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| Quarter | Letter Date | Fund Name | QTD | YTD | Tickers | Themes | Quick Take |
|---|---|---|---|---|---|---|---|
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"Maintains an 87% convertible asset allocation and 32% leverage, viewing market consolidation as a temporary pause within a multi-year secular artificial intelligence investment cycle despite elevated oil prices and interest rate headwinds."
Calamos Dynamic Convertible and Income Fund (CCD) declined 9.60% on NAV net of fees and 10.07% on market price for the third quarter ended September 30, 2026, lagging its blended comparator index (80% ICE BofA All US Convertibles Index, 20% Bloomberg US High Yield 2% Issuer Capped Index) decline of 5.30%. Year to date, the fund has advanced 20.03% on NAV net of fees and 16.08% on market price, outperforming the benchmark's 10.92% gain. The portfolio maintains an active leverage posture of approximately 32% of assets to support total return and distribution yield, with convertibles representing 87% of invested assets and an average bond duration of 1.8 years. Macroeconomic conditions grew more challenging during the quarter as unexpected Middle East conflict sustained elevated oil prices, preventing inflation from easing and prompting the Federal Reserve to implement a 25-basis-point rate hike to 3.75%–4.00%. Consequently, interest rates rose across the curve and credit spreads widened, with high-yield spreads expanding 41 basis points to +311. In response, the manager framed market weakness as a climbing 'wall of worry' overshadowed by a durable secular growth cycle in artificial intelligence, which is anticipated to yield broad disinflationary productivity gains over time. Portfolio attribution during the quarter reflected gains from security selection across health care (notably biotechnology and life sciences tools & services) and communication services. Conversely, an overweight stance and selection drag within information technology—specifically semiconductor materials and equipment alongside application software—dampened returns. Tactical adjustments included expanding exposures to health care and communication services while trimming industrials, spearheaded by weight reductions in aerospace and defense.
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