<PAGE> 1
C A L A M O S
[PICTURE]
CONVERTIBLE PORTFOLIO
SEMI-ANNUAL REPORT
June 30, 2000
[LOGO] CALAMOS(R) FINANCIAL SERVICES, INC.
1111 East Warrenville Road
Naperville, Illinois 60563-1493
1.800.582.6959
www.calamos.com
<PAGE> 2
CALAMOS CONVERTIBLE PORTFOLIO
-----------------------------
A message from the President
Dear Contract Owners:
The CALAMOS Convertible Portfolio available through the
Kansas City Life Century II Variable Products gained 3.9% during the
six-month period from January 1 through June 30, 2000.
In an economic environment of low inflation and low interest
rates combined with a highly volatile stock market, the CALAMOS
Convertible Portfolio performed very well against traditional market
measures, the S&P 500 at -0.4% and the disappointing Nasdaq at
-2.5%.(1) The Portfolio also compared favorably to the Value Line
Convertible Index,(2) up 1.07 % for the same period, and in line with
the Lehman Brothers Government/Corporate Bond Index, up4.2%.(3)
Because of their unique nature, convertibles are the strategy
of choice at CALAMOS. Convertible bonds allow the holder of the bond
to convert to the underlying common stock at any time. This feature
offers the upside potential of the equity markets, while convertibles'
fixed-income characteristics help provide downside protection.* Based
on our disciplined investment process, which balances risk with
reward, we seek opportunities that strive to preserve assets while
providing excellent long-term performance.
Record levels of new convertibles have provided us with a
wealth of opportunity. Ninety- two new issues totaling $35 billion
came to market in the first six months of 2000 alone, outpacing the
$40 billion record set for all of 1999. In addition, high-grade
convertible issuance has rebounded in the last several months, helping
to improve the overall credit distribution in the convertible market.
During the past six months, total assets under management for
institutional and individually managed accounts by CALAMOS ASSET
MANAGEMENT, INC., the advisor to the CALAMOS Convertible Portfolio,
have grown to $5.6 billion. At the same time, we added staff and
strengthened our infrastructure to respond to our growing number of
clients and their expanding portfolios. Ever-advancing technological
capabilities also benefited our research, enabling our portfolio
managers to monitor over 500 companies and 1,600 convertible issues on
a daily basis to help identify the most promising opportunities.
* Convertible securities tend to appreciate less than equity
securities in rising stock markets.
<PAGE> 3
For more than two decades, CALAMOS ASSET MANAGEMENT, INC. has helped
investors pursue financial success while managing risk through our disciplined
convertible investment strategy. We are pleased to be a part of the Century II
fund choices and thank you for your continued confidence in the CALAMOS
Convertible Portfolio.
Sincerely,
/s/ John P. Calamos
John P. Calamos
President and Chief Investment Officer
August 10, 2000
(1) S&P 500: The S&P 500 is an unmanaged index generally considered
representative of the U.S. stock market. Nasdaq: The Nasdaq Composite Index
measures the performance of all issues listed in the Nasdaq Stock Market, except
for rights, warrants, units and convertible debentures.
(2) THE VALUE LINE CONVERTIBLE INDEX is an equally weighted index of the largest
585 convertibles. Selection is based on issue size and trading statistics. The
index represents 90% of the market. Source: Frank Russell Company.
(3) THE LEHMAN BROTHERS GOVERNMENT/CORPORATE BOND INDEX is composed of all bonds
that are rated investment-grade (Baa or higher by Moody's and BBB or higher by
S&P if not rated by Moody's); issues must have at least one year to maturity.
Source: Frank Russell Company.
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
<PAGE> 4
MANAGEMENT REVIEW & OUTLOOK
---------------------------
WHAT ARE CONVERTIBLE SECURITIES AND WHO SHOULD INVEST IN THEM?
Convertible securities are hybrid securities that combine the
characteristics of both stocks and bonds with the option to convert the security
into a specified number of common stock shares. Therefore, they offer the
potential for excellent opportunities in both worlds, that is, participation in
the growth of a stock's value while earning income from the bond. The equity
component provides excellent upside return potential while the fixed-income
features help both to reduce downside risk and help preserve your assets. Of
course, there are also risks associated with investments in convertible
securities, such as the risk that the issuing company will become insolvent.
In managing a convertible portfolio, risk/reward measures the
relationship of the portfolio's upside potential versus the potential downside
protection provided by convertibles' fixed-income characteristics. At CALAMOS,
we maintain a favorable risk/reward ratio by taking profits on convertibles that
have increased in price and become more equity sensitive and replacing them with
convertibles closer to par with stronger fixed-income features. This strategy
allows the funds to be appropriately aggressive while retaining defensive
characteristics.
Since the performance of convertibles does not correlate directly to
that of the stock or bond markets, they may help diversify a portfolio. A
convertible portfolio may benefit moderately conservative investors who seek
fixed income with favorable risk characteristics while desiring equity
participation and the potential for capital appreciation.
HOW DOES MANAGEMENT SELECT ISSUES FOR THE PORTFOLIO?
Because convertibles share characteristics of both bonds and equities,
to analyze a convertible thoroughly is significantly more complex than looking
at either of its two components individually. But at CALAMOS, evaluating an
issue's bond and stock aspects is just the beginning. We must then assemble the
diverse building blocks into a cohesive portfolio.
We approach this challenge with a disciplined, proprietary investment
process, the CALAMOS Convertible Evaluation System, supported by a series of
quantitative models we've built and tested over time. Each of its four steps
focuses on a specific element of the convertible candidate:
1. PROTECTION OF PRINCIPAL. First, credit analysis plays a significant
role in evaluating convertible securities. In this step, we look strictly at the
fixed-income attributes to assess the potential protection of principal that the
proposed issue may offer.
2. COMPANY GROWTH PROSPECTS. We analyze the underlying equity component
of the issue by quantifying the company's growth prospects: earnings potential,
cash flow return on capital, and expected return. This allows our analysts to
concentrate on management and other qualitative factors.
<PAGE> 5
3. RISK/REWARD. Based on Contingent Claims Option Theory, the CALAMOS
Convertible Model determines the fair value of the security. It integrates the
credit and equity analyses with convertible evaluation to ascertain the most
probable range of price movements over the expected investment time
horizon--assessing the individual risk/reward range and the convertible's over-
or undervaluation.
4. CONVERTIBLE FIT WITHIN OVERALL PORTFOLIO. Finally, we analyze the
convertible's fit within the overall portfolio, reviewing the risk/reward
parameters relative to specific client guidelines, macroeconomic factors and the
impact on the portfolio's industry group and economic sector design.
WHAT SIGNIFICANT FACTORS IMPACTED THE CALAMOS CONVERTIBLE PORTFOLIO?
The second quarter of the new millennium proved to be more turbulent
than the already volatile first quarter. On March 24th the NASDAQ hit its peak
intraday trading level of 5078, which was followed by a 40% correction. While it
has now recovered about half of that loss, it still traded at a remarkable 141
times trailing-12-months as of June 30.
In this environment, CALAMOS ASSET MANAGEMENT has been selective in the
tech sector despite our long-term enthusiasm for its importance to economic
growth. Instead, we chose to own predominantly value-oriented convertibles that
offer defensive characteristics. This stabilizing move enhanced performance.
At the same time, we reinvested proceeds by increasing the Portfolio's
exposure to the financial sector due to the extremely attractive valuation
levels of the convertibles and their underlying stocks. The overweighting in
this sector along with good bottom-up selection added value. We also added value
by being overweight in utilities as the progressive companies we owned employed
technology to wring out the inefficiencies traditionally associated with that
industry. In addition, we benefited Portfolio performance by increasing the
exposure to consumer-oriented companies; at period-end, pharmaceuticals
comprised the Portfolio's largest industry.
The Portfolio's energy sector exposure was underweighted. The sharp
price appreciation in oil prices boosted many of the convertible prices in this
sector. We have been underweight in the energy sector since 1997 as a result of
weak global demand and a lack of attractive convertible alternatives in this
sector.
Finally, we added value by remaining disciplined regarding overall
risk/reward. The deep-in-the-money convertibles performed poorly, but the
Portfolio was minimally exposed to these equity-like issues. The Portfolio was
also positioned in companies with higher credit ratings than the convertible
market as a whole, which proved beneficial.
WHAT IS THE OUTLOOK FOR THE CALAMOS CONVERTIBLE PORTFOLIO?
We at CALAMOS ASSET MANAGEMENT acknowledge the bumpy ride investors
have faced. We feel that this volatility--though considerable--will not subside
soon since we are in the midst of a dramatic change in the way businesses
operate. Insightful investors realize that the flip side of volatility is an
opportunistic investment climate.
<PAGE> 6
We do not feel inflation will spiral out of control. Instead, we
believe productivity increases will continue to offset wage pressure. Today's
increase in inflation is due to short-term supply and demand constraints that
are quickly brought back into equilibrium and, of course, a cartel that is
managing the price of oil. While the financial markets are trying to understand
all of this change, they are also subject to severe mood swings that complicate
matters further.
At CALAMOS, we are finding excellent opportunities in many of the
old-economy issues that we feel will do well in the new environment. We are also
participating in companies that we feel are laying the foundation or have the
correct business model for the new business environment. We believe the
convertible security as an investment vehicle in these volatile times should
prove a comfortable means to build wealth and navigate this productivity
revolution over the coming decade.
This report has been prepared by CALAMOS ASSET MANAGEMENT, INC. (CAM),
the Portfolio's adviser, for information purposes; any opinions expressed herein
reflect our judgment as of this date and are subject to change. The forecasts
may not prove true.
CALAMOS CONVERTIBLE PORTFOLIO
Total Return
--------------------------------------------------
SINCE INCEPTION ONE YEAR
(5/1/99-6/30/00) (7/1/99-6/30/00)
--------------------------------------------------
28.0% 24.4%
--------------------------------------------------
TOTAL RETURN measures net investment income and
capital gain or loss from portfolio investments and
reflects changes in share price, reinvestment of
income and capital gain distributions.
<PAGE> 7
PORTFOLIO MANAGERS
------------------
[PHOTO] JOHN P. CALAMOS
President and Chief Investment Officer
- Over 25 years of investment management experience
- Authority on convertibles, listed call options and
other hedging techniques
- Authored two books on convertible investing, the
latest: Convertible Securities, the Latest Instruments,
Portfolio Strategies and Valuation Analysis, 1998
- Member of the Investment Analysts Society of Chicago
- BS Economics - Illinois Institute of Technology
- MBA Finance - Illinois Institute of Technology
[PHOTO] NICK P. CALAMOS, CFA
Senior Vice President/Managing Director
- More than 17 years of investment management experience
- Oversees research and portfolio management for the firm
- Member of the Investment Analysts Society of Chicago
- Chartered Financial Analyst
- BS Economics - Southern Illinois University
- MS Finance - Northern Illinois University
<PAGE> 8
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
CONVERTIBLE BONDS (55.9%)
BASIC INDUSTRIES (0.3%)
$ 25,000 Inco, Ltd. $ 22,531
5.750%,07/01/04
CAPITAL GOODS-INDUSTRIAL (0.6%)
53,000 Interim Services, Inc. 41,080
4.500%, 06/01/05
CAPITAL GOODS-TECHNOLOGY (32.4%)
47,000 Advanced Energy 63,803
5.250%, 11/15/06
40,000 Amkor Technology, Inc. (b) 36,834
5.000%, 03/15/07
20,000 Atmel Corporation (b)(c) 21,125
0.000%, 04/21/18
14,000 Atmel Corporation (c) 14,787
0.000%, 04/21/18
125,000 Anixter International (b)(c) 32,500
0.000%, 06/28/20
128,000 Bell Atlantic Financial 125,280
5.750%, 04/01/03
87,000 Bell Atlantic Financial 102,986
4.250%, 09/15/05
85,000 Conexant Systems, Inc. 66,513
4.000%, 02/01/07
60,000 Conexant Systems (b) 46,950
4.000%, 02/01/07
25,000 Commscope, Inc. 28,489
4.000%, 12/15/06
25,000 Commscope, Inc. (b) 28,489
4.000%, 12/15/06
90,000 Cypress Semiconductor 104,850
4.000%, 02/01/05
25,000 Cypress Semiconductor 24,250
3.750%, 07/01/05
145,000 Hewlett-Packard (c) 137,025
0.000%, 10/14/17
20,000 I2 Technologies (b) 30,911
5.250%, 12/15/06
65,000 Juniper Networks,Inc. 71,843
4.750%, 03/15/07
20,000 Liberty Media Group (b) 28,658
4.000%, 11/15/29
50,000 Liberty Media Group (b) 53,983
3.750%, 02/15/30
See accompanying Notes to Financial Statements
<PAGE> 9
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
CAPITAL GOODS-TECHNOLOGY (CONTINUED)
$ 110,000 LSI Logic Corporation $ 116,875
4.000%, 02/15/05
75,000 Merrill Lynch Basket 81,938
0.500%, 02/03/05
115,000 Morgan Stanley Basket 135,125
0.500%, 12/13/04
65,000 National Data Corporation 54,274
5.000%, 11/01/03
110,000 Nextel Communications (b) 115,210
5.250%, 01/15/10
40,000 Rational Software (b) 58,105
5.000%, 02/01/07
7,000 Systems & Computer Technology 6,335
5.000%, 10/15/04
76,000 Solectron Corporation (c) 51,739
0.000%, 01/27/19
95,000 Solectron Corporation (c) 61,631
0.000%, 05/08/20
190,000 Salomon Smith Barney 181,925
0.250%, 04/18/05
94,000 Telefonos De Mexico 121,730
4.250%, 06/15/04
50,000 Triquint Semiconductor (b) 45,875
4.000%, 03/01/07
21,000 Veritas Software 68,289
1.856%, 08/13/06
20,000 Vitesse Semiconductor (b) 18,287
4.000%, 03/15/05
------------
2,136,614
CONSUMER CYCLICALS (6.9%)
355,000 Four Seasons Health (c) 123,363
0.000%, 09/23/29
75,000 Interpublic Group 72,879
1.870%, 06/01/06
10,000 Interpublic Group (b) 9,717
1.870%, 06/01/06
20,000 Interpublic Group 23,950
1.800%, 09/16/04
130,000 Office Depot, Inc. (c) 78,000
0.000%, 12/11/07
50,000 Omnicom Group, Inc. 92,491
2.250%, 01/06/13
50,000 Young & Rubicam (b) 51,172
3.000%, 01/15/05
------------
3,085,923
See accompanying Notes to Financial Statements
<PAGE> 10
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------------------------
CONSUMER GROWTH STAPLES (11.0%)
$ 7,000 Alpharma, Inc. (b) $ 13,920
5.250%, 11/15/06
165,000 Alza Corporation (c) 131,588
0.000%, 07/14/14
105,000 Clear Channel Communication 103,072
1.500%, 12/01/02
25,000 CV Therapeutics, Inc. (b) 30,063
4.750%, 03/07/07
36,000 Elan Finance Corporation (b)(c) 26,676
0.000%, 12/14/18
112,000 Elan Finance Corporation (c) 82,994
0.000%, 12/14/18
60,000 Ivax Corporation (b) 78,523
5.500%, 05/15/07
225,000 Kohls Corporation (b)(c) 130,725
0.000%, 06/12/20
31,000 News America Holdings (c) 34,436
0.000%, 03/11/13
57,000 Roche Holdings, Inc. (b)(c) 27,360
0.000%, 05/06/12
40,000 Roche Holdings, Inc. (c) 22,200
0.000%, 05/06/12
90,000 Universal Health Services 41,626
0.426%, 06/23/20
------------
723,183
ENERGY (3.9%)
54,000 Loews Corporation 45,225
3.125%, 09/15/07
8,000 Diamond Offshore Drill 8,464
3.750%, 02/15/07
135,000 Devon Energy 130,613
4.900%, 08/15/08
135,000 Devon Energy, (b) 60,075
4.900%, 08/15/08
10,000 Kerr-McGee Corporation 11,562
5.250%, 02/15/10
------------
255,939
FINANCIAL (0.8%)
59,000 Financial Federal Corporation 50,519
4.500%, 05/01/05
TOTAL CONVERTIBLE BONDS
(Cost $3,346,599) 3,681,438
See accompanying Notes to Financial Statements
<PAGE> 11
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (27.4%)
BASIC INDUSTRIES (1.0%)
1,695 International Paper Capital Trust $ 68,019
5.250%
CAPITAL GOODS-TECHNOLOGY (1.4%)
240 Global Crossing (b) 42,987
7.000%
210 Global Crossing (b) 16,250
6.375%
650 Titan Capital Trust (b) 35,357
5.750%
------------
94,594
CONSUMER CYCLICALS (1.9%)
650 American Classic Voyage 27,138
7.000%
2,550 Newell Financial 97,538
5.250%
------------
124,676
CONSUMER GROWTH STAPLES (2.7%)
1,150 Biovail Corporation 62,244
6.750%
1,635 Monsanto Company 73,984
6.500%
900 Wendy's International 40,500
5.000%
------------
176,728
CONSUMER STAPLES (4.2%)
2,365 Seagram, Ltd. 127,119
3.760%
3,990 Suiza Capital Trust II 152,370
5.500%
------------
279,489
FINANCIAL (9.7%)
1,450 Ace, Ltd. 90,715
4.125%
1,450 Equity Office Trust 61,263
5.250%
1,100 Equity Resource Properties 24,750
7.250%
2,150 Host Marriott 71,487
6.750%
See accompanying Notes to Financial Statements
<PAGE> 12
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
FINANCIAL (CONTINUED)
2,200 Metlife Capital Trust $ 152,213
4.000%
4,575 National Australia Bank 129,530
7.875%
2,050 Vornado Realty Trust 106,214
3.250%
------------
636,172
TRANSPORTATION (1.0%)
1,255 Arkansas Best Corporation 48,945
2.875%
390 Union Pacific Capital Trust 15,307
6.250%
------------
64,252
UTILITIES (5.5%)
3,200 AES Corporation Trust VII (b) 190,700
6.000%
2,400 Calpine Capital Trust (b) 174,000
5.500%
------------
364,700
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $1,777,145) 1,808,630
See accompanying Notes to Financial Statements
<PAGE> 13
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
JUNE 30, 2000
(UNAUDITED)
NUMBER OF
SHARES VALUE
--------------------------------------------------------------------------------
COMMON STOCKS (6.5%)
CAPITAL GOODS-TECHNOLOGY (2.0%)
775 Ciena Corporation (a) $ 129,183
CONSUMER CYCLICALS (3.7%)
2,230 Boeing Company 93,242
3,200 Liz Claiborne, Inc. 112,800
1,964 Royal Caribbean Cruise, Ltd. 36,334
------------
242,376
FINANCIAL (0.8%)
1,210 MGIC Investment 55,056
TOTAL COMMON STOCKS
(Cost $384,632) 426,615
TOTAL INVESTMENTS (89.8%) 5,916,683
(Cost $5,508,376) ============
CASH DEPOSITS WITH CUSTODIAN (6.0%) 396,628
(INTEREST BEARING) ============
OTHER ASSETS LESS LIABILITIES (4.2%) 273,462
============
NET ASSETS (100.0%) $ 6,586,773
============
NET ASSET VALUE PER SHARE-CLASS A $ 12.49
(527,320 shares outstanding) ============
Notes to Schedule of Investments
(a) Non-income producing security
(b) Rule 144A security - Private placement securities issued under
Rule 144A are exempt from the registration requirement of
the Securities Act of 1933. These securities generally are
issued to qualified institutional buyers, such as the Funds,
and any resale by the Funds must be an exempt transaction,
normally to other qualified institutional investors.
(c) LYON-Liquid Yield Option Note
See accompanying Notes to Financial Statements
<PAGE> 14
CALAMOS CONVERTIBLE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
JUNE 30, 2000
(UNAUDITED)
ASSETS
Investments, at value (cost $5,508,376) $5,916,683
Cash with custodian (interest bearing) 396,628
Accrued interest and dividends receivable 35,114
Other Assets 37,435
Receivable for investments sold 292,040
Receivable for Fund shares sold -
Prepaid expenses -
Due from Advisor 58,435
----------
Total Assets $6,736,335
----------
LIABILITIES AND NET ASSETS
Payable for investments purchased 135,216
Payable for Fund shares redeemed -
Payable to investment adviser 3,746
Accounts payable and accrued liabilities 10,600
----------
Total Liabilities 149,562
----------
NET ASSETS $6,586,773
----------
ANALYSIS OF NET ASSETS
Excess of amounts received from issuance
of shares over amounts paid on redemptions
of shares on account of capital $6,095,864
Accumulated net realized gain (loss)
on investments 82,603
Unrealized appreciation (depreciation) of investments 408,306
----------
NET ASSETS $6,586,773
==========
Net Assets Applicable to Shares Outstanding $6,586,773
Shares Outstanding 527,320
Net Asset Value and Redemption Price Per Share $12.49
See accompanying Notes to Financial Statements
<PAGE> 15
CALAMOS CONVERTIBLE PORTFOLIO
STATEMENT OF OPERATIONS
SIX MONTHS ENDED JUNE 30, 2000
(UNAUDITED)
INVESTMENT INCOME
Interest $ 49,053
Dividends 34,967
--------
Total Investment Income 84,020
--------
EXPENSES
Investment advisory fees 15,447
Transfer agent fees 8,200
Custodian fees 8,150
Registration fees 3,094
Professional fees 15,190
Accounting fees 15,000
Misc fees 5,700
Trustees' fees 2,575
--------
Total expense 73,356
Less expense reimbursement and waiver (52,760)
--------
Net expenses 20,596
--------
NET INVESTMENT INCOME (LOSS) 63,424
--------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments and options, and
forward foreign currency contracts 90,109
Change in net unrealized appreciation on investments,
options and forward foreign currency contracts 73,265
--------
NET GAIN (LOSS) ON INVESTMENTS 163,374
--------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $226,798
========
See accompanying Notes to Financial Statements
<PAGE> 16
CALAMOS CONVERTIBLE PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
PERIOD ENDED 6/30/00 AND 12/31/99
(UNAUDITED)
<TABLE>
<CAPTION>
SIX MONTHS PERIOD ENDED*
ENDED 6/30/00 12/31/99
<S> <C> <C>
OPERATIONS
Net investment income $ 63,424 $ 18,689
Net realized gain (loss) on investments (including options)
and forward foreign currency contracts 90,109 (7,506)
Change in unrealized appreciation/depreciation on
investments (including options) and forward currency contracts 73,265 335,041
----------- -----------
Increase in net assets resulting from operations 226,798 346,224
=========== ===========
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income (75,214) (18,689)
Return of Capital - (9,445)
----------- -----------
Total Distributions (75,214) (28,134)
=========== ===========
INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 3,893,600 2,123,499
----------- -----------
TOTAL INCREASE (DECREASE) IN NET ASSETS 4,045,184 2,441,589
NET ASSETS
Beginning of period 2,541,589 100,000
----------- -----------
End of period 6,586,773 2,541,589
----------- -----------
Undistributed Net Investment Income $ - $ -
</TABLE>
* The Fund commenced operations on May 1, 1999.
See accompanying Notes to Financial Statements
<PAGE> 17
NOTES TO FINANCIAL STATEMENTS
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization - Calamos Advisors Trust, a Massachusetts business trust organized
February 17, 1999 (the "Trust"), consists of a single series, Calamos
Convertible Portfolio (the "Portfolio"). The Trust currently offers Portfolio's
shares to certain life insurance companies (Participating Insurance Companies)
for allocation to certain separate accounts established for the purpose of
funding qualified and non-qualified variable annuity contracts and variable life
insurance contracts. The Portfolio commenced operations on May 1, 1999.
Portfolio Valuation - Investments are stated at value. Securities for which
quotations are readily available are valued at the last available sales price on
the exchange or market on which they are principally traded, or lacking any
sales, at the mean of the most recently quoted bid and asked prices. Securities
and other assets for which market quotations are not readily available are
valued at fair value as determined in good faith by or under the direction of
the Trust's Board of Trustees.
Investment Transactions and Investment Income - Investment transactions are
recorded on a trade date basis. Realized gains and losses from investment
transactions are recorded on an identified cost basis. Interest income is
recognized using the accrual method and includes amortization of original issue
discount and market discount. Dividend income is recognized on the ex-dividend
date.
Federal Income Taxes - No provision has been made for Federal income taxes since
the Portfolio elected to be taxed as a "regulated investment company" and has
made such distributions to shareholders as to be relieved of all Federal income
taxes.
Capital Loss Carryforwards - As of June 30, 2000, the Portfolio had capital loss
carryforwards of $7,506, which if not used will expire in 2008.
Dividends and Capital Gains - The Portfolio intends to distribute to its
shareholders its net investment income quarterly and net capital gain, if any,
annually. Distributions to shareholders are recorded on ex-dividend date. Income
and capital gain dividends are determined in accordance with income tax
regulations which may differ from generally accepted accounting principles.
Use of Estimates - The preparation of financial statements in conformity with
generally accepted accounting principles requires management to make estimates
and assumptions that affect the amounts reported in the financial statements and
accompanying notes. Actual results may differ from those estimates.
NOTE 2 - INVESTMENT ADVISER AND TRANSACTIONS WITH AFFILIATES
Pursuant to an investment advisory agreement with Calamos Asset Management, Inc.
("CAM"), the Portfolio pays an investment advisory fee at the annual rate of
0.75% of the average daily net assets of the Portfolio.
<PAGE> 18
NOTES TO FINANCIAL STATEMENTS (continued)
CAM has voluntarily undertaken to limit normal operating expenses of the
Portfolio to 1.00% of average daily net assets. As of June 30, 2000, this
expense reimbursement and waiver was $52,760. This reimbursement and waiver is
voluntary and may be terminated by CAM at any time.
Certain portfolio transactions for the Funds have been executed through CALAMOS
FINANCIAL SERVICES, INC. ("CFS") as broker, consistent with the Fund's policy of
obtaining best price and execution. During the six months ended June 30, 2000
the Portfolio paid brokerage commissions to CFS on purchases and sales of
portfolio securities in the amount of $269.
Certain officers and trustees of the Trust are also officers and directors of
CAM. All officers and affiliated trustees serve without direct compensation from
the Trust.
NOTE 3 - INVESTMENTS
Purchases and sales of investments other than short-term obligations for the
period ended June 30,2000 were as follows:
Purchases $ 4,699,444
Proceeds from sales 1,183,682
The following information is based on the cost basis of investments for Federal
income tax purposes at June 30, 2000:
Cost basis of investments $ 5,508,376
Gross unrealized appreciation 600,696
Gross unrealized depreciation 192,390
Net unrealized appreciation 408,306
NOTE 4 - INTEREST BEARING CASH DEPOSIT WITH CUSTODIAN
The Portfolio earns interest on its average daily balance with the custodian at
a rate equal to the current Federal Reserve federal funds rate. During the
period ended June 30, 2000, the Portfolio earned $10,271 in interest income
under this arrangement.
<PAGE> 19
NOTES TO FINANCIAL STATEMENTS (continued)
NOTE 5 - CAPITAL SHARE TRANSACTIONS
The following table summarizes the activity in capital shares of the Portfolio:
Period ended June 30, 2000:
SHARES DOLLARS
------ -------
Shares sold 322,723 $ 3,940,160
Shares issued in reinvestment
of distributions 6,040 75,214
Less shares redeemed (10,127) (121,774)
Increase 318,636 $ 3,893,600
Period ended December 31, 1999:
SHARES DOLLARS
------ -------
Shares sold 198,074 $ 2,114,924
Shares issued in reinvestment
of distributions 2,350 28,134
Less shares redeemed (1,740) (19,559)
Increase 198,684 $ 2,123,499
<PAGE> 20
CALAMOS CONVERTIBLE PORTFOLIO
FINANCIAL HIGHLIGHTS
(UNAUDITED)
<TABLE>
<CAPTION>
Six Months May 1, 1999
Ended to
June 30, 2000 Dec. 31, 1999
------------- -------------
<S> <C> <C>
Net asset value, beginning of period $ 12.18 $ 10.00
Income from investment operations:
Net investment income 0.08 0.09
Net realized and unrealized gain (loss) on investments 0.39 2.23
-------- --------
Total from investment operations 0.47 2.32
-------- --------
Less distributions:
Dividends from net investment income (0.16) (0.09)
Dividends paid from capital - (0.05)
-------- --------
Total distributions (0.16) (0.14)
-------- --------
Net assets value, end of period $ 12.49 $ 12.18
======== ========
Total Return (a) 3.88% (1.5%)
Ratios and supplemental data:
Net assets, end of period $ 6,587 $ 2,542
Ratio of expenses to average net assets (b) 1.00% 1.00%
Ratio of net investment income to average net assets (b) 3.06% 3.10%
Portfolio Turnover Rate (annualized) 63.01% 31.65%
</TABLE>
(a) Total return is not annualized.
(b) After the reimbursement and waiver of expenses by the
Advisor equivalent to 2.54%* and 8.86%* of average net assets.
* Annualized
