent month end by visiting
www.calamos.com. *Prior to 2/28/17, the Fund had a maximum front-end sales charge of 4.75%.
Class I shares are offered primarily for direct investment by investors through certain tax-exempt retirement plans and by institutional clients, provided such plans or clients have assets of at least $1 million. For eligibility
requirements and other available share classes see the prospectus and other Fund documents as www.calamos.com. Returns greater than 12 months are annualized. Annualized 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. In calculating net investment income, all applicable fees and
expenses are deducted from the returns. 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. Please see “Important Risk Information” section of this presentation for additional risk disclosures and the
Appendix for index definitions. Source: State Street Corporation and Mellon Analytical Solutions, LLC.
20Summary
Convertible securities are well suited to this environment
» Actively managed allocations that include convertibles may prove beneficial because convertibles combine attributes
of stocks and bonds.
» Convertible securities can provide participation in stock market upside with potential protection if stocks experience
periods of downside volatility.
» Convertibles have tended to be more resilient to rising interest rates than traditional fixed-income securities.
» We are encouraged by issuance trends, as economic growth has historically provided a catalyst for convertible issuance.
Calamos Global Convertible Fund: deep experience applied worldwide
» Calamos has managed global convertible portfolios for our institutional clients since 2001; we are pleased to bring this
experience to bear on this mutual fund.
» The fund is actively managed – allying global top-down views with bottom-up analysis – with the intent to select
convertible securities of companies we believe offer the greatest investment value and growth potential in the world.
21Definitions
When we discuss volatility, our focus is on the variation of returns in our equity Funds versus a full equity benchmark such as the MSCI World 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.
Standard deviation is measure of volatility. Beta is an historic measure of a fund’s relative volatility, which is one of the measures of risk; a beta of
0.5 reflects 1/2 the market’s volatility as represented by the fund’s primary benchmark, while a beta of 2.0 reflects twice the volatility. The ICE
BofAML 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. The MSCI World Index Is a market capitalization weighted index composed of companies
representative of the market structure of developed market countries in North America, Europe, and Asia/Pacific region. 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 Bloomberg Barclays Capital U.S. Government/Credit Bond Index comprises long-term government and investment-grade
corporate debt securities and is generally considered representative of the performance of the broad U.S. bond market. Unlike convertible bonds,
U.S. Treasury bills are backed by the full faith and credit of the U.S. government and offer a guarantee as to the timely repayment of principal and
interest. The S&P 500 Index is generally considered representative of the U.S. stock market. The ICE BofAML All U.S. Convertibles Ex Mandatory
Index (V0A0) is broadly representative of the U.S. convertible securities market, consisting of publicly traded issues, denominated in U.S. dollars, of
all credit qualities, and excluding mandatory (equity-linked) convertibles. The ICE BofAML Corporate & Government Master Index measures total
return on taxable U.S. corporate and government bonds, including price and interest income, based on the total mix of these bonds in the market.
This index is often used as reference for the performance of a taxable corporate and government bond mix.
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. Securities and sectors mentioned are presented to illustrate securities and sectors in which the Fund
may invest. Portfolio holdings are subject to change daily. The Fund is actively managed. Past performance is no guarantee of future results.
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