<PAGE> 1
CALAMOS(R) FAMILY OF FUNDS
SEPTEMBER 30, 1999 - SEMI-ANNUAL REPORT
(Unaudited)
CONVERTIBLE FUND
GROWTH AND INCOME FUND
MARKET NEUTRAL FUND*
GROWTH FUND
GLOBAL GROWTH AND INCOME FUND
HIGH YIELD FUND
*Formerly named Strategic Income Fund
<PAGE> 2
Dear Shareholder:
We at CALAMOS ASSET MANAGEMENT believe that the current market environment is
one of the most exciting times for investors in recent history. The financial
markets have been maturing as worldwide acceptance of free markets and better
information flows resulted from advances in technology. We have responded to
these events by identifying and selecting what we view as opportunistic
investments that fit within the specific objectives of each of the funds.
With volatility creating the backdrop for financial markets, we feel that the
CALAMOS mutual funds remain an excellent long-term investment. The dual
characteristics of convertibles let you participate in exciting growth potential
while managing risk in a defensive fashion. The CALAMOS Family of Funds have
helped shareholders ride the ups and downs of the current period ended September
30, 1999 covered in this report.
We are proud to report that Morningstar has ranked several of the CALAMOS funds
at the top of their categories.*
#1 IN CONVERTIBLE FUNDS
The GROWTH AND INCOME FUND has been ranked # 1 for its 10-, 5-and 3-year
total returns out of 16, 27, and 39 funds respectively in the Morningstar
CONVERTIBLE CATEGORY as of September 30, 1999.
#4 IN INTERNATIONAL HYBRID FUNDS
The GLOBAL GROWTH AND INCOME FUND has been ranked #4 for its 3-year total
return out of 56 funds in the Morningstar INTERNATIONAL HYBRID CATEGORY as
of September 30, 1999.
#12 IN MID-CAP GROWTH FUNDS
The GROWTH FUND has been ranked #12 for its 5-year total return and #15 for
its 3-year total return out of 151 and 252 funds respectively in the
Morningstar MID-CAP GROWTH CATEGORY as of September 30, 1999.
In August, we introduced the CALAMOS High Yield Fund. The primary objective of
this fund is to seek the highest level of current income obtainable with
reasonable risk. As its secondary objective, the Fund seeks capital gain where
consistent with the primary objective. Our research, which has been a crucial
component of our investment process for over 20 years centers on credit
analysis, which makes this Fund an excellent fit with our current offerings in
equity and convertible security investing. At the same time, our Strategic
Income Fund was renamed the CALAMOS Market Neutral Fund to more accurately
reflect its objective of high current income consistent with stability of
principal.
As Y2K peeks around the corner, we believe CALAMOS and the financial industry as
a whole are well prepared. While no one can guarantee that there will be no
glitches, we suggest that the Y2K phenomena should not detract from your
long-term investment strategy.
Thank you for your continued confidence in the CALAMOS Family of Funds.
Sincerely,
[/s/ John P. Calamos]
John P. Calamos
* Source: Morningstar Principia Pro for Mutual Funds October 1999 Release.
Category ratings are for Class A shares and do not reflect the effect of sales
charges; if they had results may have been less favorable. Past performance is
no guarantee of future results.
1
<PAGE> 3
CALAMOS FAMILY OF FUNDS
STANDARDIZED PERFORMANCE AS OF SEPTEMBER 30, 1999
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN(1)
---------------------------------------------------------
1 YEAR 5 YEARS 10 YEARS SINCE INCEPTION
-----------------------------------------------------------------------------
LOAD- LOAD- LOAD- LOAD-
ADJUSTED ADJUSTED ADJUSTED ADJUSTED
<S> <C> <C> <C> <C> <C> <C> <C> <C>
CONVERTIBLE FUND
A Shares 19.65% 13.94% 16.19% 15.07% 12.80% 12.25% 11.86% 11.48%
Inception: 6/21/85
C Shares 19.08% NA NA NA NA NA 14.80% NA
Inception: 7/5/96
I Shares 20.20% NA NA NA NA NA 12.16% NA
Inception: 6/25/97
GROWTH AND INCOME FUND
A Shares 29.59% 23.43% 20.25% 19.10% 14.88% 14.32% 15.40% 14.89%
Inception: 9/22/88
C Shares 28.88% NA NA NA NA NA 20.31% NA
Inception: 8/5/96
I Shares 30.17% NA NA NA NA NA 16.69% NA
Inception: 9/18/97
MARKET NEUTRAL FUND*
A Shares 12.93% 7.55% 9.96% 8.90% NA NA 9.35% 8.76%
Inception: 9/4/90
GROWTH FUND
A Shares 57.34% 49.89% 25.99% 24.77% NA NA 19.37% 18.73%
Inception: 9/4/90
C Shares 56.71% NA NA NA NA NA 27.29% NA
Inception: 9/3/96
I Shares 58.26% NA NA NA NA NA 18.14% NA
Inception: 9/18/97
GLOBAL GROWTH AND INCOME FUND
A Shares 23.42% 17.60% NA NA NA NA 16.25% 14.41%
Inception: 9/9/96
C Shares 22.72% NA NA NA NA NA 15.90% NA
Inception: 9/24/96
I Shares 23.91% NA NA NA NA NA 11.90% NA
Inception: 9/18/97
HIGH YIELD FUND
A Shares NA NA NA NA NA NA 0.00% -4.76%
Inception: 8/1/99
</TABLE>
- ---------------
* Formally known as the Calamos Strategic Income Fund
The performance data quoted represents past performance and is not a guarantee
of future results. Investment return and principal value of an investment in the
CALAMOS(R) Family of Funds shares will fluctuate so that when an investor's
shares are redeemed, they may be worth more or less than the original cost. The
CALAMOS(R) Family of Funds are distributed by CALAMOS(R) FINANCIAL SERVICES,
INC.
Performance numbers in the shaded area are adjusted for the 4.75% sales charge
for class A shares. For class C shares there is a 1% contingent deferred sales
charge on certain redemptions within the first year of purchase.
(1) Average annual total return measures net investment income and capital gain
or loss from portfolio investments as an annualized average, assuming
reinvestment of income and capital gain distributions.
2
<PAGE> 4
CALAMOS CONVERTIBLE FUND
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (52.2%)
CAPITAL GOODS - INDUSTRIAL (.4%)
$ 725,000 Interim Services Inc $ 579,638
4.5000%, 09/16/04
CAPITAL GOODS - TECHNOLOGY (19.8%)
1,000,000 Affiliated Computer Services 1,134,870
Corporation(b)
4.000%, 03/15/05
7,900,000 Atmel Corporation(b) 4,156,980
0.000%, 04/21/18
1,600,000 Bell Atlantic Corporation 1,605,504
(Tel -Nz)(b)
5.750%, 04/01/03
1,200,000 Bell Atlantic Corporation(b) 1,263,600
(Cable & Wireless)
4.250%, 09/15/05
2,500,000 Bell Atlantic Corporation 2,614,125
(Cable & Wireless)
4.250%, 09/15/05
750,000 British Aerospace 1,432,280
3.750%, 07/21/06
1,355,000 France Telecom S.A.(b) 1,254,730
2.000%, 01/01/04
600,000 LSI Logic Corporation(b) 1,068,000
4.250%, 03/15/04
1,950,000 Siebel Systems(b) 1,911,000
5.500%, 09/15/06
4,400,000 Solectron Corporation(b)(c) 2,716,780
0.000%, 01/27/19
1,175,000 Systems & Computer Technology 922,375
Corporation
5.000%, 10/15/04
2,000,000 Telefonos De Mexico 1,887,500
4.250%, 06/15/04
4,400,000 U.S. Cellular Corporation(c) 2,772,000
0.000%, 06/15/15
1,450,000 Veritas Software 1,542,582
1.856%, 08/13/06
------------
26,282,326
CONSUMER CYCLICALS (6.0%)
600,000 The Interpublic Group of 690,108
Companies, Inc.(b)
1.800%, 09/16/04
2,277,000 The Interpublic Group of 2,109,070
Companies, Inc.(b) 1.870%,
09/16/04
3,175,000 Marriott International, 2,090,896
Inc.(c)
0.000%, 03/25/11
1,025,000 Marriott International, 675,014
Inc.(c)
0.000%, 03/25/11 Euro
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------
<C> <S> <C>
$ 500,000 Omnicom Group, Inc. $ 847,075
2.250%, 01/06/13
950,000 Omnicom Group Inc.(b) 1,609,443
2.250%, 01/06/13
------------
8,021,606
CONSUMER GROWTH STAPLES (11.3%)
400,000 Affymetrix, Inc.(b) 396,000
5.000%, 10/01/06
600,000 Alpharma, Inc.(b) 723,750
3.000%, 06/01/06
225,000 Alpharma, Inc. 298,125
5.750%, 04/01/05
4,440,000 Athena Neurosciences 2,514,150
(Elan)(b)(c)
0.000%, 12/14/18
1,575,000 Athena Neurosciences 891,844
(Elan)(c)
0.000%, 12/14/18
1,800,000 Clear Channel Communications, 2,518,938
Inc. 2.625%, 04/01/03
2,300,000 Costco Companies, Inc.(b) 2,006,796
0.000%, 08/19/17
1,450,000 CUC International, Inc. 1,338,263
3.000%, 02/15/02
1,560,000 Genzyme Corporation(b) 2,113,894
5.250%, 06/01/05
4,500,000 Roche Holdings Company(b)(c) 2,255,625
0.000%, 05/06/12
------------
15,057,384
CONSUMER STAPLES (2.4%)
2,650,000 Nestle Holdings, Inc. 3,199,875
3.000%, 06/17/02
CREDIT CYCLICALS (.8%)
1,350,000 BankAtlantic Bancorp, Inc. 1,042,875
5.625%, 12/01/07
ENERGY (2.6%)
1,625,000 Devon Energy 1,564,063
4.900%, 08/15/08
2,150,000 Loews Corporation (Diamond 1,826,167
Offshore Drilling)
3.125%, 09/15/07
------------
3,390,230
FINANCIAL (3.5%)
24,000,000 Acom Corporation(b) 302,205
JPY 0.000%, 03/31/02
650,000 Finlayson Global (Rep. of 1,153,750
Singapore) Corporation(b)
0.000%, 02/19/04
600,000 Finlayson Global (Rep. of 1,057,860
Singapore) Corporation
0.000%, 02/19/04
</TABLE>
See accompanying Notes to Financial Statements.
3
<PAGE> 5
CALAMOS CONVERTIBLE FUND - CONTINUED
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------
<C> <S> <C>
127,000,000 Mitsui Marine & Fire $ 1,224,641
JPY Insurance Company .7000%,
03/31/03
83,000,000 Sumitomo Marine & Fire 881,168
JPY Insurance Company
1.200%, 03/31/04
------------
4,619,624
TRANSPORTATION (2.9%)
750,000 Airtours, Inc. plc.(b) 1,290,287
GBP 5.750%, 01/05/04
570,000 BAA plc 1,083,278
GBP 5.750%, 03/29/06
2,500,000 Deutsche Lufthansa(b) 1,440,427
DEM 2.125%, 12/03/02
------------
3,813,992
UTILITIES (2.5%)
2,550,000 AES Corporation 3,264,000
4.500%, 08/15/05
------------
TOTAL CONVERTIBLE BONDS (Cost 69,271,550
$61,173,299)
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (25.2%)
BASIC INDUSTRIES (4.0%)
50,500 International Paper Company $ 2,590,144
5.250%
39,500 Sealed Air Corporation 2,004,625
2.000%, Series A
6,000 Tribune Company 723,000
2.000%
------------
5,317,769
CAPITAL GOODS - TECHNOLOGY (6.6%)
3,000 Adelphia Communication 534,189
5.500%
24,700 Loral Space & Communication 1,207,213
6.000%
22,000 Mediaone Group, Inc. 2,308,625
6.250%
18,300 Qualcomm Financial Trust, 4,825,481
Inc.
5.750%
------------
8,875,508
CONSUMER CYCLICALS (1.8%)
17,700 Royal Caribbean Cruises 2,437,069
Limited
7.250% Series A
CONSUMER GROWTH STAPLES (2.6%)
57,300 Monsanto Co. 2,062,800
6.500%
29,200 Village Roadshow, Inc.(b) 1,350,500
6.500%
------------
3,413,300
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------
<C> <S> <C>
CONSUMER STAPLES (3.5%)
66,900 Seagram Ltd. $ 3,106,669
7.500%
42,000 Suiza Foods Corporation 1,485,750
5.500%
------------
4,592,419
CREDIT CYCLICALS (.7%)
43,100 DECS Trust II (Royal Group 937,425
Tech Limited) 6.875%
ENERGY (.7%)
25,000 Western Gas Resources 864,063
2.625%
FINANCIAL (4.0%)
139,500 National Australia Bank 3,818,812
7.875%
4,200 Equity Residential Properties 87,150
Trust 7.250%
8,415 Glenborough Realty Trust 138,322
7.750%
26,000 Vornado Realty Trust 1,215,500
6.500% Series A
------------
5,259,784
TRANSPORTATION (1.3%)
5,600 Canadian National Railway 289,450
5.250%
30,650 Union Pacific Capital Trust 1,406,069
6.250%
------------
1,695,519
------------
TOTAL CONVERTIBLE PREFERRED 33,392,856
STOCKS
(Cost $28,694,817)
COMMON STOCK (7.3%)
CAPITAL GOODS - TECHNOLOGY (.1%)
1,235 Sensormatic Electronics 15,669
Corporation
CONSUMER CYCLICALS (.9%)
27,624 Carnival Corporation 1,201,644
CONSUMER GROWTH STAPLES (3.8%)
34,000 Gannet Company, Inc 2,352,375
48,000 Nike Inc. Class B 2,730,000
------------
5,082,375
CONSUMER STAPLES (1.4%)
180,000 Diageo plc 1,838,752
GBP
CREDIT CYCLICALS (1.1%)
28,000 Federal Home Loan Mortgage 1,456,000
Corporation
------------
TOTAL COMMON STOCKS 9,594,439
(Cost $5,964,304)
</TABLE>
See accompanying Notes to Financial Statements.
4
<PAGE> 6
CALAMOS CONVERTIBLE FUND - CONTINUED
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS VALUE
- ----------------------------------------------------------
<C> <S> <C>
CALL OPTIONS (.6%)
CAPITAL GOODS - TECHNOLOGY (.3%)
80 Adobe Corporation(a) $ 413,000
LEAPS Expiration 01/18/02,
Strike 85
CONSUMER GROWTH STAPLES (.1%)
350 Chiron Corporation(a) 172,813
LEAPS Expiration 01/19/02,
Strike 35
CONSUMER STAPLES (.2%)
200 General Mills Corporation(a) 305,000
LEAPS Expiration 01/19/01,
Strike 70
------------
TOTAL CALL OPTIONS 890,813
(Cost $798,640)
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ----------------------------------------------------------
<C> <S> <C>
WARRANTS
CONSUMER GROWTH STAPLES (.5%)
65,527 News Corporation Ltd. $ 655,270
06/16/03
------------
TOTAL WARRANTS (.5%) 655,270
(Cost $445,584)
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT SECURITIES (12.1%)
$ 10,500,000 United States National Strips $ 4,007,325
Interest Coupon
0.000%, 08/15/14
23,000,000 United States National Strips 6,648,840
Interest Coupon
0.000%, 11/15/18
U.S. Treasury Note
500,000 5.875%, 2/15/00 501,510
2,750,000 6.875%, 5/15/06 2,872,457
2,000,000 6.500%, 10/15/06 2,045,540
------------
TOTAL U.S. GOVERNMENT 16,075,672
SECURITIES
(Cost $16,633,122)
------------
TOTAL INVESTMENTS (97.9%) 129,880,600
(Cost $113,709,766)
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ----------------------------------------------------------
<C> <S> <C>
CASH DEPOSITS WITH CUSTODIAN $(1.5%) $ 1,995,819
(INTEREST BEARING)
OTHER ASSETS, LESS LIABILITIES (.6%) 804,132
------------
NET ASSETS (100.0%) $132,680,551
------------
NET ASSET VALUE PER SHARE -CLASS A $ 17.69
------------
(3,835,756 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 17.62
------------
(1,919,423 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS I $ 17.74
------------
(1,748,224 shares outstanding)
</TABLE>
Notes to Schedule of Investments
(a) Non-income producing security
(b) Rule 144A security - Private placement securities
issued under Rule 144A are exempt from the registration requirement of
the Securities Act of 1933. These securities generally are issued to
qualified institutional buyers, such as the Funds, and any resale by the
Funds must be an exempt transaction, normally to other qualified
institutional investors.
(c) LYON - Liquid Yield Option Note
See accompanying Notes to Financial Statements.
5
<PAGE> 7
CALAMOS GROWTH AND INCOME FUND
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (47.8%)
CAPITAL GOODS - INDUSTRIAL (.4%)
$ 140,000 Interim Services Inc $ 111,930
4.500%, 06/01/05
CAPITAL GOODS - TECHNOLOGY (22.9%)
185,000 Affiliated Computer Services 209,951
Corporation(b),
4.000%, 03/15/05
1,350,000 Atmel Corporation(b) 710,370
0.000%, 04/21/18
400,000 Bell Atlantic Corporation 418,260
(Cable & Wireless)
4.250%, 09/15/05
170,000 Comverse Tech Inc(b) 384,413
4.500%, 07/01/05
820,000 Hewlett-Packard(c) 496,100
0.000%, 10/14/17
200,000 LSI Logic Corporation(b) 356,000
4.250%, 03/15/04
500,000 Park Electrochemical 481,250
Corporation
5.500%, 03/01/06
430,000 Siebel Systems(b) 421,400
5.500%, 09/15/06
925,000 Solectron Corporation(b) 571,141
0.000%, 01/27/19
450,000 Solectron Corporation(c) 277,853
0.000%, 01/27/19
250,000 Systems & Computer Technology 196,250
Corporation
5.000%, 10/15/04
600,000 Telefonos De Mexico 566,250
4.250%, 06/15/04
1,250,000 U.S. Cellular Corporation(c) 787,500
0.000%, 06/15/15
900,000 Veritas Software 957,465
1.856%, 08/13/06
-----------
6,834,202
CONSUMER CYCLICALS (6.8%)
500,000 Genesco Inc 435,995
5.500%, 04/15/05
425,000 The Interpublic Group of 393,656
Companies, Inc.(b)
1.870%, 06/01/06
65,000 The Interpublic Group of 74,762
Companies, Inc.(b)
1.800%, 09/16/04
60,000 The Interpublic Group of 69,011
Companies, Inc.
1.800%, 09/16/04
1,100,000 Marriott International, Inc.(c) 724,405
0.000%, 03/25/11
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
<C> <S> <C>
$ 200,000 Omnicom Group, Inc.(b) $ 338,830
2.250%, 01/06/13
-----------
2,036,659
CONSUMER GROWTH STAPLES (16.2%)
300,000 Affymetrix Inc.(b) 297,000
5.000%, 10/01/06
100,000 Alpharma Inc.(b) 120,625
3.000%, 06/01/06
325,000 Alpharma Inc. 430,625
5.750%, 04/01/05
625,000 Athena Neuroscineces (Elan) 353,906
0.000%, 12/14/18
725,000 Athena Neuroscineces (Elan)(b) 410,531
0.000%, 12/14/18
360,000 Clear Channel Communications, 503,788
Inc.
2.625%, 04/01/03
475,000 Costco Companies, Inc.(b) 414,447
0.000%, 08/19/17
825,000 CUC International, Inc. 761,426
3.000%, 02/15/02
230,000 Genzyme Corporation(b) 311,664
5.250%, 06/01/05
500,000 Jacor Communications, Inc.(c) 310,625
0.000%, 02/09/18
900,000 Roche Holdings Company (b)(c) 541,125
0.000%, 04/20/10
800,000 Times Mirror Company(c) 394,000
0.000%, 04/15/17
-----------
4,849,761
UTILITIES (1.5%)
350,000 AES Corporation 448,000
4.500%, 08/15/05
TOTAL CONVERTIBLE BONDS 14,280,552
(Cost $12,458,329)
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (27.6%)
BASIC INDUSTRIES (1.5%)
9,000 Sealed Air Corporation 2.000% $ 456,750
CAPITAL GOODS - INDUSTRIAL (1.5%)
18,600 Metromedia International 7.250% 458,025
CAPITAL GOODS - TECHNOLOGY (11.1%)
600 Adelphia Communication 5.500% 106,838
3,500 Mediaone Group, Inc. 6.250% 367,281
9,600 Pioneer Standard Trust 6.750% 522,000
7,200 Qualcomm Financial Trust, Inc. 1,898,550
5.750%
</TABLE>
See accompanying Notes to Financial Statements.
6
<PAGE> 8
CALAMOS GROWTH AND INCOME FUND - CONTINUED
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------
<C> <S> <C>
21,341 Sensormatic Electronics $ 426,825
Corporation(b) 6.5000%
-----------
3,321,494
CONSUMER CYCLICALS (1.5%)
3,300 Royal Caribbean Cruises Limited 454,369
7.250%
CONSUMER GROWTH STAPLES (1.5%)
4,500 Houston Industries Inc. 7.000% 459,000
CONSUMER STAPLES (2.4%)
15,200 Seagram Ltd. 7.500% 705,850
ENERGY (1.5%)
13,000 Western Gas Resources 2.625% 449,313
FINANCIAL (1.8%)
19,200 National Australia Bank 7.875% 525,600
TRANSPORTATION (3.9%)
18,000 Arkansas Best Corporation 756,000
2.875%
4,500 Canadian National Railway 232,594
5.250%
4,000 Union Pacific Capital Trust 182,500
6.250%
-----------
1,171,094
UTILITIES (.9%)
4,750 AES Corporation 5.500% 267,505
-----------
TOTAL CONVERTIBLE 8,269,000
PREFERRED STOCKS
(Cost $6,365,203)
COMMON STOCKS (11.6%)
CAPITAL GOODS - TECHNOLOGY (3.2%)
8,800 First Data Corp 386,100
6,400 Microsoft Corp 579,600
-----------
965,700
CONSUMER CYCLICALS (3.9%)
9,700 MGM Grand 496,519
29,316 Station Casinos 681,590
-----------
1,178,109
CONSUMER GROWTH STAPLES (1.4%)
8,600 Fastenal Company 405,275
FINANCIAL (3.1%)
5,514 Fifth Third Bancorp 335,492
12,500 MGIC Investment 596,875
-----------
932,367
-----------
TOTAL COMMON STOCKS 3,481,451
(Cost $2,385,708)
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS VALUE
- ---------------------------------------------------------
<C> <S> <C>
CALL OPTIONS (.5%)
CAPITAL GOODS - TECHNOLOGY (.3%)
15 Adobe Corporation(a) $ 77,438
LEAPS
Expiration 01/18/02, Strike 85
CONSUMER GROWTH STAPLES (.1%)
55 Chiron Corporation(a) 27,156
LEAPS
Expiration 01/19/02, Strike 35
CONSUMER STAPLES (.1%)
30 General Mills Corporation(a) 45,750
LEAPS
Expiration 01/19/01, Strike 70
-----------
TOTAL CALL OPTIONS 150,344
(Cost $130,268)
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT SECURITIES (8.2%)
$3,800,000 United States National Strips $ 1,191,262
Interest Coupon
0.000%, 08/15/17
U.S. Treasury Note
600,000 5.875%, 02/15/00 601,812
635,000 6.875%, 05/15/06 663,277
-----------
TOTAL U.S. GOVERNMENT 2,456,351
SECURITIES
(Cost $2,543,999)
TOTAL INVESTMENTS (95.7%) 28,637,698
(Cost $23,883,507)
CASH DEPOSITS WITH CUSTODIAN - (INTEREST 1,207,580
BEARING) (4.0%)
OTHER ASSETS, LESS LIABILITIES (.3%) 69,782
-----------
NET ASSETS (100.0%) $29,915,060
-----------
NET ASSET VALUE PER SHARE - CLASS A $ 19.94
-----------
(1,193,950 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 19.76
-----------
(197,995 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS I $ 20.01
-----------
(109,878 shares outstanding)
</TABLE>
Notes to Schedule of Investments
(a) Non-income producing security
(b) Rule 144A security - Private placement securities
issued under Rule 144A are exempt from the registration requirement of
the Securities Act of 1933. These securities generally are issued to
qualified institutional buyers, such as the Funds, and any resale by the
Funds must be an exempt transaction, normally to other qualified
institutional investors.
(c) LYON - Liquid Yield Option Note
See accompanying Notes to Financial Statements.
7
<PAGE> 9
CALAMOS MARKET NEUTRAL FUND
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (63.4%)
BASIC INDUSTRIES (1.4%)
55,000 Mail-Well Inc. $ 53,350
5.000%, 06/15/03
-----------
53,350
CAPITAL GOODS - INDUSTRIAL (7.2%)
65,000 Mark IV Industries Inc. 56,347
4.750%, 11/01/04
55,000 Robbins & Myers Inc. 46,200
6.500%, 09/01/03
135,000 Standard Motor Products 119,559
6.750%, 07/15/09
50,000 Thermoquest Corporation 49,200
5.000%, 08/15/00
-----------
271,306
CAPITAL GOODS - TECHNOLOGY (22.9%)
70,000 Activision Inc. 78,400
6.750%, 01/01/05
55,000 Amazon.com, Inc.(b) 64,419
4.750%, 02/01/09
85,000 BEA Systems Inc. 121,954
4.000%, 06/15/05
50,000 Emcor Group Inc. 45,193
5.750%, 04/01/05
80,000 MRV Communications Inc. 80,390
5.000%, 11/01/02
30,000 Net.Bank Inc. 25,500
4.750%, 06/01/04
60,000 Safeguard Scientific(b) 65,738
5.000%, 06/15/06
50,000 Sanmina Corporation(b) 55,840
4.250%, 05/01/04
20,000 Siebel Systems(b) 19,600
5.500%, 09/15/06
130,000 Solectron Corporation(b)(a) 80,269
0.000%, 01/27/19
60,000 SportsLine USA, Inc.(b) 45,525
5.000%, 04/01/06
110,000 Telefonos De Mexico 103,813
4.250%, 06/15/04
70,000 Verticalnet Inc.(b) 73,500
5.250%, 09/27/04
-----------
860,139
CONSUMER CYCLICALS (8.3%)
50,000 Genesco Inc. 43,600
5.500%, 04/15/05
20,000 The Interpublic Group of 18,525
Companies(b)
1.870%, 06/01/06
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------
<C> <S> <C>
110,000 Lamar Advertising Co. $ 139,425
5.250%, 09/15/06
60,000 MAGNA International Inc. 54,445
4.875%, 02/15/05
55,000 Michaels Stores 54,811
6.750%, 01/15/03
-----------
310,805
CONSUMER GROWTH STAPLES (16.6%)
55,000 Action Performance 37,292
4.750%, 04/01/05
70,000 Affymetrix Inc.(b) 69,300
5.000%, 10/01/06
55,000 Alpharma Inc.(b) 65,519
3.000%, 06/01/06
125,000 Athena Neurosciences (Elan)(b) 70,781
0.000%, 12/14/18
75,000 Aviron Inc. 69,752
5.750%, 04/01/05
95,000 CUC International Inc. 87,679
3.000%, 02/15/02
120,000 Jacor Communications Inc.(a) 74,550
0.000%, 02/09/18
90,000 Pier 1 Imports 88,088
5.750%, 10/01/03
110,000 Wellpoint Health Network 64,625
0.000%, 07/02/19
-----------
627,586
ENERGY (4.2%)
30,000 Pride International Inc. 34,425
6.250%, 02/15/06
125,000 Seacor Holdings 121,923
5.375%, 11/15/06
-----------
156,348
FINANCIAL (2.8%)
70,000 Ameritrade Holding Corporation(b) 51,188
5.750%, 08/01/04
65,000 Financial Federal Corporation 55,331
4.500%, 05/01/05
-----------
106,519
TOTAL CONVERTIBLE BONDS 2,386,054
(Cost $2,288,457)
CONVERTIBLE PREFERRED STOCK (24.7%)
BASIC INDUSTRIES (1.8%)
1,300 Sealed Air Corporation 65,975
2.000% Series A
CAPITAL GOODS - INDUSTRIAL (.5%)
700 Metromedia International 17,238
7.250%
</TABLE>
See accompanying Notes to Financial Statements.
8
<PAGE> 10
CALAMOS MARKET NEUTRAL FUND - CONTINUED
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS - TECHNOLOGY (4.9%)
1,300 Pioneer Standard $ 70,688
6.750%
1,300 PSI Net Inc. 52,325
6.750%
1,500 Verio Inc.(b) 62,625
6.750%
-----------
185,638
CONSUMER CYCLICALS (3.1%)
1,800 Tower Automotive Capital Trust 75,179
6.750%
1,100 United Rentals Inc. 40,013
6.500%
-----------
115,191
CONSUMER GROWTH STAPLES (2.1%)
500 Avado Brands Series A 14,938
7.000%
1,800 Owens & Minor 63,941
5.375%
-----------
78,879
CREDIT CYCLICALS (1.5%)
1,400 Owens Corning MIPS 54,775
6.500%
ENERGY (3.2%)
1,200 Calenergy Capital Trust 49,500
6.500%
1,300 Pogo Trust Inc. 69,306
6.500%
-----------
118,806
FINANCIAL (3.1%)
1,450 Frontier Financing Trust 54,556
6.250%
1,200 Newfield Financial Trust 65,400
6.500%
-----------
119,956
TRANSPORTATION (2.0%)
1,800 Arkansas Best Corporation 75,600
2.875%
UTILITIES (2.5%)
1,700 AES Corporation 95,739
5.500%
-----------
TOTAL CONVERTIBLE 927,797
PREFERRED STOCKS
(Cost $1,073,432)
TOTAL INVESTMENTS (88.1%) 3,313,851
(Cost $3,361,889)
COMMON STOCK SOLD SHORT (-37.3%)
BASIC INDUSTRIES (-1.8%)
(1,500) Mail-Well, Inc. (20,813)
(910) Sealed Air Corporation (46,694)
-----------
(67,507)
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS - INDUSTRIAL (-2.1%)
(600) Mark IV Industries Inc. $ (11,850)
(950) Metromedia International Group (3,919)
(825) Robbins & Myers Inc. (12,788)
(2,450) Standard Motor Products (47,622)
(450) Thermoquest Corp. (4,556)
-----------
(80,734)
CAPITAL GOODS - TECHNOLOGY (-13.3%)
(1,900) Activision Inc. (33,488)
(370) Amazon.com Inc. (29,577)
(2,400) BEA Systems Inc. (84,750)
(1,200) Emcor Group Inc. (23,100)
(1,400) Mrv Communication Inc. (33,163)
(350) Net.Bank Inc. (7,744)
(2,700) Pioneer Standard Elec. (38,981)
(625) PSI Net Inc. (22,480)
(400) Safeguard Scientifics (27,200)
(350) Sanmina Corp. (27,081)
(125) Siebel Systems Inc. (8,328)
(550) Solectron Corporation (39,497)
(300) SportLine USA Inc. (8,869)
(710) Telefonos De Mexico (50,588)
(900) Verio Inc. (27,900)
(950) Verticalnet Inc. (35,150)
-----------
(497,895)
CONSUMER CYCLICALS (-4.6%)
(1,050) Genesco Inc. (13,125)
(200) Interpublic Group Of Companies (8,225)
(1,650) Lamar Advertising Co. (81,675)
(100) MAGNA International, Inc. (4,969)
(500) Michaels Stores Inc. (14,750)
(1,800) Tower Automotive (35,663)
(575) United Rentals Inc. (12,506)
-----------
(170,913)
CONSUMER GROWTH STAPLES (-7.5%)
(350) Action Performance (7,372)
(350) Affymetrix Inc. (34,453)
(1,150) Alpharma Inc. Class A (40,609)
(900) Avado Brands Inc. (5,063)
(1,900) Aviron (46,016)
(625) Cendant Corporation (11,094)
(475) Clear Channel Communications (37,941)
(700) Elan Corporation ADRs (23,494)
(2,450) Owens & Minor Inc. (23,581)
</TABLE>
See accompanying Notes to Financial Statements.
9
<PAGE> 11
CALAMOS MARKET NEUTRAL FUND - CONTINUED
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------
<C> <S> <C>
(5,400) Pier 1 Imports Inc. $ (36,450)
(300) Wellpoint Health Network (17,100)
-----------
(283,172)
CREDIT CYCLICALS (-.4%)
(625) Owens Corning (13,555)
ENERGY (-3.6%)
(850) New Field Exploration (27,997)
(1,700) Pogo Producing Co. (35,275)
(1,700) Pride International Inc. (24,119)
(950) Seacor Holdings Inc. (48,688)
-----------
(136,078)
FINANCIAL (-1.5%)
(1,100) Ameritrade Holding Co. (20,178)
(900) Financial Federal Corporation (16,988)
(2,200) Frontier Insurance Group Inc. (19,250)
-----------
(56,416)
TRANSPORTATION (-.7%)
(2,150) Arkansas Best Corporation (26,606)
UTILITIES (-1.8%)
(850) AES Corporation (50,150)
(600) MidAmerican Energy (17,700)
-----------
(67,850)
-----------
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- -----------------------------------------------------------
<C> <S> <C>
TOTAL COMMON STOCKS $(1,400,725)
SOLD SHORT
(Proceeds - $1,413,540)
CASH DEPOSITS WITH CUSTODIAN 1,787,089
(INTEREST BEARING)(47.6%)
ASSETS, LESS OTHER LIABILITIES (1.6%) 60,406
-----------
NET ASSETS (100.0%) $ 3,760,620
-----------
NET ASSET VALUE PER SHARE - CLASS A $ 11.99
-----------
</TABLE>
NOTES TO SCHEDULE OF INVESTMENTS
(a) LYON - Liquid Yield Option Note
(b) Rule 144A security - Private placement securities
issued under Rule 144A are exempt from the registration requirement of
the Securities Act of 1933. These securities generally are issued to
qualified institutional buyers, such as the Funds, and any resale by the
Funds must be an exempt transaction, normally to other qualified
institutional investors.
See accompanying Notes to Financial Statements.
10
<PAGE> 12
CALAMOS GROWTH FUND
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (96.4%)
CAPITAL GOODS - INDUSTRIAL (5.5%)
9,800 Geon Company $ 252,350
11,000 Measurement Specialist 200,750
9,450 Monaco Coach Corporation 230,344
6,900 PowerOne Inc 175,950
8,000 Winnebago Industries 191,500
-----------
1,050,894
CAPITAL GOODS - TECHNOLOGY (40.9%)
16,000 Alliance Semiconductor 170,000
5,700 Anadigics Corporation 160,313
12,600 Atmel Corporation 426,038
8,000 CTS Corporation 460,000
6,700 Commscope Inc. 217,750
5,400 Comverse Technology 509,288
8,800 DSP Group Inc. 350,900
8,600 Emulex 738,525
12,800 Imation Corporation 396,800
13,000 LTX Corporation 177,938
7,600 PMC Sierra Inc 703,000
4,400 Powerwave Technologies 212,163
3,000 Qualcomm Inc. 567,563
4,900 Sandisk Corporation 319,419
6,600 Transwitch Corporation 376,200
8,500 Triquint Semiconductor 486,094
7,000 Verisign Inc. 745,500
7,000 Verity Inc. 481,688
8,000 Zomax Inc. 207,000
5,300 Zoran Corporation 143,763
-----------
7,849,942
CONSUMER CYCLICALS (16.1%)
20,000 Argosy Gaming Company 265,000
10,000 Brauns Fashions Corporation 181,875
7,600 Circuit City Stores 320,625
7,800 Copart Inc. 143,813
3,500 Eaton Corporation 302,094
24,000 Genesco Inc. 300,000
10,600 Haverty Furniture 153,700
6,700 MGM Grand Inc. 342,956
6,000 Rex Stores Corporation 186,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
- ---------------------------------------------------------
<C> <S> <C>
7,100 Tiffany & Company $ 425,556
8,250 Valassis Communication 362,484
10,000 Waste Management, Inc. 116,250
-----------
3,100,353
CONSUMER GROWTH STAPLES (26.3%)
4,100 Agribrands International 203,463
8,800 Andrx Corporation 515,075
6,200 Biogen Inc. 488,638
6,800 Biovail Corp International 345,100
11,400 CEC Entertainment Inc. 408,975
7,800 Colorado Medtech Inc. 112,613
12,000 Jakks Pacific Inc. 450,000
7,300 Lands End Inc. 481,800
3,400 Medimmune Inc. 338,831
7,400 Polymedica Corporation 172,050
18,600 Price Com Corporation 466,163
7,800 Saucony Inc Class B 122,850
13,700 Taro Pharmaceutical 208,925
6,800 Visx Inc. 537,838
6,600 Zoll Medical Corporation 199,650
-----------
5,051,969
CREDIT CYCLICALS (1.6%)
6,000 NVR Inc 303,000
ENERGY (3.2%)
8,400 Basin Exploration Inc. 201,600
12,000 Forest Oil Corporation 204,750
9,500 Prima Energy Corporation 216,719
-----------
623,069
UTILITIES (2.8%)
6,400 Calpine Corporation 544,400
TOTAL COMMON STOCKS
(Cost $14,227,353) 18,523,622
-----------
TOTAL INVESTMENTS (96.4%) 18,523,622
(Cost $14,227,353)
CASH DEPOSITS WITH CUSTODIAN 622,784
(INTEREST BEARING) (3.2%)
OTHER ASSETS, LESS LIABILITIES (.4%) 78,103
-----------
NET ASSETS (100.0%) $19,227,509
-----------
NET ASSET VALUE PER SHARE - CLASS A $ 26.26
-----------
(603,749 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 25.81
-----------
(53,069 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS I $ 26.54
-----------
(75,555 shares outstanding)
</TABLE>
See accompanying Notes to Financial Statements.
11
<PAGE> 13
CALAMOS GLOBAL GROWTH AND INCOME FUND
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (42.5%)
CAPITAL GOODS - TECHNOLOGY (11.8%)
$ 60,000 Affiliated Computer Services $ 68,092
Corporation(b)
4.000%, 03/15/05
140,000 Bell Atlantic Corporation 146,391
(Cable & Wireless)
4.250%, 09/15/05
75,000 Comverse Technology Inc.(b) 169,594
4.500%, 07/01/05
125,000 Siebel Systems(b) 122,500
5.500%, 09/15/06
245,000 Solectron Corporation(b)(c) 151,275
0.000%, 01/27/19
130,000 Telefonos De Mexico 122,688
4.250%, 06/15/04
175,000 U.S. Cellular Corporation(c) 110,250
0.000%, 06/15/15
100,000 Veritas Software 106,385
1.856%, 08/13/06
----------
997,175
CONSUMER CYCLICAL (3.2%)
140,000 The Interpublic Group of 129,675
Companies, Inc.(b)
1.870%, 09/16/04
35,000 The Interpublic Group of 40,256
Companies, Inc.
1.8000%, 09/16/04
155,000 Marriott International, Inc.(c) 102,075
0.000%, 03/25/11
----------
272,007
CONSUMER GROWTH STAPLES (12.5%)
90,000 Affymetrix, Inc.(b) 89,100
5.000%, 10/01/06
125,000 Clear Channel Communications, 174,926
Inc.
2.625%, 04/01/03
150,000 Costco Companies, Inc.(b) 130,878
0.000%, 08/19/17
100,000 CUC International, Inc. 92,294
3.000%, 02/15/02
175,000 Athena Neurosciences (Elan)(c) 99,094
0.000%, 12/14/18
200,000 Athena Neurosciences 113,250
(Elan)(b)(c)
0.000%, 12/14/18
110,000 Genzyme Corporation(b) 149,057
5.250%, 06/01/05
250,000 Swatch Group 208,680
2.000%, 10/23/02
----------
1,057,279
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
<C> <S> <C>
CONSUMER STAPLES (2.1%)
$ 150,000 Nestle Holdings, Inc. $ 181,125
3.000%, 06/17/02
CREDIT CYCLICALS (2.2%)
250,000 Amoy Properties, Inc. (Hong 183,125
Kong)
5.500%, 01/01/30
FINANCIAL (5.2%)
200,000 Finlayson Global (Rep. of 352,620
Singapore) Corporation
0.000%, 02/19/04
10,000,000 Nisshin Fire & Marine Insurance 90,811
JPY Company
.650%, 03/31/04
----------
443,431
TRANSPORTATION (3.2%)
89,000 Airtours plc.(b) 153,114
5.750%, 01/05/04
200,000 Deutsche Lufthansa 115,228
2.125%, 12/03/02
----------
268,342
UTILITIES (2.3%)
150,000 AES Corporation 192,000
----------
TOTAL CONVERTIBLE BONDS 3,594,483
(Cost $2,989,544)
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCK (13.5%)
CAPITAL GOODS - TECHNOLOGY (5.6%)
$ 1,800 Qualcomm Financial Trust, Inc. $ 474,638
5.750%
CONSUMER CYCLICALS (2.4%)
1,500 Royal Caribbean Cruises Limited 206,531
7.250% Series A
CONSUMER STAPLES (1.8%)
3,200 Seagram Ltd. 7.500% 148,600
ENERGY (1.1%)
2,700 Western Gas Resources 2.625% 93,319
FINANCIAL (2.6%)
8,150 National Australia Bank 7.875% 223,106
----------
TOTAL CONVERTIBLE PREFERRED 1,146,194
STOCK
(Cost $626,054)
COMMON STOCKS (36.2%)
CAPITAL GOODS TECHNOLOGY (4.6%)
1,932 Koninklijke (Philips 195,132
Electronics) ADRs
2,300 Telecom Italia SPA ADRs 198,231
----------
393,363 \
</TABLE>
See accompanying Notes to Financial Statements.
12
<PAGE> 14
CALAMOS GLOBAL GROWTH AND INCOME FUND - CONTINUED
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------
<C> <S> <C>
CONSUMER CYCLICALS (5.4%)
$ 2,500 MGM Grand $ 127,969
4,100 Michelin 193,387
40,000 Rank Group plc 141,088
----------
462,444
CONSUMER GROWTH STAPLES (6.7%)
2,500 Fastenal Company 117,813
3,050 Fuji Photo Film Company 103,128
1,600 Gannet Inc 110,700
125,000 Village Roadshow Ltd 235,235
----------
566,875
CONSUMER STAPLES (8.5%)
33,000 Allied Domecq plc 187,703
GBP
50,000 Berisford plc 251,472
GBP
6,038 British American Tob 104,910
16,814 Diageo plc 171,760
GBP
----------
715,845
FINANCIAL (6.2%)
2,700 MGIC Investment 128,925
41,000 Mitsui Marine and Fire 216,870
JPY Insurance Co.
28,000 Sumitomo Marine and Fire 178,252
JPY Insurance Co.
----------
524,047
TRANSPORTATION (4.8%)
2,800 British Airways ADRs 159,950
27,000 Cathay Pacific Airways 243,318
----------
403,268
TOTAL COMMON STOCKS 3,065,842
(Cost $2,535,148)
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS VALUE
- ---------------------------------------------------------
<C> <S> <C>
CALL OPTIONS (.6%)
CAPITAL GOODS - TECHNOLOGY (.3%)
5 Adobe Corporation(a) $ 25,813
LEAPS Expiration 01/18/02,
Strike 85
CONSUMER GROWTH STAPLES (.1%)
20 Chiron Corporation(a) 9,875
LEAPS Expiration 01/19/02,
Strike 35
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS VALUE
- ---------------------------------------------------------
<C> <S> <C>
CONSUMER STAPLES (.2%)
20 General Mills Corporation(a) $ 12,625
LEAPS Expiration 01/19/01,
Strike 70
----------
TOTAL CALL OPTIONS 48,313
(Cost $45,645)
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------
<C> <S> <C>
WARRANTS (.3%)
CONSUMER GROWTH STAPLES
2,871 News Corporation Ltd. $ 28,710
6/16/03
----------
TOTAL WARRANTS 28,710
(Cost $19,523)
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- ---------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT SECURITIES (6.2%)
$ 1,125,000 United States National Strips $ 325,215
Interest Coupon
0.000%, 11/15/18
75,000 United States Treasury Bond 76,708
6.500%, 10/15/06
125,000 United States Treasury Note 121,373
5.625%, 05/15/08
----------
TOTAL U.S. GOVERNMENT 523,295
SECURITIES
(Cost $555,503)
----------
TOTAL INVESTMENTS (99.3%) 8,406,837
(Cost $6,771,417)
U.S. DOLLAR CASH DEPOSITS WITH 482,451
CUSTODIAN (INTEREST BEARING) (5.8%)
OTHER ASSETS, LESS LIABILITIES (-5.1%) (430,372)
----------
NET ASSETS (100.0%) $8,458,916
----------
NET ASSET VALUE PER SHARE - CLASS A $ 7.04
----------
(999,045 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 6.98
----------
(130,210 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS I $ 7.07
----------
(73,440 share outstanding)
</TABLE>
Notes to Schedule of Investments
(a) Non-income producing security
(b) Rule 144A security - Private placement securities
issued under Rule 144A are exempt from the registration requirement of
the Securities Act of 1933. These securities generally are issued to
qualified institutional buyers, such as the Funds, and any resale by the
Funds must be an exempt transaction, normally to other qualified
institutional investors.
(c) LYON - Liquid Yield Option Note
See accompanying Notes to Financial Statements.
13
<PAGE> 15
CALAMOS HIGH YIELD FUND
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------
<C> <S> <C>
CORPORATE BONDS (29.8%)
CAPITAL GOODS - TECHNOLOGY (8.9%)
$20,000 Exodus Communications Ino(b) $ 20,400
11.250%, 07/01/08
20,000 Globalstar LP 12,800
11.250%, 06/15/04
14,000 Medpartners Inc. 11,970
7.375%, 10/01/06
20,000 Price Communications 20,550
9.125%, 12/15/06
-----------
65,720
CONSUMER CYCLICALS (5.8%)
12,000 Circus Circus 12,060
9.250%, 12/01/05
20,000 MGM Grand Inc 17,971
6.875%, 02/06/08
12,000 Station Casinos 12,240
9.750%, 04/15/07
-----------
42,271
CONSUMER GROWTH STAPLES (11.3%)
13,000 Beazer Homes USA 11,765
8.875%, 04/01/08
20,000 Domtar Inc 20,500
8.750%, 08/01/06
13,000 Gaylord Container 11,960
9.375%, 06/15/07
20,000 Pope & Talbot Inc
8.375%, 06/01/13 18,192
20,000 Salton Inc 20,600
10.750%, 12/15/05
-----------
83,017
TRANSPORTATION (1.9%)
15,000 Northwest Airlines 13,908
7.625%, 03/15/05
UTILITIES (1.9%)
15,000 Calpine Corporation 13,875
7.750%, 04/15/09
-----------
TOTAL CORPORATE BONDS 218,791
(Cost $220,667)
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
- -----------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (9.9%)
CAPITAL GOODS - INDUSTRIAL (2.2%)
$20,000 Interim Services Inc $ 15,990
4.500%, 06/01/05
CONSUMER CYCLICALS (5.0%)
20,000 Genesco Inc 17,440
5.500%, 04/15/05
24,000 Hilton Hotels Corporation 19,560
5.000%, 05/15/06
-----------
37,000
CONSUMER GROWTH STAPLES (2.7%)
50,000 Lennar Corporation 19,507
0.000%, 07/29/18
-----------
TOTAL CONVERTIBLE BONDS 72,497
(Cost $73,502)
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
- ---------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (5.1%)
CONSUMER CYCLICALS (2.7%)
590 Host Marriott $ 20,134
ENERGY (2.4%)
500 Western Gas Resources 17,281
-----------
TOTAL CONVERTIBLE PREFERRED 37,415
STOCKS
(Cost $36,153)
TOTAL INVESTMENTS (44.8%) 328,703
(Cost $330,322)
U.S. DOLLAR CASH DEPOSITS WITH 412,289
CUSTODIAN (INTEREST BEARING)
(56.1%)
LIABILITIES, LESS OTHER ASSETS (-.9%) (6,633)
-----------
NET ASSETS (100.0%) $ 734,359
-----------
NET ASSETS VALUE PER SHARE - CLASS A $ 10.00
(73,447 shares outstanding)
-----------
</TABLE>
See accompanying Notes to Financial Statements.
14
<PAGE> 16
STATEMENTOF ASSETS AND LIABILITIES
SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
GROWTH AND MARKET GLOBAL GROWTH
CONVERTIBLE INCOME NEUTRAL GROWTH AND INCOME HIGH YIELD
FUND FUND FUND FUND FUND FUND
- ---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (cost $113,709,766,
$23,883,507, $3,361,889, $14,227,353,
$6,771,417 and $330,322, respectively) $129,880,600 28,637,698 3,313,851 18,523,622 8,406,837 328,703
Cash with custodian (interest bearing) 1,995,819 1,207,580 1,787,089 622,784 482,451 412,289
Accrued interest and dividends receivable 735,116 148,948 32,117 4,160 174,138 9,113
Receivable for investments sold 1,018,379 -- 246,515 81,806 345,544 --
Receivable for Fund shares sold 112,276 105,857 147,401 62,125 -- --
Prepaid expenses 5,053 -- -- -- -- --
Due from Advisor -- -- 15,457 21,220 29,593 2,714
-------------------------------------------------------------------------------
Total Assets $133,747,243 30,100,083 5,542,430 19,315,717 9,438,563 752,819
-------------------------------------------------------------------------------
LIABILITIES AND NET ASSETS
Common stocks sold short, at value (proceeds
$1,413,540) -- -- 1,400,725 -- -- --
Net unrealized depreciation in forward foreign
currency contracts 240,946 -- -- -- 172,623 --
Payable for investments purchased 610,011 151,766 -- -- 638,996 17,922
Payable for Fund shares redeemed 76,385 2,345 299,481 4,477 67,555 --
Payable to investment adviser 82,959 18,163 -- 16,183 7,032 323
Accounts payable and accrued liabilities -- -- 78,730 60,224 93,441 --
Payable to distributor 56,391 12,749 2,874 7,324 -- 215
-------------------------------------------------------------------------------
Total Liabilities 1,066,692 185,023 1,781,810 88,208 979,647 18,460
-------------------------------------------------------------------------------
NET ASSETS $132,680,551 29,915,060 3,760,620 19,227,509 8,458,916 734,359
----------------------------------------------------------------
ANALYSIS OF NET ASSETS
Excess of amounts received from issuance of
shares over amounts paid on redemptions of
shares on account of capital $112,388,878 24,653,160 3,625,388 13,201,819 6,815,039 733,498
Undistributed net investment income -- 7,736 103 -- 20,398 2,480
Accumulated net realized gain (loss) on
investments 4,362,410 499,973 177,826 1,729,421 161,790 --
Unrealized appreciation (depreciation) of
investments and other assets less liabilities 15,929,263 4,754,191 (42,697) 4,296,269 1,461,689 (1,619)
-------------------------------------------------------------------------------
NET ASSETS $132,680,551 29,915,060 3,760,620 19,227,509 8,458,916 734,359
----------------------------------------------------------------
CLASS A SHARES
Net Assets Applicable to Shares Outstanding $ 67,844,606 23,803,889 3,760,620 15,852,518 7,031,248 734,359
Shares Outstanding 3,835,756 1,193,950 313,629 603,749 999,045 73,447
Net Asset Value and Redemption Price Per Share
at
September 30, 1999 $ 17.69 19.94 11.99 26.26 7.04 10.00
----------------------------------------------------------------
Maximum Offering Price Per Share at September
30, 1999 (net asset value, plus 4.99% of net
asset value or 4.75% of offering price) $ 18.57 20.93 12.59 27.57 7.39 10.50
----------------------------------------------------------------
CLASS C SHARES
Net Assets Applicable to Shares Outstanding $ 33,816,997 3,912,065 N/A 1,369,672 908,550 N/A
Shares Outstanding 1,919,423 197,995 N/A 53,069 130,210 N/A
Net Asset Value and Redemption Price Per Share
at
September 30, 1999 $ 17.62 19.76 N/A 25.81 6.98 N/A
----------------------------------------------------------------
CLASS I SHARES
Net Assets Applicable to Shares Outstanding 31,018,948 2,199,107 N/A 2,005,319 519,118 N/A
Shares Outstanding 1,748,224 109,878 N/A 75,555 73,440 N/A
Net Asset Value and Redemption Price Per Share
at
September 30, 1999 $ 17.74 20.01 N/A 26.54 7.07 N/A
----------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
15
<PAGE> 17
STATEMENT OF OPERATIONS
PERIOD ENDED SEPTEMBER 30, 1999 (UNAUDITED)
<TABLE>
<CAPTION>
GLOBAL
GROWTH AND MARKET GROWTH AND
CONVERTIBLE INCOME NEUTRAL GROWTH INCOME HIGH YIELD
FUND FUND FUND FUND FUND FUND*
- -------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest $1,778,478 347,165 71,941 20,278 51,729 3,297
Dividends 989,237 151,136 13,416 7,968 46,919 328
------------------------------------------------------------------------
Total Investment Income 2,767,715 498,301 85,357 28,246 98,648 3,625
------------------------------------------------------------------------
EXPENSES
Investment advisory fees 507,089 99,891 10,861 87,456 41,353 429
Distribution fees 336,154 69,360 7,241 72,350 21,490 280
Transfer agent fees 12,746 16,681 8,000 10,550 15,488 1,150
Accounting fees 8,838 5,403 3,000 6,900 9,900 1,129
Custodian fees 4,782 3,500 12,100 3,000 7,475 1,100
Trustees' fees 900 900 900 900 900 --
Registration fees 4,196 2,000 3,500 3,800 5,875 150
Audit and legal fees 5,500 1,500 12,091 9,850 15,000 50
Other 4,000 500 1,809 3,009 8,875 --
------------------------------------------------------------------------
Total expenses 884,206 199,735 59,502 197,815 126,355 4,288
Less expense reimbursement -- -- 30,538 25,000 42,837 3,143
------------------------------------------------------------------------
Net expenses 884,206 199,735 28,964 172,815 83,518 1,145
------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 1,883,509 298,566 56,393 (144,569) 15,130 2,480
------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments and options,
and forward foreign currency contracts 4,586,723 574,903 138,504 1,343,828 148,786 --
Change in net unrealized appreciation/depreciation on
investments, options and forward foreign currency
contracts 52,491 1,797,599 (98,855) 447,360 378,915 (1,619)
------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS 4,639,214 2,372,502 39,649 1,791,188 527,701 (1,619)
------------------------------------------------------------------------
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $6,522,723 2,671,068 96,042 1,646,619 542,831 861
------------------------------------------------------------------
</TABLE>
* The High Yield Fund commenced operations on August 1, 1999.
See accompanying Notes to Financial Statements.
16
<PAGE> 18
STATEMENT OF CHANGES IN NET ASSETS
PERIOD ENDED SEPTEMBER 30, 1999 (UNAUDITED) AND YEAR ENDED MARCH 31, 1999
<TABLE>
<CAPTION>
GROWTH AND
CONVERTIBLE FUND INCOME FUND MARKET NEUTRAL FUND
------------------------------------------------------------------------------
6 MONTHS YEAR 6 MONTHS YEAR 6 MONTHS YEAR
ENDED ENDED ENDED ENDED ENDED ENDED
SEPT. 30, MARCH 31, SEPT. 30, MARCH 31, SEPT. 30, MARCH 31,
1999 1999 1999 1999 1999 1999
- --------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss) $ 1,883,509 3,276,521 298,566 435,251 56,393 48,564
Net realized gain on investments
(including options) and forward
foreign currency contracts 4,586,723 4,358,710 574,903 900,317 138,504 108,678
Change in unrealized
appreciation/depreciation on
investments (including options)
and forward currency contracts 52,491 (3,186,023) 1,797,599 91,274 (98,855) (26,015)
------------------------------------------------------------------------------
Increase in net assets resulting
from operations 6,522,723 4,449,208 2,671,068 1,426,842 96,042 131,227
------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (2,330,475) (3,115,139) (409,003) (432,108) (56,393) (48,568)
Net realized gains -- (3,004,579) -- (1,230,405) -- (115,218)
Return of Capital -- -- -- -- -- --
------------------------------------------------------------------------------
Total Distributions (2,330,475) (6,119,718) (409,003) (1,662,513) 56,390 (163,786)
------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL SHARE TRANSACTIONS (4,535,113) 22,227,638 4,020,804 7,532,355 1,631,819 998,473
------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS (342,865) 20,557,128 6,282,869 7,296,684 1,671,468 965,914
NET ASSETS
Beginning of year 133,023,416 112,466,288 23,632,191 16,335,507 2,089,152 1,123,238
End of period 132,680,551 133,023,416 29,915,060 23,632,191 3,760,620 2,089,152
------------------------------------------------------------------------------
Undistributed Net Investment Income $ -- 265,893 7,736 118,173 57 103
<CAPTION>
GLOBAL GROWTH AND HIGH YIELD
GROWTH FUND INCOME FUND FUND
------------------------------------------------------------
6 MONTHS YEAR 6 MONTHS YEAR PERIOD
ENDED ENDED ENDED ENDED ENDED
SEPT. 30, MARCH 31, SEPT. 30, MARCH 31, SEPT. 30,
1999 1999 1999 1999 1999*
- ------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss) (144,569) (188,955) 15,130 94,109 2,480
Net realized gain on investments
(including options) and forward
foreign currency contracts 1,343,828 723,739 148,786 448,201 --
Change in unrealized
appreciation/depreciation on
investments (including options)
and forward currency contracts 447,360 1,667,569 378,915 (212,532) (1,619)
Increase in net assets resulting
from operations 1,646,619 2,202,353 542,831 329,778 861
------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income -- -- (46,293) (147,631) --
Net realized gains -- -- -- (149,906) --
Return of Capital -- -- -- -- --
Total Distributions -- -- (46,293) (297,537) --
------------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL SHARE TRANSACTIONS 1,928,055 1,527,126 302,829 819,774 733,498
TOTAL INCREASE (DECREASE) IN NET
ASSETS 3,574,674 3,729,479 799,367 852,015 734,359
NET ASSETS
Beginning of year 15,652,835 11,923,356 7,659,549 6,807,534 --
End of period 19,227,509 15,652,835 8,458,916 7,659,549 734,359
------------------------------------------------------------------------------
Undistributed Net Investment Income -- -- 20,398 51,561 2,480
</TABLE>
*The High Yield Fund commenced operations on August 1, 1999.
See accompanying Notes to Financial Statements.
17
<PAGE> 19
NOTES TO FINANCIAL STATEMENTS
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization - CALAMOS INVESTMENT TRUST, a Massachusetts business trust
organized December 21, 1987 (the "Trust"), consists of six series, CALAMOS
Convertible Fund, CALAMOS Growth and Income Fund, CALAMOS Market Neutral Fund
(formerly known as Strategic Income Fund), CALAMOS Growth Fund, CALAMOS Global
Growth and Income Fund, and CALAMOS High Yield Fund (the "Funds"). The Trust
currently offers Class A, Class C and Class I shares of each of the six series
of the Trust.
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 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 determined in good faith by or under the direction of the Trust's
Board of Trustees. Forward currency contracts are valued using forward currency
exchange rates available from a quotation service.
Investment Transactions and Investment Income - Investment transactions are
recorded on a trade date basis. Realized gains and losses from investment
transaction are reported on an identified cost basis. Interest income is
recognized using the accrual method and includes amortization of original issue
discount and market discount. Dividend income is recognized on the ex-dividend
date, except that certain dividends from foreign securities are recorded as soon
as the information becomes available.
Foreign Currency Translation - Values of investments denominated in foreign
currencies are converted into U.S. dollars using the spot market rate of
exchange at the time of valuation. Purchases and sales of investments and
dividend and interest income are translated into U.S. dollars using the spot
market rate of exchange prevailing on the respective dates of such transaction.
Realized foreign exchange gains of $157,674 and unrealized foreign exchange
losses of $241,571 incurred by the Convertible Fund and realized foreign
exchange gains of $244,174 and unrealized foreign exchange losses of $173,730
incurred by the Global Growth and Income Fund are included as a component of net
realized gains(losses) on investments, options and forward foreign currency
contracts and change in net unrealized appreciation and depreciation on
investments, options and forward foreign currency contracts, respectively.
Federal Income Taxes - No provision has been made for Federal income taxes since
each Fund is registered as a regulated investment company and has made such
distributions to shareholders as to be relieved of all Federal income taxes.
Dividends - Dividends payable to shareholders are recorded by the Fund 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.
Allocation of Expenses Between Classes - Expenses arising in connection with a
specific class of shares are allocated directly. All other expenses are
allocated pro rata based on relative net assets.
18
<PAGE> 20
NOTES TO FINANCIAL STATEMENTS - CONTINUED
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 TRANSACTION WITH AFFILIATES
Pursuant to an investment advisory agreement with CALAMOS ASSET MANAGEMENT, INC.
("CAM"), each Fund pays a monthly investment advisory fee based on the average
daily net assets of each Fund, computed as follows: The Convertible Fund, Growth
and Income Fund, and Market Neutral Fund fees are at the annual rate of 0.75% of
the first $150 million of the Fund's average daily net assets and 0.50% of the
Fund's average daily net assets in excess of $150 million. The Growth Fund fees
are at the annual rate of 1.00% of the first $150 million of average daily net
assets and 0.75% of the Fund's average daily net assets in excess of $150
million. The Global Growth and Income Fund fees are at the annual rate of 1.00%
of the Fund's average daily net assets. The High Yield Fund fee are at the
annual rate of 0.75% of the Fund's average daily net assets.
CAM has voluntarily undertaken to limit normal operating expenses of each Fund
to 2% of average daily net assets for Class A shares, 2.5% of average daily net
assets for Class C shares, and 1.5% of average daily net assets for Class I
shares through August 31, 2000. For the six months ended September 30, 1999, CAM
waived or absorbed expenses of $30,538, $25,000, $42,837, and $3,143,
respectively, for the Market Neutral Fund, Growth Fund, Global Growth and Income
Fund and High Yield Fund.
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 the Fund pays to CFS an annual
service fee of 0.25% and an annual distribution fee of 0.25% of the average
daily net assets of the Fund's Class A shares and an annual service fee of 0.25%
and an annual distribution fee of 0.75% of the average daily net assets of the
Fund's Class C shares.
CFS also receives a sales commission on certain sales of each Fund's Class A
shares. During the six months ended September 30, 1999 CFS received commissions
of $3,043, $1,275, $40, $924, and $470 from the sale of shares of Convertible
Fund, Growth and Income Fund, Market Neutral Fund, Growth Fund, and Global
Growth and Income Fund, respectively.
Certain portfolio transactions for the Funds have been executed through CFS as
broker, consistent with the Fund's policy of obtaining best price and execution.
During the period ended September 30, 1999, the Convertible Fund, Growth and
Income Fund, Market Neutral Fund, Growth Fund, Global Growth and Income Fund,
and High Yield Fund paid brokerage commissions to CFS on purchases and sales of
portfolio securities in the amount of $2,610, $2,574, $1,812, $26,498, $641 and
$30, respectively.
Certain officers and trustees of the Trust are also officers and directors of
CFS and CAM. All officers and affiliated trustees serve without direct
compensation from the Trust.
19
<PAGE> 21
NOTES TO FINANCIAL STATEMENTS - CONTINUED
NOTE 3 - INVESTMENTS
Purchases and sales of investments other than short-term obligation by the Funds
for the period ended September 30, 1999, were as follows:
<TABLE>
<CAPTION>
GROWTH MARKET GLOBAL GROWTH HIGH
CONVERTIBLE AND INCOME NEUTRAL GROWTH AND INCOME YIELD
FUND FUND FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Purchases 37,418,818 15,720,976 3,433,584 15,845,117 3,146,958 330,109
Proceeds from sales 42,344,315 11,604,752 2,186,899 14,166,941 2,269,029 0
</TABLE>
The following information is based on the cost basis of investments for Federal
income tax purposes at September 30, 1999.
<TABLE>
<CAPTION>
GROWTH MARKET GLOBAL GROWTH HIGH
CONVERTIBLE AND INCOME NEUTRAL GROWTH AND INCOME YIELD
FUND FUND FUND FUND FUND FUND
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Cost basis of investments 113,709,766 23,883,507 3,361,889 14,227,353 6,771,417 330,322
Gross unrealized appreciation 20,618,020 5,527,298 154,214 4,883,019 1,757,701 2,066
Gross unrealized depreciation 4,447,186 773,106 196,911 586,750 122,282 3,685
Net unrealized appreciation
(depreciation) 16,170,834 4,754,191 (42,697) 4,296,269 1,635,420 (1,619)
</TABLE>
NOTE 4 - SHORT SALES
Securities sold short represent obligations to purchase the securities at a
future date at then prevailing prices. The 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 own equivalent securities, the off-balance-sheet risk is offset.
During the period ended September 30, 1999, the Market Neutral Fund incurred net
gains of $139,183 on short sales that were classified as net realized gains on
investments. No other Fund engaged in short sales during the period ended
September 30, 1999.
NOTE 5 - FORWARD FOREIGN CURRENCY CONTRACTS
Each Fund may engage in portfolio hedging with respect to change in currency
exchange rates by entering into foreign currency contacts to purchase or sell
currencies. A forward foreign currency contract is a commitment to purchase or
sell a foreign currency at a future date at a negotiated forward rate. Risks
associated with such contracts include movement in the value of the foreign
currency relative to the U.S. dollar and the ability of the counterparty to
perform. The net unrealized gain, if any, represents the credit risk to the Fund
on a forward foreign currency contract. The contracts are valued daily at
forward exchange rates and an unrealized gain or loss is recorded. The Fund
realizes a gain or loss upon settlement of the contracts. The statement of
operations reflects net unrealized gains and losses on these contracts. The
counterparty to all forward foreign currency contracts at September 30, 1999,
was a multinational bank.
As of September 30, 1999, the Convertible Fund had the following open forward
foreign currency contracts:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN(LOSS)
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Japanese Yen 10/21/99 235,000,000 2,206,931 (240,946)
</TABLE>
20
<PAGE> 22
NOTES TO FINANCIAL STATEMENTS - CONTINUED
As of September 30, 1999, the Global Growth and Income Fund had the following
open forward foreign currency contracts:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN(LOSS)
- ------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Swiss Francs 10/21/99 575,000 383,682 (18,764)
Euros 10/21/99 420,250 448,324 (14,838)
Japanese Yen 10/21/99 63,000,000 591,645 (70,885)
British Pound Sterling 10/21/99 750,000 1,234,760 (65,960)
Hong Kong Dollars 10/21/99 2,850,000 366,862 (400)
--------
(170,847)
</TABLE>
NOTE 6 - INTEREST BEARING CASH DEPOSIT WITH CUSTODIAN
Each Fund earns interest on its average daily balance deposited with its
custodian at a rate equal to the current Federal Reserve Federal Funds rate.
During the period ended September 30, 1999, the Convertible Fund, Growth and
Income Fund, Market Neutral Fund, Growth Fund, Global Growth and Income Fund,
and High Yield Fund earned $56,435, $13,778, $23,925, $20,278, $4,023 and
$1,417, respectively.
NOTE 7 - CAPITAL SHARE TRANSACTIONS
The following table summarizes the activity in capital shares of the Funds:
<TABLE>
<CAPTION>
CONVERTIBLE GROWTH AND MARKET NEUTRAL
PERIOD ENDED SEPTEMBER 30, 1999 FUND INCOME FUND FUND
- ---------------------------------------------------------------------------------------------------------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
A SHARES --------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 331,204 $ 5,909,715 210,239 $ 4,122,712 162,052 $1,953,175
Shares issued in reinvestment of
distributions 40,381 718,947 12,828 254,256 4,263 51,003
Less shares redeemed (470,798) (8,400,804) (70,641) (1,367,178) (30,939) (372,359)
---------------------------------------------------------------------
Increase (Decrease) (99,213) $(1,772,142) 152,426 $ 3,009,790 135,376 $1,631,819
---------------------------------------------------------------------
C SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
---------------------------------------------------------------------
Shares sold 369,800 $ 6,584,103 56,838 $ 1,107,115 -- --
Shares issued in reinvestment of
distributions 6,483 114,980 370 7,283 -- --
Less shares redeemed (283,293) (4,667,420) (7,337) (141,513) -- --
---------------------------------------------------------------------
Increase (Decrease) 112,990 $ 2,031,663 49,871 $ 972,885 -- --
---------------------------------------------------------------------
I SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
---------------------------------------------------------------------
Shares sold 87,523 $ 1,575,067 1,138 $ 22,854 -- --
Shares issued in reinvestment of
distributions 2, 172 39,058 769 15,275 --
Less shares redeemed (359,072) (6,408,759) -- -- -- --
---------------------------------------------------------------------
Increase (Decrease) (269,377) $(4,794,634) 1,907 $ 38,129 -- --
---------------------------------------------------------------------
</TABLE>
21
<PAGE> 23
NOTES TO FINANCIAL STATEMENTS - CONTINUED
<TABLE>
<CAPTION>
GROWTH GLOBAL GROWTH AND HIGH YIELD
PERIOD ENDED SEPTEMBER 30, 1999 FUND INCOME FUND FUND
- --------------------------------------------------------------------------------------------------------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
A SHARES ---------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 108,450 $ 2,860,722 111,791 $ 774,178 73,447 $733,498
Shares issued in reinvestment of distributions -- -- 5,109 35,867 -- --
Less shares redeemed (81,126) (2,065,831) (92,567) (643,033) -- --
------------------------------------------------------------
Increase(Decrease) 27,324 $ 794,891 24,333 $ 167,012 73,447 $733,498
------------------------------------------------------------
C SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
------------------------------------------------------------
Shares sold 42,217 $ 1,192,811 19,139 $ 131,788 -- --
Shares issued in reinvestment of distributions -- -- 200 1,399 -- --
Less shares redeemed (2,422) (59,647) (146) (1,016) -- --
------------------------------------------------------------
Increase(Decrease) 39,795 1,133,164 19,193 $ 132,171 -- --
------------------------------------------------------------
I SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
------------------------------------------------------------
Shares sold -- -- -- -- -- --
Shares issued in reinvestment of distributions -- -- 518 $ 3,646 -- --
Less shares redeemed -- -- -- -- --
------------------------------------------------------------
Increase(Decrease) -- -- 518 $ 3,646 -- --
------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
CONVERTIBLE GROWTH AND MARKET NEUTRAL
YEAR ENDED MARCH 31, 1999 FUND INCOME FUND FUND
- ----------------------------------------------------------------------------------------------------------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
A SHARES ------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 1,251,894 $ 21,115,430 421,294 $ 7,535,966 106,703 $1,269,722
Shares issued in reinvestment of
distributions 117,572 1,924,088 64,677 1,126,161 12,957 149,582
Less shares redeemed 999,737 (16,673,704) (149,988) (2,625,432) (35,744) (420,831)
-------------------------------------------------------------------
Increase(Decrease) 369,729 $ 6,365,814 335,983 $ 6,036,695 83,916 $ 998,473
-------------------------------------------------------------------
C SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
-------------------------------------------------------------------
Shares sold 1,266,994 $ 21,222,195 98,923 $ 1,777,306 -- --
Shares issued in reinvestment of
distributions 12,808 209,318 2,224 38,338 -- --
Less shares redeemed (299,718) (3,033,144) (27,639) (480,801) -- --
-------------------------------------------------------------------
Increase(Decrease) 980,084 $ 16,398,369 73,508 $ 1,334,843 -- --
-------------------------------------------------------------------
I SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
-------------------------------------------------------------------
Shares sold 358,145 $ 6,091,643 -- $ -- -- --
Shares issued in reinvestment of
distributions 5,072 83,302 9,210 160,817 -- --
Less shares redeemed (403,644) (6,711,490) -- -- -- --
-------------------------------------------------------------------
Increase(Decrease) (40,427) $ (536,545) 9,210 $ 160,817 -- --
-------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
GROWTH GLOBAL GROWTH AND
YEAR ENDED MARCH 31, 1999 FUND INCOME FUND
- -----------------------------------------------------------------------------------------------------------
SHARES DOLLARS SHARES DOLLARS
A SHARES ---------------------------------------------
<S> <C> <C> <C> <C>
Shares sold 120,475 $ 2,391,213 191,523 $1,251,757
Shares issued in reinvestment of distributions -- -- 38,747 240,982
Less shares redeemed (61,207) (1,118,636) (120,730) (745,913)
------------------------------------------
Increase(Decrease) 59,268 $ 1,272,577 109,540 $ 746,826
------------------------------------------
C SHARES SHARES DOLLARS SHARES DOLLARS
------------------------------------------
Shares sold 13,372 $ 291,295 18,675 $ 122,276
Shares issued in reinvestment of distributions -- -- 2,261 13,933
Less shares redeemed (2,181) (46,746) (12,715) (82,580)
------------------------------------------
Increase(Decrease) 11,191 $ 244,549 8,221 $ 53,629
------------------------------------------
I SHARES SHARES DOLLARS SHARES DOLLARS
------------------------------------------
Shares sold 586 $ 10,000 -- $ --
Shares issued in reinvestment of distributions -- -- 3,112 19,319
Less shares redeemed -- -- -- --
------------------------------------------
Increase(Decrease) 586 $ 10,000 3,112 $ 19,319
------------------------------------------
</TABLE>
22
<PAGE> 24
ABBREVIATIONS
<TABLE>
<S> <C> <C> <C> <C> <C>
ADRS: American Depository Receipts CUM: Cumulative EXCH: Exchangeable
ADSS: American Depository Shares DEB: Debenture NONCUM: Noncumulative
CONV.: Convertible DEP.: Depository PREF.: Preferred
EURO.: Eurobond SUB.: Subordinated
</TABLE>
FOREIGN CURRENCY ABBREVIATIONS:
<TABLE>
<S> <C> <C> <C> <C> <C>
GBP: British Pound Sterling CAD: Canadian Dollar JPY: Japanese Yen
FRF: French Franc CHF: Swiss Franc DEM: German Mark
</TABLE>
23
<PAGE> 25
FINANCIALHIGHLIGHTS (UNAUDITED)
CALAMOS CONVERTIBLE FUND
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ARE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS C
------------------------------------------------- ---------------------------------------------
SIX SIX JULY 5,
MONTHS MONTHS YEAR YEAR 1996
ENDED ENDED ENDED ENDED THROUGH
SEPT. 30, YEAR ENDED MARCH 31, SEPT. 30, MARCH 31, MARCH 31, MARCH 31,
-------------------------------------------------------------------------------------------------
1999 1999 1998 1997 1996 1999 1999 1998 1997
-------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period $ 17.14 $ 17.43 $ 14.68 $ 14.49 $ 12.41 $ 17.07 $ 17.38 $ 14.63 $ 13.87
Income from investment
operations:
Net investment income 0.31 0.41 0.49 0.36 0.40 0.26 0.31 0.40 0.30
Net realized and unrealized
gain (loss) on investments 0.55 0.09 3.92 1.39 3.06 0.55 0.11 3.92 1.21
-------------------------------------------------------------------------------------------------
Total from investment
operations 0.86 0.50 4.41 1.75 3.46 0.81 0.42 4.32 1.51
-------------------------------------------------------------------------------------------------
Less distributions:
Dividends from net investment
income (0.31) (0.41) (0.61) (0.45) (0.36) (0.26) (0.35) (0.52) (0.25)
Dividends from net realized
capital gains - (0.38) (0.95) (1.11) (1.07) - (0.38) (0.95) (0.50)
Distributions paid from
capital - - (0.10) - - - - (0.10) -
-------------------------------------------------------------------------------------------------
Total distributions (0.31) (0.79) (1.66) (1.56) (1.38) (0.26) (0.73) (1.57) (0.75)
-------------------------------------------------------------------------------------------------
Net assets value, end of
period $ 17.69 $ 17.14 $ 17.43 $ 14.68 $ 14.49 $ 17.62 $ 17.07 $ 17.38 $ 14.63
---------------------------------------------------------------------------------------------
Total Return (a) 5.1% 3.2% 31.4% 12.9% 28.8% 4.7% 2.7% 30.8% 11.1%
Ratios and supplemental data:
Net assets, end of period
(000) $67,845 $67,456 $62,157 $35,950 $24,460 $ 33,817 $30,843 $14,358 $ 3,094
Ratio of expenses to average
net assets* 1.4% 1.4% 1.4% 1.5% 1.5% 1.9% 1.9% 2.0% 2.0%
Ratio of net investment
income to average net
assets* 2.4% 2.6% 3.3% 2.8% 3.0% 2.0% 2.1% 3.0% 2.7%
-------------------------------------------------------------------------------------------------
<CAPTION>
CLASS I
---------------------------------
SIX JUNE 25,
MONTHS YEAR 1997
ENDED ENDED THROUGH
SEPT. 30, MARCH 31, MARCH 31,
---------------------------------
1999 1999 1998
---------------------------------
<S> <C> <C> <C>
Net asset value, beginning of
period $ 17.21 $ 17.47 $ 15.88
Income from investment
operations:
Net investment income 0.37 0.50 0.37
Net realized and unrealized
gain (loss) on investments 0.53 0.09 2.49
Total from investment
operations 0.90 0.59 2.86
Less distributions:
Dividends from net investment
income (0.37) (0.47) (0.54)
Dividends from net realized
capital gains - (0.38) (0.63)
Distributions paid from
capital - - (0.10)
Total distributions (0.37) (0.85) (1.27)
Net assets value, end of
period $ 17.74 $ 17.21 $ 17.47
Total Return (a) 5.2% 3.7% 18.8%
Ratios and supplemental data:
Net assets, end of period
(000) $31,019 $34,725 $35,951
Ratio of expenses to average
net assets* 0.9% 0.9% 0.9%
Ratio of net investment
income to average net
assets* 3.1% 3.1% 2.9%
</TABLE>
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
---------------------------------------------------------------------------------
1999 1999 1998 1997 1996
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Portfolio turnover rate 56.9%* 78.2% 76.03% 52.3% 65.2%
---------------------------------------------------------------------------------
</TABLE>
(a) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
* Annualized
24
<PAGE> 26
FINANCIALHIGHLIGHTS (UNAUDITED)
CALAMOS GROWTH AND INCOME FUND
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ARE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS C
----------------------------------------------- ---------------------------------------------
SIX SIX AUGUST 5,
MONTHS MONTHS YEAR YEAR 1996
ENDED ENDED ENDED ENDED THROUGH
SEPT. 30, YEAR ENDED MARCH 31, SEPT. 30, MARCH 31, MARCH 31, MARCH 31,
-----------------------------------------------------------------------------------------------
1999 1999 1998 1997 1996 1999 1999 1998 1997
-----------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $ 18.22 $ 18.59 $ 15.52 $15.62 $12.68 $18.07 $18.48 $15.50 $14.52
Income from investment
operations:
Net investment income 0.30 0.39 0.34 0.34 0.37 0.25 0.28 0.26 0.26
Net realized and
unrealized gain (loss)
on investments 1.72 0.79 5.14 1.52 3.70 1.69 0.82 5.11 1.30
-----------------------------------------------------------------------------------------------
Total from investment
operations 2.02 1.18 5.48 1.86 4.70 1.94 1.10 5.37 1.56
-----------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income (0.30) (0.39) (0.41) (0.28) (0.42) (0.25) (0.34) (0.39) (0.25)
Dividends from net
realized capital gains -- (1.16) (2.00) (1.68) (0.71) -- (1.17) (0.20) (0.33)
-----------------------------------------------------------------------------------------------
Total distributions (0.30) (1.55) (2.41) (1.96) (1.13) (0.25) (1.51) (2.39) (0.58)
-----------------------------------------------------------------------------------------------
Net assets value, end of
period $ 19.94 $ 18.22 $ 18.59 $15.52 $15.62 $19.76 $18.07 $18.48 $15.50
-------------------------------------------------------------------------------------------
Total Return(a) 11.1% 6.9% 37.8% 12.9% 33.0% 10.7% 6.5% 37.1% 10.8%
Ratios and supplemental
data:
Net assets, end of
period (000) $23,804 $18,981 $13,119 $8,408 $5,813 $3,912 $2,676 $1,379 $ 330
Ratio of expenses to
average net assets
(b)* 2.0% 2.0% 2.0% 2.0% 2.0% 2.3% 2.4% 2.5% 2.5%
Ratio of net investment
income to average net
assets(b)* 2.3% 2.3% 2.0% 2.4% 2.6% 2.0% 1.9% 1.5% 2.4%
-----------------------------------------------------------------------------------------------
<CAPTION>
CLASS I
---------------------------------
SIX SEPT. 18,
MONTHS YEAR 1997
ENDED ENDED THROUGH
SEPT. 30, MARCH 31, MARCH 31,
---------------------------------
1999 1999 1998
---------------------------------
<S> <C> <C> <C>
Net asset value,
beginning of period $18.30 $18.61 $17.96
Income from investment
operations:
Net investment income 0.34 0.54 0.22
Net realized and
unrealized gain (loss)
on investments 1.72 0.75 2.14
Total from investment
operations 2.06 1.29 2.36
Less distributions:
Dividends from net
investment income (0.35) (0.43) (0.38)
Dividends from net
realized capital gains -- (1.17) (1.33)
Total distributions (0.35) (1.60) (1.71)
Net assets value, end of
period $20.01 $18.30 $18.61
Total Return(a) 11.3% 7.5% 14.4%
Ratios and supplemental
data:
Net assets, end of
period (000) $2,199 $1,976 $1,838
Ratio of expenses to
average net assets
(b)* 1.3% 1.3% 1.5%
Ratio of net investment
income to average net
assets(b)* 2.9% 2.9% 2.4%
</TABLE>
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
------------------------------------------------------------------------------
1999 1999 1998 1997 1996
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Portfolio turnover rate 91.1%* 87.5% 115.5% 91.5% 86.4%
------------------------------------------------------------------------------
</TABLE>
(a) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(b) After the reimbursement and waiver of expenses by the Adviser equivalent to
0%, 0%, 0%, .1% and .1% of average net assets, respectively for A Shares and 0%,
0%, 0% and .6%*, respectively for C shares.
*Annualized.
25
<PAGE> 27
FINANCIALHIGHLIGHTS (UNAUDITED)
CALAMOS MARKET NEUTRAL FUND
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ARE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A
-----------------------------------------------------------------------
SIX
MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
-----------------------------------------------------------------------
1999 1999 1998 1997 1996
-----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $11.72 $ 11.91 $ 10.81 $ 11.07 $10.13
Income from investment operations:
Net investment income 0.21 0.32 0.50 0.50 0.53
Net realized and unrealized gain (loss) 0.83
on investments 0.27 0.67 1.19 0.29
-----------------------------------------------------------------------
Total from investment operations (0.48) 0.99 1.69 0.79 1.36
-----------------------------------------------------------------------
Less distributions:
Dividends from net investment income (0.21) (0.32) (0.55) (0.68) (0.42)
Dividends from net realized capital -
gains - (0.86) (0.04) (0.37)
-----------------------------------------------------------------------
Total distributions (0.21) (1.18) (0.59) (1.06) (0.42)
-----------------------------------------------------------------------
Net assets value, end of period $11.99 $ 11.72 $ 11.91 $ 10.81 $11.07
---------------------------------------------------------------------
Total Return(a) 4.1% 8.7% 15.7% 7.4% 13.6%
Ratios and supplemental data:
Net assets, end of period (000) $3,761 $ 2,089 $ 1,123 $ 1,317 $1,620
Ratio of expenses to average net 2.2%
assets(b)(c)* 2.1% 2.1% 2.1% 2.1%
Ratio of net investment income to 4.6%
average net assets(b)* 3.2% 3.1% 3.9% 4.3%
-----------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
----------------------------------------------------------------
1999 1999 1998 1997 1996
----------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Portfolio turnover rate 163.2%* 192.9% 398.2% 152.5% 81.1%
----------------------------------------------------------------
</TABLE>
(a) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(b) After the reimbursement and waiver of expenses by the Adviser equivalent to
4.1%*, 4.3%, 4.1%, 3.0% and 1.6% of average net assets, respectively.
(c) Includes 0.1%*, 0.1%, 0.1%, 0.1% and 0.2%, respectively, related to dividend
expense on short positions.
*Annualized.
26
<PAGE> 28
FINANCIALHIGHLIGHTS (UNAUDITED)
CALAMOS GROWTH FUND
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ARE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS C CLASS I
----------------------------------------------- --------------------------------------------- ---------
SIX SIX SEPT. 3, SIX
MONTHS MONTHS YEAR YEAR 1996 MONTHS
ENDED ENDED ENDED ENDED THROUGH ENDED
SEPT. 30, YEAR ENDED MARCH 31, SEPT. 30, MARCH 31, MARCH 31, MARCH 31, SEPT. 30,
-----------------------------------------------------------------------------------------------------------
1999 1999 1998 1997 1996 1999 1999 1998 1997 1999
-----------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $ 23.51 $ 20.06 $ 17.04 $15.74 $14.18 $23.18 $19.85 $16.98 $17.63 $23.71
Income from
investment
operations:
Net investment
income (0.14) (0.30) (0.01) (0.09) (0.09) (0.26) (0.11) (0.13) (0.07) (0.06)
Net realized and
unrealized gain
(loss) on
investments 2.89 3.75 8.53 3.14 4.69 2.89 3.44 8.50 1.07 2.89
-----------------------------------------------------------------------------------------------------------
Total from
investment
operations 2.75 3.45 8.52 3.05 4.60 2.63 3.33 8.37 1.00 2.83
-----------------------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income - - - - (0.07) - - (5.32) (1.65) -
Dividends from net
realized capital
gains - - (5.32) (1.75) (2.97) - - (0.18) - -
Distributions paid
from capital - - (0.18) - - - - - - -
-----------------------------------------------------------------------------------------------------------
Total distributions - - (5.50) (1.75) (3.04) - - (5.50) (1.65) -
-----------------------------------------------------------------------------------------------------------
Net assets value, end
of period $ 26.26 $ 23.51 $ 20.06 $17.04 $15.74 $25.81 $23.18 $19.85 $16.98 $26.54
----------------------------------------------------------------------------------------------------
Total Return(a) 11.7% 17.2% 54.0% 19.1% 35.2% 11.3% 16.8% 53.3% 5.4% 11.9%
Ratios and
supplemental data:
Net assets, end of
period (000) $15,853 $13,553 $10,374 $6,635 $2,866 $1,370 $ 308 $ 41 $ 8 $2,005
Ratio of expenses
to average net
assets(b)* 2.0% 2.0% 2.0% 2.0% 2.0% 2.5% 2.5% 2.5% 2.5% $ 1.5%
Ratio of net
investment income
(loss) to average
net assets(b)* (-1.6%) (-1.6%) (-1.5%) (-1.3%) (-0.8%) (-2.2%) (-2.1%) (-2.0%) (-1.9%) (-1.1%)
-----------------------------------------------------------------------------------------------------------
<CAPTION>
CLASS I
---------------------
SEPT. 18,
YEAR 1997
ENDED THROUGH
MARCH 31, MARCH 31,
---------------------
1999 1998
---------------------
<S> <C> <C>
Net asset value,
beginning of period $20.12 $24.32
Income from
investment
operations:
Net investment
income (0.21) (0.11)
Net realized and
unrealized gain
(loss) on
investments 3.80 1.07
Total from
investment
operations 3.59 0.96
Less distributions:
Dividends from net
investment income - (4.98)
Dividends from net
realized capital
gains - (0.18)
Distributions paid
from capital -
Total distributions - (5.16)
Net assets value, end
of period $23.71 $20.12
Total Return(a) 17.8% 6.4%
Ratios and
supplemental data:
Net assets, end of
period (000) $1,792 $1,508
Ratio of expenses
to average net
assets(b)* 1.5% 1.5%
Ratio of net
investment income
(loss) to average
net assets(b)* (-1.1%) (-1.1%)
</TABLE>
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
---------------------------------------------------------------------------------
1999 1999 1998 1997 1996
---------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Portfolio turnover rate 173.2%* 184.3% 206.1% 173.9% 252.4%
---------------------------------------------------------------------------------
</TABLE>
(a) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(b) After the reimbursement and waiver of expenses by the Adviser equivalent to
.4%*, .4%, .3%, .7% and 1.2% of average net assets, respectively for A
shares, .5%*, .5%, .4% and .6%* of average net assets, respectively for C
shares and .3%*, .3% and .3%* of average net assets, respectively for I
shares.
*Annualized.
27
<PAGE> 29
FINANCIALHIGHLIGHTS (UNAUDITED)
CALAMOS GLOBAL GROWTH AND INCOME FUND
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ARE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS C CLASS I
---------------------------------------- --------------------------------------------- ---------
SIX SIX SEPT. 24, SIX
MONTHS SEPT. 9, MONTHS YEAR YEAR 1996 MONTHS
ENDED YEAR ENDED 1996 ENDED ENDED ENDED THROUGH ENDED
SEPT. 30, MARCH 31, THROUGH SEPT. 30 MARCH 31, MARCH 31, MARCH 31, SEPT. 30,
----------------------------------------------------------------------------------------------------
1999 1999 1998 1997 1999 1999 1998 1997 1999
----------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value,
beginning of period $ 6.61 $ 6.56 $ 5.39 $ 5.00 $ 6.57 $ 6.53 $ 5.37 $ 5.00 $ 6.63
Income from
investment
operations:
Net investment
income 0.04 0.02 0.17 0.04 0.02 0.01 0.15 0.03 0.07
Net realized and
unrealized gain
(loss) on
investments 0.43 0.29 1.42 0.36 0.41 0.27 1.41 0.35 0.42
----------------------------------------------------------------------------------------------------
Total from
investment
operations 0.47 0.31 1.59 0.40 0.43 0.28 1.56 0.38 0.49
----------------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income (0.04) (0.13) (0.28) (0.01) (0.04) (0.11) (0.26) (0.01) (0.05)
Dividends from net
realized capital
gains -- (0.13) (0.14) -- -- (0.13) (0.14) -- --
----------------------------------------------------------------------------------------------------
Total
distributions (0.04) (0.26) (0.42) (0.01) (0.04) (0.24) (0.40) (0.01) (0.05)
----------------------------------------------------------------------------------------------------
Net assets value, end
of period $ 7.04 $ 6.61 $ 6.56 $ 5.39 $ 6.98 $ 6.57 $ 6.53 $ 5.37 $ 7.07
--------------------------------------------------------------------------------------------
Total Return(a) 7.1% 5.1% 30.3% 8.0% 6.8% 4.6% 29.8% 7.6% 7.4%
Ratios and
supplemental data:
Net assets, end of
period (000) $7,031 $ 6,447 $ 5,678 $2,926 $ 909 $ 729 $ 671 $ 390 $ 519
Ratio of expenses to
average net
assets(b)* 2.0% 2.0% 2.0% 2.0% 2.5% 2.5% 2.5% 2.5% 1.5%
Ratio of net
investment income
to average net
assets (b)* 1.3% 1.3% 1.4% 1.8% 0.8% 0.8% 0.9% 1.6% 1.9%
----------------------------------------------------------------------------------------------------
<CAPTION>
CLASS I
---------------------
SEPT. 18,
YEAR 1997
ENDED THROUGH
MARCH 31, MARCH 31,
---------------------
1999 1998
---------------------
<S> <C> <C>
Net asset value,
beginning of period $ 6.56 $ 6.18
Income from
investment
operations:
Net investment
income 0.03 0.07
Net realized and
unrealized gain
(loss) on
investments 0.31 0.58
Total from
investment
operations 0.34 0.65
Less distributions:
Dividends from net
investment income (0.14) (0.17)
Dividends from net
realized capital
gains (0.13) (0.10)
Total
distributions (0.27) (0.27)
Net assets value, end
of period $ 6.63 $ 6.56
Total Return(a) 5.6% 10.9%
Ratios and
supplemental data:
Net assets, end of
period (000) $ 484 $ 458
Ratio of expenses to
average net
assets(b)* 1.5% 1.5%
Ratio of net
investment income
to average net
assets (b)* 1.8% 1.9%
</TABLE>
<TABLE>
<CAPTION>
SIX SEPT. 9,
MONTHS 1996
ENDED THROUGH
SEPT. 30, YEAR ENDED MARCH 31, MARCH 31,
-----------------------------------------------------------------
1999 1999 1998 1997
-----------------------------------------------------------------
<S> <C> <C> <C> <C>
Portfolio turnover rate 56.6%* 106.3% 64.8% 160.4%
-----------------------------------------------------------------
</TABLE>
(a) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(b) After the reimbursement and waiver of expenses by the Adviser equivalent to
1.2%*, 1.2%, 1.0% and 1.8%* of average net assets, respectively for A shares,
1.5%*, 1.5%, 1.2% and 1.8%* of average net assets, respectively for C shares and
.9%*, .9% and 1.2%* of average net assets, respectively for I shares.
*Annualized.
28
<PAGE> 30
FINANCIALHIGHLIGHTS (UNAUDITED)
CALAMOS HIGH YIELD FUND
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT THE PERIOD ARE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A
---------
AUG. 1,
1999
THROUGH
SEPT. 30,
1999
---------
<S> <C>
Net asset value, beginning of period $ 10.00
Income from investment operations:
Net investment income 0.03
Net realized and unrealized gain (0.03)
-------
Total from investment operations --
-------
Less distributions: --
Dividends from net investment income --
-------
Total distributions --
-------
Net assets value, end of period $ 10.00
-------
Total Return (a) -
Ratios and supplemental data:
Net assets, end of period(000) 734
Ratio of expenses to average net assets (b)* 1.8%
Ratio of net investment income to average net assets (b)* 3.9%
</TABLE>
<TABLE>
<CAPTION>
PERIOD
ENDED
SEPT. 30,
1999
---------
<S> <C>
Portfolio turnover rate 0.0%*
-------
</TABLE>
(a) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(b) After the reimbursement and waiver of expenses by the Adviser equivalent to
4.9%* of average net assets, respectively.
* Annualized
29
<PAGE> 31
FOR SHAREHOLDER ASSISTANCE
24 hours
800.823.7386
TO OPEN AN ACCOUNT OR OBTAIN INFORMATION
800.823.7386
VISIT OUR WEB-SITE
http://www.calamos.com
INVESTMENT ADVISOR
CALAMOS(R) ASSET MANAGEMENT, INC.
1111 E. Warrenville Road
Naperville, IL 60563-1493
DISTRIBUTOR
CALAMOS(R) FINANCIAL SERVICES, INC.
1111 E. Warrenville Road
Naperville, IL 60563-1493
TRANSFER AGENT
First Data Corp.
Investor Services Group
P.O. Box 61503
King of Prussia, PA 19406-0903
INDEPENDENT AUDITORS
Ernst & Young LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd
Chicago, IL
CALAMOS(R) INVESTMENT TRUST
- --------------------------------------------------------------------------------
This report, including the unaudited financial statements contained herein, is
submitted for 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, and, after
December 31, 1999, updated performance data for the most recently completed
calendar quarter. The views expressed in this report reflect those of CALAMOS(R)
ASSET MANAGEMENT, Inc. only through September 30, 1999. The manager's views are
subject to change at any time based on market and other conditions.
