THE PRESIDENT'S LETTER
Dear Fellow Shareholder:
I am pleased to present the annual report of the CALAMOS FAMILY OF FUNDS for
the twelve-month period ended March 31, 1996.
We are delighted to announce to our shareholders that the CALAMOS CONVERTIBLE
FUND was the number one fund in total return in its classification in calendar
year 1995, out of 36 mutual funds. In the five-year period ended December 31,
1995, it was ranked ninth in total return out of 20 convertible funds, and in
the ten-year period it was ranked third out of six convertible funds. The
CALAMOS GROWTH AND INCOME FUND was ranked second in total return in its
category, out of 36 mutual funds. In the five-year period ended December 31,
1995, it was ranked seventh in total return out of 20 convertible funds. That
success is continuing in the first quarter of 1996. For the one-year period
ended March 31, 1996, the GROWTH AND INCOME FUND is ranked first in its
category, out of 36 funds. In the five-year period ended March 31, 1996, it
was ranked seventh in total return out of 20 convertible funds. For the
one-year period ended March 31, 1996, the CONVERTIBLE FUND is ranked second.
In the five-year period ended March 31, 1996, it was ranked tenth in total
return out of 20 convertible funds, and in the ten-year period it was ranked
fourth of six convertible funds. All rankings are supplied by Morningstar,
Inc.
The CALAMOS FAMILY OF FUNDS consists of four funds including the:
CALAMOS CONVERTIBLE FUND
CALAMOS GROWTH AND INCOME FUND
CALAMOS STRATEGIC INCOME FUND
CALAMOS GROWTH FUND
The financial markets of 1995 were not only remarkably strong but also
remarkably stable and 1995 proved to be a very good year for financial assets
in this country. The first quarter of 1996 has seen a significant change, with
most bond performance in negative territory. Convertible securities have
continued to do well, which is especially conspicuous in light of the poor
performance of the bond market. The convertible's equity component continues
to be positively affected by the strong performance of stocks, making
convertible performance the strongest sector within the bond market for the
period.(1)
The financial markets struggle to understand where the economy is going and
what the prospects are for corporate earnings in the coming quarter. The
apparent slowdown in the economy during the fourth quarter of last year and
the first quarter of this year has driven down analysts' estimates for the
full year and caused some sector rotation as a result. However, the
surprisingly strong February employment number suggested to market
participants that the economy may be stronger than was generally anticipated.
It triggered increasing interest rates and the bond sell-off.
- ----------------------------------
1 As reported in the April 8, 1996 issue of Barron's, first quarter total
return for an average of all mutual funds within the category are as follows:
Short U.S. Treasury, -0.25%; Intermediate U.S. Government, -1.66%; General
U.S. Treasury, -4.21%; GNMA, -1.20%; U.S. Mortgage, 1.05%; Corporate Debt
A-Rated, -2.47%; Corporate Debt BBB-Rated, -2.47%; Multi-Sector Income, 1.04%;
High Current Yield, 2.79%; General Municipal Deb., -1.90%; Convertible
Securities, 4.71%. All numbers as reported by Lipper.
<PAGE>
The constant struggle between recession fears and an economy that may be
operating at full capacity and full employment has injected some real
volatility into the financial markets, making the convertible market generally
a more comfortable place to be invested. This latest spike up in volatility is
not unusual and can be viewed as a reversion to the longer-term historical
average. The low level of market volatility over the past four years has been
extraordinary when seen from a longer-term perspective.
It is always easier to discuss where the financial markets have been rather
than where they may be going. From our point of view, it's similar to
forecasting weather -- we aren't sure of what the temperature will be tomorrow
or next week, but we are very confident that it will be warmer three months
from now. We are monitoring carefully the trends that we believe to be
important to the future and focusing less on the day-to-day stream of data.
The longer-term trends effecting portfolios include monetary policy,
government policy, technology, demographics and the effect of the cold war's
end on the global economy. We believe that these factors have converged to
provide a much different financial environment than investors have been
accustomed to in past decades. It's our job to manage the Funds with these
changes in mind, to realize optimal value for our shareholders.
The financial markets will continue to be volatile in the future. Short-term
volatility tends to make investors nervous, which often leads to investment
errors. Investment decisions are best made from a longer-term perspective. We
are primarily concerned about risk and how to control it. Controlling risk is
the underlying principle for successful wealth creation. However, we must
remember that the flip side of volatility is opportunity. We find more
opportunity now than at any time since we have begun investing. That does not
mean that there may not be setbacks in the market's upward trend. There will
be, because business cycles are inevitable. However, we continue to believe
that the highest probability for investment success over the longer term comes
from remaining fully invested in the convertible securities of quality
companies while utilizing risk-control measures.
Sincerely,
/s/ John P. Calamos
John P. Calamos
President
May 10, 1996
Naperville, Illinois
<PAGE>
<TABLE>
CALAMOS FAMILY OF FUNDS
STANDARDIZED RETURNS
For Period Ended March 31, 1996
<CAPTION>
TOTAL RETURN AVERAGE ANNUAL TOTAL RETURN
1 year 5 years 10 years Since Inception
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Convertible Fund 28.75% 22.63% 13.58% 12.49% 9.73% 9.20% 11.00% 10.50%
Inception: 6/21/85
Growth and Income Fund 33.00% 26.70% 15.08% 13.97% NA NA 13.70% 12.96%
Inception: 9/22/88
Strategic Income Fund 13.61% 8.16% 7.89% 6.84% NA NA 8.80% 7.86%
Inception: 9/4/90
Growth Fund 35.16% 28.72% 10.51% 9.45% NA NA 14.02% 13.02%
Inception: 9/4/90
</TABLE>
This chart provides performance return numbers for the four Funds and shows
both non-adjusted and adjusted returns for the 4.75% sales charge. Total
return and average annual total return performance measure net investment
income and capital gain or loss from portfolio investments and reflect changes
in share price, reinvestment of income and capital gain distributions.
Performance has not been adjusted for the sales charge in the UNSHADED area of
the chart. Performance has been adjusted for the 4.75% sales charge in the
SHADED area of the chart.
Past performance is no guarantee of future results. Investment return and
principal value will fluctuate so that an investor's shares when redeemed may
be worth more or less than their original cost.
<PAGE>
PERFORMANCE REVIEW
CALAMOS CONVERTIBLE FUND
FUND PERFORMANCE
The Fund performed well for the twelve-month period ended March 31, 1996, with
a total return(2) of 28.75% (without adjusting for load), bringing the average
annual total return since inception to 11.00%. The load-adjusted total return
was 22.63% for the twelve-month period ended March 31, 1996, bringing the
average annual total return since inception to 10.50%. These returns are based
on net asset value and include reinvestment of dividends. The three-month
total return (non-load-adjusted) was 5.27%. Over the twelve-month period, the
Fund paid a total of $0.31 in income dividends, $0.79 in short-term capital
gain dividends, and $0.28 in long-term capital gain dividends. The Fund's net
asset value on March 31, 1996, was $14.49 per share, up from its net asset
value of $14.36 per share on September 30, 1995, and $12.41 per share on March
31, 1995.
HOW DID THE FUND PERFORM OVER THE LAST TWELVE MONTHS AND WHAT FACTORS AFFECTED
THIS PERFORMANCE?
As we mention in the President's letter, we are delighted with the Fund's
achievement over the past year. The Fund was buoyed by the equity value of the
underlying convertibles, and benefited throughout 1995 from lower interest
rates as well. Although we were overweighted in technology convertibles a year
ago, we have since reduced that exposure. We bought AUTOMATIC DATA PROCESSING,
INC. (2.59% of net assets), FIRST FINANCIAL MANAGEMENT CORPORATION (1.11%),
and ELECTRONIC DATA SYSTEMS ("EDS") in an effort to participate in an exciting
secular trend in a less cyclical way, avoiding some of its extreme valuations.
Automatic Data Processing and First Financial have continued to perform well
while EDS was called during the first quarter of 1996.
The Fund's exposure to consumer growth issues provided an overall positive
influence. The consumer growth sector continued to perform well as investors
sought companies with the stable and predictable earnings streams that could
weather a downturn. In the consumer growth sector, the pharmaceutical industry
showed excellent strength; these holdings included ELAN INTERNATIONAL FINANCE,
LTD. (1.79%) and ALZA CORPORATION (1.48%). The temporary staffing firms in
this sector also performed well. THE OLSTEN CORPORATION (0.99%) is a good
example. The capital goods sector also performed very well, especially FORD
MOTOR COMPANY (1.74%).
During 1995, the Fund was overweighted in financial exposure, which proved
beneficial due to low inflation and declining interest rates. There has been a
different scenario with the rising interest rates of the first three months of
1996, and financials in general were a drag on performance, with the notable
exception of FIFTH THIRD BANCORP (2.44%).
- ----------------------------------
2 Total return and average annual total return performance measure net
investment income and capital gain or loss from portfolio investments and
reflect changes in share price, reinvestment of income and capital gains
distributions. Past performance is no guarantee of future results.
<PAGE>
CALAMOS CONVERTIBLE FUND (CONTINUED)
The Fund's low conversion premium is a result of our position in a number of
issues that will lose call protection soon or have none now. Many of these
positions offer excellent risk/reward attributes because some investors will
shy away from issues that could be called. This bias opens up opportunities
for mispricing or unique risk/reward attributes in the convertible market, and
we expect to take advantage of it.
The largest negative impact on the Fund in the quarter came from the Fund's
bias toward higher quality as well as its underweighting in the capital goods
sector. In the final six weeks of the quarter, the convertible market was
boosted by a resurgence of many small, lower-quality issues, where the Fund is
underweighted due to our efforts to restructure the Fund more cautiously. We
are emphasizing high quality and downside protection.
WHAT IS FUND MANAGEMENT'S CURRENT VIEW OF INVESTMENTS IN THE FOREIGN SECTOR?
Over the last year, the Fund's foreign investments have remained relatively
stable at approximately 10-12% of the portfolio. Compared to the stellar
performance of the U.S. markets in 1995, overseas performance was weak and
acted as a small drag on performance. We believe that situation is now
changing.
We think that the volatility we expect to see in the U.S. market this year can
be lessened by diversifying the portfolio with overseas exposure, due to the
low correlations between U.S. and foreign performance. Many overseas markets
have experienced two down years in a row, and are positioned for improvement
in 1996. Foreign investments still have certain risks, such as foreign
currency risk and/or substantial volatility due to adverse political, economic
or other developments.
WHAT HAVE BEEN SOME OF THE MAJOR PURCHASES AND SALES OVER THE PAST TWELVE
MONTHS?
Major purchases include:
U.S. CELLULAR (0.72%), which owns, operates and invests in cellular telephone
systems throughout the United States and is the seventh largest cellular
telephone company in the United States, based on the aggregate number of
population equivalents it owns or has the right to acquire. It is building a
substantial presence in selected geographic areas throughout the U.S. where it
believes it can efficiently integrate and manage cellular telephone systems.
The zero-coupon convertible bond provides an opportunity for us to participate
in the upside potential of the company's equity at a favorable risk posture.
The convertible will participate in 60% of the stock's upside and only 25% of
the stock's downside.
HFS, INC. (0.95%) franchises many major hotel chains, including Ramada and
Howard Johnson. The company also franchises more than 6,000 Century 21
offices. This convertible bond provides an opportunity for us to participate
in the upside potential of the company's equity at a favorable risk posture.
The convertible should participate in 36% of the stock's upside and only 5% of
the stock's downside and yields 4.6%.
<PAGE>
CALAMOS CONVERTIBLE FUND (CONTINUED)
BAKER HUGHES, INC. (1.89%) primarily provides products and services for the
drilling, extracting, and production of oil and gas wells. The company also
makes equipment for pumping and treating liquids, and specialty chemicals for
water treatment. Baker Hughes Inc. is attractive because the increase in oil
field activity in several regions of the world has led to increased business
for the company. Earnings should rise as the company introduces more
innovative products. This convertible bond provides an opportunity for us to
participate in the upside potential of the company's equity at a favorable
risk posture. The convertible should participate in 46% of the stock's upside
and only 13% of the stock's downside.
ALZA CORPORATION (1.48%) develops and manufactures a variety of drug products.
The company specializes in drugs that provide a controlled amount of
medication over a period of time. The zero-coupon convertible bond allows us
to capture most of the common stock's upside potential at a significantly
lower risk level. The convertible should participate in 45% of the stock's
upside and only 10% of the stock's downside.
We sold positions for a number of reasons. CITICORP was sold because our
upside price objective was met and the convertible's risk/reward was no longer
attractive. We sold OFFICE DEPOT, INC. due to the poor risk/reward profile of
the convertible as a result of the drop in the stock price. We are also
concerned about the retail environment and the slowdown in PC sales. CONAGRA,
INC., TIME WARNER, INC., and ALBANY INTERNATIONAL CORPORATION were called.
We made some changes in the international holdings during the first three
months of 1996, selling LM ERICSSON TELEPHONE COMPANY and BRITISH AIRWAYS PLC,
as their upside targets were reached. In addition, we sold SOCIETE GENERALE
and BCP BANK & TRUST COMPANY LIMITED. While the underlying equity valuations
of both companies are attractive, they have been unable to generate the level
of returns expected in their industries. In addition, the risk/reward profile
of the Societe Generale convertible was no longer attractive. We also
purchased PHILIPPINE LONG DISTANCE TELEPHONE COMPANY (0.85%), ALLIED-DOMECQ
PLC (0.91%), and HITACHI (1.88%). Hitachi is Japan's largest manufacturer of
electronic and electrical equipment. We added the position both for its
attractive valuation as well as to participate in any economic recovery that
may occur in Japan.
Although the hybrid nature of convertibles provides them with unique
advantages, there are corresponding disadvantages. For example, the
convertible will not increase in value as much as the underlying equity; it is
not designed to. The convertible security will normally attain 75-90% of the
increase in the stock values.
All of the information presented in this report is based on the analysis,
views, and opinions of Fund management. There is no guarantee that the
forecasts presented here will be achieved.
HAVE THERE BEEN ANY MAJOR SHIFTS IN THE FUND'S STRATEGY DURING THE PAST YEAR?
WHAT IS YOUR OUTLOOK AS A RESULT?
As the stock and bond markets climbed during 1995, our goal was to capture as
much of the market's upside as possible. With the increase in volatility in
the first quarter, the focus has now shifted.
<PAGE>
CALAMOS CONVERTIBLE FUND (CONTINUED)
The first quarter was difficult for the fixed-income markets, although the
equity markets performed well. Convertibles benefited from their equity tie,
and performed almost as well as the equity markets themselves.(3) The sharp
increase in interest rates, along with the move up in equity prices, had a
strong impact on the convertible market. When the convertible market performs
well while interest rates increase, the overall risk level also increases. The
embedded downside protection of the convertible market, as measured by its
bond value, has decreased, while higher equity prices caused convertible
prices to increase.
We calculate a risk/reward on the convertible portfolio based on the upside
potential of the convertible's equity component and the downside safety
afforded by the fixed-income characteristics of the bond. It is extremely
important to adjust that risk/reward frequently, to provide additional safety
should market volatility remain high or a correction occur. Despite attractive
convertible valuation levels, we believe a more cautious approach is warranted
at the present. Adjusting the risk/reward means taking profits and reinvesting
in convertibles having a favorable risk/reward relationship. It also means
favoring more interest-rate sensitivity in the Fund and reducing the equity
sensitivity, which we continue to do.
We expect to see increased volatility in the market for the rest of this year,
and that only reinforces our belief that convertibles represent one of the
best ways to weather that volatility and still achieve capital growth.
Convertible bonds are unique in the fixed-income universe in not depending on
falling interest rates to achieve returns. Unlike traditional bonds, they do
not need an economy falling into recession to perform well. Adding convertible
bonds to fixed-income allocations can achieve above-average returns in what
looks to be a difficult period for bond performance.
NOTE: SHARE PRICE AND INVESTMENT RETURN WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PAST
PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
- ----------------------------------
3 The S&P 500 was up 6.53% for the quarter, while Lipper reported that the
average of all mutual funds in the convertible strategy was up 4.71%.
<PAGE>
<TABLE>
<CAPTION>
CALAMOS CONVERTIBLE FUND (CONTINUED)
<S> <C>
NAV (3/31/96) $14.49
AVERAGE ANNUAL TOTAL
RETURN PERFORMANCE
(LOAD-ADJUSTED)
SIX MONTHS ENDED 3/31/96 4.60%
TWELVE MONTHS ENDED 3/31/96 22.63%
SIXTY MONTHS ENDED 3/31/96 12.49%
TEN YEARS ENDED 3/31/96 9.20%
AVERAGE ANNUAL TOTAL RETURN
SINCE INCEPTION 10.50%
(6/21/85 - 3/31/96)
</TABLE>
<TABLE>
GROWTH OF A $10,000 INVESTMENT OVER TIME
(Based on a hypothetical investment made in the
CALAMOS CONVERTIBLE FUND from 6/21/85 through
3/31/96. Returns are not adjusted for
load. Past performance is not an
indication of future results.)
CHART
CALAMOS CONVERTIBLE FUND
<CAPTION>
Convrtbl Fnd LB G/C Ind* S&P 500 Index**
<S> <C> <C> <C>
Beginning Balance 10,000 10,000 10,000
Sep-85 9,800 10,200 9,600
Dec-85 10,700 11,000 11,200
Mar-86 12,200 11,900 12,800
Jun-86 12,600 12,100 13,500
Sep-86 12,100 12,300 12,600
Dec-86 12,400 12,700 13,300
Mar-87 13,700 12,900 16,100
Jun-87 13,700 12,600 16,900
Sep-87 14,100 12,300 18,100
Dec-87 11,900 13,000 14,000
Mar-88 12,600 13,400 14,800
Jun-88 13,200 13,600 15,700
Sep-88 12,700 13,800 15,800
Dec-88 12,600 14,000 16,300
Mar-89 13,200 14,100 17,400
Jun-89 13,900 15,300 18,900
Sep-89 15,000 15,400 21,000
Dec-89 14,700 16,000 21,400
Mar-90 14,400 15,800 20,700
Jun-90 14,900 16,300 22,000
Sep-90 13,400 16,400 19,000
Dec-90 14,200 17,300 20,700
Mar-91 16,400 17,700 23,700
Jun-91 16,400 18,000 23,700
Sep-91 17,500 19,000 24,900
Dec-91 19,400 20,100 27,000
Mar-92 19,500 19,800 26,300
Jun-92 19,100 20,600 26,900
Sep-92 19,800 21,600 27,700
Dec-92 20,900 21,600 29,100
Mar-93 22,000 22,600 30,400
Jun-93 22,800 23,300 30,500
Sep-93 23,900 24,000 31,300
Dec-93 24,600 24,000 32,000
Mar-94 23,700 23,200 30,800
Jun-94 22,700 22,900 30,900
Sep-94 23,600 23,000 32,400
Dec-94 22,800 23,100 32,400
Mar-95 24,100 24,300 35,600
Jun-95 26,500 25,800 39,000
Sep-95 28,300 26,300 42,100
Dec-95 29,500 27,600 44,600
Mar-96 31,100 26,900 47,000
</TABLE>
<PAGE>
<TABLE>
TOP TEN POSITIONS - CONVERTIBLE SECURITIES AND COMMON STOCK
<CAPTION>
Percent of
Company Description Net Assets
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Automatic Data Processing, Inc. Cv. 0.00% 02/20/12 2.59%
Fifth Third Bancorp Cv. 4.25% 01/15/98 2.44%
Fed Home Loan Mortgage Corp. Common Stock 2.44%
News American Holdings Incorporated Cv. 0.00% 03/11/13 2.40%
Thermo Electron Corporation Euro Cv. 4.25% 01/01/03 2.31%
First Chicago Corporation Dep. Shares, Series B, Pref. Stock 2.25%
RJR Nabisco Holding Corp. Dep. Shares, Series C, Pref. Stock 2.14%
Fuji Photo Film American Depository Receipt 1.98%
The Travelers, Inc. 5.50% Series B, Conv. Pref. Stock 1.93%
Southdown, Inc. Series D. Cum. Conv. Pref. Stock 1.90%
<FN>
- ----------------------------------
* The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprising intermediate and long-term government and investment-grade
corporate debt securities. Source: Frank Russell Company.
** The S&P 500 Stock Index is an unmanaged index generally considered
representative of the U.S. stock market. Source: Frank Russell Company.
Returns are rounded to the nearest $100.
</FN>
</TABLE>
<PAGE>
PERFORMANCE REVIEW
CALAMOS GROWTH AND INCOME FUND
FUND PERFORMANCE
Without including the adjustment for load, total return(4) for the twelve-month
period ended March 31, 1996 was 33.00%, bringing the average annual total
return since inception to 13.70%. The load-adjusted total return for the Fund
was 26.70% for the twelve-month period, bringing the average annual total
return since inception to 12.96%. These returns are based on net asset value
and include reinvestment of dividends. The three-month total return
(non-load-adjusted) was 6.59%. Over the twelve-month period, the Fund paid a
total of $0.42 in income dividends, $0.57 in short-term capital gain
dividends, and $0.14 in long-term capital gain dividends. The Fund's net asset
value on March 31, 1996, was $15.62 per share, up from its net asset value of
$14.66 per share on September 30, 1995, and $12.68 per share on March 31,
1995.
HOW DID THE FUND PERFORM OVER THE LAST TWELVE MONTHS AND WHAT FACTORS AFFECTED
THIS PERFORMANCE?
We are also very happy with the performance of this Fund over the previous
twelve-month period. It has outperformed the CONVERTIBLE FUND, due to the
somewhat more aggressive nature of some of its holdings. Its status as the
number-one performing fund in its category of 36 funds is highlighted on the
first page of the President's letter.
SINCE BOTH THE CONVERTIBLE FUND AND THE GROWTH AND INCOME FUND INVEST
PRIMARILY IN CONVERTIBLE SECURITIES, CAN YOU EXPLAIN THE MAJOR DIFFERENCES
BETWEEN THEM?
There are many similarities between the funds, including strong performance
from a number of the same positions including AUTOMATIC DATA PROCESSING, INC.
(2.50% of net assets in the GROWTH AND INCOME FUND), ALZA CORPORATION (1.95%),
THE OLSTEN CORPORATION (1.79%) and FIFTH THIRD BANCORP (2.43%).
However, there are also significant differences. The CONVERTIBLE FUND holds
foreign securities, the GROWTH AND INCOME FUND does not. The GROWTH AND INCOME
FUND makes greater use of synthetic securities than does the CONVERTIBLE FUND
(22.00% for the GROWTH AND INCOME FUND versus 7.88% for the CONVERTIBLE FUND,
including both options and treasuries). The GROWTH AND INCOME FUND has a
greater portion of its investments in small- to mid-cap companies, and has a
somewhat lower percentage of its investments in investment-grade convertibles.
WHAT IS A SYNTHETIC CONVERTIBLE?
A typical synthetic convertible combines a separate fixed-income security,
such as a highly liquid U.S. government treasury note, with a long-term equity
warrant or LEAP. Synthetics typically use warrants or LEAPs for the equity
component because of their relatively longer time to expiration. A LEAP is a
long-term equity option; the short life span of regular call options would
incur significant market risk.
- ----------------------------------
4 Total return and average annual total return performance measure net
investment income and capital gain or loss from portfolio investments and
reflect changes in share price, reinvestment of income and capital gains
distributions. Past performance is no guarantee of future results.
<PAGE>
CALAMOS GROWTH AND INCOME FUND (CONTINUED)
The convertible market has been expanded by the increasing sophistication of
investors and the increasing use of financial engineering, because investors
can create the convertibles of their choice by combining two or more
securities into one. This combination security offers investors both
additional profit opportunity and the ability to control risk.
We have found synthetics to be effective in a number of situations, but they
are not equally effective at every stage of the market cycle. They work best
when the yield curve is flat or inverted, because the short- or
intermediate-term treasury note used in the synthetic will have a yield
advantage to the longer-term traditional convertible security. Synthetic
convertibles are quite complicated to use, and are more appropriate for
professional money managers who use them within a portfolio. They are most
effectively used as risk-control adjuncts to a larger portfolio rather than as
a single investment.
HOW DOES THE FUND USE SYNTHETIC CONVERTIBLES?
Synthetic convertibles are especially attractive when the yield curve is flat
as it is now. This allows the Fund to construct convertibles for attractive
companies that have not issued convertibles. The bond component is a treasury
note, which provides defensive characteristics. At this time, the Fund finds
the risk/reward of synthetic to be very favorable, especially in light of the
increasing volatility of the financial markets.
HAVE THERE BEEN ANY MAJOR SHIFTS IN THE FUND'S STRATEGY DURING THE PAST YEAR?
As with the other Funds, we have begun to take a more cautious approach since
the beginning of the year. We reduced the size of the option portion of the
synthetic securities by 44% in March. A number of the LEAPs hit their upside
price potential, so we sold them, while keeping the underlying treasury notes.
We have not yet replaced the LEAPs.
We will continue to monitor the risk/reward, emphasizing downside protection,
and will also decrease the equity sensitivity of the Fund.
WHAT'S YOUR OUTLOOK FOR THE FUTURE PERFORMANCE OF THE CALAMOS GROWTH AND
INCOME FUND FOR THE NEXT TWELVE MONTHS?
As we have mentioned, the recent sell-off in the bond market has changed the
overall risk/reward in the convertible market. In our view, choosing the
correct sector and industry will be essential for success in the future. With
technology in the forefront, the pace of change is increasing at every
economic level. In response, many large corporations are routinely
reorganizing every two years. This increased rate of change dramatically
affects corporate earnings and in turn affects investors' decisions and
expectations. Our method is to concentrate our convertible holdings in
companies that will survive and thrive in this competitive environment,
realizing full well their current advantage may not last long.
NOTE: SHARE PRICE AND INVESTMENT RETURN WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PAST
PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
<PAGE>
<TABLE>
CALAMOS GROWTH AND INCOME FUND (CONTINUED)
<CAPTION>
<S> <C>
NAV (3/31/96) $15.62
AVERAGE ANNUAL TOTAL
RETURN PERFORMANCE
(LOAD ADJUSTED)
SIX MONTHS ENDED 3/31/96 7.72%
TWELVE MONTHS ENDED 3/31/96 26.70%
SIXTY MONTHS ENDED 3/31/96 13.97%
AVERAGE ANNUAL TOTAL RETURN
SINCE INCEPTION 12.96%
(9/22/88 - 3/31/96)
GROWTH OF A $10,000 INVESTMENT OVER TIME
(Based on a hypothetical investment made in the
CALAMOS GROWTH AND INCOME FUND from 9/22/88 through
3/31/96. Returns are not adjusted for load.
Past performance is not an indication of future
results.)
CHART
CALAMOS GROWTH & INCOME
<CAPTION>
Growth & Income LB G/C Ind* S&P 500 Index**
<S> <C> <C> <C>
Sep-88 Beginning Balance 10,000 10,000 10,000
Dec-88 10,100 10,100 10,300
Mar-89 10,500 10,200 11,000
Jun-89 11,100 11,000 12,000
Sep-89 12,100 11,100 13,300
Dec-89 11,700 11,500 13,500
Mar-90 11,500 11,400 13,100
Jun-90 12,200 11,800 14,000
Sep-90 10,700 11,900 12,000
Dec-90 11,300 12,500 13,100
Mar-91 13,000 12,800 15,000
Jun-91 12,900 13,000 15,000
Sep-91 14,300 13,800 15,800
Dec-91 16,000 14,500 17,100
Mar-92 15,800 14,300 16,700
Jun-92 15,400 14,900 17,000
Sep-92 16,200 15,600 17,500
Dec-92 17,600 15,600 18,400
Mar-93 18,600 16,300 19,200
Jun-93 19,200 16,800 19,300
Sep-93 20,400 17,400 19,800
Dec-93 20,200 17,300 20,300
Mar-94 19,500 16,800 19,500
Jun-94 18,500 16,600 19,600
Sep-94 19,300 16,700 20,500
Dec-94 19,100 16,700 20,500
Mar-95 19,800 17,500 22,500
Jun-95 21,400 18,700 24,700
Sep-95 23,200 19,000 26,700
Dec-95 24,700 19,900 28,200
Mar-96 26,300 19,500 29,800
</TABLE>
<PAGE>
<TABLE>
TOP TEN POSITIONS - CONVERTIBLE SECURITIES AND COMMON STOCK
<CAPTION>
Percent of
Company Description Net Assets
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Gap, Inc.(5) Synthetic Security 4.04%
American Home Products Corp.(6) Synthetic Security 3.92%
Bristol Meyer Squibb(7) Synthetic Security 3.71%
Heinz (H.J.) Company(8) Synthetic Security 3.61%
Occidental Petroleum Corp.(9) Synthetic Security 3.43%
YPF Sociedad Anonima(10) Synthetic Security 3.33%
Alberto-Culver Company Euro Cv. 5.50% 06/30/05 2.63%
Prime Hospitality Corp. Cv. 7.00% 04/15/02 2.54%
Automatic Data Processing, Inc. Cv 0.00% 02/20/12 2.50%
Fifth Third Bancorp Cv 4.25% 01/15/98 2.43%
<FN>
- ----------------------------------
5 The Gap, Inc. position is a synthetic convertible; the position
percentage includes the synthetic's U.S. Treasury Note component (3.00%)
and its call option component (1.04%).
6 The American Home Products Corp. position is a synthetic convertible;
the position percentage includes the synthetic's U.S. Treasury Note
component (3.00%) and its call option component (0.92%).
7 The Bristol Meyers Squibb position is a synthetic convertible;
the position percentage includes the synthetic's U.S. Treasury Note component
(3.00%) and its call option component (0.71%).
8 The Heinz (H.J.) Company position is a synthetic convertible; the position
percentage includes the synthetic's U.S. Treasury Note component (3.00%)
and its call option component (0.61%).
9 The Occidental Petroleum Corp. position is a synthetic convertible; the
position percentage includes the synthetic's U.S. Treasury Note component
(3.00%) and its call option component (0.43%).
10 The YPF Sociedad Anonima position is a synthetic convertible; the position
percentage includes the synthetic's U.S. Treasury Note component (3.00%)
and its call option component (0.33%).
* The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprising intermediate and long-term government and investment-grade
corporate debt securities. Source: Frank Russell Company.
** The S&P 500 Stock Index is an unmanaged index generally considered
representative of the U.S. stock market. Source: Frank Russell Company.
Returns are rounded to the nearest $100.
</FN>
</TABLE>
<PAGE>
PERFORMANCE REVIEW
CALAMOS STRATEGIC INCOME FUND
FUND PERFORMANCE
Without including the adjustment for load, total return(11) for the
twelve-month period ended March 31, 1996, was 13.61%, bringing the average
annual total return since inception to 8.80%. The load-adjusted total return
for the Fund was 8.16% for the twelve-month period ended March 31, 1996,
bringing the average annual total return since inception to 7.86%. These
returns are based on net asset value and include reinvestment of dividends.
The three-month total return (non-load-adjusted) was 2.57%. Over the
twelve-month period, the Fund paid a total of $0.42 in income dividends, no
short-term capital gain dividends, and no long-term capital gain dividends.
The Fund's net asset value on March 31, 1996, was $11.07 per share, up from
its net asset value of $10.72 per share on September 30, 1995, and $10.13 per
share on March 31, 1995.
HOW DID THE FUND PERFORM OVER THE LAST TWELVE MONTHS AND WHAT FACTORS MOST
AFFECTED THE FUND'S PERFORMANCE?
With a 13.61% total return for the year, the Fund has done more than
maintain a stable NAV -- the NAV has grown almost 10%.
The Fund uses convertible securities to accomplish its objective of providing
a stream of income while maintaining NAV. Convertible securities tend to
participate in price increases on the underlying common stocks while also
paying a higher level of current income than the stocks themselves. The Fund
generates income from the interest and dividends paid on the convertible
securities.
Over the past fiscal year, the STRATEGIC INCOME FUND has used two strategies
for achieving its investment objective of providing an above-average income
stream for shareholders while maintaining a stable net asset value.
The first strategy is using convertible securities that provide high current
yield and that the Fund believes represent emerging credit, an issuer whose
credit quality is improving, these are typically convertibles with a high
yield and a high conversion premium.
The second technique is the convertible stock hedge. This defensive strategy
uses a covered short sale against convertibles the Fund owns. A short sale is
effected by selling the stock at current market prices, and later repurchasing
it. Proceeds from the stock sale create a credit balance which may earn
interest. This short sale acts as a hedge on the value of the portfolio,
meaning that the Fund profits if the stock price decreases. The percentage of
shares sold short -- referred to as the hedge ratio(12) -- enables the Fund to
control the market-related risk of its portfolio. When the stock price
increases, it is the convertible securities that benefit.
- ----------------------------------
11 Total return and average annual total return performance measure net
investment income and capital gain or loss from portfolio investments and
reflect changes in share price, reinvestment of income and capital gains
distributions. Past performance is no guarantee of future results.
12 The hedge ratio is the number of underlying common shares sold divided
by the number of shares into which the bonds are convertible.
<PAGE>
CALAMOS STRATEGIC INCOME FUND (CONTINUED)
WHAT WAS THE FUND'S DISTRIBUTION RATE FOR THE FISCAL YEAR?
The distribution rate(13) is the amount of income paid to shareholders,
expressed as a percentage, and includes both interest and dividend income as
well as short- and long-term capital gains. The distribution rate of the Fund
over the twelve-month period ended March 31, 1996, was 3.91%.
WHAT WERE SOME OF THE MAJOR CHANGES IN THE PORTFOLIO OVER THE PAST TWELVE
MONTHS?
Part of our strategy for this Fund is maintaining the risk/reward profile of
the portfolio at appropriate levels. One way we did this was through a THERMO
ELECTRON swap. We sold one issue (the 5% due 04/15/01), replacing it with a
later issue (the 4.25% due 01/01/03, representing 5.14% of net assets). The 5%
bond had performed very well, and as a result was trading near 160. It had,
however, developed significant downside risk and a lower yield than the new
4.25% issue. The new convertible bond provides a favorable risk/return ratio,
participating in 80% of the stock's upside and only 30% of the stock's
downside, with a yield to maturity of 4.3%.
We use our in-house credit research capabilities to invest in so-called
emerging credit situations and securities that are undervalued by the market
relative to their inherent credit quality. Emerging credits involve issuers
whose credit quality is improving, such as IMC FERTILIZER GROUP, INC., which
has benefited from strong operating performance and a strategic alliance with
a former competitor. It was sold in January after it hit its upside price
objective.
HOW DOES THE CONVERTIBLE STOCK HEDGE STRATEGY CONTROL RISK?
The amount of stock sold short against convertibles is varied depending on the
Fund's market outlook. A higher hedge ratio indicates a more defensive Fund
portfolio. The Fund attempts to balance risk and reward by adjusting the hedge
ratio as the underlying stock prices change. The hedge ratio dampens overall
volatility and helps stabilize the net asset value in volatile markets.
Although we believe the hedge strategy to be very effective in achieving the
Fund's objectives, there is no guarantee that the hedge strategy will be
successful.
WHEN A STOCK IS SOLD SHORT WHAT HAPPENS TO THE DIVIDEND?
The difference between the current yield on the convertible and the yield on
the underlying common stock represents the convertible's yield advantage. This
yield advantage is an important consideration when determining candidates for
the convertible hedge strategy. The Fund typically chooses to execute this
strategy with a stock/convertible combination that offers a positive yield
advantage. Often the underlying common stock pays no dividend or a very small
one, which means that the convertible yield advantage is attractive. For the
stocks that do pay a dividend, the dividend is an expense of the Fund and can
be paid out of the convertible's yield advantage. This tends to increase the
overall expense ratio for the Fund. The Fund's somewhat elevated expense ratio
does not compare precisely to the expense ratios of funds with other
strategies.
- ----------------------------------
13 The distribution rate is calculated by dividing the twelve-month
total dividend distribution by the average net asset value for the same
period. The average net asset value for that period was $10.74 and dividends
totaling $0.42 were distributed for the same period.
<PAGE>
CALAMOS STRATEGIC INCOME FUND (CONTINUED)
WHAT IS YOUR OUTLOOK FOR THE FUND?
We believe we are entering a period of increasing volatility within the stock
and bond markets. Over the past few years, volatility in both the stock and
bond markets has been very subdued, compared to historical norms. The markets
are struggling to decide whether we are in a recession, about to undergo a
soft landing, or entering a period of great uncertainty due to the political
climate. We expect to see an upswing in market volatility. In this environment
the defensive characteristics of the STRATEGIC INCOME FUND will be beneficial
to stabilized asset values while securing an above-average income stream.
NOTE: SHARE PRICE AND INVESTMENT RETURN WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PAST
PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
<TABLE>
<CAPTION>
<S> <C>
NAV (3/31/96) $11.07
AVERAGE ANNUAL TOTAL RETURN
PERFORMANCE
(LOAD-ADJUSTED)
SIX MONTHS ENDED 3/31/96 0.03%
TWELVE MONTHS ENDED 3/31/96 8.16%
SIXTY MONTHS ENDED 3/31/96 6.84%
AVERAGE ANNUAL TOTAL RETURN
SINCE INCEPTION 7.86%
(9/4/90 - 3/31/96)
DISTRIBUTION RATE(14) 3.91%
AVERAGE NET ASSET VALUE
FOR 12-MONTH PERIOD ENDED 3/31/96 $10.74
SEC YIELD(15) FOR THE FUND
FOR 30 DAYS ENDED 3/31/96 3.61%
GROWTH OF A $10,000 INVESTMENT OVER TIME
(Based on a hypothetical investment made in the
CALAMOS STRATEGIC INCOME FUND from 9/4/90 through
3/31/96. Returns are not adjusted for
load. Past performance is not an
indication of future results.)
CHART
STRATEGIC INCOME FUND
<CAPTION>
Strg Fnd 30 day Tbills* LB G/C Ind**
<S> <C> <C> <C>
Beginning
Balance 10,000 10,000 10,000
Dec-90 10,300 10,200 10,500
Mar-91 10,900 10,300 10,800
Jun-91 11,100 10,400 11,000
Sep-91 11,300 10,600 11,600
Dec-91 11,700 10,700 12,200
Mar-92 12,100 10,800 12,000
Jun-92 12,200 10,900 12,500
Sep-92 12,600 11,000 13,100
Dec-92 13,100 11,000 13,100
Mar-93 13,500 11,100 13,700
Jun-93 13,800 11,200 14,200
Sep-93 14,400 11,300 14,600
Dec-93 14,700 11,300 14,600
Mar-94 14,400 11,400 14,100
Jun-94 13,800 11,500 13,900
Sep-94 14,000 11,700 14,000
Dec-94 13,600 11,800 14,100
Mar-95 14,100 11,900 14,800
Jun-95 14,800 12,100 15,700
Sep-95 15,200 12,200 16,000
Dec-95 15,600 12,400 16,800
Mar-96 16,000 12,600 16,400
<FN>
- ----------------------------------
14 Total return and average annual total return performance measure net
investment income and capital gain or loss from portfolio investments and
reflect changes in share price, reinvestment of income and capital gains
distributions. Past performance is no guarantee of future results.
15 The SEC yield is a yield figure for the Fund calculated according to
rules set forth by the Securities and Exchange Commission (SEC). The figure is
derived by dividing the Fund portfolio's net investment income per share (a
hypothetical figure as defined in the SEC rules) during a 30-day period by the
public offering price per share on the last day of the period being
considered.
* The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprising intermediate and long-term government and investment-grade
corporate debt securities. Source: Frank Russell Company.
** The 30-Day Treasury Bill Index is an unmanaged index generally
considered representative of the performance of short-term money instruments.
U.S. Treasury bills are backed by the full faith and credit of the U.S.
government and offer a guarantee as to the repayment of principal and interest
at maturity. Source: Frank Russell Company. Returns are rounded to the nearest
$100.
</FN>
</TABLE>
<PAGE>
<TABLE>
CALAMOS STRATEGIC INCOME FUND (CONTINUED)
TOP TEN POSITIONS - CONVERTIBLE SECURITIES
<CAPTION>
Percent of
Company Description Net Assets
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
Thermo Electron Corporation Euro Cv. 4.25% 01/01/03 5.14%
Checkpoint Systems, Inc. Euro Cv. 5.25% 11/01/05 4.51%
MascoTech, Inc. Cv. 4.50% 12/15/03 4.31%
The Olsten Corporation Cv. 4.875% 05/15/03 4.29%
First Financial Management Corp. Cv. 5.00% 12/15/99 4.19%
Boston Chicken, Inc. Cv. 0.00% 06/01/15 3.83%
Prime Hospitality Corp. Cv. 7.00% 04/15/02 3.80%
Delta Air Lines, Inc. Cv. 3.23% 06/15/03 3.65%
Proffitt's, Inc. Cv. 4.75% 11/01/03 3.52%
USF&G Corporation Cv. 0.00% 03/03/09 3.50%
</TABLE>
<PAGE>
PERFORMANCE REVIEW
CALAMOS GROWTH FUND
FUND PERFORMANCE
Without including the adjustment for load, total return(16) for the
twelve-month period ended March 31, 1996 was 35.16%, bringing the average
annual total return since inception to 14.02%. The load-adjusted total return
for the Fund was 28.72% for the twelve-month period, bringing the average
annual total return since inception to 13.02%. These returns are based on net
asset value and include reinvestment of dividends. The three-month total
return (non-load-adjusted) was 8.85%. Over the twelve-month period, the Fund
paid a total of $0.07 in income dividends, $1.71 in short-term capital gain
dividends, and $1.26 in long-term capital gain dividends. The Fund's net asset
value on March 31, 1996, was $15.74 per share, down from its net asset value
of $17.70 per share on September 30, 1995, and up from $14.18 per share on
March 31, 1995.
Shareholders should note that the Fund posted strong results for the quarter
and the year. The NAV on March 31, 1996 is down from the NAV on September 30,
1995 due to a high distribution paid out in the fourth quarter. Although the
Fund declared a total of $2.90 in dividends and capital gains in the fourth
quarter, on the date the dividend was paid, the NAV dropped only $2.57, from
$16.59 to $14.02.
HOW DID THE FUND PERFORM OVER THE LAST TWELVE MONTHS AND WHAT FACTORS AFFECTED
THIS PERFORMANCE?
The Fund has turned in a strong performance for the fiscal year, with total
return higher than that of both the S&P 500 and the Russell 2000. Total return
for the Fund was 35.16% (non-load-adjusted), while the S&P reported 32.14% and
the Russell 2000 reported 29.04%.(17) Over the last 18 months, we have made
significant changes to the way it is managed. For example, at one point it
carried a weighting in foreign stocks, which were eliminated in early 1995. We
made important changes to the way we analyzed our investments, and brought in
new quantitative methods and models. The results should speak for themselves.
The strategy is described below.
Although in general 1995 was a year that saw strong large-cap performance, the
resurgence in small- to medium-cap issues seen at the very end of the quarter
benefited the GROWTH FUND. This sector of the market lagged the larger-cap
issues throughout much of 1995, and is beginning to show some strength now.
WHAT IS THE FUND'S STRATEGY?
The Fund's strategy is to search for the fastest-growing companies available
in the stock market. We search for companies with earnings growth rates
significantly above average. We believe that a company's earnings trend has a
direct relationship to its stock price. By focusing on expected earnings
growth, the Fund's strategy is to recognize undervalued companies before they
become well-known in the marketplace. We also focus on companies that are
capable of positive earning surprises.
- ----------------------------------
16 Total return and average annual total return performance measure net
investment income and capital gain or loss from portfolio investments and
reflect changes in share price, reinvestment of income and capital gains
distributions. Past performance is no guarantee of future results.
17 For the five-year period ending March 31, 1996, the Fund reported
average annualized total return of 10.51%, compared to 14.68% for the S&P 500
and 16.00% for the Russell 2000. Since the fund's inception date (9/4/90),
average annualized total return for the Fund is 13.89%, while the S&P 500 is
16.57% and the Russell 2000 is 18.73%. The S&P 500 is an unmanaged index
generally considered representative of the U.S. stock market. The Russell 2000
index represent the bottom two-thirds of the largest 3,000 publicly traded
companies domiciled in the United States. Only common stocks are included in
the index. It is generally considered representative of the performance of
small-and mid-cap stocks.
<PAGE>
CALAMOS GROWTH FUND (CONTINUED)
Since the fastest-growing companies are typically small- to mid-size
companies, the Fund has the majority of its holdings in this area. We
recognize that the stock prices of fast-growing companies are highly volatile.
The portfolio is therefore traded aggressively to maintain ownership in the
top companies representing the best earnings potential. The companies
purchased will be selected according to both company and sector potential
using quantitative analysis with the help of computer models. Although the
Fund is diversified by industry, it may at times be heavily weighted in
sectors we believe to be the most attractive.
The Fund has investments in 49 different companies and is well diversified to
reduce risk. Approximately 10% of the Fund's portfolio is invested in
large-capitalization companies, 51% is in mid-capitalization companies, and
39% is in small-capitalization companies. Fund management believes that the
higher-than-usual weighting of smallto mid-size companies is warranted in the
current investment environment. However, smaller-cap companies generally have
a higher degree of risk than companies with larger capitalization.
HAVE THERE BEEN ANY MAJOR SHIFTS IN STRATEGY OVER THE PAST TWELVE MONTHS?
During the first half of the Fund's fiscal year, investments were concentrated
in the technology and financial sectors. Although the technology sector has
been volatile, it provided significant gains for the Fund over the first half.
We have reduced the technology percentage over the last six months, and
technology exposure is approximately a third lower now than it was six months
ago. Financial companies also provided high earnings growth over the first
half of the year, but we have reduced that percentage over the last quarter as
interest rates have risen.
WHAT'S YOUR OUTLOOK FOR THE FUND FOR THE NEXT YEAR?
We believe that the present economic climate of slow but steady growth favors
small- to mid-cap companies. Year-over-year comparisons of corporate profits
will not be as favorable as they have been recently and therefore increased
selectivity is warranted. The Fund expects to concentrate its holdings in
companies that have outstanding earnings growth potential.
The outlook for the rest of 1996 is going to be affected by the uncertain
economic environment, as discussed above, and unduly influenced by the
political scene. The political effect is especially important for both bond
and stock investors because of the uncertainty of future government policy.
There is the possibility of significant changes to the financial markets
brought about by a new Administration and a new Congress. The ebb and flow of
the market's perception of those changes over the coming months will no doubt
cause significant volatility. Like most analysts, we are watching events
closely to judge their impact on portfolios.
NOTE SHARE PRICE AND INVESTMENT RETURN WILL FLUCTUATE SO THAT AN INVESTOR'S
SHARES, WHEN REDEEMED, MAY BE WORTH MORE OR LESS THAN THE ORIGINAL COST. PAST
PERFORMANCE DOES NOT GUARANTEE FUTURE RESULTS.
<PAGE>
<TABLE>
CALAMOS GROWTH FUND (CONTINUED)
<CAPTION>
<S> <C>
NAV (3/31/96) $15.74
AVERAGE ANNUAL TOTAL
RETURN PERFORMANCE
(LOAD ADJUSTED)
SIX MONTHS ENDED 3/31/96 2.24%
TWELVE MONTHS ENDED 3/31/96 28.72%
SIXTY MONTHS ENDED 3/31/96 9.45%
AVERAGE ANNUAL TOTAL RETURN
SINCE INCEPTION 13.02%
(9/4/90 - 3/31/96)
GROWTH OF A $10,000 INVESTMENT OVER TIME
(Based on a hypothetical investment made in the
CALAMOS GROWTH FUND from 9/4/90 through
3/31/96. Returns are not adjusted
for load. Past performance is not an
indication of future results.)
CHART
<CAPTION>
CALAMOS GROWTH FUND Growth Fnd S&P 500 Index*
<S> <C> <C>
10,000 10,000
Dec-90 11,000 10,900
Mar-91 13,000 12,500
Jun-91 12,500 12,500
Sep-91 13,600 13,100
Dec-91 15,400 14,200
Mar-92 15,000 13,900
Jun-92 14,100 14,100
Sep-92 14,700 14,600
Dec-92 15,600 15,300
Mar-93 15,600 16,000
Jun-93 15,500 16,100
Sep-93 15,900 16,500
Dec-93 16,300 16,900
Mar-94 15,600 16,200
Jun-94 15,500 16,300
Sep-94 16,100 17,100
Dec-94 15,400 17,100
Mar-95 15,800 18,700
Jun-95 17,400 20,500
Sep-95 19,900 22,200
Dec-95 19,600 23,500
Mar-96 20,800 24,800
</TABLE>
<PAGE>
<TABLE>
TOP TEN POSITIONS - COMMON STOCK
<CAPTION>
Percent of
Company Description Net Assets
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C>
JLG Industries, Incorporated Common Stock 3.19%
Checkpoint Systems, Inc. Common Stock 2.95%
Cadence Design Systems, Inc. Common Stock 2.54%
Zygo Corporation Common Stock 2.45%
Jones Medical Industries, Inc. Common Stock 2.42%
Nike, Inc.- Class B Common Stock 2.27%
Redman Industries, Inc. Common Stock 2.26%
Ross Stores, Inc. Common Stock 2.19%
Safeway, Inc. Common Stock 2.19%
Noble Drilling Corporation Common Stock 2.16%
<FN>
- ----------------------------------
* The S&P 500 Stock Index is an unmanaged index generally considered
representative of the U.S. stock market. Source: Frank Russell Company.
Returns are rounded to the nearest $100.
</FN>
</TABLE>
<PAGE>
REPORT OF INDEPENDENT AUDITORS
TO THE BOARD OF TRUSTEES AND SHAREHOLDERS
CFS INVESTMENT TRUST
We have audited the accompanying statement of assets and liabilities,
including the schedules of investments, of CFS Investment Trust (comprising
Calamos Convertible Fund, Calamos Growth and Income Fund, Calamos Strategic
Income Fund and Calamos Growth Fund) as of March 31, 1996, and the related
statements of operations for the year then ended and changes in net assets for
each of the two periods included therein and the financial highlights for each
of the fiscal periods since 1988. These financial statements and financial
highlights are the responsibility of the Funds' management. Our responsibility
is to express an opinion on these financial statements and financial
highlights based on our audits.
We conducted our audits in accordance with generally accepted auditing
standards. 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 investments
owned as of March 31, 1996, by correspondence with the custodian and brokers.
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 audits provide 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 Fund, Calamos Growth and Income Fund, Calamos Strategic
Income Fund and Calamos Growth Fund at March 31, 1996, the results of their
operations for the year then ended, the changes in their net assets for each
of the two periods included therein, and the financial highlights for each of
the fiscal periods since 1988, in conformity with generally accepted
accounting principles.
ERNST & YOUNG LLP
Chicago, Illinois
May 10, 1996
<PAGE>
<TABLE>
SCHEDULE OF INVESTMENTS MARCH 31, 1996
CALAMOS CONVERTIBLE FUND
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
CONVERTIBLE BONDS (48.8%)
BASIC INDUSTRIES (2.2%)
$180,000 Renong Berhad $207,000
2.500% Conv. Euro. Notes
01/15/2005
475,000 RPM, Inc. 201,281
0.000% Liquid Yield Option Notes
09/30/2012
125,000 TriMas Corporation 133,750
5.000% Conv. Sub. Deb.
08/01/2003 --------
542,031
CAPITAL GOODS - INDUSTRIAL (4.4%)
154,000 Cooper Industries, Inc. 159,390
7.050% Conv. Sub. Deb.
01/01/2015
475,000 Thermo Electron Corporation 565,250
4.250% Conv. Sub. Euro. Deb.
01/01/2003
400,000 WMX Technologies, Inc. 358,000
2.000% Conv. Sub. Notes
01/24/2005 --------
1,082,640
CAPITAL GOODS - TECHNOLOGY (10.5%)
1,220,000 Automatic Data Processing, Inc. 634,400
0.000% Liquid Yield Option Notes
02/20/2012
225,000 Compania de Telefonos de Chile S.A. 251,719
4.500% Conv. Sub. Deb.
01/15/2003
195,000 Data General Corporation 199,875
7.750% Conv. Sub. Deb.
06/01/2001
160,000 First Financial Management Corp. 271,200
(First Data Corporation)
5.000% Senior Conv. Deb.
12/15/1999
171,000 LDDS Communications, Inc. 214,605
(World Comm. Inc.)
5.000% Conv. Sub. Notes
08/15/2003
510,000 Motorola, Inc. 371,025
0.000% Liquid Yield Option Notes
09/27/2013
175,000 Systems & Computer Technology Corp. 194,250
6.250% Conv. Sub. Deb.
09/01/2003
225,000 Telekom Malaysia Berhad 244,969
4.000% Convertible Bonds
10/03/2004
500,000 United States Cellular Corporation 176,875
0.000% Liquid Yield Option Notes
06/15/2015 --------
2,558,918
<PAGE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
CONSUMER CYCLICAL (9.9%)
$650,000 ADT Operations, Inc. $341,250
0.000% Liquid Yield Option Notes
07/06/2010
370,000 AMR Corporation 429,200
6.125% Conv. Sub.
Quarterly Income Capital Securities
11/01/2024
240,000 Carnival Cruise Lines, Inc. 381,600
4.500% Conv. Sub. Notes
07/01/1997
88,000 Daily Mail and General Trust plc 202,505
BPS (Reuters Holdings PLC)
5.750% Exch. Bonds
09/26/2003
240,000 Delta Air Lines, Inc. 236,400
3.230% Conv. Sub. Notes
06/15/2003
225,000 HFS Incorporated 232,594
4.750% Conv. Senior Notes
03/01/2003
395,000 The Interpublic Group of Companies, Inc. 415,738
3.750% Conv. Sub. Euro. Deb.
04/01/2002
190,000 McKesson Corporation (Armor All) 170,050
4.500% Exch. Sub. Deb.
03/01/2004 --------
2,409,337
CONSUMER GROWTH STAPLES (9.1%)
305,000 Alberto-Culver Company 388,112
5.500% Conv. Sub. Euro. Deb.
06/30/2005
800,000 ALZA Corporation 362,000
0.000% Liquid Yield Option Notes
07/14/2014
625,000 Elan International Finance, Ltd. 437,500
0.000% Liquid Yield Option Notes
10/16/2012
160,000 Hasbro, Inc. 201,800
6.000% Conv. Sub. Notes
11/15/1998
1,215,000 News America Holdings Incorporated 587,756
0.000% Liquid Yield Option Notes
03/11/2013
175,000 The Olsten Corporation 243,250
4.875% Conv. Sub. Deb.
05/15/2003 --------
2,220,418
CONSUMER STAPLES (2.1%)
150,000 Allied Domecq plc 223,251
BPS 6.750% Conv. Bonds
07/07/2008
270,000 Grand Metropolitan Public Ltd. Co. 295,988
6.500% Conv. Euro. Notes
01/31/2000 --------
519,239
See accompanying Notes to Schedule of Investments.
<PAGE>
<CAPTION>
SCHEDULE OF INVESTMENTS MARCH 31, 1996
CALAMOS CONVERTIBLE FUND
PRINCIPAL
AMOUNT/
NUMBER OF
SHARES VALUE
<S> <C> <C>
ENERGY (2.7%)
$700,000 Baker Hughes, Inc. $462,000
0.000% Liquid Yield Option Notes
05/05/2008
200,000 Pennzoil Company (Chevron) 206,500
4.750% Exch. Senior Deb.
10/01/2003 ---------
668,500
FINANCIAL (7.9%)
145,000 Cincinnati Financial Corporation 209,162
5.500% Conv. Senior Deb.
05/01/2002
165,000 Developers Diversified Realty Corp. 164,175
7.000% Conv. Sub. Deb.
08/15/1999
440,000 Fifth Third Bancorp 597,850
4.250% Conv. Sub. Notes
01/15/1998
100,000 Hysan Development Finance Ltd. 116,375
6.750% Conv. Guaranteed Notes
06/01/2000
260,000 Leucadia National Corporation 265,200
5.250% Conv. Sub. Deb.
02/01/2003
800,000 USF&G Corporation 453,000
0.000% Conv. Sub. Notes
03/03/2009
100,000 The Wharf Holdings Limited 117,000
5.000% Conv. Sub. Guaranteed Notes
07/15/2000 ---------
1,922,762
---------
TOTAL CONVERTIBLE BONDS 11,923,845
(Cost $10,642,229)
CONVERTIBLE PREFERRED STOCKS (20.9%)
BASIC INDUSTRIES (2.4%)
7,000 International Paper Company 325,500
5.250% Conv. Pref. Securities
5,550 James River Corporation of Virginia 262,931
Dep. Shares, 1/100 Share
9.000% Series P Cum. Conv.
Pref. Stock ---------
588,431
CAPITAL GOODS - INDUSTRIAL (1.7%)
3,800 Ford Motor Company 425,600
Dep. Shares, 1/1000 Share
Series A Cum. Conv. Pref. Stock
<PAGE>
<CAPTION>
NUMBER OF
SHARES VALUE
<S> <C> <C>
CAPITAL GOODS - TECHNOLOGY (1.4%)
4,000 Philippine Long Distance Telephone Co. $207,000
$4.117 Global Dep. Shares,
One Share Series III Conv. Pref. Stock
2,900 Salomon, Inc. 137,025
6.750% DEC (Digital Equipment
Corporation) Common Equity-Linked
Securities, Due 08/02/1996 --------
344,025
CONSUMER GROWTH STAPLES (0.3%)
3,000 FHP International Corp. 84,000
Series A Cum. Conv. Pref. Stock
CONSUMER STAPLES (2.2%)
85,600 RJR Nabisco Holding Corp. 524,300
Series C Dep. Shares,
1/10 Series C Conv. Pref. Stock
CREDIT CYCLICALS (3.0%)
5,000 H.F. Ahmanson & Company 278,750
Dep. Shares, 1/10 Share
Series D 6.000% Cum. Conv. Pref. Stock
10,000 Southdown, Inc. 465,000
Series D Cum. Conv. Pref. Stock ---------
743,750
FINANCIAL (8.0%)
7,780 First Chicago Corporation 550,435
Dep. Shares, 1/100 Share 5.750%
Cum. Conv. Pref. Stock, Series B
145 Jardine Strategic Holdings Limited 162,037
7.500% Conv. Cum. Pref. Shares
6,000 Public Storage, Inc. 207,000
Series X 8.250% Conv. Pref. Stock
2,715 The Rouse Company (a) 147,628
$3.250 Series A Conv. Pref. Stock
5,300 St. Paul Capital LLC 299,450
6.000% Conv. Monthly Income Pref. Sec.
5,300 The Travelers Inc. 471,700
5.500% Conv. Pref. Stock, Series B
750 Webster Financial Corporation 120,563
Series B 7.500% Cum.
Conv. Pref. Stock --------
1,958,813
UTILITIES (1.9%)
9,600 Citizens Utilities Trust 451,200
5.000% Equity Providing
Pref. Income Conv. Securities
--------
TOTAL CONVERTIBLE 5,120,119
PREFERRED STOCKS
(Cost $4,558,780)
See accompanying Notes to Schedule of Investments.
<PAGE>
<CAPTION>
SCHEDULE OF INVESTMENTS MARCH 31, 1996
CALAMOS CONVERTIBLE FUND
NUMBER OF
SHARES VALUE
<S> <C> <C>
COMMON STOCKS (15.9%)
CAPITAL GOODS - INDUSTRIAL (4.9%)
4,200 Chrysler Corporation $261,450
8,400 Fuji Photo Film ADR 485,100
4,700 Hitachi Ltd.-Sponsored ADR 458,838
--------
1,205,388
CAPITAL GOODS - TECHNOLOGY (1.8%)
14,531 Alcatel Alsthom ADR 268,823
3,221 General Motors Class E Corporation 183,597
--------
452,420
CONSUMER CYCLICAL (2.3%)
10,000 Heilig-Meyers Company 206,250
5,800 Sony Corporation ADR 352,350
--------
558,600
CONSUMER GROWTH STAPLES (3.2%)
3,000 Gannett Co., Inc. 201,750
11,000 Reebok International Ltd. 303,875
900 Washington Post Company- Class B 268,313
--------
773,938
CONSUMER STAPLES (1.3%)
8,000 Dole Food Company, Inc. 308,000
CREDIT CYCLICALS (2.4%)
7,000 Federal Home Loan Mortgage Corp. 596,750
--------
TOTAL COMMON STOCKS 3,895,096
(Cost $3,219,682)
CALL OPTIONS (1.8%)
CONSUMER CYCLICAL (0.6%)
60 Gap, Inc. (a) 145,500
Long Term Equity Anticipation Securities
Expiring 01/17/1998 Strike Price 35
CONSUMER GROWTH STAPLES (0.2%)
50 Bristol Myers Squibb (a) 64,375
Long Term Equity Anticipation Securities
Expiring 01/17/1998 Strike Price 80
CONSUMER STAPLES (0.3%)
82 Heinz (H.J.) Company (a) 72,263
Long Term Equity Anticipation Securities
Expiring 01/17/1998 Strike Price 30
<PAGE>
<CAPTION>
NUMBER OF
SHARES/
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
CREDIT CYCLICALS (0.4%)
120 Federal National Mortgage Assn. (a) $99,000
Long Term Equity Anticipation Securities
Expiring 01/17/1998 Strike Price 27.50
ENERGY (0.3%)
235 YPF Sociedad Anonima (a) 64,625
Long Term Equity Anticipation Securities
Expiring 01/17/1998 Strike Price 22.50
---------
TOTAL CALL OPTIONS 445,763
(Cost $335,471)
WARRANTS (0.8%)
29,300 Bear Stearns 201,437
Japanese Yen Put Warrants (a)
Expiring 08/21/97
---------
TOTAL WARRANTS 201,437
(Cost $175,433)
U.S. GOVERNMENT SECURITIES (6.1%)
$850,000 United States Treasury Notes 874,837
7.000% 04/15/1999
100,000 United States Treasury Notes 101,938
8.000% 01/15/1997
300,000 United States Treasury Notes 304,968
7.500% 01/31/1997
200,000 United States Treasury Notes 199,500
5.625% 01/31/1998
---------
TOTAL U.S. GOVERNMENT 1,481,243
SECURITIES
(Cost $1,471,203)
---------
TOTAL INVESTMENTS (94.3%) 23,067,503
(Cost $20,402,798)
CASH DEPOSIT WITH CUSTODIAN 1,082,961
(INTEREST BEARING) (4.4%)
OTHER ASSETS, LESS LIABILITIES (1.3%) 309,588
-----------
NET ASSETS (100%) $ 24,460,052
===========
NET ASSET VALUE PER SHARE $ 14.49
===========
(1,687,595 shares outstanding)
<FN>
NOTE TO SCHEDULE OF INVESTMENTS
(a) Non-income producing security
See accompanying Notes to Financial Statements.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
SCHEDULE OF INVESTMENTS MARCH 31, 1996
CALAMOS GROWTH AND INCOME FUND
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
CONVERTIBLE BONDS (40.0%)
BASIC INDUSTRIES (1.0%)
$50,000 Riverwood International Corporation $57,500
6.750% Conv. Sub. Notes
09/15/2003
CAPITAL GOODS - INDUSTRIAL (5.2%)
70,000 Thermo Instrument Systems Inc. 124,775
3.750% Senior Conv. Euro.
Deb. Guaranteed
09/15/2000
30,000 Titan Wheel International Inc. 40,050
4.750% Conv. Sub. Notes
12/01/2000
40,000 United States Filter Corporation 55,850
5.000% Conv. Sub. Deb.
10/15/2000
80,000 Varlen Corporation 83,200
6.500% Conv. Sub. Deb.
06/01/2003 --------
303,875
CAPITAL GOODS - TECHNOLOGY (6.5%)
280,000 Automatic Data Processing, Inc. 145,600
0.000% Liquid Yield Option Notes
02/20/2012
45,000 Checkpoint Systems, Inc. 65,700
5.250% Conv. Sub. Euro. Deb.
11/01/2005
45,000 LDDS Communications, Inc. 56,475
(World Comm., Inc.)
5.000% Conv. Sub. Notes
08/15/2003
30,000 MacNeal-Schwendler Corporation 32,700
7.875% Conv. Sub. Deb.
08/18/2004
220,000 United States Cellular Corporation 77,825
0.000% Liquid Yield Option Notes
06/15/2015 --------
378,300
CONSUMER CYCLICAL (6.6%)
30,000 Alaska Air Group, Inc. 30,600
7.750% Conv. Deb.
06/15/2010
82,000 AMR Corporation 95,120
6.125% Conv. Sub.
Quarterly Income Capital Securities
11/01/2024
55,000 HFS Incorporated 56,856
4.750% Conv. Senior Notes
03/01/2003
50,000 The Interpublic Group of Companies, Inc. 52,625
3.750% Conv. Sub. Euro. Deb.
04/01/2002
<PAGE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
$120,000 Prime Hospitality Corp. $147,900
7.000% Conv. Sub. Notes
04/15/2002 --------
383,101
CONSUMER GROWTH STAPLES (10.6%)
50,000 All American Communications, Inc. 52,125
6.500% Conv. Sub. Euro. Notes
10/01/2003
120,000 Alberto-Culver Company 152,700
5.500% Conv. Sub. Euro. Deb.
06/30/2005
250,000 ALZA Corporation 113,125
0.000% Liquid Yield Option Notes
07/14/2014
300,000 Boston Chicken, Inc. 93,000
0.000% Liquid Yield Option Notes
06/01/2015
75,000 The Olsten Corporation 104,250
4.875% Conv. Sub. Deb.
05/15/2003
120,000 Pharmaceutical Marketing Services, Inc. 99,600
6.250% Conv. Sub. Deb.
02/01/2003 --------
614,800
CREDIT CYCLICALS (0.5%)
30,000 Medusa Corporation 31,350
6.000% Conv. Sub. Notes
11/15/2003
ENERGY (1.9%)
50,000 Baker Hughes, Inc. 33,000
0.000% Liquid Yield Option Notes
05/05/2008
80,000 Cross Timbers Oil Company 74,000
5.250% Conv. Sub. Notes
11/01/2003 --------
107,000
FINANCIAL (7.7%)
200,000 USF&G Corporation 113,250
0.000% Conv. Sub. Notes
03/03/2009
104,000 Fifth Third Bancorp 141,310
4.250% Conv. Sub. Notes
01/15/1998
230,000 Fremont General Corp. 108,675
0.000% Liquid Yield Option Notes
10/12/2013
80,000 LTC Properties, Inc. 82,800
8.500% Conv. Sub. Deb.
01/01/2001 --------
446,035
--------
TOTAL CONVERTIBLE BONDS 2,321,961
(Cost $2,123,090)
<FN>
See accompanying Notes to Schedule of Investments.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
SCHEDULE OF INVESTMENTS MARCH 31, 1996
CALAMOS GROWTH AND INCOME FUND
NUMBER OF
SHARES VALUE
<S> <C> <C>
CONVERTIBLE PREFERRED STOCKS (15.3%)
CAPITAL GOODS - INDUSTRIAL (0.7%)
2,500 Cooper Industries, Inc. $40,313
(Wyman Gordon Co.)
6.000% Exchangeable Notes
CAPITAL GOODS - TECHNOLOGY (4.3%)
1,600 LCI International 104,800
5.000% Cum. Conv. Exch. Pref. Stock
1,500 Lehman Brothers Holdings Inc. 69,750
7.250% Oracle Yield Enhanced Equity
Linked Debt Securities Due 1996
2,700 US West, Inc. 74,588
(Enhance Financial Services)
7.625% Exchangeable Notes --------
249,138
CONSUMER CYCLICAL (1.6%)
1,800 The TJX Companies, Inc. 95,400
Series C Cum. Conv. Pref. Stock
CONSUMER GROWTH STAPLES (1.8%)
2,500 AMC Entertainment, Inc. 104,062
$1.750 Cum. Conv. Pref. Stock
CREDIT CYCLICALS (3.5%)
1,000 Great Western Financial Corporation 60,750
Dep. Shares, 1/5 Share
8.750% Cum. Conv. Pref. Stock
2,200 Southdown, Inc. 102,300
Series D Cum. Conv. Pref. Stock
340 Washington Mutual Savings Bank 40,757
Series D Noncumulative
Perpetual Pref. Stock --------
203,807
ENERGY (1.1%)
1,100 Reading & Bates Corporation 63,525
$1.625 Conv. Pref. Stock
FINANCIAL (2.3%)
500 Jefferson-Pilot 42,000
(Nationsbank Corp.)
$7.250 01/21/00 Series
675 Penncorp Financial Group, Inc. 51,574
$3.375 Conv. Pref. Stock
600 SunAmerica Inc. 40,650
Dep. Shares, 1/50 Share, Series E
Conv. Pref. Stock --------
134,224
--------
TOTAL CONVERTIBLE 890,469
PREFERRED STOCKS
(Cost $733,104)
<PAGE>
<CAPTION>
NUMBER OF
SHARES VALUE
<S> <C> <C>
COMMON STOCKS (6.8%)
CAPITAL GOODS - INDUSTRIAL (1.7%)
3,773 USA Waste Services, Inc. (a) $96,211
CAPITAL GOODS - TECHNOLOGY (3.8%)
2,393 General Motors Corporation- Class E 136,401
800 Microsoft Corporation (a) 82,500
--------
218,901
CONSUMER GROWTH STAPLES (1.3%)
260 Washington Post Company- Class B 77,513
--------
TOTAL COMMON STOCKS 392,625
(Cost $315,738)
CALL OPTIONS (4.0%)
CONSUMER CYCLICAL (1.0%)
25 Gap, Inc. (a) 60,625
Long Term Equity Anticipation Securities
Expiring 01/17/1998 Strike Price 35
CONSUMER GROWTH STAPLES (1.6%)
32 Bristol Myers Squibb (a) 41,200
Long Term Equity Anticipation Securities
Expiring 01/17/1998 Strike Price 80
20 American Home Products Corp. (a) 53,500
Long Term Equity Anticipation Securities
Expiring 01/17/1998 Strike Price 85 --------
94,700
CONSUMER STAPLES (0.6%)
40 Heinz (H.J.) Company (a) 35,250
Long Term Equity Anticipation Securities
Expiring 01/17/1998 Strike Price 30
ENERGY (0.8%)
70 YPF Sociedad Anonima (a) 19,250
Long Term Equity Anticipation Securities
Expiring 01/17/1998 Strike Price 22.50
55 Occidental Petroleum Corp. (a) 24,750
Long Term Equity Anticipation Securities
Expiring 01/18/1997 Strike Price 22.50 --------
44,000
--------
TOTAL CALL OPTIONS 234,575
(Cost $167,552)
<FN>
See accompanying Notes to Schedule of Investments.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
SCHEDULE OF INVESTMENTS MARCH 31, 1996
CALAMOS GROWTH AND INCOME FUND
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
U.S. GOVERNMENT SECURITIES (18.0%)
$230,000 United States Treasury Notes $236,721
7.000% 04/15/1999
800,000 United States Treasury Notes 810,624
6.875% 03/31/1997
---------
TOTAL U.S. GOVERNMENT 1,047,345
SECURITIES
(Cost $1,034,997)
---------
TOTAL INVESTMENTS (84.1%) 4,886,975
(Cost $4,374,481)
CASH DEPOSITS WITH CUSTODIAN 774,566
(INTEREST BEARING) (13.3%)
OTHER ASSETS, LESS LIABILITIES (2.6%) 151,324
---------
NET ASSETS (100%) $5,812,865
=========
NET ASSET VALUE PER SHARE $ 15.62
=========
(372,098 shares outstanding)
<FN>
NOTE TO SCHEDULE OF INVESTMENTS
(a) Non-income producing security
See accompanying Notes to Financial Statements.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
SCHEDULE OF INVESTMENTS MARCH 31, 1996
CALAMOS STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
CONVERTIBLE BONDS (89.3%)
BASIC INDUSTRIES (2.7%)
$35,000 Inco Limited $44,450
5.750% Conv. Deb.
07/01/2004
CAPITAL GOODS - INDUSTRIAL (10.8%)
55,000 OHM Corporation 48,881
8.000% Conv. Sub. Deb.
10/01/2006
70,000 Thermo Electron Corporation 83,300
4.250% Conv. Sub. Euro. Deb.
01/01/2003
30,000 United States Filter Corporation 41,888
5.000% Conv. Sub. Deb.
10/15/2000 --------
174,069
CAPITAL GOODS - TECHNOLOGY (17.7%)
50,000 Checkpoint Systems, Inc. 73,000
5.250% Conv. Sub. Deb.
11/01/2005
50,000 Data General Corporation 51,250
7.750% Conv. Sub. Deb.
06/01/2001
40,000 Dovatron International, Inc. 41,000
6.000% Conv. Sub. Notes
10/15/2002
40,000 First Financial Management Corporation 67,800
(First Data Corporation)
5.000% Senior Conv. Deb.
12/15/1999
45,000 General Instrument Corporation 54,000
5.000% Conv. Junior. Sub. Notes
06/15/2000 --------
287,050
CONSUMER CYCLICAL (16.6%)
50,000 ADT Operations, Inc. 26,250
0.000% Liquid Yield Option Notes
07/06/2010
45,000 AMR Corporation 52,200
6.125% Conv. Sub.
Quarterly Income Capital Securities
11/01/2024
60,000 Delta Air Lines, Inc. 59,100
3.230% Conv. Sub. Notes
06/15/2003
90,000 MascoTech, Inc. 69,863
4.500% Conv. Sub. Deb.
12/15/2003
50,000 Prime Hospitality Corp. 61,625
7.000% Conv. Sub. Notes
04/15/2002 --------
269,038
<PAGE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
<S> <C> <C>
CONSUMER GROWTH STAPLES (25.5%)
$200,000 Boston Chicken, Inc. $62,000
0.000% Liquid Yield Option Notes
06/01/2015
25,000 Federated Department Stores, Inc. 27,813
5.000% Conv. Sub. Notes
10/01/2003
50,000 IVAX Corporation 51,000
6.500% Conv. Sub. Notes
11/15/2001
50,000 The Olsten Corporation 69,500
4.875% Conv. Sub. Notes
05/15/2003
30,000 PhyCor, Inc. 29,513
4.500% Conv. Sub. Deb.
02/15/2003
60,000 Proffitt's, Inc. 57,000
4.750% Conv. Sub. Deb.
11/01/2003
30,000 Regency Health Services, Inc. 31,237
6.500% Conv. Sub. Deb.
07/15/2003
45,000 Scholastic Corporation 50,850
5.000% Conv. Sub. Deb.
08/15/2005
30,000 Tenet Healthcare Corporation 33,450
(Vencor Inc.)
6.000% Exch. Sub. Notes
12/01/2005 --------
412,363
CONSUMER STAPLES (2.9%)
50,000 Chock Full O'Nuts Corporation 47,187
8.000% Conv. Sub. Deb.
09/15/2006
CREDIT CYCLICALS (2.1%)
35,000 Toll Brothers, Inc. 34,212
4.750% Conv. Senior Sub. Notes
01/15/2004
ENERGY (7.5%)
35,000 Apache Corporation 37,625
6.000% Conv. Sub. Euro. Deb.
01/15/2002
50,000 Oryx Energy Company 45,000
7.500% Conv. Sub. Deb.
05/15/2014
30,000 Pride Petroleum Services, Inc. 39,000
6.250% Conv. Sub. Notes
02/15/2006 --------
121,625
<FN>
See accompanying Notes to Schedule of Investments.
</FN>
<PAGE>
<CAPTION>
SCHEDULE OF INVESTMENTS MARCH 31, 1996
CALAMOS STRATEGIC INCOME FUND
PRINCIPAL
AMOUNT/
NUMBER OF
SHARES VALUE
<S> <C> <C>
FINANCIAL (3.5%)
$100,000 USF&G Corporation $56,625
0.000% Conv. Sub. Notes
03/03/2009
--------
TOTAL CONVERTIBLE BONDS 1,446,619
(Cost $1,296,988)
CONVERTIBLE PREFERRED STOCKS (9.3%)
CREDIT CYCLICALS (1.9%)
500 Great Western Financial Corporation 30,375
Dep. Shares, 1/5 Share
8.750% Cum. Conv. Pref. Stock
ENERGY (3.2%)
1,000 Valero Energy Corporation 51,875
$3.125 Conv. Pref. Stock
FINANCIAL (4.2%)
600 Penncorp Financial Group, Inc. 45,843
$3.375 Conv. Pref. Stock
400 The Rouse Company (a) 21,750
Series A Conv. Pref. Stock --------
67,593
--------
TOTAL CONVERTIBLE 149,843
PREFERRED STOCKS
(Cost $137,521)
--------
TOTAL INVESTMENTS (98.6%) 1,596,462
(Cost $1,434,509)
COMMON STOCKS SOLD SHORT (-30.9%)
BASIC INDUSTRIES (-1.0%)
500 Inco Limited (15,812)
CAPITAL GOODS - INDUSTRIAL (-3.0%)
400 Thermo Electron Corporation (23,800)
900 United States Filter Corporation (25,200)
--------
(49,000)
CAPITAL GOODS - TECHNOLOGY (-7.0%)
1,400 Checkpoint Systems, Inc. (34,825)
655 First Data Corporation (46,178)
1,200 General Instrument Corporation (32,850)
--------
(113,853)
<PAGE>
<CAPTION>
NUMBER OF
SHARES VALUE
<S> <C> <C>
CONSUMER CYCLICAL (-5.2%)
600 ADT Operations, Inc. $(10,575)
230 AMR Corporation (20,585)
240 Delta Air Lines, Inc. (18,450)
2,500 Prime Hospitality Corp. (34,063)
--------
(83,673)
CONSUMER GROWTH STAPLES (-6.9%)
1,000 Boston Chicken, Inc. (34,063)
1,275 The Olsten Corporation (41,118)
200 PhyCor Inc. (8,800)
500 Regency Health Services, Inc. (5,625)
175 Scholastic Corporation (12,031)
300 Vencor, Incorporated (10,350)
--------
(111,987)
CREDIT CYCLICALS (-1.3%)
500 Great Western Financial Corporation (12,063)
500 Toll Brothers, Inc. (8,625)
--------
(20,688)
ENERGY (-3.3%)
800 Apache Corporation (21,500)
1,235 Pride Petroleum Services, Inc. (17,444)
550 Valero Energy Corporation (13,544)
--------
(52,488)
FINANCIAL (-3.2%)
800 Penncorp Financial Group, Inc. (25,200)
375 The Rouse Company (8,203)
1,200 USF&G Corporation (18,600)
--------
(52,003)
---------
TOTAL COMMON STOCKS SOLD SHORT (499,504)
(Proceeds $413,142)
CASH DEPOSITS WITH CUSTODIAN 536,436
(INTEREST BEARING) (33.1%)
LIABILITIES, LESS OTHER ASSETS (-0.8%) (13,488)
---------
NET ASSETS (100%) $1,619,906
=========
NET ASSET VALUE PER SHARE $ 11.07
=========
(146,388 shares outstanding)
<FN>
See accompanying Notes to Financial Statements.
</FN>
</TABLE>
<PAGE>
<TABLE>
<CAPTION>
SCHEDULE OF INVESTMENTS MARCH 31, 1996
CALAMOS GROWTH FUND
NUMBER OF
SHARES VALUE
<S> <C> <C>
COMMON STOCKS (94.7%)
BASIC INDUSTRIES (2.9%)
700 B.F. Goodrich Company $55,650
2,200 International Specialty Products, Inc. 27,775
-------
83,425
CAPITAL GOODS - INDUSTRIAL (9.2%)
2,000 Gardner Denver Machinery, Inc. (a) 47,500
2,000 JLG Industries Incorporated 91,500
1,000 Perkin Elmer Corporation 54,125
1,800 Zygo Corporation (a) 70,200
-------
263,325
CAPITAL GOODS - TECHNOLOGY (18.0%)
3,000 Applied Magnetics Corporation (a) 46,875
1,300 Aspect Telecommunications (a) 59,475
1,650 Cadence Design Systems, Inc. (a) 72,806
3,400 Checkpoint Systems, Inc. (a) 84,575
3,800 Computer Products Incorporated (a) 51,300
1,600 Kent Electronics Corporation (a) 56,600
1,000 McAfee Associates, Inc. (a) 54,750
900 Sun Microsystems, Inc. (a) 39,375
1,400 Tech-Sym Corporation (a) 49,875
-------
515,631
CONSUMER CYCLICAL (7.7%)
1,800 Liz Claiborne, Inc. 61,650
1,500 Quiksilver, Inc. (a) 47,625
2,500 Ross Stores, Inc. 62,812
2,700 USAir Group, Inc. (a) 49,275
-------
221,362
CONSUMER GROWTH STAPLES (23.5%)
1,300 Access Health, Inc. (a) 50,375
1,800 Devry, Inc. (a) 61,200
2,000 EG & G, Inc. 44,750
1,700 Gartner Group, Inc.- Class A (a) 51,850
1,200 Greenwich Air Services, Inc. 51,000
1,700 Health Management Associates, Inc. (a) 59,500
1,800 Jones Medical Industries, Inc. 69,300
2,600 Longhorn Steaks, Inc. (a) 59,800
2,250 Natures Sunshine Products, Inc. 57,937
800 Nike, Inc.- Class B 65,000
1,700 PHP Healthcare Corporation (a) 41,013
2,600 Renal Treatment Centers, Inc. (a) 61,750
-------
673,475
<PAGE>
<CAPTION>
NUMBER OF
SHARES VALUE
<S> <C> <C>
CONSUMER STAPLES (5.8%)
2,300 Bush Industries Incorporation- Class A $58,075
2,100 Delchamps Incorporated 44,625
2,200 Safeway, Inc. (a) 62,700
-------
165,400
CREDIT CYCLICALS (4.2%)
2,000 Champion Enterprises, Inc. (a) 57,250
3,200 Redman Industries, Inc. (a) 64,800
-------
122,050
ENERGY (8.9%)
4,000 Global Marine, Inc. (a) 40,000
5,000 Noble Drilling Corporation (a) 61,875
4,000 Pride Petroleum Services, Inc. (a) 56,500
2,000 Reading & Bates Corporation (a) 39,500
1,200 Tosco Corporation 56,250
-------
254,125
FINANCIAL (14.5%)
1,500 Aames Financial Corporation 54,000
1,300 Allstate Corporation 54,763
2,100 Community First Bankshares, Inc. 46,725
200 First Empire State Corporation 49,200
2,000 Life Re Corporation 54,000
660 Loews Corporation 49,913
700 Student Loan Marketing Association 53,550
750 Zions Bancorp 53,062
-------
415,213
----------
TOTAL COMMON STOCKS 2,714,006
(Cost $2,243,847)
----------
TOTAL INVESTMENTS (94.7%) 2,714,006
(Cost $2,243,847)
CASH DEPOSITS WITH CUSTODIAN 211,526
(INTEREST BEARING) (7.4%)
LIABILITIES, LESS OTHER ASSETS (-2.1%) (59,858)
----------
NET ASSETS (100%) $ 2,865,674
==========
NET ASSET VALUE PER SHARE $ 15.74
==========
(182,062 shares outstanding)
<FN>
NOTE TO SCHEDULE OF INVESTMENTS
(a) Non-income producing security
See accompanying Notes to Financial Statements.
</FN>
</TABLE>
<PAGE>
<TABLE>
STATEMENT OF ASSETS AND LIABILITIES
March 31, 1996
<CAPTION>
GROWTH AND STRATEGIC
CONVERTIBLE INCOME INCOME GROWTH
ASSETS FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Investments, at value (cost $20,402,798,
$4,374,481, $1,434,509 and $2,243,847
respectively) $23,067,503 4,886,975 1,596,462 2,714,006
Cash with custodian (interest bearing) 1,082,961 774,566 536,436 211,526
Accrued interest and dividends receivable 158,877 66,553 23,631 1,525
Receivable for investments sold - 263,613 8,825 -
Receivable for Fund shares sold 211,711 18,186 - -
Prepaid expenses 499 499 499 499
Due from adviser - - 712 -
------------------------------------------------------------------
Total Assets 24,521,551 6,010,392 2,166,565 2,927,556
------------------------------------------------------------------
LIABILITIES AND NET ASSETS
Common stocks sold short, at value
(proceeds $413,142) - - 499,504 -
Payable for investments purchased - 179,188 29,513 50,309
Payable for Fund shares redeemed 630 - - -
Payable to investment adviser 16,989 4,920 - 1,679
Accounts payable and accrued liabilities 33,798 11,018 16,952 8,708
Payable to distributor 10,082 2,401 690 1,186
-------------------------------------------------------------------
Total Liabilities 61,499 197,527 546,659 61,882
-------------------------------------------------------------------
NET ASSETS $24,460,052 5,812,865 1,619,906 2,865,674
===================================================================
SHARES OUTSTANDING, NO PAR VALUE 1,687,595 372,098 146,388 182,062
ANALYSIS OF NET ASSETS
Excess of amounts received from issuance
of shares over amounts paid on redemptions
of shares on account of capital $20,256,880 4,758,373 1,583,106 2,383,649
Undistributed net investment income (loss) 399,745 7,016 22,093 (25,635)
Accumulated net realized gain (loss)
on investments 1,138,722 534,982 (60,884) 37,501
Unrealized appreciation of investments 2,664,705 512,494 75,591 470,159
------------------------------------------------------------------
NET ASSETS APPLICABLE TO
SHARES OUTSTANDING $24,460,052 5,812,865 1,619,906 2,865,674
===================================================================
NET ASSET VALUE AND
REDEMPTION PRICE PER SHARE
AT MARCH 31, 1996 $14.49 15.62 11.07 15.74
==================================================================
MAXIMUM OFFERING PRICE PER
SHARE AT MARCH 31, 1996 (Net asset value, plus
4.99% of net asset value or 4.75% of offering price) $15.21 16.40 11.62 16.52
==================================================================
</TABLE>
<PAGE>
<TABLE>
STATEMENT OF OPERATIONS
Year Ended March 31, 1996
<CAPTION>
GROWTH AND STRATEGIC
CONVERTIBLE INCOME INCOME GROWTH
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
INVESTMENT INCOME
Interest $666,662 164,226 119,399 9,106
Dividends 235,573 37,923 7,416 18,451
---------------------------------------------------------------
Total Investment Income 902,235 202,149 126,815 27,557
---------------------------------------------------------------
EXPENSES
Investment advisory fees 148,187 32,870 14,092 23,290
Distribution fees 98,791 21,913 9,395 11,645
Transfer agent fees 9,898 2,540 1,109 1,088
Custodian fees 3,008 2,145 2,295 4,680
Trustees' fees 3,600 3,600 3,600 3,600
Registration fees 7,019 7,521 6,519 6,518
Audit and legal fees 29,180 20,006 26,122 17,048
Dividends paid on common stock sold short - - 4,021 -
Other 1,191 1,190 4,153 6,093
---------------------------------------------------------------
Total Expenses 300,874 91,785 71,306 73,962
Less expense reimbursement - 4,132 29,705 27,383
---------------------------------------------------------------
Net Expenses 300,874 87,653 41,601 46,579
---------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 601,361 114,496 85,214 (19,022)
--------------------------------------------------------------
REALIZED AND UNREALIZED
GAIN ON INVESTMENTS
Net realized gain
on investments 2,911,070 783,008 86,175 465,330
Net change in unrealized appreciation or
depreciation of investments 1,352,830 342,618 77,845 227,320
--------------------------------------------------------------
NET GAIN ON INVESTMENTS 4,263,900 1,125,626 164,020 692,650
--------------------------------------------------------------
NET INCREASE IN NET ASSETS
RESULTING FROM OPERATIONS $4,865,261 1,240,122 249,234 673,628
==============================================================
</TABLE>
<PAGE>
<TABLE>
STATEMENT OF CHANGES IN NET ASSETS
Year Ended March 31, 1996 and Eleven Months Ended March 31, 1995
<CAPTION>
CONVERTIBLE GROWTH AND INCOME STRATEGIC INCOME GROWTH
FUND FUND FUND FUND
----------------------------------------------------------------------------------------------------
1996 1995 1996 1995 1996 1995 1996 1995
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss) $ 601,361 503,795 114,496 108,513 85,214 94,396 (19,022) 2,814
Net realized gain (loss) on
investments (including
options) 2,911,070 213,470 783,008 (68,857) 86,175 (155,395) 465,330 8,858
Net change in unrealized
appreciation or depreciation of
investments 1,352,830 (196,110) 342,618 43,863 77,845 45,822 227,320 (55,489)
----------------------------------------------------------------------------------------------------
Increase (decrease) in net
assets resulting from
operations 4,865,261 521,155 1,240,122 83,519 249,234 (15,177) 673,628 (43,817)
----------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (428,439) (418,340) (128,998) (102,250) (72,037) (85,480) (9,427) -
Net realized gains (1,522,911) (728,776) (202,909) (107,236) - (51,727) (438,209) (18,542)
In excess of net realized gains - (155,203) - - - - - -
----------------------------------------------------------------------------------------------------
Total distributions (1,951,350) (1,302,319) (331,907) (209,486) (72,037) (137,207) (447,636) (18,542)
----------------------------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET
ASSETS FROM CAPITAL SHARE
TRANSACTIONS 4,900,118 404,270 1,052,091 (684,138) (768,146) (640,875) 849,072 (236,499)
----------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE)
IN NET ASSETS 7,814,029 (376,894) 1,960,306 (810,105) (590,949) (793,259) 1,075,064 (298,858)
NET ASSETS
Beginning of period 16,646,023 17,022,917 3,852,559 4,662,664 2,210,855 3,004,114 1,790,610 2,089,468
----------------------------------------------------------------------------------------------------
End of period $24,460,052 16,646,023 5,812,865 3,852,559 1,619,906 2,210,855 2,865,674 1,790,610
====================================================================================================
Undistributed net
investment income 399,745 105,159 7,016 21,518 22,093 8,916 - 2,814
</TABLE>
<PAGE>
NOTES TO FINANCIAL STATEMENTS
NOTE 1 -- ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization - CFS Investment Trust, a Massachusetts business trust organized
December 21, 1987 (the "Trust"), consists of four series, Calamos Convertible
Fund, Calamos Growth and Income Fund, Calamos Strategic Income Fund and
Calamos Growth Fund. In 1995, the Trust changed its fiscal year end for
financial reporting and income tax purposes from April 30 to March 31.
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 reported on an identified cost basis. Realized foreign
exchange gains of $81,391 and unrealized foreign exchange gains of $3,497
incurred by the Convertible Fund are included as a component of net realized
gains and losses on investments and in unrealized appreciation and
depreciation in investments, respectively. Interest income is recognized using
the accrual method and includes amortization of original issue discount.
Dividend income is recognized on the ex-dividend date.
Federal Income Taxes - No provision has been made for Federal income taxes
since the Funds each elect to be taxed as a "regulated investment company" and
have made such distributions to shareholders as to be relieved of all Federal
income taxes. At March 31, 1996, the accumulated net realized loss for Federal
income tax purposes on sales of investments, amounting to $58,498 for the
Strategic Income Fund is available to offset future taxable gains. If not
applied, the carry-over expires in 2003 and 2004.
Dividends - Dividends payable to its shareholders are recorded by the Funds on
the ex-dividend date. Income and capital gain dividends are determined in
accordance with income tax regulations which may differ from generally
accepted accounting principles. These differences are primarily due to
differing treatments for foreign currency transactions.
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 Funds pay a monthly investment advisory fee based on the
average daily net assets of the Funds, computed as follows: The Convertible
Fund, Growth and Income Fund and Strategic Income Fund fees are based on 0.75%
of the first $150 million of each Fund's average daily net assets and 0.50% of
each Fund's average daily net assets in excess of $150 million. The Growth
Fund's fee is based on 1.00% of the first $150 million of average daily net
assets and 0.75% of average daily net assets in excess of $150 million.
CAM has voluntarily undertaken to limit normal operating expenses of the
Growth and Income Fund, Strategic Income Fund and Growth Fund to 2% of average
daily net assets through August 31, 1997. For the year ended March 31, 1996,
CAM waived or absorbed expenses of $4,132, $29,705 and $27,383, respectively,
for those Funds.
<PAGE>
NOTE 2 -- (CONTINUED)
While serving as Transfer Agent of the Funds, CAM assumed all expenses of
personnel, office space, office facilities and equipment incidental to such
service.
While serving as Distributor, Calamos Financial Services, Inc. ("CFS") assumed
all expenses of personnel, office space, office facilities and equipment
incidental to such service. Each Fund has adopted a Distribution Plan pursuant
to Rule 12b-1 under the Investment Company Act of 1940 whereby CFS is paid an
annual service fee of 0.25% and an annual distribution fee of 0.25% of the
Fund's average daily net assets. In return, CFS bears all expenses incurred in
the distribution and promotion of each Fund's shares.
During the year ended March 31, 1996, CFS received commissions of $25,675,
$2,741, $394 and $706 from the sale of Convertible Fund, Growth and Income
Fund, Strategic Income Fund and Growth Fund shares, respectively.
Portfolio transactions for the Fund have been executed through CFS, consistent
with the Fund's policy of obtaining best price and execution. During the year
ended March 31, 1996, the Convertible Fund, Growth and Income Fund, Strategic
Income Fund and Growth Fund paid brokerage commissions to CFS on purchases and
sales of securities in the amount of $14,829, $6,735, $3,999 and $23,240,
respectively. It is management's opinion that commission rates charged to the
Funds by CFS are consistent with those charged to comparable unaffiliated
customers in similar transactions.
Certain officers of the Funds are also officers and directors of CFS and CAM.
All officers serve without direct compensation from the Funds.
<TABLE>
NOTE 3 -- INVESTMENTS
Purchases and sales of investments other than short-term obligations in the
Funds for the year ended March 31, 1996, are as follows:
<CAPTION>
GROWTH STRATEGIC
CONVERTIBLE AND INCOME INCOME GROWTH
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Purchases $ 14,874,492 3,747,367 1,454,302 5,791,038
Proceeds from sales $ 12,439,901 3,564,152 2,454,961 5,437,615
The following information is based on the cost basis of investments for
Federal income tax purposes at March 31, 1996:
<CAPTION>
GROWTH STRATEGIC
CONVERTIBLE AND INCOME INCOME GROWTH
FUND FUND FUND FUND
- -------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Cost basis of investments $ 20,402,798 4,374,481 1,434,509 2,243,847
Gross unrealized appreciation $ 2,922,862 558,324 172,132 497,083
Gross unrealized depreciation $ (258,157) (45,830) (10,179) (26,924)
Net unrealized appreciation $ 2,664,705 512,494 161,953 470,159
</TABLE>
<PAGE>
NOTE 4 -- SHORT SALES
Securities sold short represent obligations to purchase the securities at a
future date at then prevailing prices. These transactions result in
off-balance-sheet risk, i.e., the risk that the ultimate obligation may exceed
the amount shown in the accompanying statement of assets and liabilities. To
the extent a Fund owns equivalent securities, the off-balance-sheet risk is
offset. During the year ended March 31, 1996, the Strategic Income Fund
incurred losses of $164,047 on short sales that are classified with net
realized loss on investments. No other fund engaged in short sales during
the year ended March 31, 1996.
NOTE 5 -- INTEREST BEARING CASH DEPOSIT WITH CUSTODIAN
The Funds have entered into an arrangement with the custodian, Prudential
Securities, Inc., whereby each Fund is entitled to the current broker call
rate minus one percentage point on the average daily cash balances on deposit
with the custodian. During the year ended March 31, 1996, Convertible Fund,
Growth and Income Fund, Strategic Income Fund and Growth Fund earned $34,159,
$12,839, $28,116, and $9,164, respectively, in interest income under this
arrangement.
<TABLE>
NOTE 6-- CAPITAL SHARE TRANSACTIONS
The following table summarizes the activity in capital shares of the Funds:
<CAPTION>
GROWTH AND STRATEGIC
CONVERTIBLE INCOME INCOME GROWTH
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Year ended March 31, 1996 Shares Dollars Shares Dollars Shares Dollars Shares Dollars
Shares sold 384,827 $5,437,155 100,923 $1,501,956 5,423 $58,500 35,197 $571,748
Shares issued in reinvestment
of distributions 121,084 1,654,810 19,957 288,695 4,385 47,093 29,036 408,816
Less shares redeemed (159,648) (2,191,847) (52,698) (738,560) (81,600) (873,739) (8,485) (131,492)
---------------------------------------------------------------------------------------------------
Increase (decrease) 346,263 $4,900,118 68,182 $1,052,091 (71,792) $(768,146) 55,748 $849,072
===================================================================================================
<CAPTION>
GROWTH AND STRATEGIC
CONVERTIBLE INCOME INCOME GROWTH
FUND FUND FUND FUND
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Eleven months ended Shares Dollars Shares Dollars Shares Dollars Shares Dollars
March 31, 1995
Shares sold 88,293 $1,092,742 37,050 $462,503 15,940 $166,815 13,885 $198,053
Shares issued in reinvestment
of distributions 77,835 943,984 9,384 115,464 8,348 85,005 622 8,796
Less shares redeemed (130,719) (1,632,456) (101,909) (1,262,105) (86,703) (892,695) (31,598) (443,348)
---------------------------------------------------------------------------------------------------
Increase (decrease) 35,409 $404,270 (55,475) $(684,138) (62,415) $(640,875) (17,091) $(236,499)
===================================================================================================
<CAPTION>
ABBREVIATIONS
<S> <C> <C> <C> <C> <C>
ADRS: American Depository CUM.: Cumulative EXCH.: Exchangeable
Receipts DEB.: Debenture NONCUM.: Noncumulative
ADS'S: American Depository DEP.: Depository PREF.: Preferred
Shares EURO.: Eurobond SUB.: Subordinated
CONV.: Convertible BPS: British Pound Sterling
</TABLE>
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD IS AS FOLLOWS:
CALAMOS CONVERTIBLE FUND
<CAPTION>
Eleven
Year Months
Ended Ended
March 31, March 31, Year Ended April 30,
1996 1995 1994 1993 1992 1991 1990 1989 1988(b) 1987
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $12.41 $13.04 $13.96 $12.72 $11.39 $10.29 $10.73 $10.56 $11.94 $11.99
Income from investment operations:
Net investment income .40 .38 .40 .42 .41 .49 .60 .59 .62 .52
Net realized and unrealized gain
(loss) on investments 3.06 (.01) .53 1.32 1.43 1.25 (.32) .14 (1.24) .50
-------------------------------------------------------------------------------------------------
Total from investment
operations 3.46 .37 .93 1.74 1.84 1.74 .28 .73 (.62) 1.02
-------------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income (.31) (.32) (.39) (.40) (.45) (.52) (.63) (.56) (.66) (.54)
Dividends from net realized
capital gains (1.07) (.56) (1.46) (.10) - - - - (.10) (.53)
Dividends in excess of net
realized capital gains - (.12) - - - - - - - -
Distributions from paid in capital - - - - (.06) (.12) (.09) - - -
-------------------------------------------------------------------------------------------------
Total distributions (1.38) (1.00) (1.85) (.50) (.51) (.64) (.72) (.56) (.76) (1.07)
-------------------------------------------------------------------------------------------------
Net asset value, end of period $14.49 $12.41 $13.04 $13.96 $12.72 $11.39 $10.29 $10.73 $10.56 $11.94
=================================================================================================
Total return (a) 28.8% 3.2% 6.5% 14.0% 16.5% 17.7% 2.4% 7.2% (5.1%) 9.5%
Ratios and supplemental data:
Net assets, end of period (000) $24,460 $16,646 $17,023 $17,213 $16,940 $13,953 $18,664 $21,270 $23,194 $23,632
Ratio of expenses to average
net assets 1.5% 1.6%* 1.6% 1.7% 1.2% 1.2% 1.1% 1.1% 1.2% 1.3%
Ratio of net investment income to
average net assets 3.0% 3.3%* 2.8% 3.2% 3.4% 4.3% 5.5% 5.6% 5.6% 4.6%
Portfolio turnover rate 65.2% 42.1% 73.1% 73.1% 83.8% 63.2% 93.4% 84.7% 55.5% 45.0%
Average commission rate paid .0633 .0936 .0952 .1000 .0966 N/A N/A N/A N/A N/A
<FN>
(a) Total return is not annualized for periods that are less than a full year and does not reflect the effect of
sales charges.
(b) Calamos Asset Management, Inc. became the Fund's investment adviser on September 1, 1987.
* Annualized.
</FN>
</TABLE>
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD IS AS FOLLOWS:
CALAMOS GROWTH AND INCOME FUND
<CAPTION>
Eleven Sept.22,
Year Months 1988
Ended Ended to
March 31, March 31, Year Ended April April 30,
1996 1995 1994 1993 1992 1991 1990 1989
- ----------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $12.68 $12.97 $13.90 $13.57 $11.54 $10.46 $10.49 $10.00
Income from investment operations:
Net investment income .37 .35 .31 .35 .29 .31 .33 .38
Net realized and unrealized gain (loss)
on investments 3.70 (.02) .34 1.97 2.02 1.09 .09 .49
-------------------------------------------------------------------------------------------
Total from investment operations 4.07 .33 .65 2.32 2.31 1.40 .42 .87
-------------------------------------------------------------------------------------------
Less distributions:
Dividends from net investment income (.42) (.32) (.29) (.36) (.28) (.32) (.28) (.38)
Dividends from net realized capital gains (.71) (.30) (1.29) (1.63) - - (.17) -
-------------------------------------------------------------------------------------------
Total distributions (1.13) (.62) (1.58) (1.99) (0.28) (0.32) (0.45) (0.38)
-------------------------------------------------------------------------------------------
Net asset value, end of period $15.62 $12.68 $12.97 $13.90 $13.57 $11.54 $10.46 $10.49
===========================================================================================
Total return (b) 33.0% 2.8% 4.5% 18.8% 20.2% 13.4% 3.8% 9.0%
Ratios and supplemental data:
Net assets, end of period (000) $5,813 $3,853 $4,663 $3,655 $2,694 $1,821 $1,345 $ 732
Ratio of expenses to average net
assets (a) 2.0% 2.0%* 2.0% 2.0% 2.0% 2.0% 2.0% 2.0%*
Ratio of net investment income to average
net assets (a) 2.6% 3.0%* 2.3% 2.6% 2.3% 2.9% 3.0% 4.8%*
Portfolio turnover rate 86.4% 84.7% 155.2% 132.3% 111.6% 103.6% 103.0% 85.0%*
Average commission rate paid .0604 .0924 .1002 .1010 .1004 N/A N/A N/A
<FN>
(a) After the reimbursement and waiver of expenses by the Adviser equivalent
to 0.1%, 0.2%*, 0.1%, 0.5%, 0.5%, 1.7%, 2.3% and 8.4%* of average net assets
respectively.
(b) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charges.
* Annualized.
</FN>
</TABLE>
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD IS AS FOLLOWS:
CALAMOS STRATEGIC INCOME FUND
<CAPTION>
Eleven Sept. 4,
Year Months 1990
Ended Ended to
March 31, March 31, Year Ended April 30, April 30,
1996 1995 1994 1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $10.13 $10.71 $10.96 $10.58 $10.60 $10.00
Income from investment operations:
Net investment income .53 .40 .36 .39 .59 .40
Net realized and unrealized gain (loss)
on investments .83 (.43) .11 .79 .46 .61
------------------------------------------------------------------------------
Total from investment operations 1.36 (.03) .47 1.18 1.05 1.01
------------------------------------------------------------------------------
Less distributions:
Dividends from net investment income (.42) (.36) (.41) (.41) (.51) (.40)
Dividends from net realized capital gains - (.19) (.31) (.39) (.56) (.01)
------------------------------------------------------------------------------
Total distributions (.42) (.55) (.72) (.80) (1.07) (.41)
------------------------------------------------------------------------------
Net asset value, end of period $11.07 $10.13 $10.71 $10.96 $10.58 $10.60
==============================================================================
Total return (c) 13.6% (0.2%) 4.2% 11.5% 10.5% 10.2%
Ratios and supplemental data:
Net assets, end of period (000) $1,620 $2,211 $3,004 $2,522 $1,410 $595
Ratio of expenses to average net
assets (a)(b) 2.2% 2.4%* 2.2% 2.3% 2.5% 2.6%*
Ratio of net investment income to average
net assets (a) 4.6% 4.0%* 3.2% 3.9% 5.3% 6.6%*
Portfolio turnover rate 81.1% 59.9% 79.4% 73.8% 97.0% 108.9%*
Average commission rate paid .0636 .0966 .0997 .1056 .1200 N/A
<FN>
(a) After the reimbursement and waiver of expenses by the Adviser equivalent
to 1.6%, 1.1%*, 1.0%, 0.7%,1.25% and 4.8%* of average net assets,
respectively.
(b) Includes 0.2%, 0.4%*,0.2%, 0.3%, 0.5% and 0.6%*, respectively, related to
dividend expenses on short positions.
(c) Total return is not annualized for periods that are less than a full
year and does not reflect the effect of sales charges.
* Annualized.
</FN>
</TABLE>
<PAGE>
<TABLE>
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD IS AS FOLLOWS:
CALAMOS GROWTH FUND
<CAPTION>
Eleven Sept.4,
Year Months 1990
Ended Ended to
March 31, March 31, Year Ended April 30, April 30,
1996 1995 1994 1993 1992 1991
- -----------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $14.18 $14.57 $13.95 $14.04 $12.48 $10.00
Income from investment operations:
Net investment income (loss) (.09) .02 .01 (.02) (.01) .07
Net realized and unrealized gain (loss)
on investments 4.69 (.28) 1.21 .20 1.60 2.50
-----------------------------------------------------------------------
Total from investment operations 4.60 (.26) 1.22 .18 1.59 2.57
-----------------------------------------------------------------------
Less distributions:
Dividends from net investment income (.07) - (.01) - - (0.08)
Dividends from net realized capital gains (2.97) (.13) (.59) (.27) (.03) (0.01)
----------------------------------------------------------------------
Total distributions (3.04) (.13) (.60) (.27) (.03) (0.09)
----------------------------------------------------------------------
Net asset value, end of period $15.74 $14.18 $14.57 $13.95 $14.04 $12.48
======================================================================
Total return (b) 35.2% (1.8%) 8.9% 1.4% 12.7% 25.8%
Ratios and supplemental data:
Net assets, end of period (000) $2,866 $1,791 $2,089 $1,861 $1,802 $ 862
Ratio of expenses to average net assets (a) 2.0% 2.0%* 2.0% 2.0% 2.0% 2.0%*
Ratio of net investment income to
average net assets (a) (0.8%) 0.2%* 0.1% (0.1%) (0.1%) 0.8%*
Portfolio turnover rate 252.4% 104.3% 87.3% 56.8% 47.3% 15.8%*
Average commission rate paid .0608 .0910 .0996 .1011 .1098 N/A
<FN>
(a) After the reimbursement and waiver of expenses by the Adviser equivalent
to 1.2%,1.6%*, 1.1%, 0.7%, 0.8%, and 4.5%* of average net assets respectively.
(b) Total return is not annualized for periods that are less than a full
year and does not reflect the effect of sales charges.
* Annualized.
FEDERAL TAX STATUS OF FISCAL 1996 DISTRIBUTIONS
The income dividends are taxable as ordinary income. Amounts equal to
11%, 5% , 6% and 6% of the amount taxable as ordinary income of the Calamos
Convertible Fund, Calamos Growth and Income, Calamos Strategic Income Fund and
Calamos Growth Fund, respectively, qualify for the dividends-received
deduction available to corporate shareholders that meet the holding period
requirements for shares of those Funds owned.
Income dividends paid to shareholders, whether received in cash or
reinvested in shares, must be included in their Federal income tax returns and
must be reported by the Funds to the Internal Revenue Service in accordance
with U.S. Treasury Department Regulations.
</FN>
</TABLE>
<PAGE>
INVESTMENT ADVISER AND TRANSFER AGENT
Calamos Asset Management, Inc.
1111 East Warrenville Road
Naperville, IL 60563-1493
DISTRIBUTOR
Calamos Financial Services, Inc.
1111 East Warrenville Road
Naperville, IL 60563-1493
INDEPENDENT AUDITORS
Ernst & Young LLP
Chicago, Illinois
COUNSEL
Bell, Boyd & Lloyd
Chicago, Illinois
The Net Asset Values for the CALAMOS FAMILY
OF FUNDS may be obtained daily by calling
1.800.823.7386 after 5:00 P.M. Central Time.
This report, including the audited financial statements contained herein, is
submitted for the general information for the shareholders of the Funds. The
report is not authorized for distribution to prospective investors in the
Funds unless it is accompanied by a currently effective prospectus of the
Funds.
<PAGE>
CALAMOS
CONVERTIBLE FUND
GROWTH AND INCOME FUND
STRATEGIC INCOME FUND
GROWTH FUND
EACH A SERIES OF CFS INVESTMENT TRUST
ANNUAL REPORT
MARCH 31, 1996
THE WISE INVESTOR'S CHOICE(TM)
CFS INVESTMENT TRUST
1111 East Warrenville Road
Naperville, IL 60563-1493 o 800.823.7386
<PAGE>
