<PAGE> 1
CALAMOS
CONVERTIBLE PORTFOLIO
ANNUAL REPORT
DECEMBER 31, 1999
[CALAMOS 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 23.2% since its May 1, 1999 inception
through December 31, 1999. The fund's strategy of utilizing convertible bonds
and convertible preferred stock provides bond like characteristics with equity
potential. In an economic environment of low inflation and low interest rates
combined with an opportunistic equity market, the CALAMOS Convertible Portfolio
provided an outstanding alternative to traditional fixed-income investing this
past year. In fact, the CALAMOS Convertible Portfolio significantly outperformed
fixed-income indexes such as the Lehman Brothers Government/Corporate Bond
Index(*) at -.97%; the Merrill Lynch High Yield Index at - 1.14%; and the
Merrill Lynch US Treasury Bill Index(*) at +3.14% for the period 5/1/99 to
12/31/99.
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 the convertible's fixed-income characteristics help provide
downside protection. In addition to outperforming the fixed-income indexes
described above, the CALAMOS Convertible Portfolio performance compared
favorably to the Value Line Convertible Index,(*) up 11.9 %, for the same
period.
By investing in the CALAMOS convertible alternative, as a contract owner,
you benefited from a management team of investment professionals with a
long-term track record managing institutional accounts. As well, benefits
accrued from the stock-like characteristics of convertibles. It is their
stock-like characteristics that helped several especially strong issues power
the Portfolio during 1999. Because of their unique nature, convertibles are the
strategy of choice at CALAMOS. Based on our disciplined investment process,
which balances risk with reward, we seek opportunities that strive to preserve
assets, yet at the same time, provide excellent long-term performance.
<PAGE> 3
The past year has been a dynamic one for both CALAMOS and the convertible
market as a whole. CALAMOS ASSET MANAGEMENT, INC., the advisor to the CALAMOS
Convertible Portfolio, expanded assets under management by 40% in 1999, ending
the year at $4.9 billion. The convertible market also posted a record high of
approximately $40 billion in new issues.
For more than 20 years, CALAMOS ASSET MANAGEMENT, INC. has helped investors
pursue financial security and success through the convertible market. 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
February 10, 2000
(*)Unlike Government Bonds and US Treasury Bills, the Calamos Convertible
Portfolio shares are not guaranteed or insured by the U.S. Government.
<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. Theoretically,
the equity component provides unlimited upside return potential while the
fixed-income features help to both reduce downside risk and preserve your
assets.
Since convertible performance does not correlate directly to that of the stock
or bond markets, they may be considered a separate asset class and therefore
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.
WHAT WAS THE OVERALL ECONOMIC ENVIRONMENT LIKE?
At year-end, the market's central theme of enhancing productivity was
fueling the strong secular trend in technology spending. It also masked the
cyclical trend in the industrial economy. The 1990s market was spectacular, but
not without some major disruptions. The economy and the stock market experienced
rolling recessions in various industry groups throughout the decade. Banks,
automobiles and airlines were priced at recessionary levels in the early `90s.
Drug, retail and energy stocks then followed suit. Many small company stocks
went through some extreme valuation discrepancies and even technology was hit
very hard. As recently as a year ago, semiconductor chip and equipment
manufacturing companies along with enterprise-wide software stocks were priced
as if a recession were imminent. Metal, mining and commodity producers were also
priced in expectation of this scenario.
Today, REITs, property and casualty insurance, tobacco and "value stocks" are
reflecting values that predict a very difficult environment going forward. In
fact, just about every industry group was priced for an economic downturn at
least once during the decade-- unlike many periods when all industry groups were
priced for a recession at the same time. This economy and marketplace, with
rolling recessions and global competition, require money managers to become
better predictors of opportunity from the bottom up, by company and industry.
WHAT SIGNIFICANT FACTORS IMPACTED THE CALAMOS CONVERTIBLE PORTFOLIO?
It was an outstanding year for convertible performance in general in a
marketplace that was unusually divergent and turbulent. During 1999, the CALAMOS
Convertible Portfolio's exposure in the technology, utilities, and consumer
growth sectors had a positive influence. The Portfolio also benefited from a
central theme of investing in companies that can enhance worker productivity.
The leading companies in this area are technology related. Therefore, 37.2% of
portfolio assets were in technology-related convertibles, including stellar
performers Qualcomm and Veritas Software (at 5.8% and 2.2% of the Portfolio,
respectively). Technology issues were the primary contributors to
<PAGE> 5
the Portfolio's strong performance for the quarter and for the year. During the
period we took some profits in the tech sector to moderate portfolio risk and
remain true to our investment discipline.
We increased the Portfolio's technology exposure as many new convertibles came
to market in this sector. These new issues offered a more traditional
risk/reward profile, allowing us to participate more fully in this sector with
less downside risk than had been available from the existing convertibles in the
marketplace. We also slightly increased the Portfolio's basic industries and
utilities exposure while reducing the consumer cyclicals sector exposure. The
Portfolio's sector shifts were primarily driven by bottom-up company-specific
opportunities.
Our focus on balance sheet risk added value relative to the market. We added
value through our emphasis on large- and mid-cap convertible issuers, and
steered clear of major issues that declined significantly during the year that
were identified by our proprietary models and analyses. Holdings in advertising
benefited as Internet companies launched huge campaigns to lure holiday shoppers
to e-commerce sites, while REIT performance lagged. At year-end, 8.2% of the
Portfolio was in common stock, including a new position in Boeing (1.7% of the
Portfolio), which may benefit from an economic turnaround in Southeast Asia.
By year-end, CALAMOS chose to emphasize investment-grade convertibles over
speculative convertible issues. The speculative issues outperformed
investment-grade issues by a wide margin this past quarter and throughout the
year. Although we participate in those issues, we felt it prudent to limit our
exposure in that volatile area. Additionally, we adhered to our risk/reward
discipline of keeping a proper balance between equity exposure and downside
safety provided by the bond characteristics. We worked diligently to maintain an
appropriate risk/reward advantage consistent with managing risk as convertible
prices sharply increased.
WHAT IS THE OUTLOOK FOR THE CALAMOS CONVERTIBLE PORTFOLIO?
At CALAMOS ASSET MANAGEMENT, INC., we think that low inflation and high
productivity may continue to fuel the economy. We also expect market performance
to broaden beyond technology, with all sectors participating. The technology
sector appears to be ahead of itself and is vulnerable in the short term,
although the long-term secular trend appears solid.
We would expect productivity to continue to be strong as businesses shift their
focus from remedying Y2K glitches to technology spending that is more
value-added. The Presidential election should add to the volatility of the
marketplace as sentiment shifts from poll to poll. We anticipate continued
recovery in the global markets as Europe rolls out further tax cuts and
market-friendly restructuring. Japan is a wild card but appears to be slowly
emerging from a decade-long malaise. The CALAMOS Convertible Portfolio will
remain opportunistically positioned with an emphasis on risk/reward. We believe
we have a strong mix of high-grade convertibles from rapid growth companies as
well as some excellent value opportunities.
<PAGE> 6
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
-------------- TOTAL RETURN measures net investment income
SINCE INCEPTION (5/1/99) and capital gain or loss from portfolio
23.2% investments and reflect changes in share
price, reinvestment of income and capital
gain distributions.
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
----------------------------------------------
BASED ON A HYPOTHETICAL INVESTMENT MADE IN THE
CALAMOS CONVERTIBLE PORTFOLIO FROM 5/1/99 TO 12/31/99
$13,000 $12,319
Calamos
Convertible
Portfolio
$12,000
$11,186(*)
Value Line
Convertible
$11,000 Index
$ 9,879(**)
$10,000 Lehman
Bros.
Govt./Corp.
Bond Index
$9,000
May-99 Jun-99 Jul-99 Aug-99 Sep-99 Oct-99 Nov-99 Dec-99
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
(**)The Lehman Bros. 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: Russell as reported by Calamos Asset Management, Inc., advisor to the
Portfolio.
(*)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.
<PAGE> 7
PORTFOLIO MANAGERS
[PHOTO]
JOHN P. CALAMOS
President and Chief Investment Officer
- Over 20 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 16 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
REPORT OF INDEPENDENT AUDITORS
The Board of Trustees and Shareholders
Calamos Advisors Trust-
Calamos Convertible Portfolio
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Calamos Advisors Trust - Calamos Convertible
Portfolio as of December 31, 1999, and the related statements of operations and
changes in net assets and the financial highlights for the period from May 1,
1999 (commencement of operations) through December 31, 1999. These financial
statements and financial highlights are the responsibility of the Trust's
management. Our responsibility is to express an opinion on these financial
statements and financial highlights based on our audit.
We conducted our audit in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of securities
owned as of December 31, 1999, by correspondence with the custodian. An audit
also includes assessing the accounting principles used and significant estimates
made by management, as well as evaluating the overall financial statement
presentation. We believe that our audit provides a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of
Calamos Convertible Portfolio at December 31, 1999, and the results of its
operations, the changes in its net assets and the financial highlights for the
period from May 1, 1999 through December 31, 1999, in conformity with accounting
principles generally accepted in the United States.
/s/ ERNST & YOUNG LLP
Chicago, Illinois
February 16, 2000
<PAGE> 9
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
PRINCIPAL VALUE
- -----------------------------------------------------------------------------
CONVERTIBLE BONDS (46.9%)
BASIC INDUSTRIES (.9%)
$25,000 Inco Ltd. $23,844
5.750%, 07/01/04
CAPITAL GOODS-INDUSTRIAL (1.9%)
53,000 Interim Services, Inc. 47,386
4.500%, 06/01/05
CAPITAL GOODS-TECHNOLOGY (26.1%)
30,000 Adaptec, Inc. 32,606
4.750%, 02/01/04
30,000 Advanced Energy Industrial 35,363
5.250%, 11/15/06
80,000 America Online 45,960
0.000%, 12/06/19
44,000 Atmel Corp. 37,306
0.000%, 04/21/18
20,000 Atmel Corp. (a) 16,957
0.000%, 04/21/18
23,000 Bell Atlantic 23,345
5.750%, 04/01/03
32,000 Bell Atlantic (Cable & Wireless) 39,187
4.250%, 09/15/05
80,000 Hewlett Packard (b) 55,100
0.000%, 10/14/17
20,000 I2 Technologies (a) 29,000
5.250%, 12/15/06
15,000 Lattice Semiconductor (a) 19,786
4.750%, 11/01/06
20,000 Liberty Media (a) 25,122
4.000%, 11/15/29
9,000 Mindspring Enterprises 8,576
5.000%, 04/15/06
25,000 Siebel Systems (a) 48,908
5.500%, 09/15/06
61,000 Solectron Corp.(b) 46,652
0.000%, 01/27/19
6,000 Solectron Corp. (a) (b) 4,589
0.000%, 01/27/19
See accompanying Notes to Financial Statements.
<PAGE> 10
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
PRINCIPAL VALUE
- -----------------------------------------------------------------------
CAPITAL GOODS-TECHNOLOGY (CONTINUED)
$7,000 Systems & Computer Tech $5,994
5.000%, 10/15/04
39,000 Telefonos De Mexico 50,862
4.250%, 06/15/04
37,000 U.S. Cellular Corporation 35,659
0.000%, 06/15/15
15,000 U.S. Internet Working, Inc, (a) 43,838
7.000%, 11/01/04
21,000 Veritas Software 56,980
1.856%, 08/13/06
--------
661,790
CONSUMER CYCLICALS (2.9%)
10,000 Interpublic Group (a) 11,609
1.870%, 06/01/06
20,000 Interpublic Group 30,596
1.800%, 09/16/04
15,000 Omnicom Group 30,627
2.250%, 01/06/13
--------
72,832
CONSUMER GROWTH STAPLES (10.8%)
7,000 Alpharma, Inc. (a) 7,637
3.000%, 06/01/06
50,000 Alza Corp. 25,312
0.000%, 07/14/14
55,000 Clear Channel 56,420
1.500%, 12/01/02
40,000 Costco Wholesale 42,794
0.000%, 08/19/17
36,000 Elan Corp. (a) (b) 18,810
0.000%, 12/14/18
57,000 Elan Corp. (b) 29,782
0.000%, 12/14/18
9,000 Genzyme Corporation 11,470
5.250%, 06/01/05
31,000 News Corp. Ltd. 24,791
0.000%, 03/11/13
See accompanying Notes to Financial Statements.
<PAGE> 11
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
PRINCIPAL VALUE
- -----------------------------------------------------------------------
CONSUMER GROWTH STAPLES (CONTINUED)
$57,000 Roche Holdings (a) (b) $28,999
0.000%, 05/06/12
60,000 Times Mirror Company (b) 29,625
0.000%, 04/15/17 -----------
275,640
ENERGY (4.0%)
50,000 Devon Energy (Chevron) 48,562
4.900%, 08/15/08
8,000 Diamond Offshore Drilling 8,112
3.750%, 02/15/07
54,000 Loews Corp. (Diamond Offshore) 44,446
3.125%, 09/15/07
-----------
101,120
FINANCIAL (.3%)
9,000 Financial Federal Corp. 8,572
4.500%, 05/01/05
TOTAL CONVERTIBLE BONDS 1,191,184
(Cost $997,594)
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------
CONVERTIBLE PREFERRED STOCKS (32.5%)
BASIC INDUSTRIES (1.8%)
60 Crown Cork & Seal $1,245
4.500%
150 Inco Ltd. (Diamond Fields) 6,188
5.500%
295 International Paper Company 16,118
5.250%
440 Sealed Air Corp. (W.R. Grace) 22,220
5.250%
-----------
45,771
See accompanying Notes to Financial Statements.
<PAGE> 12
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------
CAPITAL GOODS-TECHNOLOGY (11.0%)
85 Global Crossing (a) $23,588
7.000%
210 Global Crossing (a) 26,268
6.375%
860 Loral Space & Comm. 55,578
6.000%
245 MediaOne 26,460
6.250%
150 Qualcomm, Inc. 147,050
5.750%
-----------
278,944
CONSUMER CYCLICAL (2.4%)
250 Newell Financial Trust 9,531
5.250%
345 Royal Caribbean 51,750
7.250%
-----------
61,281
CONSUMER GROWTH STAPLES (1.3%)
985 Monsanto Company 32,628
6.500%
CONSUMER STAPLES (3.2%)
915 Seagram Co. Ltd. 41,175
7.500%
1,140 Suiza Foods Trust 39,491
5.500%
-----------
80,666
CREDIT CYCLICALS (1.9%)
1,250 Texas Industries, Inc. 48,125
5.500%
ENERGY (.9%)
855 Western Gas Resources 22,871
2.625%
See accompanying Notes to Financial Statements.
<PAGE> 13
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
NUMBER OF
SHARES VALUE
- -----------------------------------------------------------------------
FINANCIAL (4.9%)
1,450 Host Marriott $45,494
6.750%
1,525 National Australia Bank 42,128
7.875%
800 Vornado Realty Series A 37,300
6.500%
-----------
124,922
TRANSPORTATION (1.5%)
555 Arkansas Best Corporation 22,477
2.875%
390 Union Pacific Capital Trust 16,234
6.250%
-----------
38,711
UTILITIES (3.6%)
440 AES Trust III Series B 28,230
5.500%
200 AES Corp Trust III 12,325
6.750%
780 Calpine Capital Trust (High Tides) 50,992
5.750%
-----------
91,547
TOTAL CONVERTIBLE 825,466
PREFERRED STOCKS
(Cost $708,557)
COMMON STOCKS (8.2%)
CAPITAL GOODS-TECHNOLOGY (1.7%)
775 Ciena Corp. 44,562
CONSUMER CYCLICAL (4.8%)
1,030 Boeing Company 42,809
855 MGM Grand, Inc. 43,017
985 Mandalay Resort 19,823
528 Marriott International, Inc. 16,683
-----------
122,332
See accompanying Notes to Financial Statements.
<PAGE> 14
CALAMOS CONVERTIBLE PORTFOLIO
SCHEDULE OF INVESTMENTS
DECEMBER 31, 1999
SHARES VALUE
- ----------------------------------------------------------------------
FINANCIAL (1.7%)
710 MGIC Investment $42,733
-----------
TOTAL COMMON STOCKS 209,627
(Cost $185,085)
TOTAL INVESTMENTS (87.6%) 2,226,277
(cost $1,891,236)
CASH DEPOSITS WITH CUSTODIAN 285,763
INTEREST BEARING (11.2%)
OTHER ASSETS, LESS LIABILITIES (1.2%) 29,549
-----------
NET ASSETS (100.0%) $2,541,589
NET ASSET VALUE PER SHARE $12.18
(208,684 shares outstanding)
Notes to Schedule of Investments
(a) Rule 144A security-Private placement securities
issued under Rule 144A are exempt from the
registration requirements of the Securities Act of
1933. These securities generally are issued to
qualified institutional buyers, such as the Portfolio,
and any resale by the Portfolio must be an exempt
transaction, normally to other qualified institutional
investors.
(b) LYON- Liquid Yield Option Note
See accompanying Notes to Financial Statements.
<PAGE> 15
CALAMOS CONVERTIBLE PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
DECEMBER 31, 1999
ASSETS
Investments, at value (cost $1,891,236) $2,226,277
Cash with custodian (interest bearing) 285,763
Accrued interest and dividends receivable 9,176
Due from adviser 53,495
-----------
Total Assets $2,574,711
-----------
LIABILITIES AND NET ASSETS
Payable for investments purchased 23,438
Accounts payable and accrued liabilities 8,395
Payable to investment adviser 1,289
Total Liabilities 33,122
-----------
NET ASSETS $2,541,589
===========
ANALYSIS OF NET ASSETS
Excess of amounts received from issuance of shares over
amounts paid on redemptions of shares on account of capital $2,214,054
Accumulated net realized loss on investments (7,506)
Net unrealized appreciation of investments and other
assets less liabilities 335,041
NET ASSETS $2,541,589
===========
Net Assets Applicable to Shares Outstanding $2,541,589
Shares Outstanding 208,684
Net Asset Value, Offering Price and Redemption Price Per Share
at December 31, 1999 $12.18
See accompanying Notes to Financial Statements.
<PAGE> 16
CALAMOS CONVERTIBLE PORTFOLIO
STATEMENT OF OPERATIONS
PERIOD ENDED DECEMBER 31, 1999*
INVESTMENT INCOME
Interest $13,522
Dividends 11,127
---------
Total Investment Income 24,649
---------
EXPENSES
Investment advisory fees 4,470
Transfer agent fees 250
Custodian fees 5,000
Registration fees 1,647
Professional fees 24,688
Accounting fees 16,000
Trustees' fees 7,400
---------
Total expenses 59,455
Less expense reimbursement and waiver (53,495)
---------
Net expenses 5,960
---------
NET INVESTMENT INCOME 18,689
---------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments, and
forward foreign currency contracts (7,506)
Change in net unrealized appreciation/depreciation
on investments, options and forward foreign
currency contracts 335,041
---------
NET GAIN (LOSS) ON INVESTMENTS 327,535
---------
NET INCREASE IN NET ASSETS RESULTING
FROM OPERATIONS $346,224
=========
(*) The Fund commenced operations on May 1, 1999.
See accompanying Notes to Financial Statements.
<PAGE> 17
CALAMOS CONVERTIBLE PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
PERIOD ENDED DECEMBER 31, 1999 (*)
OPERATIONS
Net investment income $18,689
Net realized gain (loss) on investments (7,506)
Change in net unrealized appreciation/depreciation
on investments 335,041
-----------
Net increase in net assets resulting from
operations 346,224
===========
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income (18,689)
Return of capital (9,445)
-----------
Total Distributions (28,134)
===========
INCREASE IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 2,123,499
-----------
TOTAL INCREASE IN NET ASSETS 2,441,589
NET ASSETS
Beginning of period 100,000
End of period 2,541,589
Undistributed Net Investment Income $ -
(*) The Fund commenced operations on May 1, 1999.
See accompanying Notes to Financial Statements.
<PAGE> 18
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 December 31, 1999, the Portfolio had capital
loss carryforwards of $7,506, which if not used will expire in 2007.
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> 19
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 December 31, 1999, this
expense reimbursement and waiver was $53,495. This reimbursement and waiver is
voluntary and may be terminated by CAM at any time.
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 December 31, 1999 were as follows:
Purchases 2,187,093
Proceeds from sales 292,322
The following information is based on the cost basis of investments for Federal
income tax purposes at December 31, 1999:
Cost basis of investments 1,891,236
Gross unrealized appreciation 381,893
Gross unrealized depreciation 46,852
Net unrealized appreciation 335,041
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 December 31, 1999, the Portfolio earned $3,501 in interest income
under this arrangement.
NOTE 5 - CAPITAL SHARE TRANSACTIONS
The following table summarizes the activity in capital shares of the Portfolio:
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
DECEMBER 31, 1999
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ARE AS FOLLOWS:
MAY 1, 1999
TO
DEC. 31, 1999
-------------
Net asset value, beginning of period $ 10.00
Income from investment operations:
Net investment income 0.09
Net unrealized and unrealized gain (loss) on
investments 2.23
-------------
Total from investment operations 2.32
-------------
Less distributions:
Dividends from net investment income (0.09)
Distributions paid from capital (0.05)
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Total distributions (0.14)
-------------
Net asset value, end of period $ 12.18
=============
Total Return (a) 23.19%
Ratios and supplemental data:
Net assets, end of period (000) $ 2,542
Ratio of expenses to average net assets(b)(*) 1.00%
Ratio of net investment income to average net
assets(b)(*) 3.10%
Portfolio Turnover Rate(*) 31.65%
(a) Total return is not annualized.
(b) After the reimbursement and waiver of expenses by the Adviser
equivalent to 8.86%(*) of average net assets.
* Annualized
