<PAGE> 1
[CALAMOS ICON]
CALAMOS(R) FAMILY OF FUNDS
MARCH 31, 2000 m ANNUAL REPORT
[CALAMOS ICON]
CONVERTIBLE FUND
GROWTH AND INCOME FUND
MARKET NEUTRAL FUND
GROWTH FUND
GLOBAL GROWTH AND INCOME FUND
HIGH YIELD FUND
<PAGE> 2
[THE FUNDS ICON]
President's Letter
President Photo
Dear Shareholder,
The CALAMOS Family of Funds ended its fiscal year on March 31, 2000. The year
was an excellent one for investors in the CALAMOS Growth Fund, with the Fund
delivering returns of 112.78%, 43.89% and 26.50% for the one-year, five-year and
since inception annualized total returns respectively as of March 31, 2000. The
Convertible, Growth and Income and Global Growth and Income Funds also did their
job as our disciplined approach to balancing risk and reward delivered
attractive returns. We are pleased with their performance and the recognition by
Morningstar for the CALAMOS funds as documented in the following pages.
As the fiscal year ended, net assets in the Funds totaled approximately $332
million, an increase of $150 million over one year earlier. In August, we
expanded our mutual fund offerings with the CALAMOS High Yield Fund, which
builds on our two-plus decades of experience in fixed-income investing to offer
you a broader range of investment choices. In addition, we changed the name of
our Strategic Income Fund to the CALAMOS Market Neutral Fund to better describe
the Fund's strategy of hedging against market risk.
Both in last year's report and in shareholder communications that followed, we
at CALAMOS ASSET MANAGEMENT acknowledged the bumpy ride investors faced. We feel
that this volatility--though considerable--will not subside soon. We are in the
midst of a dramatic change in the way businesses operate. How the financial
markets attempt to gauge those changes and their ultimate effect on earnings
varies from day to day, presenting both opportunity and risk. Insightful
investors realize that the flip side of volatility is an opportunistic
investment climate. Business' myopic search for the means to increase
productivity, maintain margins and in some cases simply remain in business has
resulted in the greatest economic prosperity in U.S. history. With that as a
backdrop, our goal at CALAMOS is wealth creation while controlling risk.
Technology names, especially those companies developing information and
communications infrastructures, led in productivity gains and in turn also led
the stock performance charge. However, we see the tech story as much broader
than a single sector. Companies of every type are perceptively harnessing
technology to boost productivity while controlling costs, and these are the
companies most likely to dominate their industries over time.
As adviser to the Funds, we at CALAMOS recognize that the Internet is here to
stay--it will reshape every aspect of commerce. But we also know that tech's
momentum--even if it were to continue at this record pace--is insufficient to
redeem ineffective companies. Therefore our exhaustive investment process is
designed to substitute thorough analysis and tested
CALAMOS FAMILY OF FUNDS 1
<PAGE> 3
[THE FUNDS ICON]
President's Letter
techniques for unfounded enthusiasms. We have cast our net broadly to include
value opportunities (as appropriate to each Fund's objectives) that are
attractively priced and, more importantly, whose balance sheets merit the price.
Let's step back for a moment and look at the risk/reward aspect of your
investment in the CALAMOS Family of Funds. In the CALAMOS funds that are
primarily invested in convertible securities, risk/reward measures the
relationship of a fund's upside potential versus the downside protection that
convertibles' fixed-income characteristics help to provide. A favorable
risk/reward ratio was maintained by taking profits on convertibles that have
increased in price and become more equity sensitive, and replacing them with
convertibles closer to par with stronger fixed-income features. This strategy
allowed the funds to be appropriately aggressive while retaining defensive
characteristics.
In addition, we actively manage tax implications year-round as appropriate for
each fund's objectives with the goal of helping you keep more of your investment
gains.
Record-setting levels of convertible new issuance assisted our efforts by
providing a wealth of opportunities for our attention. During 1999, we saw $40
billion in new issues, and the pace intensified during the first quarter of 2000
as another $23 billion came to market.
These are exciting times as technology gives us new ways to manufacture, market
and even communicate with each other, touching every aspect of our world. At
CALAMOS, we are confident in the long-term strength of our economy and the
continued emergence of opportunities to build wealth. Looking ahead, we feel
that the CALAMOS Family of Funds is well positioned to benefit from emerging
opportunities.
Our mission is to help secure your long-term financial success, and we
appreciate the opportunity to work for you. Thank you for your continued
confidence.
Sincerely,
/s/ John P. Calamos
John P. Calamos
President
2
CALAMOS FAMILY OF FUNDS
<PAGE> 4
[THE FUNDS ICON]
The CALAMOS Investment Process
Today's volatile financial markets require exhaustive research to make
intelligent investment decisions. At CALAMOS, we conduct continual analysis
using our extensive resources to support bottom-up selection based on each
issue's fundamentals, accompanied by top-down sector considerations.
Each step of our disciplined investment process, tested over 20+ years, focuses
on a specific component of each security. The following four steps pertain to
convertibles since they have both fixed-income and equity characteristics; the
steps are adjusted as appropriate for fixed-income and equity securities:
1. PRINCIPAL PRESERVATION.
We look at the fixed-income attributes to assess the potential level of
principal stability provided by the issue under consideration.
2. COMPANY GROWTH PROSPECTS.
We analyze the underlying equity component of the issue to quantify the
company's growth prospects: earnings potential, cash flow return on capital
and expected return.
3. RISK/REWARD.
We integrate the credit and equity analyses with a convertible evaluation to
ascertain the most probable range of price movements over the expected
investment time horizon, assessing the issue's risk/reward range and its
over- or undervaluation.
4. FIT WITHIN OVERALL PORTFOLIO.
We analyze the security's fit within the overall portfolio, reviewing the
risk/reward parameters relative to the Fund's guidelines, macroeconomic
factors and impact on the portfolio's industry group and economic sector
design.
CALAMOS FAMILY OF FUNDS 3
<PAGE> 5
[THE FUNDS ICON]
Convertible Fund
[CONVERTIBLE FUNDS ICON] HIGHLIGHTS
OVERALL
* * * *
[MORNINGSTAR LOGO]
OUT OF 3,571
DOMESTIC EQUITY FUNDS
THE CALAMOS CONVERTIBLE FUND RECEIVED 3 STARS FOR THE 3 YEAR PERIOD AND 4 STARS
FOR 5- AND 10-YEAR OUT OF 3571, 2283, AND 786 FUNDS RESPECTIVELY FOR THE PERIOD
ENDED 3/31/00. PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
MORNINGSTAR PROPRIETARY RATINGS REFLECT HISTORICAL RISK-ADJUSTED PERFORMANCE AND
ARE SUBJECT TO CHANGE EVERY MONTH. RATINGS ARE CALCULATED FROM A FUND'S 3-, 5-,
AND 10-YEAR AVERAGE ANNUAL RETURNS IN EXCESS OF 90-DAY T-BILL RETURNS WITH
APPROPRIATE FEE ADJUSTMENTS AND A RISK FACTOR THAT REFLECTS FUND PERFORMANCE
BELOW 90-DAY T-BILL RETURNS. THE TOP 10% OF FUNDS IN AN INVESTMENT CATEGORY
RECEIVE FIVE STARS, AND THE NEXT 22.5% RECEIVE FOUR STARS. RATINGS REFLECT THE
EFFECT OF SALES CHARGE.
A SHARES
-------------------
TRADING SYMBOL:
CCVIX
ONE-YEAR RETURN WITHOUT LOAD:
38.10%
START DATE:
JUNE 21, 1985
The CALAMOS Convertible Fund posted excellent returns for the fiscal year. The
Convertible Fund (A shares) returned 38.10% for the 12-month period and 22.16%
and 16.41% for the 5- and 10-year periods ended 3/31/00 respectively, unadjusted
for sales charges. Its benchmark, the Lipper Convertible Mutual Fund Average,
rose 39.80% for one year, 18.40% for 5 years, and 14.32% for 10 years.
Technology was the convertible market's top-performing sector--and the largest
part of the convertible market as well. Because tech is not equally represented
in traditional measures of the large-cap equity market, it was instrumental in
convertibles excellent performance.
In turn, the Fund enjoyed a breath-taking run-up in technology. Winners included
Ciena Corp., up 431% for the period (2.6% of net assets as of 3/31/00), Atmel,
up 370% (2.7%), and Comverse Technology, up 204% (1.5% at 5/7/99 sale).
While we are confident in the tech sector's long-term promise, we restructured
the portfolio during the last quarter to help take advantage of more reasonably
priced value plays. Representative additions include such nontech, "Old Economy"
holdings as Wendy's International (1.1%), Suiza Foods (2.0%), Alza Corp. (2.0%),
and Young and Rubicam (1.3%). We believe that all offer sound fundamentals and
excellent upside potential. We also added Real Estate Investment Trusts (REITs),
an inexpensive industry with good opportunities.
During the year we sold older, more equity-sensitive issues and purchased newer
issues of the same companies to improve the risk/reward of our positions in
those companies. Examples include Clear Channel Communications (1.9%), a global
media company with leading positions in radio and television broadcasting and
outdoor advertising, and AES Corporation (1.8%), an international energy
provider.
The CALAMOS Convertible Fund is the most conservative of the three CALAMOS
domestic convertible funds, with a primary objective of current income and a
secondary objective of growth. A high-grade convertible fund, it maintains an
average credit quality rating of investment grade and over half (59%) of the
Fund is in large-cap holdings.
4
CALAMOS CONVERTIBLE FUND
<PAGE> 6
[CONVERTIBLE FUNDS ICON]
Convertible Fund
During much of the year, speculative grade and non-rated issues dominated by
biotech and tech strongly outperformed investment grades, though at year-end, a
market shift to higher-quality issues with more attractive valuations benefited
the portfolios.
Looking ahead, our goal is to take advantage of high market volatility, playing
both sides of the New/Old Economy fence to pursue attractive opportunities that
stand up to our thorough research process.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN+
------------------------------------------------------------------------------
CONVERTIBLE FUND ONE YEAR FIVE YEARS TEN YEARS SINCE INCEPTION
---------------------------------------------------------------------------------------------------------
LOAD LOAD LOAD LOAD
ADJUSTED ADJUSTED ADJUSTED ADJUSTED
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A SHARES: Inception
6/21/85 38.10% 31.58% 22.16% 20.97% 16.41% 15.85% 13.52% 13.14%
C SHARES: Inception
7/5/96 37.38% NA NA NA NA NA 21.17% NA
I SHARES: Inception
6/25/97 38.76% NA NA NA NA NA 21.39% NA
LEHMAN BROTHERS
CORPORATE BOND
INDEX* 1.70% NA 7.13% NA 6.13% NA 8.31% NA
S&P 500 STOCK INDEX** 18.24% NA 26.91% NA 18.91% NA 17.88% NA
LIPPER CONVERTIBLE
MUTUAL FUND
AVERAGE*** 39.80% NA 18.40% NA 14.32% NA 12.39% NA
VALUE LINE CONVERTIBLE
INDEX**** 26.56% NA 14.72% NA 13.73% NA 11.52% NA
</TABLE>
* The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprising intermediate and long-term government and investment-grade
corporate debt securities. Source: Frank Russell Company.
** The S&P 500 Stock Index is an unmanaged index generally considered
representative of the U.S. stock market. Source: Frank Russell Company.
*** The Lipper Convertible Mutual Fund Average is composed of all the mutual
funds that invest primarily in convertible securities. Lipper Mutual Fund
Averages are equally weighted and reflect investment of capital gain
distributions and income dividends. Source: Frank Russell Company.
**** The Value Line Convertible Index is an equally weighted index of the
largest convertibles. Selection is based on issue size and trading
statistics. The index represents 90% of the market. The Value Line
Convertible Index has been added because it represents the direct peer
group comparison for the Fund. Source: Frank Russell Company.
+ Average annual total return measures net investment income and capital gain
or loss as an annualized average assuming reinvestment of dividends and
capital gains distributions.
Past performance does not guarantee future results. For Class A shares,
performance has been adjusted for the 4.75% sales charge in the shaded area
of the chart.
CALAMOS CONVERTIBLE FUND 5
<PAGE> 7
[CONVERTIBLE FUNDS ICON]
Convertible Fund
GROWTH OF A $10,000 INVESTMENT OVER TIME
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
LIPPER
CALAMOS CONVERTIBLE LEHMAN BROTHERS VALUE LINE
CONVERTIBLE FUND S&P 500 STOCK MUTUAL FUND GOVERNMENT/CORPORATE CONVERTIBLE
CLASS A SHARES INDEX** AVERAGE*** BOND INDEX* INDEX****
---------------- ------------- ----------- -------------------- -----------
<S> <C> <C> <C> <C> <C>
3/90 9525 10000 10000 10000 10000
9525 9694 9809 9885 9836
9880 10305 10167 10241 9990
8864 8883 9058 10303 8822
12/90 9418 9680 9370 10828 8685
10893 11090 10598 11120 10552
10880 11067 10730 11288 10616
11641 11662 11480 11937 11140
12/91 12678 12637 12160 12575 11229
12927 12315 12458 12386 12331
12667 12557 12480 12888 12350
13143 12946 13020 13518 12946
12/92 13659 13608 13805 13529 13629
14616 14195 14602 14158 14698
15092 14264 14980 14582 15087
15883 14629 15753 15065 15977
12/93 16293 14967 16033 15021 16545
15708 14397 15692 14551 16667
15050 14453 15287 14371 16100
15649 15164 15744 14443 16630
12/94 15147 15166 15269 14496 15908
16007 16641 16068 15218 16903
17806 18227 17088 16206 18508
18782 19684 18095 16515 19941
12/95 18579 20853 18530 17285 20218
20610 21989 19404 16880 21350
21074 22988 19827 16960 22104
21194 23696 20406 17258 22674
12/96 22847 25700 21303 17786 23522
23322 26374 21458 17633 23840
25817 30976 23377 18275 25756
27482 33333 25383 18915 28425
12/97 27867 34280 25062 19522 27768
30654 39061 26930 19818 30123
31026 40350 26532 20337 29168
27757 36337 23494 21344 25353
12/98 30876 44076 26069 21372 26293
30126 46271 26741 21117 26538
31867 49473 28902 20885 28786
31838 46421 28386 20998 28495
12/99 39734 53407 34049 20912 31421
3/00 41605 54716 37386 21474 33590
</TABLE>
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
LIPPER
CALAMOS CONVERTIBLE LEHMAN BROTHERS VALUE LINE
CONVERTIBLE FUND S&P 500 STOCK MUTUAL FUND GOVERNMENT/CORPORATE CONVERTIBLE
C INDEX** AVERAGE*** BOND INDEX* INDEX****
---------------- ------------- ----------- -------------------- -----------
<S> <C> <C> <C> <C> <C>
10000 10000 10000 10000 10000
10137 10309 10292 10176 10258
12/96 10914 11169 10744 10487 10642
11119 11468 10822 10397 10785
12282 13470 11790 10776 11652
13059 14479 12802 11153 12860
12/97 13126 14895 12640 11511 12563
14539 16973 13582 11686 13628
14691 17533 13381 11992 13196
13129 15788 11849 12586 11470
12/98 14598 19151 13148 12602 11895
14926 20105 13411 12452 12006
15774 21496 14495 12315 13023
15634 20170 14225 12381 12891
12/99 19612 23206 17076 12115 14215
3/00 20503 23774 18749 12441 15196
</TABLE>
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
LIPPER
CALAMOS CONVERTIBLE LEHMAN BROTHERS VALUE LINE
CONVERTIBLE S&P 500 STOCK MUTUAL FUND GOVERNMENT/CORPORATE CONVERTIBLE
FUND-I INDEX** AVERAGE*** BOND INDEX* INDEX****
----------- ------------- ----------- -------------------- -----------
<S> <C> <C> <C> <C> <C>
10000 10000 10000 10000 10000
10624 10749 10858 10350 11038
12/97 10704 11057 10721 10682 10781
11884 12600 11520 10845 11695
12035 13016 11349 11129 11325
10790 11721 10050 11680 9843
12/98 12016 14217 11151 11695 10208
12325 14925 11370 11558 10303
13391 15958 12289 11429 11176
14453 14973 12060 11490 11063
12/99 18176 17227 14477 11443 12199
3/00 19058 17649 15896 11751 13041
</TABLE>
* The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprising intermediate and long-term government and investment grade
corporate debt securities. Source: Frank Russell Company.
** The S&P 500 Stock Index is an unmanaged index generally considered
representative of the U.S. stock market. Source: Frank Russell Company.
*** The Lipper Convertible Mutual Fund Average is composed of all the mutual
funds that invest primarily in convertible securities. Lipper Mutual Fund
Averages are equally weighted and reflect investment of capital gain
distributions and income dividends. Source: Lipper Analytical Services.
**** The Value Line Convertible Index is an equally weighted index of the
largest convertibles. Selection is based on issue size and trading
statistics. The index represents 90% of the market. The Value Line
Convertible Index has been added because it represents the direct peer
group comparison for the Fund. Source: Frank Russell Company.
[LEGEND]
6
CALAMOS CONVERTIBLE FUND
<PAGE> 8
[THE FUNDS ICON]
Growth and Income Fund
[GROWTH AND INCOME ICON] HIGHLIGHTS
OVERALL
* * * *
[MORNINGSTAR LOGO]
OUT OF 3,571
DOMESTIC EQUITY FUNDS
THE CALAMOS GROWTH AND INCOME FUND RECEIVED 4 STARS FOR THE 3- AND 10-YEAR
PERIODS AND 5 STARS FOR THE 5-YEAR PERIOD OUT OF 3571, 786, AND 2283 FUNDS
RESPECTIVELY FOR THE PERIOD ENDED 3/31/00. PAST PERFORMANCE IS NO GUARANTEE OF
FUTURE RESULTS.
MORNINGSTAR PROPRIETARY RATINGS REFLECT HISTORICAL RISK-ADJUSTED PERFORMANCE AND
ARE SUBJECT TO CHANGE EVERY MONTH. RATINGS ARE CALCULATED FROM A FUND'S 3-, 5-,
AND 10-YEAR AVERAGE ANNUAL RETURNS IN EXCESS OF 90-DAY T-BILL RETURNS WITH
APPROPRIATE FEE ADJUSTMENTS AND A RISK FACTOR THAT REFLECTS FUND PERFORMANCE
BELOW 90-DAY T-BILL RETURNS. THE TOP 10% OF FUNDS IN AN INVESTMENT CATEGORY
RECEIVE FIVE STARS, THE NEXT 22.5% RECEIVE FOUR STARS. RATINGS REFLECT THE
EFFECT OF SALES CHARGE.
A SHARES
-------------------
TRADING SYMBOL:
CVTRX
ONE-YEAR RETURN WITHOUT LOAD:
59.81%
START DATE:
SEPTEMBER 22, 1988
The CALAMOS Growth and Income Fund (A shares) advanced 59.81% for the one-year
period ended 3/31/00, 28.69% for 5 years and 19.77% for 10 years, unadjusted for
sales load. The Fund's benchmark, the Lipper Convertible Mutual Fund Average,
was up 39.80% for one year, 18.40% for 5 years, and 14.32% for 10 years.
Just as the technology sector powered the broader markets to outstanding
results, the CALAMOS Growth and Income Fund also achieved a banner year due
largely to our picks in technology, which accounted for 56.5% of Fund assets as
of March 31, 2000. Important holdings included Ciena Corp., up 431% for the
period (3.3% of net assets as of 3/31/00), and Atmel Corp., up 370% (3.5%).
The Fund has been tech heavy for the past one and one-half years and we
anticipate that will continue. However, prior to fiscal year-end we broadened
beyond our tech theme. Feeling that many tech issues were overpriced, we shifted
assets to non-tech issues that we believe are undervalued.
Non-tech purchases included advertising agency Young & Rubicam (2.9%) and Suiza
Foods (2.5%). In addition, consumer growth, including health care and retail,
and consumer cyclical, especially hotel, gaming and other recreational
industries, are in place to help contribute more to the bottom line.
Of the convertible funds in the CALAMOS Family of Funds, the CALAMOS Growth and
Income Fund entails more risk and corresponding greater potential for reward. It
focuses on companies that are growing earnings or cash flow rapidly, as well as
companies with opportunities arising from new products, management changes and
merger activity. We search out aggressive growth opportunities in the
convertible market and include many B and BB rated issues. Typically these are
small- to mid-sized companies. However, as the year came to a close, large-caps
comprised over half of the Fund. In part, this is because more than half of Fund
assets were in tech, where many of the more appealing issues with better
risk/reward are from larger companies.
The CALAMOS Growth and Income Fund places an equal emphasis on capital
appreciation and income, unlike the more conservative CALAMOS Convertible Fund,
which favors income over growth. As a result, the CALAMOS Growth and Income Fund
is likely to hold more common stocks than the Convertible Fund. At time of sale,
Rational Software (1.7%) is an equity that contributed to the year's strong
returns.
CALAMOS GROWTH AND INCOME FUND 7
<PAGE> 9
[GROWTH AND INCOME FUNDS ICON]
Growth and Income Fund
A market shakeout as our year drew to a close unearthed a broad range of
well-priced opportunities that we are sifting through for reasonable valuations
and strong growth prospects. We are intensifying our mid-cap
concentration/growth bias, insistent upon strong balance sheets, the ability to
compete globally and reasonable valuations.
In recent years, the markets have been highly volatile, and this volatility is
intensifying. Convertibles can offer investors an effective approach to managing
risk since they seek to furnish consistent bond returns while participating in
the growth of the underlying equity. We believe the CALAMOS Growth and Income
Fund is opportunistically positioned towards maintaining an attractive
risk/reward relationship with respectable returns regardless of the market's
twists and turns.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN+
GROWTH AND ------------------------------------------------------------------------------
INCOME FUND ONE YEAR FIVE YEARS TEN YEARS SINCE INCEPTION
---------------------------------------------------------------------------------------------------------
LOAD LOAD LOAD LOAD
ADJUSTED ADJUSTED ADJUSTED ADJUSTED
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
A SHARES: Inception
9/22/88 59.81% 52.21% 28.69% 27.45% 19.77% 19.19% 18.36% 17.66%
C SHARES: Inception
8/5/96 58.93% NA NA NA NA NA 29.49% NA
I SHARES: Inception
8/18/97 60.54% NA NA NA NA NA 30.79% NA
LEHMAN BROTHERS
CORPORATE BOND
INDEX* 1.70% NA 7.13% NA 6.13% NA 8.28% NA
S&P 500 STOCK INDEX** 18.24% NA 26.91% NA 18.91% NA 19.52% NA
LIPPER CONVERTIBLE
MUTUAL FUND
AVERAGE*** 39.80% NA 18.40% NA 14.32% NA 13.47% NA
VALUE LINE CONVERTIBLE
INDEX**** 26.56% NA 14.72% NA 13.73% NA 11.40% NA
</TABLE>
* The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprising intermediate and long-term government and investment-grade
corporate debt securities. Source: Frank Russell Company.
** The S&P 500 Stock Index is an unmanaged index generally considered
representative of the U.S. stock market. Source: Frank Russell Company.
*** The Lipper Convertible Mutual Fund Average is composed of all the mutual
funds that invest primarily in convertible securities. Lipper Mutual Fund
Averages are equally weighted and reflect investment of capital gain
distributions and income dividends. Source: Frank Russell Company.
**** The Value Line Convertible Index is an equally weighted Index of the
largest convertibles. Selection is based on issue size and trading
statistics. The index represents 90% of the market. The Value Line
Convertible Index has been added because it represents the direct peer
group comparison for the Fund. Source: Frank Russell Company.
+ Average annual total return measures net investment income and capital gain
or loss as an annualized average assuming reinvestment of dividends and
capital gains distributions.
Past performance does not guarantee future results. For Class A shares,
performance has been adjusted for the 4.75% sales charge in the shaded area
of the chart.
8
CALAMOS GROWTH AND INCOME FUND
<PAGE> 10
[GROWTH AND INCOME FUNDS ICON]
Growth and Income Fund
GROWTH OF A $10,000 INVESTMENT OVER TIME
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
CALAMOS LIPPER
GROWTH AND CONVERTIBLE LEHMAN BROTHERS VALUE LINE
INCOME FUND S&P 500 STOCK MUTUAL FUND GOVERNMENT/CORPORATE CONVERTIBLE
CLASS A INDEX** AVERAGE*** BOND INDEX* INDEX****
----------- ------------- ----------- -------------------- -----------
<S> <C> <C> <C> <C> <C>
9525.00 10000.00 10000.00 10000.00 9836.00
10140.00 10630.00 10365.00 10360.00 9990.00
8908.00 9163.00 9234.00 10423.00 8822.00
12/90 9410.00 9986.00 9553.00 10954.00 8688.00
10793.00 11440.00 10804.00 11249.00 10552.00
10709.00 11416.00 10939.00 11419.00 10616.00
11892.00 12030.00 11703.00 12076.00 11140.00
12/91 13236.00 13036.00 12396.00 12721.00 11229.00
13150.00 12703.00 12701.00 12530.00 12331.00
12782.00 12954.00 12723.00 13037.00 12350.00
13440.00 13355.00 13273.00 13675.00 12946.00
12/92 14574.00 14038.00 14073.00 13686.00 13629.00
15405.00 14643.00 14886.00 14322.00 14698.00
15921.00 14714.00 15272.00 14752.00 15087.00
16966.00 15091.00 16060.00 15240.00 15977.00
12/93 16728.00 15440.00 16345.00 15196.00 16545.00
16173.00 14854.00 15998.00 14720.00 16667.00
15356.00 14917.00 15585.00 14538.00 16100.00
16006.00 15646.00 16050.00 14611.00 16630.00
12/94 15841.00 15644.00 15566.00 14665.00 15908.00
16394.00 17167.00 16381.00 15395.00 16903.00
17789.00 18807.00 17421.00 16394.00 18508.00
19280.00 20302.00 18447.00 16707.00 19941.00
12/95 20456.00 21524.00 18890.00 17487.00 20218.00
25023.00 22680.00 19782.00 17078.00 21350.00
25925.00 23698.00 20213.00 17159.00 22104.00
26329.00 24430.00 20803.00 17461.00 22674.00
12/96 27990.00 26468.00 21718.00 17995.00 23522.00
28241.00 27177.00 21876.00 17840.00 23840.00
31722.00 31922.00 23832.00 18489.00 25756.00
34480.00 34313.00 25877.00 19137.00 28425.00
12/97 34523.00 35298.00 25550.00 19751.00 27768.00
38925.00 40222.00 27454.00 20051.00 30123.00
39515.00 41550.00 27048.00 20576.00 29168.00
35667.00 37417.00 23951.00 21595.00 23353.00
12/98 40606.00 45386.00 26576.00 21623.00 26293.00
41613.00 47647.00 27097.00 21366.00 26538.00
45732.00 50944.00 29286.00 21280.00 28786.00
46217.00 47800.00 28742.00 21476.00 28495.00
12/99 62111.00 54994.00 34502.00 21487.00 31421.00
3/00 66496.00 56342.00 37883.00 21809.00 33590.00
</TABLE>
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
LIPPER
CALAMOS CONVERTIBLE LEHMAN BROTHERS VALUE LINE
GROWTH AND S&P 500 STOCK MUTUAL FUND GOVERNMENT/CORPORATE CONVERTIBLE
INCOME FUND-C INDEX** AVERAGE*** BOND INDEX* INDEX****
------------- ------------- ----------- -------------------- -----------
<S> <C> <C> <C> <C> <C>
10000 10000 10000 10000 10000
10345 10309 10292 10176 10258
12/96 10984 11169 10744 10487 10642
11083 11468 10822 10397 10785
12429 13470 11790 10776 11652
13491 14479 12802 11153 12860
12/97 13493 14895 12640 11511 12563
15197 16973 13582 11686 13628
15404 17533 13381 11992 13196
13902 15788 11849 12586 11470
12/98 15806 19151 13148 12602 11895
16179 20105 13487 12452 12006
17754 21496 14577 12402 13023
17918 20170 14306 12516 12891
12/99 24040 23206 17173 12522 14215
3/00 25709 23774 18856 12710 15196
</TABLE>
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
LIPPER
CALAMOS CONVERTIBLE LEHMAN BROTHERS VALUE LINE
GROWTH AND S&P 500 STOCK MUTUAL FUND GOVERNMENT/CORPORATE CONVERTIBLE
INCOME FUND-I INDEX** AVERAGE*** BOND INDEX* INDEX****
------------- ------------- ----------- -------------------- -----------
<S> <C> <C> <C> <C> <C>
10000 10000 10000 10000 10000
12/97 10128 10287 9874 10321 9769
11439 11722 10610 10478 10597
11625 12109 10453 10752 10261
10513 10904 9256 11285 8919
12/98 11985 13227 10270 11299 9250
12298 13885 10535 11165 9336
13881 14846 11386 11120 10127
15849 13930 11175 11222 10025
12/99 21328 16027 13414 11228 11054
3/00 22866 16419 14729 11397 11817
</TABLE>
* The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprising intermediate and long-term government and investment-grade
corporate debt securities. Source: Frank Russell Company.
** The S&P 500 Stock Index is an unmanaged index generally considered
representative of the U.S. stock market. Source: Frank Russell Company.
*** The Lipper Convertible Mutual Fund Average is composed of all the mutual
funds that invest primarily in convertible securities. Lipper mutual fund
averages are equally weighted and reflect investment of capital gain
distributions and income dividends. Source: Lipper Analytical Services.
**** The Value Line Convertible Index is an equally weighted index of the
largest convertibles. Selection is based on issue size and trading
statistics. The index represents 90% of the market. The Value Line
Convertible Index has been added because it represents the direct peer
group comparison for the Fund. Source: Frank Russell Company.
[LEGEND]
CALAMOS GROWTH AND INCOME FUND 9
<PAGE> 11
[THE FUNDS ICON]
Market Neutral Fund
[MARKET NEUTRAL FUND ICON] HIGHLIGHTS
OVERALL
* * *
[MORNINGSTAR LOGO]
OUT OF 3,571
DOMESTIC EQUITY FUNDS
THE CALAMOS MARKET NEUTRAL FUND RECEIVED 3 STARS FOR THE 3- AND 5-YEAR PERIODS
OUT OF 3571 AND 2283 FUNDS RESPECTIVELY FOR THE PERIOD ENDED 3/31/00. PAST
PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
MORNINGSTAR PROPRIETARY RATINGS REFLECT HISTORICAL RISK-ADJUSTED PERFORMANCE AND
ARE SUBJECT TO CHANGE EVERY MONTH. RATINGS ARE CALCULATED FROM A FUND'S 3-, 5-,
AND 10-YEAR AVERAGE ANNUAL RETURNS IN EXCESS OF 90-DAY T-BILL RETURNS WITH
APPROPRIATE FEE ADJUSTMENTS AND A RISK FACTOR THAT REFLECTS FUND PERFORMANCE
BELOW 90-DAY T-BILL RETURNS. THE TOP 10% OF FUNDS IN AN INVESTMENT CATEGORY
RECEIVE FIVE STARS, THE NEXT 22.5% RECEIVE FOUR STARS, THE NEXT 35% RECEIVE
THREE STARS. RATINGS REFLECT THE EFFECT OF SALES CHARGE.
A SHARES
-------------------
TRADING SYMBOL:
CVSIX
ONE-YEAR RETURN WITHOUT LOAD:
17.07%
START DATE:
SEPTEMBER 4, 1990
The CALAMOS Market Neutral Fund (A shares), unadjusted for sales charges, as of
3/31/00 climbed 17.07% for one year, 12.43% for 5 years and 10.19% since its
9/4/90 inception, significantly outperforming its two benchmarks. The Lehman
Bros. Govt./Corp. Bond Index was up 1.70% for one year, 7.13% for 5 years and
8.06% since inception, while 30-day Treasury bills returned 4.70%, 4.85% and
4.46% for the same periods. The Fund was previously named the CALAMOS Strategic
Income Fund.
The CALAMOS Market Neutral Fund uses convertible hedging activities intended to
help neutralize the ups and downs of both the stock and bond markets. Success in
this type of investing is reflected in a low degree of share price volatility,
and acceptable returns as the markets rise and fall.
How a convertible stock hedge works. The convertible stock hedge is the Fund's
primary investment strategy. The Fund owns the convertible security and sells a
portion of the underlying common stock of the security short. In a short sale,
the investor typically borrows the stock from a broker and sells it with the
understanding that it must be bought back and returned to the broker. However,
our transactions are generally considered to be covered short sales since the
stock sold short can be replaced by the conversion of our convertible into
stock.
The Fund seeks to profit by keeping the hedge in a delicate balance. This
balance seeks to neutralize the volatility of the stock market, thus the term
"market neutral". If the stock price decreases after the short sale, less
expensive shares are delivered to complete the sale. The value of the
convertible bond may decline since it typically tracks with the underlying
stock, but the profit taken on the shares that were sold short plus the interest
from the convertible bond can more than offset the decline in the bond value.
On the other hand, the convertible can benefit when the stock price rises. The
profit on the corresponding increase in the convertible's value, plus the bond
interest earned over time, have the potential to offset any cost incurred in
covering the original stock borrowed and produce a profit. The Fund rebalances
the hedge as the underlying stock changes, taking advantage of the volatile
stock market.
The difference between the current yield on the convertible and the yield on the
underlying common stock represents the convertible's yield advantage, which is
an important consideration when determining candidates for the convertible hedge
strategy. Often the underlying common stock pays no dividend or a very small
one, which means the convertible yield advantage is attractive. For stocks that
pay a dividend, the dividend
10
CALAMOS MARKET NEUTRAL FUND
<PAGE> 12
[MARKET NEUTRAL FUND ICON]
Market Neutral Fund
is an expense of the Fund and can be paid out of the convertible's yield
advantage.
The amount of the portfolio to be hedged is an intricate balance between upside
potential and downside protection. This balance is fine-tuned based on market
variables. Our proprietary models are designed to calculate the risk/reward and
potential economic impacts of various market conditions.
Fund performance. This year's market could be characterized as "consistently
volatile." In other words, it was ever changing, but there were no dramatic
plunges to test the strategy of the CALAMOS Market Neutral Fund. The type of
volatility we experienced can benefit a market neutral strategy.
In response to this environment, we traded the Fund more actively to profit as
stocks hit their price targets as well as to take advantage of what we view as
occasional mispricing. We also increased the hedge ratio of individual positions
to add more defensive characteristics to the Fund.
Last year we predicted a volatile market with only moderate inflation and fairly
stable interest rates, though we observed that the Federal Reserve could raise
rates in an attempt to prevent inflation from heating up. We see a similar
environment ahead, and we expect the defensive characteristics of the CALAMOS
Market Neutral Fund to be beneficial in helping to reduce volatility while
securing an above-average income potential.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN+
---------------------------------------------------
MARKET NEUTRAL FUND ONE YEAR FIVE YEARS SINCE INCEPTION
------------------------------------------------------------------------------
LOAD LOAD LOAD
ADJUSTED ADJUSTED ADJUSTED
<S> <C> <C> <C> <C> <C> <C> <C>
A SHARES: Inception 9/4/90 17.07% 11.55% 12.43% 11.33% 10.19% 9.63%
C SHARES: Inception 2/16/00 NA NA NA NA 2.03% NA
30-DAY TREASURY BILLS* 4.70% NA 4.85% NA 4.46% NA
LEHMAN BROTHERS
CORPORATE BOND INDEX** 1.70% NA 7.13% NA 8.06% NA
</TABLE>
* The 30-Day Treasury Bill Index is an unmanaged index generally considered
representative of the performance of short-term money instruments. U.S.
Treasury bills are backed by the full faith and credit of the U.S. government
and offer a guarantee as to the repayment of principal and interest at
maturity. Source: Frank Russell Company.
** The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprising intermediate and long-term government and investment-grade
corporate debt securities. Source: Frank Russell Company.
+ Average annual total return measures net investment income and capital gain
or loss as an annualized average assuming reinvestment of dividends and
capital gains distributions. Performance shown reflects the effects of an
expense reimbursement, which improved results.
Past performance does not guarantee future results. For Class A shares,
performance has been adjusted for the 4.75% sales charge in the shaded area
of the chart.
CALAMOS MARKET NEUTRAL FUND 11
<PAGE> 13
[MARKET NEUTRAL FUND ICON]
Market Neutral Fund
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
LEHMAN BROTHERS
CALAMOS MARKET GOVERNMENT/CORPORATE
NEUTRAL FUND CLASS A 30-DAY TREASURY BILLS* BOND INDEX**
-------------------- ---------------------- --------------------
<S> <C> <C> <C>
9/4/90 9525.00 9525.00 9525.00
9525.00 10000.00 10000.00
12/90 9782.00 10175.00 10509.00
10403.00 10317.00 10793.00
10541.00 10452.00 10956.00
10751.00 10587.00 11586.00
12/91 11149.00 10693.00 12204.00
11513.00 10790.00 12021.00
11634.00 10887.00 12508.00
12032.00 10963.00 13120.00
12/92 12484.00 11029.00 13130.00
12842.00 11101.00 13741.00
13172.00 11185.00 14153.00
13752.00 11263.00 14622.00
12/93 13998.00 11342.00 14579.00
13757.00 11421.00 14123.00
13141.00 11513.00 13948.00
13306.00 11628.00 14017.00
12/94 12959.00 11756.00 14069.00
13392.00 11920.00 14770.00
14106.00 12093.00 15729.00
14494.00 12264.00 16029.00
12/95 14833.00 12432.00 16777.00
15244.00 12592.00 16385.00
15477.00 12752.00 16462.00
15730.00 12918.00 16752.00
12/96 16077.00 13086.00 17264.00
16376.00 13251.00 17116.00
17103.00 13423.00 17739.00
18122.00 13595.00 18360.00
12/97 18327.00 13772.00 18950.00
18953.00 13949.00 19237.00
19384.00 14126.00 19741.00
18983.00 14305.00 20718.00
12/98 20167.00 14469.00 20745.00
20600.00 14636.00 20498.00
21189.00 14800.00 20416.00
21437.00 14963.00 20604.00
12/99 22925.00 15129.00 20614.00
3/00 24117.00 15324.00 20924.00
</TABLE>
* The 30-Day Treasury Bill Index is an unmanaged index generally considered
representative of the performance of short-term money instruments. U.S.
Treasury bills are backed by the full faith and credit of the U.S. government
and offer a guarantee as to the repayment of principal and interest at
maturity. Source: Frank Russell Company.
** The Lehman Brothers Government/Corporate Bond Index is an unmanaged index
comprising intermediate and long-term government and investment-grade
corporate debt securities. Source: Frank Russell Company.
[LEGEND]
12
CALAMOS MARKET NEUTRAL FUND
<PAGE> 14
[THE FUNDS ICON]
Growth Fund
[GROWTH FUND ICON] HIGHLIGHTS
OVERALL
* * * * *
[MORNINGSTAR LOGO]
OUT OF 3,571
THE CALAMOS GROWTH FUND RECEIVED 5 STARS FOR THE 3- AND 5-YEAR PERIODS OUT OF
3571 AND 2283 FUNDS RESPECTIVELY FOR THE PERIODS ENDED 3/31/00. PAST PERFORMANCE
IS NO GUARANTEE OF FUTURE RESULTS.
MORNINGSTAR PROPRIETARY RATINGS REFLECT HISTORICAL RISK-ADJUSTED PERFORMANCE AND
ARE SUBJECT TO CHANGE EVERY MONTH. RATINGS ARE CALCULATED FROM A FUND'S 3-, 5-,
AND 10-YEAR AVERAGE ANNUAL RETURNS IN EXCESS OF 90-DAY T-BILL RETURNS WITH
APPROPRIATE FEE ADJUSTMENTS AND A RISK FACTOR THAT REFLECTS FUND PERFORMANCE
BELOW 90-DAY T-BILL RETURNS. THE TOP 10% OF FUNDS IN AN INVESTMENT CATEGORY
RECEIVE FIVE STARS. RATINGS REFLECT THE EFFECT OF SALES CHARGE.
A SHARES
-------------------
TRADING SYMBOL:
CVGRX
ONE-YEAR RETURN WITHOUT LOAD:
123.36%
START DATE:
SEPTEMBER 4, 1990
The CALAMOS Growth Fund (A shares) returned a striking 123.36% for the fiscal
year ended 3/31/00, 45.30% for 5 years and 27.15% since its 9/4/90 inception,
unadjusted for sales charges. During the same periods, the Russell 2000 was up
37.29%, 17.23% and 16.93% and the S&P 500 benchmark gained 17.94%, 26.76% and
20.20% respectively.
The CALAMOS Growth Fund seeks long-term capital growth by investing in common
stocks, typically in high-growth industries and companies. We seek to achieve
the highest returns possible over the long term--although this year's
performance is exceptional and may not be matched in subsequent periods. We do
not seek to minimize short-term volatility; the Growth Fund has high turnover,
moving in and out of positions with great flexibility.
We base equity selection on our time-tested quantitative models, using a
database of companies' financial statistics fine-tuned with coverage by industry
analysts. The models examine earnings growth and other characteristics
indicating corporate strength to identify what we believe to be the top 3% of
the universe.
We believe that a company's earnings trend has a direct relationship to its
stock price, and we want to recognize undervalued companies before they become
well known in the marketplace. This strategy includes finding companies whose
earnings growth we expect to be higher than analysts' estimates. Then we aim to
buy in time to profit from market recognition as reflected in rising stock
prices. As our price objective is achieved, the stock is sold in favor of
another that we believe to have greater growth potential.
The technology sector outperformed the rest of the market throughout the fiscal
year. Since our investment process is designed to pursue growth opportunities
regardless of sector balance, technology holdings dominated the Fund, increasing
during the year from 38.2% of net assets to 68.2%.
The Fund was diversified among tech industries, especially computer peripherals,
computer software, electronics, and semiconductors. Fund "winners" for the
fiscal year included Emulex (2.2% of net assets as of 8/31/99 sale), networking
products; PMC-Sierra (1.8% as of 5/19/99 sale), semiconductor networking
solutions; Qualcomm (8.4% as of 12/31/99 sale), telecommunication equipment; and
VeriSign (9.0% as of 12/7/99 sale), computer data security. All four multiplied
their initial values by 9 times or more and were sold late in the fiscal year.
CALAMOS GROWTH FUND 13
<PAGE> 15
[GROWTH FUND ICON]
Growth Fund
While technology took center stage, capital goods and consumer growth
staples--notably pharmaceuticals--also contributed to performance.
Pharmaceutical firm Biovail (2.6% of net assets as of 1/20/00 sale) advanced an
impressive 58.7% and Polymedica Corp. (1.8% of net assets on 3/31/00), a medical
products provider, soared 71% in less than seven months.
The corporate characteristics this Fund typically seeks are normally associated
with small- to mid-size companies. At fiscal year-end, half of the fund was in
mid-caps and another 27% in small companies.
Our proprietary quantitative evaluation system keeps the Fund tuned to changing
market conditions. With a strategy that is both aggressive and nimble, the Fund
seeks to identify and invest in the fastest growing companies.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN+
-------------------------------------------------------------------------------
GROWTH FUND ONE YEAR FIVE YEARS SINCE INCEPTION
-------------------------------------------------------------------------------
LOAD LOAD LOAD
ADJUSTED ADJUSTED ADJUSTED
<S> <C> <C> <C> <C> <C> <C> <C>
A SHARES: Inception 9/4/90 123.36% 112.78% 45.30% 43.89% 27.15% 26.50%
C SHARES: Inception 9/3/96 122.17% NA NA NA 49.28% NA
I SHARES: Inception 9/18/97 123.87% NA NA NA 50.26% NA
S&P 500* 17.94% NA 26.76% NA 20.20% NA
</TABLE>
* The S&P 500 is an unmanaged index generally considered representative of the
U.S. stock market. Source: Frank Russell Company.
+ Average annual total return measures net investment income and capital gain
or loss as an annualized average assuming reinvestment of dividends and
capital gains distributions. Performance shown reflects the effects of an
expense reimbursement, which improved results.
Past performance does not guarantee future results. For Class A shares,
performance has been adjusted for the 4.75% sales charge in the shaded area
of the chart.
Performance shown is partly attributable to unusually favorable market
conditions, and may not be repeated in the future.
14
CALAMOS GROWTH FUND
<PAGE> 16
[GROWTH FUND ICON]
Growth Fund
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
CALAMOS GROWTH FUND CLASS A
SHARES S&P 500 STOCK INDEX*
--------------------------- --------------------
<S> <C> <C>
9525.00 10000.00
12/90 10478.00 10898.00
12372.00 12485.00
11928.00 12459.00
12938.00 13129.00
12/91 14690.00 14226.00
14331.00 13864.00
13387.00 14137.00
13991.00 14575.00
12/92 14878.00 15320.00
14857.00 15980.00
14728.00 16058.00
15169.00 16469.00
12/93 15524.00 16850.00
14851.00 16208.00
14775.00 16271.00
15357.00 17072.00
12/94 14635.00 17073.00
15019.00 18735.00
16585.00 20520.00
18915.00 22160.00
12/95 18649.00 23476.00
19790.00 24755.00
22813.00 25879.00
23660.00 26679.00
12/96 25073.00 28904.00
23566.00 29678.00
28413.00 34860.00
34686.00 37471.00
12/97 31144.00 38547.00
36302.00 43924.00
36971.00 45374.00
30203.00 40861.00
12/98 39649.00 49564.00
42545.00 52032.00
47357.00 55700.00
47518.00 52219.00
12/99 70445.00 59989.00
3/00 95023.00 61369.00
</TABLE>
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
CALAMOS GROWTH FUND-C S&P 500 STOCK INDEX*
--------------------- --------------------
<S> <C> <C>
10000 10000
12/96 11223 10834
10535 11124
12684 13067
15473 14045
12/97 13870 14448
16148 16464
16425 17007
13399 15315
12/98 17588 18577
18857 19502
20956 20877
20996 19572
12/99 31095 22485
3/00 41897 23002
</TABLE>
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
CALAMOS GROWTH FUND-I S&P 500 STOCK INDEX*
--------------------- --------------------
<S> <C> <C>
10000 10000
12/97 9117 10287
10640 11722
10846 12109
8868 10904
12/98 11671 13227
12538 13885
15010 14864
18049 13935
12/99 26754 16009
3/00 36094 16377
</TABLE>
* The S&P 500 is an unmanaged index generally considered representative of the
U.S. stock market. Source: Frank Russell Company.
[LEGEND]
CALAMOS GROWTH FUND 15
<PAGE> 17
[THE FUNDS ICON]
Global Growth and Income Fund
[GLOBAL GROWTH AND INCOME FUND ICON] HIGHLIGHTS
OVERALL
* * * *
[MORNINGSTAR LOGO]
OUT OF 1,124
INTERNATIONAL EQUITY FUNDS
THE CALAMOS GLOBAL GROWTH AND INCOME FUND RECEIVED 4 STARS FOR THE 3-YEAR PERIOD
OUT OF 1124 FUNDS FOR THE PERIOD ENDED 3/31/00. PAST PERFORMANCE IS NO GUARANTEE
OF FUTURE RESULTS.
MORNINGSTAR PROPRIETARY RATINGS REFLECT HISTORICAL RISK-ADJUSTED PERFORMANCE AND
ARE SUBJECT TO CHANGE EVERY MONTH. RATINGS ARE CALCULATED FROM A FUND'S 3-, 5-,
AND 10-YEAR AVERAGE ANNUAL RETURNS IN EXCESS OF 90-DAY T-BILL RETURNS WITH
APPROPRIATE FEE ADJUSTMENTS AND A RISK FACTOR THAT REFLECTS FUND PERFORMANCE
BELOW 90-DAY T-BILL RETURNS. THE TOP 10% OF FUNDS IN AN INVESTMENT CATEGORY
RECEIVE FIVE STARS AND THE NEXT 22.5% RECEIVE FOUR STARS. RATINGS REFLECT THE
EFFECT OF SALES CHARGE.
A SHARES
-------------------
TRADING SYMBOL:
CVLOX
ONE-YEAR RETURN WITHOUT LOAD:
42.73%
START DATE:
SEPTEMBER 9, 1996
The CALAMOS Global Growth and Income Fund(A shares) climbed 42.73% for the year
and 23.38% since its 9/9/96 inception, unadjusted for sales load. During the
same periods, the Lipper Global Equity Index was up 36.33% and 20.84%
respectively and the Morgan Stanley Capital International World Index was up
22.25% and 12.75% respectively.
The CALAMOS Global Growth and Income Fund offers investors access to
opportunities around the world in both convertibles and common stocks. As with
CALAMOS domestic funds, technology was the overriding story to which much of the
Fund's impressive performance can be attributed. Technology claimed 57.38% of
Fund net assets at year-end.
Several positions exemplify the tech contribution. Global Crossing (1.7% of net
assets at 3/31/00), a leader in fiberoptic networking, US Internet Working
(1.6%), an early-stage model in software utility delivery, and Veritas Software
(2.7%), a data-storage service provider, are benefiting as Internet expansion
intensifies demand.
The consumer growth staples (9.9%) and consumer cyclical (9.7%) sectors, in
second and third places respectively, represented smaller but important portions
of the Fund. American Classic Voyage (0.4%), a new purchase, has exclusive
cruising rights in the Hawaiian Islands. In the financial sector, Republic of
Singapore (Development Bank) (3.0%) rallied on a turnaround in Asian economies
as well as from its own restructuring.
In terms of global distribution, the investment process is primarily bottom up;
we pursue opportunities in whatever countries they appear. As of March 31, 2000,
North America represented 47.2% of Fund net assets, followed by Europe and
emerging Europe (24.6%), Asia excluding Japan (10.4%), and Japan (7.7%).
Given the explosive climb of the U.S. markets, non-U.S. exposures appeared to
drag down overall performance. Some value-type holdings did lag, in line with
the overall domestic value experience. However, we see ongoing potential in
these issues and continue to hold them, especially in light of value
improvements at year-end.
Large capitalization companies dominated the Fund with 53% of net assets. This
is typically the case since overseas opportunities are easier to identify and
evaluate reliably among the large caps.
16
CALAMOS GLOBAL GROWTH AND INCOME FUND
<PAGE> 18
[GLOBAL GROWTH AND INCOME FUND ICON]
Global Growth and Income Fund
Countries beyond the U.S. borders present the potential for tremendous growth as
more nations experience political and economic freedom and as the Internet and
other technology foster international communications and trade. We believe the
CALAMOS Global Growth and Income Fund is opportunistically positioned to profit
in this changing world.
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL RETURN+
---------------------------------------------------
GLOBAL GROWTH AND INCOME FUND ONE YEAR SINCE INCEPTION
---------------------------------------------------
LOAD LOAD
ADJUSTED ADJUSTED
<S> <C> <C> <C> <C> <C>
A SHARES: Inception 9/9/96 42.73% 35.99% 23.38% 21.70%
C SHARES: Inception 9/24/96 42.02% NA 23.08% NA
I SHARES: Inception 9/18/97 42.50% NA 23.38% NA
MORGAN STANLEY CAPITAL INTERNATIONAL WORLD INDEX* 22.25% NA 12.75% NA
</TABLE>
* The MSCI World Index is an unmanaged equity index that is an arithmetic,
market value-weighted average of the performance of over 1,450 securities
listed on stock exchanges from around the world. The beginning date for this
Index is 10/01/96.
+ Average annual total return measures net investment income and capital gain
or loss as an annualized average assuming reinvestment of dividends and
capital gains distributions. Performance shown reflects the effects of an
expense reimbursement, which improved results.
Past performance does not guarantee future results. For Class A shares,
performance has been adjusted for the 4.75% sales charge in the shaded area
of the chart.
CALAMOS GLOBAL GROWTH AND INCOME FUND 17
<PAGE> 19
[GLOBAL GROWTH AND INCOME FUND ICON]
Global Growth and Income Fund
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
CALAMOS GLOBAL GROWTH AND MORGAN STANLEY CAPITAL
INCOME FUND-A INTERNATIONAL WORLD INDEX
------------------------- -------------------------
<S> <C> <C>
9525.00 10000.00
12/96 10041.00 10469.00
10289.00 10511.00
11630.00 12105.00
12277.00 12463.00
12/97 11883.00 12168.00
13409.00 13923.00
13882.00 14219.00
12229.00 12527.00
12/98 13557.00 15185.00
14090.00 15740.00
15050.00 16505.00
15092.00 16274.00
12/99 19966.00 19034.00
3/00 20117.00 19244.00
</TABLE>
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
CALAMOS GLOBAL GROWTH AND MORGAN STANLEY CAPITAL
INCOME FUND-C INTERNATIONAL WORLD INDEX
------------------------- -------------------------
<S> <C> <C>
10000 10000
12/96 10543 10469
10764 10511
12151 12105
12809 12463
12/97 12406 12168
13971 13923
14444 14219
12717 12527
12/98 14082 15185
14616 15740
15584 16505
15606 16274
12/99 20592 19034
3/00 20750 19244
</TABLE>
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
CALAMOS GLOBAL GROWTH AND MORGAN STANLEY CAPITAL
INCOME FUND-I INTERNATIONAL WORLD INDEX
------------------------- -------------------------
<S> <C> <C>
10000 10000
12/97 9818 9763
11085 11172
11493 11409
10143 10051
12/98 11244 12184
11703 12630
13025 13244
14560 13058
12/99 19200 15273
3/00 19325 15441
</TABLE>
* The MSCI World Index is an unmanaged equity index that is an arithmetic,
market value-weighted average of the performance of over 1,460 securities
listed on stock exchanges from around the world. The beginning date for this
index is 10/1/96.
[LEGEND]
18
CALAMOS GLOBAL GROWTH AND INCOME FUND
<PAGE> 20
[THE FUNDS ICON]
High Yield Fund
[ICON] HIGHLIGHTS
A SHARES
-------------------
TRADING SYMBOL:
N/A
SINCE INCEPTION RETURN WITHOUT LOAD:
-1.50%
START DATE:
AUGUST 1, 1999
The CALAMOS High Yield Fund (A shares) was down 1.5%, unadjusted for sales
charges, since its 8/1/99 inception, as compared to -1.98% for its benchmark,
the Merrill Lynch High Yield Master Index.
The Fund invests mainly in a diversified portfolio of high-yield, fixed-income
securities with lower credit ratings than investment-grade securities (often
referred to as "junk bonds"). It was developed for fixed-income investors who
are willing to accept more risk in return for potentially higher total returns.
Bond selection utilizes the CALAMOS proprietary research model, which involves
intensive quantitative and qualitative examination of credit and other factors
beyond the use of S&P and Moody's ratings. Although the Fund itself is less than
a year old, it builds upon CALAMOS' expertise in fixed-income investing,
developed over more than two decades of convertible bond analysis.
Since the Fund's inception, the market has been difficult for nonconvertible
bonds in general, and corporations have been slow to create new high-yield
issues. This, along with widening credit spreads, has resulted in insufficient
opportunities to invest available cash in high-yield bonds. Therefore, we use
convertibles with yields to maturity that are competitive with high yields to
augment opportunities while offering equity-like potential.
The CALAMOS High Yield Fund has a number of attractive holdings, often in
emerging credits. The telecom infrastructure, for example, is appealing since
participating companies are projected to start generating free cash flow in a
few years. As a result, they may rapidly pay down debt, possibly resulting in
higher credit ratings.
We are also discovering good buys among consumer cyclical exposures. For
instance, gaming industry high yields include Ameristar Casino (2.7% of net
assets at 3/31/00), Hilton Hotels (2.5%), Mandalay (1.6%), MGM Grand (2.4%), and
Station Casinos (1.6%). Overbuilding in Las Vegas is being absorbed well, most
of these companies are generating strong streams of free cash flows, and mergers
continue. These issues are reasonably priced with respectable balance sheets,
and some issues are yielding 10 to 12%.
Looking ahead, we are optimistic that the CALAMOS High Yield Fund, when
supplemented with convertibles, will be opportunistically positioned when the
high-yield market improves.
CALAMOS HIGH YIELD FUND 19
<PAGE> 21
[HIGH YIELD FUND ICON]
High Yield Fund
<TABLE>
<CAPTION>
AVERAGE ANNUAL TOTAL
RETURN
-----------------------------
HIGH YIELD SINCE INCEPTION
-----------------------------
LOAD
ADJUSTED
<S> <C> <C> <C>
A SHARES: Inception 8/1/99 -1.50% -6.19%
LIPPER HIGH CURRENT YIELD FUNDS INDEX* -0.66% NA
MERRILL LYNCH HIGH YIELD MASTER INDEX** -1.98% NA
</TABLE>
* The Lipper High Current Yield Funds Index is an equally weighted performance
index for capital gains distribution and income dividends of the largest
qualifying funds in the investment objective. The funds aim at high
(relative) current yield from fixed-income securities with no quality or
maturity restrictions, and tend to invest in lower-grade issues. Source:
Frank Russell Company.
** Merrill Lynch High Yield Master Index measures the return of
below-investment-grade US bonds with a par value of no less than $10 million
and a term to maturity of at least one year. Source: Frank Russell Company.
+ Average annual total return measures net investment income and capital gain
or loss as an annualized average assuming reinvestment of dividends and
capital gains distributions. Performance shown reflects the effects of an
expense reimbursement, which improved results.
Past performance does not guarantee future results. For Class A shares,
performance has been adjusted for the 4.75% sales charge in the shaded area
of the chart.
20
CALAMOS HIGH YIELD FUND
<PAGE> 22
[HIGH YIELD FUND ICON]
High Yield Fund
GROWTH OF A $10,000 INVESTMENT SINCE INCEPTION
[GRAPHIC IMAGE]
<TABLE>
<CAPTION>
CALAMOS HIGH YIELD LIPPER HIGH CURRENT YIELD MERRILL LYNCH HIGH YIELD
FUND (LOAD-ADJUSTED) INDEX* MASTER INDEX**
-------------------- ------------------------- ------------------------
<S> <C> <C> <C>
9525 10000 10000
9/99 9219 9824 9875
12/99 9182 10087 9982
3/00 9081 9934 9802
</TABLE>
* The Lipper High Current Yield Funds Index is an equally weighted performance
index for capital gains distribution and income dividends of the largest
qualifying funds in the investment objective. The funds aim at high
(relative) current yield from fixed-income securities with no quality or
maturity restrictions, and tend to invest in lower-grade issues. Source:
Frank Russell Company.
[LEGEND]
** Merrill Lynch High Yield Master Index measures the return of
below-investment-grade US bonds with a par value of no less than $10 million
and a term to maturity of at least one year. Source: Frank Russell Company.
CALAMOS HIGH YIELD FUND 21
<PAGE> 23
Convertible Fund
[ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (61.2%)
BASIC INDUSTRIES (0.3%)
$ 700,000 Inco, Ltd. $ 644,000
5.750%, 07/01/04
CAPITAL GOODS - INDUSTRIAL (0.8%)
1,925,000 Interim Services, Inc. 1,551,935
4.500%, 09/16/04
CAPITAL GOODS - TECHNOLOGY (40.3%)
830,000 Acer, Inc. 865,275
0.000%, 02/01/05
1,400,000 Advance Energy Industries 1,694,000
5.250%, 11/15/06
1,615,000 Amkor Technology, Inc.(b) 1,790,631
5.000%, 03/15/07
3,600,000 Atmel Corporation(b) 5,225,220
0.000%, 04/21/18
1,600,000 Bell Atlantic Corporation(b) 1,624,992
5.750%, 04/01/03
1,800,000 Bell Atlantic Corporation 1,829,250
5.750%, 04/01/03
1,200,000 Bell Atlantic Corporation(b) 1,711,620
4.250%, 09/15/05
2,500,000 Bell Atlantic (Cable & Wireless) 3,603,125
4.250%, 09/15/05
750,000 British Aerospace 2,911,291
3.750%, 07/21/06
650,000 Colt Telecommunications 675,312
2.000%, 12/16/06
1,500,000 Commscope, Inc. 1,788,600
4.000%, 12/15/06
3,100,000 Conexant Systems(b) 2,811,762
4.000%, 02/01/07
1,625,000 Cypress Semiconductor 2,067,341
4.000%, 02/01/05
830,000 Delta Electronics, Inc. 862,163
0.000%, 02/15/05
2,250,000 France Telecommunications 2,473,675
4.125%, 11/29/04
192,000,000 Internet Initiative 1,575,303
JPY 1.750%, 03/31/05
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
$ 1,125,000 I2 Technology(b) $ 1,934,539
5.250%, 12/15/06
2,830,000 Juniper Networks 2,847,942
4.750%, 03/15/07
1,225,000 Liberty Media(b) 1,927,035
4.000%, 11/15/29
400,000 Liberty Media(b) 473,136
3.750%, 08/15/30
2,437,000 LSI Logic Corporation 3,015,788
4.000%, 02/15/05
900,000 Mail.Com, Inc.(b) 821,511
7.000%, 02/01/05
4,200,000 Merrill Lynch Basket 4,719,750
0.500%, 02/03/05
2,850,000 Morgan Stanley Basket 3,289,969
0.500%, 12/13/04
2,600,000 Nextel Communications(b) 3,107,338
5.250%, 01/15/10
850,000 Rational Software(b) 1,047,617
5.000%, 02/01/07
1,750,000 Science Systems, Inc. 1,929,375
3.000%, 03/15/07
1,100,000 Siebel Systems(b) 2,910,842
5.500%, 09/15/06
3,400,000 Solectron Corporation(b)(c) 2,276,504
0.000%, 01/27/19
1,175,000 Systems & Computer Technology 1,175,000
5.000%, 10/15/04
2,000,000 Telefonos De Mexico 3,117,500
4.250%, 06/15/04
1,800,000 Triquint Semiconductor(b) 1,382,616
4.000%, 03/01/07
1,350,000 US Internet Working, Inc.(b) 3,296,066
7.000%, 11/01/04
1,100,000 Versatel Telecom 1,340,330
4.000%, 12/17/04
</TABLE>
See accompanying Notes to Schedule of Investments.
22
<PAGE> 24
Convertible Fund -- continued
[ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
$ 1,130,000 Veritas Software $ 4,151,869
1.856%, 08/13/06
1,005,000 Vitesse Semiconductor(b) 1,055,249
4.000%, 03/15/05
------------
79,329,536
CONSUMER CYCLICALS (3.8%)
600,000 Interpublic Group(b) 791,988
1.800%, 09/16/04
2,277,000 Interpublic Group(b) 2,324,134
1.870%, 06/01/06
950,000 Omnicom Group, Inc. 1,827,695
2.250%, 01/06/13
2,640,000 Young & Rubicam(b) 2,478,300
3.000%, 01/15/05
------------
7,422,117
CONSUMER GROWTH STAPLES (9.0%)
400,000 Alpharma, Inc.(b) 514,876
3.000%, 06/01/06
5,600,000 Alza Corporation 2,912,000
0.000%, 07/14/14
1,000,000 Alza Corporation 1,070,000
5.000%, 05/01/06
3,915,000 Clear Channel 3,677,986
1.500%, 12/01/02
2,300,000 Costco Whole Company 2,825,987
0.000%, 08/19/17
4,440,000 Elan Corporation(b)(c) 3,227,125
0.000%, 12/14/18
1,575,000 Elan Corporation(c) 1,144,757
0.000%, 12/14/18
4,500,000 Roche Holdings Company(b) 2,205,000
0.000%, 05/06/12
------------
17,577,731
CONSUMER STAPLES (1.5%)
2,650,000 Nestle Holdings, Inc. 2,971,445
3.000%, 06/17/02
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
ENERGY (2.9%)
$ 1,625,000 Devon Energy $ 1,635,156
4.900%, 08/15/08
540,000 Kerr-McGee Corporation 627,075
5.250%, 02/15/10
3,955,000 Loews Corporation 3,490,288
(Diamond Offshore Drilling)
3.125%, 09/15/07
------------
5,752,519
FINANCIAL (2.6%)
24,000,000 Acom Corporation
JPY 0.000%, 03/31/02 276,642
650,000 Finlayson Global Corporation 1,371,909
(Rep. of Singapore)(b)
0.000%, 02/19/04
600,000 Finlayson Global Corporation 1,244,070
(Rep. of Singapore)
0.000%, 02/19/04
127,000,000 Mitsui Marine & Fire
JPY Insurance Company 1,266,475
7.000%, 03/31/03
83,000,000 Sumitomo Marine & Fire
JPY Insurance Company 877,003
1.200%, 03/31/04
------------
5,036,099
------------
TOTAL CONVERTIBLE BONDS 120,285,382
(Cost $96,758,137)
<CAPTION>
NUMBER OF
SHARES VALUE
-------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (17.6%)
BASIC INDUSTRIES (1.5%)
50,500 International Paper $ 2,304,113
5.250%
16,500 Inco, Ltd. 635,250
5.500%
------------
2,939,363
</TABLE>
See accompanying Notes to Schedule of Investments.
23
<PAGE> 25
Convertible Fund -- continued
[ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
-------------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS - TECHNOLOGY (2.8%)
5,000 Global Crossing(b) $ 1,215,780
7.000%
20,700 Global Crossing(b) 2,321,215
6.375%
27,200 Loral Space & Communication 887,400
6.000%
17,200 Titan Corporation(b) 1,044,556
5.750%
------------
5,468,951
CONSUMER CYCLICALS (2.0%)
17,500 American Classic Voyage 867,344
7.000%
82,500 Newell Financial Trust 3,011,250
5.250%
------------
3,878,594
CONSUMER GROWTH STAPLES (1.6%)
20,200 Biovail Corporation 934,250
6.750%
46,500 Wendy's International 2,185,500
5.000%
------------
3,119,750
CONSUMER STAPLES (2.0%)
115,000 Suiza Foods Corporation 3,996,135
5.500%
ENERGY (0.3%)
20,500 Western Gas Resources 590,656
2.625%
FINANCIAL (3.3%)
24,800 Equity Office Trust 942,400
5.250%
50,700 Equity Resource Properties 1,001,325
7.250%
139,500 National Australia Bank 3,374,156
7.875%
26,000 Vornado Realty Trust 1,241,500
3.250%
------------
6,559,381
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
-------------------------------------------------------------
<C> <S> <C>
TRANSPORTATION (0.6%)
30,650 Union Pacific Capital Trust $ 1,206,844
6.250%
UTILITIES (3.5%)
53,900 AES Corporation Trust III 3,638,250
6.750%
59,500 Calpine Trust(b) 3,265,063
5.500%
------------
6,903,313
------------
TOTAL CONVERTIBLE 34,662,987
PREFERRED STOCKS
(Cost $34,823,083)
COMMON STOCKS (11.0%)
CAPITAL GOODS - TECHNOLOGY (4.3%)
40,000 Ciena Corporation(a) 5,045,000
22,462 Qualcomm, Inc. 3,353,857
------------
8,398,857
CONSUMER CYCLICALS (4.1%)
60,000 Boeing Company 2,276,250
41,200 Liz Claiborne, Inc. 1,887,475
73,584 Marriott International Class A 2,317,896
54,629 Royal Caribbean Cruises, Ltd. 1,529,612
------------
8,011,233
CONSUMER GROWTH STAPLES (1.0%)
34,000 Gannett Company, Inc. 2,392,750
CREDIT CYCLICALS (0.7%)
28,000 Federal Home Loan Mortgage 1,237,250
Corporation
FINANCIAL (0.9%)
39,400 MGIC Investments 1,718,825
------------
TOTAL COMMON STOCKS 21,758,915
(Cost $13,376,964)
</TABLE>
See accompanying Notes to Schedule of Investments.
24
<PAGE> 26
Convertible Fund -- continued
[ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS VALUE
-------------------------------------------------------------
<C> <S> <C>
CALL OPTIONS (0.8%)
CAPITAL GOODS - TECHNOLOGY (0.6%)
80 Adobe Corporation(a) 516,000
LEAPS Expiration 01/19/02
Strike 60
75 C-Cube(a) 161,250
LEAPS Expiration 01/19/02
Strike 90
200 Compaq (a) 160,000
LEAPS Expiration 01/19/02
Strike 30
300 Sybase (a) 240,000
LEAPS Expiration 01/19/02
Strike 20
------------
1,077,250
CONSUMER GROWTH STAPLES (0.2%)
200 Chiron Corporation(a) 415,000
LEAPS Expiration 01/19/02
Strike 50
------------
TOTAL CALL OPTIONS 1,492,250
(Cost $1,212,253)
<CAPTION>
NUMBER OF
SHARES VALUE
-------------------------------------------------------------
<C> <S> <C>
WARRANTS (0.9%)
CONSUMER GROWTH STAPLES (0.9%)
65,527 News Corporation, Ltd.(a) $ 1,867,520
06/16/03
------------
TOTAL WARRANTS 1,867,520
(Cost $445,584)
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT SECURITIES (4.5%)
$ 13,000,000 United States Strips 4,208,100
Interest Coupon 0.000%, 02/15/18
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
U.S. TREASURY NOTES
$ 2,750,000 6.875%, 05/15/06 $ 2,823,728
2,000,000 6.500%, 10/15/06 2,018,720
------------
TOTAL U.S. GOVERNMENT SECURITIES 9,050,548
(Cost $9,127,688)
------------
TOTAL INVESTMENTS (96.0%) 189,117,602
(Cost $155,743,709)
CASH DEPOSITS WITH CUSTODIAN (4.1%) 8,255,009
(INTEREST BEARING)
LIABILITIES, LESS OTHER ASSETS (-0.1%) (277,519)
------------
NET ASSETS (100.0%) $197,095,092
------------
NET ASSET VALUE PER SHARE - CLASS A $ 22.74
------------
(4,424,241 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 22.62
------------
(2,593,755 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS I $ 22.82
------------
(1,657,542 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 requirements 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.
25
<PAGE> 27
Growth and Income Fund
[GROWTH AND INCOME FUND ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (63.5%)
BASIC INDUSTRIES (.2%)
$ 160,000 Inco, Ltd. $ 147,200
5.750%, 07/01/04
CAPITAL GOODS - INDUSTRIAL (5.4%)
1,040,000 Interim Services 838,448
4.500%, 06/01/05
1,600,000 Personnel Group 1,048,992
5.750%, 07/01/04
1,300,000 Thermo Instrument 1,137,500
4.000%, 01/15/05
-----------
3,024,940
CAPITAL GOODS - TECHNOLOGY (44.2%)
930,000 Adaptec, Inc. 864,370
4.750%, 02/01/04
650,000 Advanced Energy Industries 786,500
5.250%, 11/15/06
445,000 Amkor Technology, Inc.(b) 493,394
5.000%, 03/15/07
1,350,000 Atmel Corporation(b) 1,959,457
0.000%, 04/21/18
400,000 Bell Atlantic (Cable & Wireless) 576,500
4.250%, 09/15/05
1,200,000 Checkpoint Systems 808,128
5.250%, 11/01/05
750,000 Commscope, Inc.(b) 894,300
4.000%, 12/15/06
120,000 Comverse Technology 516,000
4.500%, 07/01/05
850,000 Conexant Systems(b) 770,967
4.000%, 02/01/07
400,000 Cypress Semiconductor 508,884
4.000%, 02/01/05
1,600,000 Hewlett Packard(c) 1,200,000
0.000% 10/14/17
725,000 I2 Technologies(b) 1,246,703
5.250%, 12/15/06
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
$ 800,000 Juniper Networks $ 805,072
4.750%, 03/15/07
525,000 Liberty Media(b) 825,872
4.000%, 11/15/29
350,000 Liberty Media(b) 413,994
3.750%, 08/15/30
1,000,000 LSI Logic 1,237,500
4.000%, 02/15/05
1,100,000 Merrill Lynch Basket 1,236,125
0.500%, 02/03/05
500,000 Rational Software(b) 616,245
5.000%, 02/01/07
530,000 Science Systems, Inc. 583,000
3.000%, 03/15/07
310,000 Siebel Systems(b) 820,328
5.500%, 09/15/06
925,000 Solectron Corporation(b)(c) 619,343
0.000%, 01/27/19
250,000 Systems & Computer Technology 250,000
5.000%, 10/15/04
800,000 Telefonos De Mexico 1,247,000
4.250%, 06/15/04
920,000 Triquint Semiconductor(b) 706,670
4.000%, 03/01/07
620,000 US Internet Working, Inc.(b) 1,513,749
7.000%, 11/01/04
700,000 Veritas Software 2,571,954
1.856%, 08/13/06
600,000 Vitesse Semiconductor(b) 630,000
4.000%, 03/15/05
-----------
24,702,055
CONSUMER CYCLICAL (4.6%)
65,000 Interpublic Group(b) 85,799
1.800%, 09/16/04
425,000 Interpublic Group(b) 433,797
1.870%, 06/01/06
</TABLE>
See accompanying Notes to Schedule of Investments.
26
<PAGE> 28
Growth and Income Fund -- continued
[GROWTH AND INCOME FUND ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
$ 60,000 Interpublic Group $ 79,200
1.800%, 09/16/04
200,000 Omnicom Group 384,778
2.250%, 01/06/13
1,715,000 Young & Rubicam(b) 1,609,956
3.000%, 01/15/05
-----------
2,593,530
CONSUMER GROWTH STAPLES (6.9%)
100,000 Alpharma, Inc.(b) 128,719
3.000%, 06/01/06
250,000 Clear Channel Communications 305,238
2.627%, 04/01/03
717,000 Clear Channel Communications 673,593
1.500%, 12/01/02
475,000 Costco Companies 583,628
0.000%, 08/19/17
725,000 Elan Corporation(b)(c) 526,952
0.000%, 12/14/18
625,000 Elan Corporation(c) 454,268
0.000%, 12/14/18
900,000 Roche Holdings 522,000
0.000%, 04/20/10
1,200,000 Times Mirror(c) 657,467
0.000%, 04/15/17
-----------
3,851,865
CONSUMER STAPLES (2.2%)
1,200,000 Loews Corporation (Diamond Offshore) 1,059,000
3.125%, 09/15/07
140,000 Kerr-McGee Corporation 162,575
5.250%, 02/15/10
-----------
1,221,575
-----------
TOTAL CONVERTIBLE BONDS 35,541,165
(Cost $27,475,924)
<CAPTION>
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (17.9%)
BASIC INDUSTRIES (.8%)
11,200 Inco, Ltd. $ 431,200
5.500%
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
<C> <S> <C>
CAPITAL GOODS - TECHNOLOGY (5.6%)
1,350 Global Crossing(b) $ 328,261
7.000%
4,700 Global Crossing(b) 527,039
6.375%
9,600 Pioneer Standard Trust 540,000
3.375%
21,000 Sensormatic Electronic(b) 658,875
1.625%
18,000 Titan Corporation(b) 1,093,140
5.750%
-----------
3,147,315
CONSUMER CYCLICALS (1.0%)
11,500 American Classic Voyage 569,969
7.000%
CONSUMER GROWTH STAPLES (1.6%)
20,000 Biovail Corporation 925,000
6.750%
CONSUMER STAPLES (2.5%)
40,000 Suiza Foods Trust Reg 1,389,960
5.500%
CREDIT CYCLICALS (.9%)
15,000 Texas Industries, Inc. 481,875
2.750%
ENERGY (.7%)
13,000 Western Gas Resources 374,563
2.625%
FINANCIAL (.4%)
9,700 National Australia Bank 234,619
7.875%
TRANSPORTATION (1.2%)
18,000 Arkansas Best Corporation 675,000
2.875%
UTILITIES (3.2%)
6,800 AES Corporation Trust III 459,000
6.750%
</TABLE>
See accompanying Notes to Schedule of Investments.
27
<PAGE> 29
Growth and Income Fund -- continued
[GROWTH AND INCOME FUND ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
<C> <S> <C>
4,750 AES Trust II Series B $ 345,563
5.500%
17,400 Calpine Trust(b) 954,824
5.500%
-----------
1,759,387
-----------
TOTAL CONVERTIBLE 9,988,888
PREFERRED STOCKS
(Cost $9,567,459)
COMMON STOCKS (9.0%)
CAPITAL GOODS TECHNOLOGY (6.2%)
14,700 Ciena Corporation(a) 1,854,038
6,400 Microsoft Corporation(a) 680,000
5,780 Qualcomm, Inc. 863,026
1,091 Sensormatic Electronics 24,481
779 Sensormatic Electronics(b) 17,235
-----------
3,438,780
CONSUMER CYCLICALS (2.8%)
26,500 Liz Claiborne, Inc. 1,214,031
13,271 Royal Caribbean Cruises, Ltd. 371,588
-----------
1,585,619
-----------
TOTAL COMMON STOCKS 5,024,399
(Cost $2,066,444)
<CAPTION>
NUMBER OF
CONTRACTS VALUE
---------------------------------------------------------------
<C> <S> <C>
CALL OPTIONS (.6%)
CAPITAL GOODS - TECHNOLOGY (.4%)
15 Adobe Corporation(a) 96,750
LEAPS
Expiration 01/19/02, Strike 60
15 C-Cube(a) 32,250
LEAPS
Expiration 01/19/02, Strike 90
50 Compaq(a) 40,000
LEAPS
Expiration 01/19/02, Strike 30
60 Sybase(a) 48,000
LEAPS
Expiration 01/19/02, Strike 20
-----------
217,000
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS VALUE
---------------------------------------------------------------
<C> <S> <C>
CONSUMER GROWTH STAPLES (.2%)
50 Chiron Corporation(a) $ 103,750
LEAPS
Expiration 01/19/02, Strike 50
-----------
TOTAL CALL OPTIONS 320,750
(Cost $264,005)
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT SECURITIES (1.2%)
$ 635,000 United States Treasury Note 652,025
6.875%, 05/15/06
-----------
TOTAL U.S. GOVERNMENT 652,025
SECURITIES
(Cost $637,183)
TOTAL INVESTMENTS (92.2%) 51,527,227
(Cost $40,011,015)
U.S. DOLLAR CASH DEPOSITS WITH CUSTODIAN (INTEREST 3,142,936
BEARING) (5.6%)
OTHER ASSETS, LESS LIABILITIES (2.2%) 1,242,350
-----------
NET ASSETS (100.0%) $55,912,513
-----------
NET ASSET VALUE PER SHARE - CLASS A $ 28.29
-----------
(1,606,406 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 27.99
-----------
(260,906 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS I $ 28.44
-----------
(111,514 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 requirements 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.
28
<PAGE> 30
Market Neutral Fund
[MARKET NEUTRAL FUND ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (52.0%)
BASIC INDUSTRIES (.3%)
$ 55,000 Mail-Well, Inc. $ 44,481
5.000%, 11/01/02
CAPITAL GOODS - TECHNOLOGY (36.0%)
70,000 Activision, Inc. 61,075
6.750%, 01/01/05
220,000 Affiliated Computer 236,683
4.000%, 03/15/05
310,000 Amazon.Com, Inc.(b) 308,918
4.750%, 02/01/09
200,000 American Tower(b) 223,748
5.000%, 02/15/10
250,000 Amkor Technology, Inc.(b) 277,188
5.000%, 03/15/07
415,000 At Home Corporation(b) 345,591
4.750%, 12/15/06
200,000 Burr Brown Corporation(b) 221,868
4.250%, 11/01/02
300,000 Conexant Systems, Inc.(b) 272,106
4.000%, 02/01/07
200,000 Digital Island 140,530
6.000%, 02/15/05
140,000 Earthweb, Inc.(b) 107,421
7.000%, 01/25/05
280,000 Efficient Networks(b) 282,800
5.000%, 03/15/05
135,000 Internet Capital Group 121,319
5.500%, 12/21/2004
325,000 Level 3 Communications 327,184
6.000%, 03/15/10
370,000 Liberty Media(b) 437,651
3.750%, 02/15/30
290,000 Nextel Communications(b) 346,588
5.250%, 01/15/10
280,000 NTL, Inc.(b)(c) 288,862
5.750%, 12/15/09
415,000 Science Systems, Inc. 456,500
3.000%, 03/15/07
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
$200,000 Semtech Corporation(b) $ 188,188
4.500%, 02/01/07
90,000 Talk.Com, Inc. 71,213
4.500%, 09/15/02
300,000 Triquint Semiconductor(b) 230,435
4.000%, 03/01/07
230,000 Vitesse Semiconductor(b) 241,500
4.000%, 03/15/05
-----------
5,187,368
CONSUMER CYCLICALS (.4%)
65,000 Young & Rubicam(b) 61,019
3.300%, 01/15/05
CONSUMER GROWTH STAPLES (10.1%)
190,000 Affymetrix, Inc.(b) 132,709
4.750%, 02/15/07
200,000 Alexion Pharmacy(b) 157,500
5.750%, 03/15/07
525,000 Alza Corporation 561,750
5.000%, 05/01/06
320,000 Clear Channel Communications 390,704
2.625%, 04/01/03
200,000 Human Genome(b) 122,000
3.750%, 03/15/07
90,000 Scholastic Corporation 88,040
5.000%, 08/15/05
-----------
1,452,703
CONSUMER STAPLES (.8%)
350,000 Whole Foods Market 117,306
0.000%, 03/02/18
ENERGY (4.0%)
300,000 Diamond Offshore Drilling 341,157
3.750%, 02/15/07
225,000 Seacor Holdings 230,731
5.375%, 11/15/06
-----------
571,888
</TABLE>
See accompanying Notes to Schedule of Investments.
29
<PAGE> 31
Market Neutral Fund -- continued
[MARKET NEUTRAL FUND ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
FINANCIAL (.4%)
$ 65,000 Financial Federal Corporation $ 54,600
4.500%, 05/01/05
-----------
TOTAL CONVERTIBLE BONDS 7,489,365
(Cost $7,611,934)
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (31.6%)
BASIC INDUSTRIES (3.9%)
6,000 International Paper 273,756
5.250%
5,500 Sealed Air Corporation 285,656
2.000% Series A
-----------
559,412
CAPITAL GOODS - TECHNOLOGY (6.1%)
1,500 Global Crossing (b) 364,734
7.000%
3,000 Pioneer Standard 168,750
3.750%
5,700 Titan Corporation (b) 346,161
5.750%
-----------
879,645
CONSUMER CYCLICALS (1.0%)
3,800 Newell Financial Trust 138,700
5.250%
CONSUMER GROWTH STAPLES (4.4%)
6,000 Biovail Corporation 277,500
6.750%
7,500 Wendy's International 352,500
5.000%
-----------
630,000
CONSUMER STAPLES (2.9%)
12,100 Suiza Foods Trust 420,463
5.500%
ENERGY (5.8%)
4,000 Newfield Financial Trust 231,250
6.500%
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
4,300 Pogo Trust I $ 280,575
6.500%
6,300 Tosco Corporation 318,623
5.750%
-----------
830,448
FINANCIAL (1.7%)
10,200 National Australia Bank 246,712
7.875%
TRANSPORTATION (3.4%)
8,200 Arkansas Best Corporation 307,500
2.875%
4,750 Union Pacific 187,031
6.250%
-----------
494,531
UTILITIES (2.4%)
6,300 Calpine Trust (b) 345,712
5.500%
-----------
TOTAL CONVERTIBLE 4,545,623
PREFERRED STOCKS
(Cost $4,417,396)
-----------
TOTAL INVESTMENTS (83.6%) 12,034,988
(Cost $12,029,330)
COMMON STOCKS SOLD SHORT (-36.9%)
BASIC INDUSTRIES (-1.6%)
(2,000) International Paper (85,500)
(1,500) Mail-Well, Inc. (13,031)
(2,360) Sealed Air Corporation (128,178)
-----------
(226,709)
CAPITAL GOODS - TECHNOLOGY (-20.1%)
(1,900) Activision, Inc. (22,919)
(2,650) Affiliated Computers Services (100,700)
(2,175) Amazon.Com Inc. (145,725)
(2,600) American Tower (128,375)
(2,800) Amkor Technology, Inc. (148,575)
(3,650) At Home Corporation (120,222)
(1,900) Burr Brown Corporation (103,312)
(1,300) Conexant Systems (92,300)
(800) Digital Island (48,750)
</TABLE>
See accompanying Notes to Schedule of Investments.
30
<PAGE> 32
Market Neutral Fund -- continued
[MARKET NEUTRAL FUND ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
(1,600) Earthweb, Inc. $ (39,400)
(900) Efficient Networks (140,175)
(4,225) Global Cross (172,961)
(750) Internet Capital Group (67,734)
(1,475) Level 3 Communications (155,981)
(1,250) Nextel Communications (185,312)
(1,319) NTL, Inc. (122,396)
(5,700) Pioneer Standard (89,775)
(4,350) Science Systems, Inc. (234,084)
(1,400) Semtech Corporation (89,688)
(4,100) Sprint (267,781)
(2,150) Talk.Com, Inc. (34,400)
(3,550) Titan Corporation (181,050)
(1,375) Triquint Semiconductor, Inc. (101,063)
(1,050) Vitesse Semiconductor (101,063)
-----------
(2,893,741)
CONSUMER CYCLICALS (-0.5%)
(1,900) Newell Rubbermaid (47,144)
(450) Young & Rubicam (21,150)
-----------
(68,294)
CONSUMER GROWTH STAPLES (-5.8%)
(275) Affymetrix, Inc. (40,820)
(1,200) Alexion Pharmaceuticals, Inc. (83,700)
(6,300) Alza Corporation (236,644)
(3,000) Biovail Corporation (132,938)
(2,725) Clear Channel Communications (188,195)
(500) Human Genome (41,531)
(350) Scholastic Corporation (18,878)
(4,900) Wendy's International, Inc. (98,919)
-----------
(841,625)
CONSUMER STAPLES (-1.0%)
(3,050) Suiza Foods Corporation (122,763)
(350) Whole Foods Market (14,503)
-----------
(137,266)
ENERGY (-4.8%)
(5,200) Diamond Offshore Drilling (207,675)
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
(2,800) Newfield Exploration $ (98,700)
(6,000) Pogo Producing Company (171,375)
(1,725) Seacor Holdings (104,147)
(3,750) Tosco Corporation (114,141)
-----------
(696,038)
FINANCIAL (-0.8%)
(900) Financial Federal Corporation (16,369)
(1,525) National Australia Bank (98,648)
-----------
(115,017)
TRANSPORTATION (-1.2%)
(10,150) Arkansas Best Corporation (106,575)
(1,200) Union Pacific (46,950)
-----------
(153,525)
UTILITIES (-1.1%)
(1,750) Calpine Trust (164,500)
-----------
TOTAL COMMON STOCKS (5,296,715)
SOLD SHORT
(Proceeds - $5,278,897)
CASH DEPOSITS WITH CUSTODIAN 7,195,621
(INTEREST BEARING)(49.9%)
OTHER ASSETS, LESS LIABILITIES(3.4%) 496,349
-----------
NET ASSETS (100.0%) $14,430,243
-----------
NET ASSET VALUE PER SHARE - CLASS A $ 13.00
-----------
(1,093,762 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 13.01
-----------
(15,877 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 requirements 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.
31
<PAGE> 33
Growth Fund
[ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (91.7%)
CAPITAL GOODS - INDUSTRIAL (6.5%)
18,200 Asyst Technology, Inc.(a) $ 1,064,700
11,000 Concord Camera Corporation(a) 605,000
6,000 Keithley Instruments, Inc. 285,750
11,000 Measurement Specialities, Inc.(a) 278,436
15,000 Photon Dynamics(a) 1,035,000
-----------
3,268,886
CAPITAL GOODS - TECHNOLOGY (68.2%)
11,900 Actuate Corporation(a) 640,369
9,000 Adobe Systems 1,001,813
10,000 Adtran, Inc.(a) 594,375
11,800 Amdocs Ltd.(a) 869,513
10,500 American Superconductor 467,250
Corporation(a)
8,550 Anadigics Corporation(a) 564,300
11,300 Analog Devices(a) 910,356
12,400 Applied Micro Circuits Corporation(a) 1,860,775
12,600 Aspect Communications(a) 466,988
25,200 Atmel Corporation(a) 1,300,950
12,100 Avx Corporation(a) 917,331
14,000 Celestica, Inc.(a) 742,875
5,400 Comverse Technology 1,020,600
14,900 Corsair Communications(a) 284,963
17,600 Dsp Group, Inc.(a) 1,161,600
8,100 Elantec Semiconductor(a) 595,856
9,600 Flextronic International(a) 676,200
16,000 Geoworks Corporation(a) 570,000
8,500 Helix Technology Corporation 510,531
16,000 Intervoice-British(a) 462,000
13,000 Kemet Corporation(a) 822,250
13,200 Kulicke & Soffa Industries(a) 845,625
15,900 Lam Research Corporation(a) 716,494
11,800 Lattice Semiconductor(a) 798,713
17,800 LCC International, Inc.(a) 705,325
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
13,000 LTX Corporation(a) $ 587,438
23,000 Mattson Technology(a) 980,375
6,630 Nortel Networks(a) 835,380
15,000 Nvidia Corporation(a) 1,267,266
8,600 Pericom Semiconductor Corporation(a) 306,912
6,200 Powerwave Technology(a) 775,000
11,500 Remedy Corporation(a) 484,437
33,300 Serena Software(a) 1,061,437
16,500 Silicon Storage Technology(a) 1,218,937
15,500 Supertex, Inc.(a) 463,062
4,400 Terayon Communication(a) 902,000
17,733 Three-Five Systems, Inc.(a) 1,063,980
23,000 Titan Corporation(a) 1,173,000
17,000 Triquint Semiconductor, Inc.(a) 1,249,500
20,000 Vishay Intertec(a) 1,112,500
14,000 Westell Technology, Inc. Class A(a) 446,250
8,000 Zomax, Inc.(a) 482,000
5,300 Zoran Corporation(a) 298,456
-----------
34,214,982
CONSUMER CYCLICAL (1.5%)
30,000 Brauns Fashions Corporation(a) 757,500
CONSUMER GROWTH STAPLES (7.0%)
4,000 Abgenix, Inc.(a) 552,500
10,500 Dusa Pharmaceuticals, Inc.(a) 251,344
15,000 Learning Tree(a) 532,500
15,400 Polymedica Corporation(a) 904,750
10,300 United Stationers, Inc.(a) 367,581
4,800 Univision Communications Class A(a) 542,400
6,600 Zoll Medical Corporation(a) 338,250
-----------
3,489,325
ENERGY (2.5%)
14,250 Prima Energy(a) 384,750
25,000 Triton Energy, Ltd.(a) 876,563
-----------
1,261,313
</TABLE>
See accompanying Notes to Schedule of Investments.
32
<PAGE> 34
Growth Fund -- continued
[ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
FINANCIAL (3.6%)
10,700 Silicon Valley Bancshares(a) $ 769,063
25,000 Waddell & Reed Class A(a) 1,057,813
-----------
1,826,876
UTILITIES(2.4%)
12,800 Calpine Corporation(a) 1,203,200
-----------
TOTAL COMMON STOCKS
(Cost $31,905,670) 46,022,082
-----------
TOTAL INVESTMENTS (91.7%) 46,022,082
(Cost $31,905,670)
CASH DEPOSITS WITH CUSTODIAN 2,632,910
(INTEREST BEARING) (5.3%)
OTHER ASSETS, LESS LIABILITIES (3.0%) 1,475,315
-----------
NET ASSETS (100.0%) $50,130,307
-----------
NET ASSETS VALUE PER SHARE - CLASS A $ 48.17
-----------
(832,529 shares outstanding)
NET ASSETS VALUE PER SHARE - CLASS C $ 47.16
-----------
(127,603 shares outstanding)
NET ASSETS VALUE PER SHARE - CLASS I $ 48.73
-----------
(82,298 shares outstanding)
</TABLE>
Notes to Schedule of Investments
(a) Non-income producing security
See accompanying Notes to Financial Statements.
33
<PAGE> 35
Global Growth and Income Fund
[ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (55.4%)
CAPITAL GOODS - TECHNOLOGY (44.3%)
$ 110,000 Acer, Inc. $ 114,675
0.000%, 02/01/05
105,000 Amkor Technology, Inc.(b) 116,419
5.000%, 03/15/07
250,000 ASM Lithography 297,500
2.500%, 11/30/04
140,000 Bell Atlantic (Cable & Wireless) 201,775
4.250%, 09/15/05
240,000 Burr Brown Corporation 266,242
4.250% 02/15/07
150,000 Colt Telecommunications 155,841
2.000%, 12/16/06
100,000 Commscope, Inc.(b) 119,240
4.000% 12/15/06
35,000 Comverse Technology 150,500
4.500%, 07/01/05
125,000 Conexant Systems(b) 113,378
4.000% , 02/01/07
105,000 Cypress Semiconductor 133,582
4.000%, 02/01/05
110,000 Delta Electronics, Inc. 114,262
0.000% 02/15/05
250,000 France Telecom 274,853
4.125%, 11/29/05
24,000,000 Internet Initiative
JPY 1.750%, 03/31/05 196,913
120,000 I2 Technologies(b) 206,351
5.250%, 12/15/06
185,000 Juniper Networks 186,173
4.750%, 03/15/07
80,000 Liberty Media(b) 125,847
4.000%, 11/15/29
230,000 LSI Logic 284,625
4.000% 02/15/05
200,000 Macronix International 249,000
1.000%, 02/01/05
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
$ 60,000 Mail.Com, Inc.(b) $ 54,767
7.000%, 02/01/05
275,000 Merrill Lynch Basket 309,031
0.500%, 02/03/05
175,000 Nextel Communications(b) 209,148
5.250%, 01/15/10
115,000 Science Systems, Inc. 126,500
3.000%, 03/15/07
70,000 Siebel Systems(b) 185,235
5.500%, 09/15/06
280,000 Singapore Telecom 284,914
0.000%, 04/02/03
245,000 Solectron Corporation(b)(c) 164,042
0.000%, 01/27/19
130,000 Telefonos De Mexico 202,637
4.250%, 06/15/04
230,000 Triquint Semiconductor(b) 176,668
4.000%, 03/01/07
90,000 US Internet Working, Inc.(b) 219,738
7.000% 11/01/04
100,000 Versatel Telecommunications 121,847
4.000%, 12/17/04
200,000 Versatel Telecommunications 200,127
0.000%, 03/30/05
100,000 Veritas Software 367,421
1.856%, 08/13/06
65,000 Vitesse Semiconductor(b) 68,250
4.000%, 03/15/05
-----------
5,997,501
CONSUMER CYCLICAL (2.6%)
140,000 Interpublic Group of Companies, 142,898
Inc.(b) 1.870%, 06/01/06
230,000 Young & Rubicam(b) 215,913
3.000%, 01/15/05
-----------
358,811
</TABLE>
See accompanying Notes to Schedule of Investments.
34
<PAGE> 36
Global Growth and Income Fund -- continued
[ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
CONSUMER GROWTH STAPLES (5.4%)
$ 35,000 Clear Channel Communications $ 42,733
2.625%, 04/01/23
195,000 Clear Channel Communications 183,195
1.500%, 12/01/02
150,000 Costco Whole CP 184,304
0.000%, 08/19/17
50,000 EM.TV Merchandising AG 50,271
4.000%, 02/16/05
250,000 Swatch Group 275,908
2.000%, 10/23/02
-----------
736,411
CONSUMER STAPLES (3.1%)
200,000 Republic of Singapore 414,690
(Dev. BK Sing)
0.000% 02/19/04
-----------
TOTAL CONVERTIBLE BONDS 7,507,413
(Cost $5,985,444)
<CAPTION>
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (7.7%)
CAPITAL GOODS - TECHNOLOGY (2.3%)
365 Global Crossing(b) $ 88,752
7.000%
1,300 Global Crossing(b) 145,777
6.375%
1,150 Titan Corporation(b) 69,840
5.750%
-----------
304,369
CONSUMER CYCLICALS (0.4%)
1,100 American Classic Voyage 54,519
7.000%
CONSUMER GROWTH STAPLES (0.4%)
1,300 Biovail Corporation 60,125
6.750%
CONSUMER STAPLES (1.3%)
3,200 Seagram Company 177,600
3.760%
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
<C> <S> <C>
UTILITIES (3.3%)
3,400 AES Corporation Trust III $ 229,500
6.750%
4,000 Calpine Trust 219,500
5.500%(b)
-----------
449,000
-----------
TOTAL CONVERTIBLE 1,045,613
PREFERRED STOCKS
(Cost $944,282)
COMMON STOCKS (27.6%)
CAPITAL GOODS TECHNOLOGY (10.3%)
1,500 Hitachi Ltd. ADR 182,812
2,100 NEC Corporation 311,719
1,932 Koninklijke (Philips Electronic) 330,977
1,514 Qualcomm, Inc. 226,059
2,300 Telecom Italia SPA ADR 349,600
-----------
1,401,167
CONSUMER CYCLICALS (6.7%)
24,000 Airtours 129,566
5,800 British Air ADR 311,750
27,000 Cathay Pacific Airways 202,850
4,100 Michelin FGN 131,676
4,629 Royal Caribbean Cruises, Ltd. 129,612
-----------
905,454
CONSUMER GROWTH STAPLES (3.3%)
2,000 EM.TV & Merchandising AG 164,316
1,600 Gannett, Inc. 112,600
125,000 Village Roadshow, Ltd. 174,383
-----------
451,299
CONSUMER STAPLES (4.0%)
33,000 Allied Domecq PLC 172,898
50,000 Berisford 238,875
16,814 Diageo PLC 128,125
-----------
539,898
</TABLE>
See accompanying Notes to Schedule of Investments.
35
<PAGE> 37
Global Growth and Income Fund -- continued
[ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
<C> <S> <C>
FINANCIAL (3.3%)
41,000 Mitsui Marine and Fire Insurance $ 184,467
Company
2,700 MGIC Investment Corporation 117,787
28,000 Sumitomo Marine and Fire Insurance 141,792
Company
-----------
444,046
-----------
TOTAL COMMON STOCKS 3,741,864
(Cost $2,905,652)
<CAPTION>
NUMBER OF
CONTRACTS VALUE
---------------------------------------------------------------
<C> <S> <C>
CALL OPTIONS (.7%)
CAPITAL GOODS - TECHNOLOGY (.5%)
5 Adobe Corporation(a) 32,250
LEAPS Expiration 01/19/02
Strike 60
5 C-Cube(a) 10,750
LEAPS Expiration 01/19/02
Strike 90
15 Compaq(a) 12,000
LEAPS Expiration 01/19/02
Strike 30
15 Sybase(a) 12,000
LEAPS Expiration 01/19/02
Strike 20
-----------
67,000
CONSUMER GROWTH STAPLES (.2%)
10 Chiron Corporation(a) 20,751
LEAPS Expiration 01/19/02
Strike 50
-----------
TOTAL CALL OPTIONS 87,751
(Cost $73,438)
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
<C> <S> <C>
WARRANTS (.6%)
CONSUMER GROWTH STAPLES (.6%)
2,871 News Corporation, Ltd.(a) $ 81,824
-----------
TOTAL WARRANTS 81,824
(Cost $19,523)
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT SECURITIES (2.7%)
$ 1,125,000 United States Strips Interest Coupon 364,163
0.000%, 11/15/18
-----------
TOTAL U.S. GOVERNMENT SECURITIES 364,163
(Cost $361,428)
-----------
TOTAL INVESTMENTS (94.7%) 12,828,628
(Cost $10,289,767)
U.S. DOLLAR CASH DEPOSITS WITH 690,776
CUSTODIAN (INTEREST BEARING) (5.1%)
OTHER ASSETS, LESS LIABILITIES (0.2%) 98,455
-----------
NET ASSETS (100.0%) $13,617,859
-----------
NET ASSET VALUE PER SHARE - CLASS A $ 9.24
-----------
(1,246,163 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 9.14
-----------
(154,247 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS I $ 9.24
-----------
(74,562 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 requirements 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.
36
<PAGE> 38
High Yield Fund
[ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------
<C> <S> <C>
CORPORATE BONDS (52.6%)
CAPITAL GOODS - TECHNOLOGY (14.8%)
$20,000 Exodus Communications, Inc. $ 20,100
11.250%, 07/01/08
20,000 Global Crossing 19,300
9.125%, 11/15/06
20,000 Globalstar LP 7,400
11.250%, 06/15/04
20,000 Metromedia Fiber 19,200
10.000%, 11/15/08
20,000 Nextlink Communications 19,650
10.750%, 11/15/08
20,000 Unisys Corporation 21,700
11.750%, 10/15/04
--------
107,350
CONSUMER CYCLICAL (18.3%)
20,000 Ameristar Casino 19,800
10.500%, 08/01/04
20,000 Aztar Corporation 18,300
8.875%, 05/15/07
12,000 Mandalay Resort (Circus Circus) 11,400
9.250%, 12/01/05
20,000 MGM Grand, Inc. 17,605
6.875%, 02/06/05
20,000 Michaels Stores 20,900
10.875%, 06/15/06
15,000 Northwest Air 13,137
7.625%, 03/15/05
20,000 Salton, Inc. 20,100
10.750%, 12/15/05
12,000 Station Casinos 11,850
9.750%, 04/15/07
--------
133,092
CONSUMER GROWTH STAPLES (11.2%)
20,000 Domtar, Inc. 20,500
8.750%, 08/01/06
13,000 Gaylord Container 11,570
9.375%, 06/15/07
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------
<C> <S> <C>
$14,000 Medpartners Inc. $ 11,410
7.375%, 10/01/06
20,000 Pope & Talbot 18,389
8.375%, 06/01/13
20,000 Price Communications Corporation 19,900
9.125%, 12/15/06
--------
81,769
CONSUMER STAPLES (2.7%)
20,000 Fleming Cos, Inc. 19,900
10.625%, 12/15/01
CREDIT CYCLICALS (3.7%)
13,000 Beazer Homes 11,050
8.875%, 04/01/08
20,000 Engle Homes, Inc. 16,100
9.250%, 02/01/08
--------
27,150
UTILITIES (1.9%)
15,000 Calpine Corporation 13,725
7.750%, 04/15/09
--------
TOTAL CORPORATE BONDS 382,986
(Cost $403,771)
CONVERTIBLE BONDS (23.2%)
BASIC INDUSTRIES (2.3%)
20,000 Inco, Ltd. 17,075
7.750%, 03/15/16
CAPITAL GOODS -- INDUSTRIAL (5.0%)
20,000 Interim Services 16,124
4.500%, 06/01/05
25,000 Speedfam Intl 20,219
6.250%, 09/15/04
--------
36,343
CAPITAL GOODS - TECHNOLOGY (5.1%)
25,000 Checkpoint Systems 16,836
5.250%, 11/01/05
20,000 Systems & Computer Technology 20,000
5.000%, 10/15/04
--------
36,836
CONSUMER GROWTH STAPLES (3.0%)
25,000 Medical Care 21,629
6.750%, 10/01/06
</TABLE>
37
<PAGE> 39
High Yield Fund -- continued
[ICON]
SCHEDULE OF INVESTMENTS MARCH 31, 2000
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
----------------------------------------------------------
<C> <S> <C>
CONSUMER CYCLICAL (4.9%)
$20,000 Genesco, Inc. $ 17,044
5.500%, 04/15/05
24,000 Hilton Hotels 18,360
5.000%, 05/15/06
--------
35,404
CREDIT CYCLICALS (2.9%)
50,000 Lennar Corporation 21,454
0.000%, 07/29/18
--------
TOTAL CONVERTIBLE BONDS 168,741
(Cost $170,649)
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (4.5%)
ENERGY (2.0%)
500 Western Gas Resources 14,407
2.625%
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
----------------------------------------------------------
<C> <S> <C>
FINANCIAL (2.5%)
590 Host Marriott (Quips) $ 18,437
6.750%
--------
TOTAL CONVERTIBLE 32,844
PREFERRED STOCKS
--------
(Cost $36,152)
TOTAL INVESTMENTS (80.3%) 584,571
(Cost $610,572)
U.S. DOLLAR CASH DEPOSITS WITH 145,631
CUSTODIAN (INTEREST BEARING)
(20.0%)
LIABILITIES, LESS OTHER ASSETS (-0.3%) (1,948)
--------
NET ASSETS (100.0%) $728,254
--------
NET ASSETS VALUE PER SHARE - CLASS A $ 9.53
--------
(76,445 shares outstanding)
</TABLE>
See accompanying Notes to Financial Statements.
38
<PAGE> 40
Statement of Assets and Liabilities
MARCH 31, 2000
<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 $155,743,709,
$40,011,015 $12,029,330, $31,905,670,
$10,289,767, $610,572, respectively) $189,117,602 51,527,227 12,034,988 46,022,082 12,828,628 584,571
Cash with custodian (interest bearing) 8,255,009 3,142,936 7,195,621 2,632,910 690,776 145,631
Foreign currency (cost $63,209, $192,340,
respectively) 62,241 -- -- -- 191,510 --
Net unrealized appreciation on forward foreign
currency contracts -- -- -- -- 109,330 --
Accrued interest and dividends receivable 979,039 283,751 71,176 11,074 41,901 16,483
Receivable for investments sold 34,964 -- 932,898 1,630,011 -- --
Receivable for Fund shares sold 1,948,939 1,028,140 167,288 1,643,370 219,441 627
Prepaid expenses 5,053 -- 17,313 -- -- --
Due from adviser -- -- 44,486 44,607 66,901 24,450
-------------------------------------------------------------
Total Assets $200,402,847 55,982,054 20,463,770 51,984,054 14,148,487 771,762
-------------------------------------------------------------
LIABILITIES AND NET ASSETS
Common stocks sold short, at value (proceeds
$5,278,897) -- -- 5,296,715 -- -- --
Net unrealized depreciation on forward foreign
currency contracts 49,455 -- -- -- -- --
Payable for investments purchased 2,831,127 -- 624,548 1,375,425 480,845 --
Payable for Fund shares redeemed 223,784 2,917 56,385 312,949 -- --
Payable to investment adviser 105,463 35,560 8,040 43,157 11,328 466
Accounts payable and accrued liabilities 6,752 5,615 42,413 99,991 32,484 42,516
Payable to distributor 91,174 25,449 5,426 22,225 5,971 526
-------------------------------------------------------------
Total Liabilities 3,307,755 69,541 6,033,527 1,853,747 530,628 43,508
-------------------------------------------------------------
NET ASSETS $197,095,092 55,912,513 14,430,243 50,130,307 13,617,859 728,254
-------------------------------------------------------------
ANALYSIS OF NET ASSETS
Excess of amounts received from issuance of
shares over amounts paid on redemptions of
shares on account of capital $138,470,694 37,411,704 13,757,017 25,695,706 9,273,505 762,711
Undistributed net investment income 174,974 143,763 3,245 -- 119,210 844
Accumulated net realized gain (loss) on
investments 25,200,876 6,840,834 682,141 10,318,189 1,584,008 (9,300)
Net unrealized appreciation (depreciation) 33,248,548 11,516,212 (12,160) 14,116,412 2,641,136 (26,001)
-------------------------------------------------------------
NET ASSETS $197,095,092 55,912,513 14,430,243 50,130,307 13,617,859 728,254
-------------------------------------------------------------
CLASS A SHARES
Net Assets Applicable to Shares Outstanding $100,589,413 45,439,793 14,223,685 40,102,380 11,519,643 728,254
Shares Outstanding 4,424,241 1,606,406 1,093,762 832,529 1,246,163 76,445
Net Asset Value and Redemption Price Per Share $ 22.74 28.29 13.00 48.17 9.24 9.53
-------------------------------------------------------------
Maximum Offering Price Per Share (Net asset
value, plus 4.99% of net asset value or 4.75%
of offering price) $ 23.87 29.70 13.65 50.57 9.70 10.01
-------------------------------------------------------------
CLASS C SHARES
Net Assets Applicable to Shares Outstanding $ 58,678,896 7,301,765 206,558 6,017,328 1,409,411 N/A
Shares Outstanding 2,593,755 260,906 15,877 127,603 154,247 N/A
Net Asset Value and Redemption Price Per Share $ 22.62 27.99 13.01 47.16 9.14 N/A
-------------------------------------------------------------
CLASS I SHARES
Net Assets Applicable to Shares Outstanding 37,826,783 3,170,955 N/A 4,010,599 688,805 N/A
Shares Outstanding 1,657,542 111,514 N/A 82,298 74,562 N/A
Net Asset Value and Redemption Price Per Share $ 22.82 28.44 N/A 48.73 9.24 N/A
-------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
39
<PAGE> 41
Statement of Operations
YEAR ENDED MARCH 31, 2000
<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 $ 3,556,985 817,788 227,683 60,490 147,995 31,580
Dividends 1,862,786 365,480 61,312 15,400 98,282 1,980
-------------------------------------------------------------------------
Total Investment Income 5,419,771 1,183,268 288,995 75,890 246,277 33,560
-------------------------------------------------------------------------
EXPENSES
Investment advisory fees 1,083,224 255,587 36,808 246,083 95,492 3,189
Distribution fees 764,245 180,210 24,612 120,179 49,925 2,126
Transfer agent fees 70,000 45,000 26,000 54,966 43,000 10,000
Accounting fees 76,417 35,000 32,370 45,000 44,000 14,000
Custodian fees 27,378 5,000 5,000 25,539 26,314 1,700
Trustees' fees 5,600 5,600 5,600 5,600 5,600 4,000
Registration fees 32,356 20,000 17,000 38,000 18,000 2,000
Audit and legal fees 28,000 23,000 22,000 28,000 22,000 16,899
Other 22,379 4,048 6,114 21,000 5,000 2,000
-------------------------------------------------------------------------
Total Expenses 2,109,599 573,445 175,504 584,367 309,331 55,914
Less Expense Reimbursement -- -- 73,826 87,539 111,367 47,409
-------------------------------------------------------------------------
Net Expenses 2,109,599 573,445 101,678 496,828 197,964 8,505
-------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 3,310,172 609,823 187,317 (420,938) 48,313 25,055
--------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments, (including
options) and forward foreign currency contracts 28,016,377 7,349,217 731,257 12,604,159 1,807,932 (9,300)
Change in net unrealized appreciation on
investments, (including options) and forward
foreign currency contracts 17,371,776 8,559,620 (68,318) 10,267,503 1,558,362 (26,001)
-------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS 45,388,153 15,908,837 662,939 22,871,662 3,366,294 (35,301)
-------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $48,698,325 16,518,660 850,256 22,450,724 3,414,607 (10,246)
--------------------------------------------------------------------
</TABLE>
* The High Yield Fund commenced operations on August 1, 1999.
See accompanying Notes to Financial Statements.
40
<PAGE> 42
Statements of Changes in Net Assets
YEARS ENDED MARCH 31, 2000 AND MARCH 31, 1999
<TABLE>
<CAPTION>
GROWTH AND MARKET NEUTRAL
CONVERTIBLE FUND INCOME FUND FUND
-----------------------------------------------------------------------------
2000 1999 2000 1999 2000 1999
-----------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss) $ 3,310,172 3,276,521 609,823 435,251 187,317 48,564
Net realized gain (loss) on
investments (including options)
and forward foreign currency
contracts 28,016,377 4,358,710 7,349,217 900,317 731,257 108,678
Change in unrealized
appreciation/depreciation on
investments (including options)
and forward currency contracts 17,371,776 (3,186,023) 8,559,620 91,274 (68,318) (26,015)
-----------------------------------------------------------------------------
Increase (decrease) in net assets
resulting from operations 48,698,325 4,449,208 16,518,660 1,426,842 850,256 131,227
-----------------------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income (3,401,091) (3,115,139) (584,233) (432,108) (184,175) (48,568)
Net realized gains (2,772,261) (3,004,579) (433,453) (1,230,405) (88,438) (115,218)
-----------------------------------------------------------------------------
Total distributions (6,173,352) (6,119,718) (1,017,686) (1,662,513) (272,613) (163,786)
-----------------------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL SHARE TRANSACTIONS 21,546,703 22,227,638 16,779,348 7,532,355 11,763,448 998,473
-----------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS 64,071,676 20,557,128 32,280,322 7,296,684 12,341,091 965,914
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 year $197,095,092 133,023,416 55,912,513 23,632,191 14,430,243 2,089,152
-----------------------------------------------------------------------------
Undistributed net investment
income $ 174,974 265,893 143,763 118,173 3,245 103
<CAPTION>
GLOBAL GROWTH AND HIGH YIELD
GROWTH FUND INCOME FUND FUND
-------------------------------------------------------------
2000 1999 2000 1999 2000*
----------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss) (420,938) (188,955) 48,313 94,109 25,055
Net realized gain (loss) on
investments (including options)
and forward foreign currency
contracts 12,604,159 723,739 1,807,932 448,201 (9,300)
Change in unrealized
appreciation/depreciation on
investments (including options)
and forward currency contracts 10,267,503 1,667,569 1,558,362 (212,532) (26,001)
-------------------------------------------------------------
Increase (decrease) in net assets
resulting from operations 22,450,724 2,202,353 3,414,607 329,778 (10,246)
-------------------------------------------------------------
DISTRIBUTIONS TO
SHAREHOLDERS
Net investment income -- -- (47,872) (147,631) (24,211)
Net realized gains (2,395,194) -- (169,720) (149,906) --
-------------------------------------------------------------
Total distributions (2,395,194) -- (217,592) (297,537) (24,211)
-------------------------------------------------------------
INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL SHARE TRANSACTIONS 14,421,942 1,527,126 2,761,295 819,774 762,701
-------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS 34,477,472 3,729,479 5,958,310 852,015 728,244
NET ASSETS
Beginning of year 15,652,835 11,923,356 7,659,549 6,807,534 10
-------------------------------------------------------------
End of year 50,130,307 15,652,835 13,617,859 7,659,549 728,254
-------------------------------------------------------------
Undistributed net investment
income -- -- 119,210 51,561 844
</TABLE>
*The High Yield Fund commenced operations on August 1, 1999.
See accompanying Notes to Financial Statements.
41
<PAGE> 43
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 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 or market on which they are principally traded, or lacking any
sales, at the mean of the most recently quoted bid and asked prices. Securities
and other assets for which market quotations are not readily available are
valued at fair value 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
transactions 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 losses of $43,556 and unrealized foreign exchange
losses of $125,344 incurred by the Convertible Fund and realized foreign
exchange gains of $189,173 and unrealized foreign exchange gains of $102,275
incurred by the Global Growth and Income Fund are included as a component of net
realized gains(losses) on investments (including options) and forward foreign
currency contracts and change in net unrealized appreciation and depreciation on
investments (including options) and forward foreign currency contracts,
respectively.
Federal Income Taxes - No provision has been made for Federal income taxes since
each Fund elected to be taxed as a "regulated investment company" and has made
such distributions to shareholders as to be relieved of all Federal income
taxes.
Dividends - Dividends payable to shareholders are recorded by the Funds on the
ex-dividend date. Income and capital gain dividends are determined in accordance
with income tax regulations, which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
foreign currency transactions.
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.
42
<PAGE> 44
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 and High Yield Fund fees are at the
annual rate of 1.00% and .75%, respectively of each 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 year ended March 31, 2000, CAM waived or
absorbed expenses of $73,826, $87,539, $111,367, and $47,409, for the Market
Neutral Fund, Growth Fund, Global Growth and Income Fund and High Yield Fund,
respectively.
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 year ended March 31, 2000, CFS received commissions of
$5,669, $2,007, $460, $5,214 and $490 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 year ended March 31, 2000, 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 $22,444, $6,554, $5,418, $53,342, $2,014 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.
43
<PAGE> 45
Notes to Financial Statements - continued
NOTE 3 - INVESTMENTS
Purchases and sales of investments, other than short-term obligations by the
Funds for the year ended March 31, 2000, were as follows:
<TABLE>
<CAPTION>
GROWTH AND MARKET GLOBAL GROWTH HIGH
CONVERTIBLE INCOME NEUTRAL GROWTH AND INCOME YIELD
FUND FUND FUND FUND FUND FUND
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Purchases $144,305,755 $50,807,244 $20,118,335 $49,468,490 $10,572,681 $623,857
Proceeds from sales 131,396,497 37,866,814 12,107,609 41,097,914 7,836,696 7,000
</TABLE>
The following information is based on the cost basis of investments for Federal
income tax purposes at March 31, 2000.
<TABLE>
<CAPTION>
GROWTH AND MARKET GLOBAL GROWTH HIGH
CONVERTIBLE INCOME NEUTRAL GROWTH AND INCOME YIELD
FUND FUND FUND FUND FUND FUND
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Cost basis of investments $155,743,709 $40,011,015 $12,029,330 $31,905,670 $10,289,767 $610,572
Gross unrealized appreciation 39,372,641 13,022,286 588,219 15,452,350 2,953,786 6,631
Gross unrealized depreciation 5,998,748 1,506,074 582,561 1,335,938 414,925 32,632
Net unrealized appreciation
(depreciation) 33,373,893 11,516,212 5,658 14,116,412 2,538,861 (26,001)
</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 owns equivalent securities, the off-balance-sheet risk is offset.
During the year ended March 31, 2000, the Market Neutral Fund incurred net
losses of $1,341,871 on short sales that were classified as net realized losses
on investments. No other Fund engaged in short sales during the year ended March
31, 2000.
NOTE 5 - FORWARD FOREIGN CURRENCY CONTRACTS
Each Fund may engage in portfolio hedging with respect to changes 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 March 31, 2000 was a
multinational bank.
44
<PAGE> 46
Notes to Financial Statements - continued
As of March 31, 2000, the Convertible Fund had the following open forward
foreign currency contracts:
<TABLE>
<CAPTION>
FOREIGN
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN(LOSS)
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Japanese Yen 4/27/00 240,000,000 $2,349,099 $(49,455)
</TABLE>
As of March 31, 2000, 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 4/27/00 350,000 $ 211,095 $ 8,810
Euros 4/27/00 1,650,000 1,582,844 82,171
Japanese Yen 4/27/00 73,000,000 714,517 (12,547)
British Pound Sterling 4/27/00 575,000 915,814 30,497
Hong Kong Dollars 4/27/00 1,450,000 186,244 399
--------
109,330
</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 year ended March 31, 2000, the Convertible Fund, Growth and Income
Fund, Market Neutral Fund, Growth Fund, Global Growth and Income Fund, and High
Yield Fund earned $191,688, $60,463, $78,364, $60,491, $10,977 and $6,305,
respectively.
45
<PAGE> 47
Notes to Financial Statements - continued
NOTE 7 - CAPITAL SHARE TRANSACTIONS
The following table summarizes the activity in capital shares of the Funds:
<TABLE>
<CAPTION>
CONVERTIBLE GROWTH AND MARKET NEUTRAL
YEAR ENDED MARCH 31, 2000 FUND INCOME FUND FUND
---------------------------------------------------------------------------------------------------------------------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
A SHARES ---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 1,257,875 $26,044,620 707,386 $17,370,600 969,693 $12,227,906
Shares issued in reinvestment of
distributions 96,867 1,945,254 27,063 633,229 20,292 252,854
Less shares redeemed (865,470) (16,585,671) (169,567) (3,888,898) (74,476) (923,311)
-------------------------------------------------------------------------
Increase(Decrease) 489,272 $11,404,203 564,882 $14,114,931 915,509 $11,557,449
-------------------------------------------------------------------------
C SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
-------------------------------------------------------------------------
Shares sold 1,189,057 $24,387,823 130,299 $ 2,979,756 15,813 $ 205,167
Shares issued in reinvestment of
distributions 19,114 387,724 880 20,623 64 832
Less shares redeemed (420,849) (7,929,368) (18,397) (417,786) -- --
-------------------------------------------------------------------------
Increase(Decrease) 787,322 $16,846,179 112,782 $ 2,582,593 15,877 $ 205,999
-------------------------------------------------------------------------
I SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
-------------------------------------------------------------------------
Shares sold 198,775 $ 3,951,561 -- -- -- --
Shares issued in reinvestment of
distributions 5,086 102,853 3,543 $ 81,824 -- --
Less shares redeemed (563,920) (10,758,093) -- -- -- --
-------------------------------------------------------------------------
Increase(Decrease) (360,059) $(6,703,679) 3,543 $ 81,824 -- --
-------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
GROWTH GLOBAL GROWTH HIGH YIELD
YEAR ENDED MARCH 31, 2000 FUND AND INCOME FUND FUND
---------------------------------------------------------------------------------------------------------------------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
A SHARES ------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 499,669 $19,106,372 598,682 $ 5,047,295 75,372 $752,488
Shares issued in reinvestment of distributions 50,747 1,761,938 20,315 172,456 2,506 24,211
Less shares redeemed (294,312) (10,682,269) (347,546) (2,812,776) (1,434) (13,998)
----------------------------------------------------------------
Increase(Decrease) 256,104 $10,186,041 271,451 $ 2,406,975 76,444 $762,701
----------------------------------------------------------------
C SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
----------------------------------------------------------------
Shares sold 120,704 $ 4,223,040 44,999 $ 355,883 -- --
Shares issued in reinvestment of distributions 129 4,385 1,460 12,556 -- --
Less shares redeemed (6,504) (228,316) (3,229) (27,826) -- --
----------------------------------------------------------------
Increase(Decrease) 114,329 $ 3,999,109 43,230 $ 340,613 -- --
----------------------------------------------------------------
I SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
----------------------------------------------------------------
Shares sold -- -- -- -- -- --
Shares issued in reinvestment of distributions 6,743 $ 236,792 1,640 $ 13,707 -- --
Less shares redeemed -- -- -- -- -- --
----------------------------------------------------------------
Increase(Decrease) 6,743 $ 236,792 1,640 $ 13,707 -- --
----------------------------------------------------------------
</TABLE>
46
<PAGE> 48
Notes to Financial Statements - continued
<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 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) (5,033,144) (27,639) (480,801) -- --
----------------------------------------------------------------------------------
Increase(Decrease) 980,084 $ 16,398,369 73,508 $ 1,334,843 -- --
----------------------------------------------------------------------------------
I SHARES
----------------------------------------------------------------------------------
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
YEAR ENDED MARCH 31, 1999 FUND AND 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 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 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>
47
<PAGE> 49
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>
48
<PAGE> 50
Financial Highlights
CALAMOS Convertible Fund
[ICON]
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS C
------------------------------------------------ ---------------------------
YEAR ENDED MARCH 31, YEAR ENDED MARCH 31,
------------------------------------------------------------------------------
2000 1999 1998 1997 1996 2000 1999 1998
------------------------------------------------------------------------------
<S> <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
Income from investment operations:
Net investment income 0.43 0.41 0.49 0.36 0.40 0.35 0.31 0.40
Net realized and unrealized gain (loss)
on investments 5.98 0.09 3.92 1.39 3.06 5.93 0.11 3.92
------------------------------------------------------------------------------
Total from investment operations 6.41 0.50 4.41 1.75 3.46 6.28 0.42 4.32
------------------------------------------------------------------------------
Less distributions:
Dividends from net investment income (0.44) (0.41) (0.61) (0.45) (0.31) (0.36) (0.35) (0.52)
Dividends from net realized capital gains (0.37) (0.38) (0.95) (1.11) (1.07) (0.37) (0.38) (0.95)
Distributions paid from capital -- -- (0.10) -- -- -- (0.10)
------------------------------------------------------------------------------
Total distributions (0.81) (0.79) (1.66) (1.56) (1.38) (0.73) (0.73) (1.57)
------------------------------------------------------------------------------
Net asset value, end of period $ 22.74 $ 17.14 $ 17.43 $ 14.68 $ 14.49 $ 22.62 $ 17.07 $ 17.38
------------------------------------------------------------------------------
Total Return (a) 38.1% 3.2% 31.4% 12.9% 28.8% 37.4% 2.7% 30.8%
Ratios and supplemental data:
Net assets, end of period (000) $100,589 $67,456 $62,157 $35,950 $24,460 $58,679 $30,843 $14,358
Ratio of expenses to average net assets* 1.4% 1.4% 1.4% 1.5% 1.5% 1.9% 1.9% 2.0%
Ratio of net investment income to average
net assets* 2.3% 2.6% 3.3% 2.8% 3.0% 1.8% 2.1% 3.0%
<CAPTION>
CLASS C CLASS I
--------- ---------------------------------
JULY 5, JUNE 25,
1996 YEAR 1997
THROUGH ENDED THROUGH
MARCH 31, MARCH 31, MARCH 31,
---------------------------------------------
1997 2000 1999 1998
---------------------------------------------
<S> <C> <C> <C> <C>
Net asset value, beginning of period $13.87 $ 17.21 $ 17.47 $ 15.88
Income from investment operations:
Net investment income 0.30 0.55 0.50 0.37
Net realized and unrealized gain (loss)
on investments 1.21 5.98 0.09 2.49
---------------------------------------------
Total from investment operations 1.51 6.53 0.59 2.86
---------------------------------------------
Less distributions:
Dividends from net investment income (0.25) (0.55) (0.47) (0.54)
Dividends from net realized capital gains (0.50) (0.37) (0.38) (0.63)
Distributions paid from capital -- -- -- (0.10)
---------------------------------------------
Total distributions (0.75) (0.92) (0.85) (1.27)
---------------------------------------------
Net asset value, end of period $14.63 $ 22.82 $ 17.21 $ 17.47
---------------------------------------------
Total Return (a) 11.1% 38.8% 3.7% 18.8%
Ratios and supplemental data:
Net assets, end of period (000) $3,094 $37,827 $34,725 $35,951
Ratio of expenses to average net assets* 2.0% 0.9% 0.9% 0.9%
Ratio of net investment income to average
net assets* 2.7% 2.8% 3.1% 2.9%
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31,
-------------------------------------------------------------
2000 1999 1998 1997 1996
-------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Portfolio turnover rate 90.9% 78.2% 76.0% 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
49
<PAGE> 51
Financial Highlights
CALAMOS Growth & Income Fund
[ICON]
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS C
--------------------------------------------- ------------------------------------
AUGUST 5,
1996
THROUGH
YEAR ENDED MARCH 31, YEAR ENDED MARCH 31, MARCH 31,
------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 2000 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 0.40 0.39 0.34 0.34 0.37 0.33 0.28 0.26 0.26
Net realized and unrealized gain
(loss) on investments 10.34 0.79 5.14 1.52 3.70 10.18 0.82 5.11 1.30
------------------------------------------------------------------------------------
Total from investment operations 10.74 1.18 5.48 1.86 4.07 10.51 1.10 5.37 1.56
------------------------------------------------------------------------------------
Less distributions:
Dividends from net investment income (0.39) (0.39) (0.41) (0.28) (0.42) (0.31) (0.34) (0.39) (0.25)
Dividends from net realized capital
gains (0.28) (1.16) (2.00) (1.68) (0.71) (0.28) (1.17) (2.00) (0.33)
------------------------------------------------------------------------------------
Total distributions (0.67) (1.55) (2.41) (1.96) (1.13) (0.59) (1.51) (2.39) (0.58)
------------------------------------------------------------------------------------
Net asset value, end of period $ 28.29 $ 18.22 $ 18.59 $15.52 $15.62 $27.99 $18.07 $18.48 $15.50
------------------------------------------------------------------------------------
Total Return (a) 59.8% 6.9% 37.8% 12.9% 33.0% 58.9% 6.5% 37.1% 10.8%
Ratios and supplemental data:
Net assets, end of period (000) $45,440 $18,981 $13,119 $8,408 $5,813 $7,302 $2,676 $1,379 $ 330
Ratio of expenses to average net
assets (b)* 1.7% 2.0% 2.0% 2.0% 2.0% 2.2% 2.4% 2.5% 2.5%
Ratio of net investment income to
average net assets (b)* 1.8% 2.3% 2.0% 2.4% 2.6% 1.3% 1.9% 1.5% 2.4%
------------------------------------------------------------------------------------
<CAPTION>
CLASS I
-------------------------------------
SEPTEMBER 18,
1997
YEAR ENDED THOUGH
MARCH 31, MARCH 31,
-------------------------------------
2000 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 0.51 0.54 0.22
Net realized and unrealized gain
(loss) on investments 10.38 0.75 2.14
-------------------------------------
Total from investment operations 10.89 1.29 2.36
-------------------------------------
Less distributions:
Dividends from net investment income (0.47) (0.43) (0.38)
Dividends from net realized capital
gains (0.28) (1.17) (1.33)
-------------------------------------
Total distributions (0.75) (1.60) (1.71)
-------------------------------------
Net asset value, end of period $28.44 $18.30 $18.61
------------------------------------------------------------------------------------ -----
--------------------------------
Total Return (a) 60.5% 7.5% 14.4%
Ratios and supplemental data:
Net assets, end of period (000) $3,171 $1,976 $1,838
Ratio of expenses to average net
assets (b)* 1.2% 1.3% 1.5%
Ratio of net investment income to
average net assets (b)* 2.3% 2.9% 2.4%
-------------------------------------
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31,
-------------------------------------------
2000 1999 1998 1997 1996
-------------------------------------------
<S> <C> <C> <C> <C> <C>
Portfolio turnover rate 116.5% 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%* of average net assets, respectively, for C shares.
* Annualized
50
<PAGE> 52
Financial Highlights
CALAMOS Market Neutral Fund
[ICON]
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS C
------------------------------------------------------- ------------
FEBRUARY 16,
2000
THROUGH
YEAR ENDED MARCH 31, MARCH 31,
-------------------------------------------------------------------------
2000 1999 1998 1997 1996 2000
-------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 11.72 $11.91 $10.81 $11.07 $10.13 $12.82
Income from investment operations:
Net investment income 0.41 0.32 0.50 0.50 0.53 0.04
Net realized and unrealized gain (loss) on
investments 1.54 0.67 1.19 0.29 0.83 0.22
-------------------------------------------------------------------------
Total from investment operations 1.95 0.99 1.69 0.79 1.36 0.26
-------------------------------------------------------------------------
Less distributions:
Dividends from net investment income (0.41) (0.32) (0.55) (0.68) (0.42) (0.07)
Dividends from net realized capital gains (0.26) (0.86) (0.04) (0.37) -- --
-------------------------------------------------------------------------
Total distributions (0.67) (1.18) (0.59) (1.05) (0.42) (0.07)
-------------------------------------------------------------------------
Net asset value, end of period $ 13.00 $11.72 $11.91 $10.81 $11.07 $13.01
------------------------------------------------------------------
Total Return (a) 17.1% 8.7% 15.7% 7.4% 13.6% 2.0%
Ratios and supplemental data:
Net assets, end of period (000) $14,224 $2,089 $1,123 $1,317 $1,620 $ 207
Ratio of expenses to average net assets (b)(c)* 2.0% 2.1% 2.1% 2.1% 2.2% 2.5%
Ratio of net investment income to average net assets
(b)* 3.9% 3.1% 3.9% 4.3% 4.6% 3.2%
-------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31,
-----------------------------------------------------------------------------
2000 1999 1998 1997 1996
-----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Portfolio turnover rate 266.0% 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
1.5%, 4.3%, 4.1%, 3.0%, and 1.6% of average net assets, respectively, for
Class A and 1.5% for Class C.
(c) Includes 0.0%, 0.1%, 0.1%, 0.1%, and 0.2%,respectively, related to dividend
expense on short positions.
* Annualized
51
<PAGE> 53
Financial Highlights
CALAMOS Growth Fund
[ICON]
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS C
--------------------------------------------- -------------------------------------
SEPT. 3,
1996
THROUGH
YEAR ENDED MARCH 31, YEAR ENDED MARCH 31, MARCH 31,
-------------------------------------------------------------------------------------
2000 1999 1998 1997 1996 2000 1999 1998 1997
-------------------------------------------------------------------------------------
<S> <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
Income from investment
operations:
Net investment income (loss) (0.56) (0.30) (0.01) (0.09) (0.09) (1.55) (0.11) (0.13) (0.07)
Net realized and
unrealized gain
(loss) on investments 28.35 3.75 8.53 3.14 4.69 28.66 3.44 8.50 1.07
-------------------------------------------------------------------------------------
Total from investment
operations 27.79 3.45 8.52 3.05 4.60 27.11 3.33 8.37 1.00
-------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income -- -- -- -- (0.07) -- -- (5.32) (1.65)
Dividends from net
realized capital gains (3.13) -- (5.32) (1.75) (2.97) (3.13) -- (0.18) --
Distributions paid from capital -- -- (0.18) -- -- -- -- --
-------------------------------------------------------------------------------------
Total distributions (3.13) -- (5.50) (1.75) (3.04) (3.13) -- (5.50) (1.65)
-------------------------------------------------------------------------------------
Net asset value, end of
period $ 48.17 $ 23.51 $ 20.06 $17.04 $15.74 $ 47.16 $23.18 $19.85 $16.98
-------------------------------------------------------------------------------------
Total Return(a) 123.4% 17.2% 54.0% 19.1% 35.2% 122.2% 16.8% 53.3% 5.4%
Ratios and supplemental
data:
Net assets, end of period (000) $40,102 $13,553 $10,374 $6,635 $2,866 $ 6,017 $ 308 $ 41 $ 8
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%
Ratio of net investment
income (loss) to average net
assets(b)* (1.7%) (1.6%) (1.5%) (1.3%) (0.8%) (2.2%) (2.1%) (2.0%) (1.9%)
-------------------------------------------------------------------------------------
<CAPTION>
CLASS I
---------------------------------
SEPT. 18,
1997
YEAR ENDED THOUGH
MARCH 31, MARCH 31,
---------------------------------
2000 1999 1998
---------------------------------
<S> <C> <C> <C>
Net asset value, beginning
of period $ 23.71 $20.12 $ 24.32
Income from investment
operations:
Net investment income (loss) (0.39) (0.21) (0.11)
Net realized and
unrealized gain
(loss) on investments 28.54 28.54 1.07
------------------------------------------------------------------------------------- -----
----------------------------
Total from investment
operations 28.15 3.59 0.96
------------------------------------------------------------------------------------- -----
----------------------------
Less distributions:
Dividends from net
investment income -- -- (4.98)
Dividends from net
realized capital gains (3.13) -- (0.18)
Distributions paid from capital -- --
------------------------------------------------------------------------------------- -----
----------------------------
Total distributions (3.13) -- (5.16)
------------------------------------------------------------------------------------- -----
----------------------------
Net asset value, end of
period $ 48.73 $23.71 $ 20.12
------------------------------------------------------------------------------------- -----
----------------------------
Total Return(a) 123.9% 17.8% 6.4%
Ratios and supplemental
data:
Net assets, end of period (000) $ 4,011 $1,792 $ 1,508
Ratio of expenses to
average net assets(b)* 1.5% 1.5% 1.5%
Ratio of net investment
income (loss) to average net
assets(b)* (1.2%) (1.1%) (1.1%)
------------------------------------------------------------------------------------- -----
----------------------------
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31,
------------------------------------------------------------------------------
2000 1999 1998 1997 1996
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Portfolio turnover rate 175.3% 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,
1.4%, .5%, .4%, and .6%* of average net assets, respectively, for C shares and
.4%, .3%, and .3%* of the average net assets, respectively, for I shares.
* Annualized
52
<PAGE> 54
Financial Highlights
CALAMOS Global Growth and Income Fund
[ICON]
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS C
----------------------------------------- -----------------------------------------
SEPTEMBER 9, SEPTEMBER 24,
1996 1996
THROUGH THROUGH
YEAR ENDED MARCH 31, MARCH 31, YEAR ENDED MARCH 31, MARCH 31,
-------------------------------------------------------------------------------------
2000 1999 1998 1997 2000 1999 1998 1997
-------------------------------------------------------------------------------------
<S> <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
Income from investment operations:
Net investment income 0.05 0.02 0.17 0.04 0.02 0.01 0.15 0.03
Net realized and unrealized gain
(loss) on investments 2.76 0.29 1.42 0.36 2.73 0.27 1.41 0.35
-------------------------------------------------------------------------------------
Total from investment operations 2.81 0.31 1.59 0.40 2.75 0.28 1.56 0.38
-------------------------------------------------------------------------------------
Less distributions:
Dividends from net investment
income (0.04) (0.13) (0.28) (0.01) (0.04) (0.11) (0.26) (0.01)
Dividends from net realized capital
gains (0.14) (0.13) (0.14) -- (0.14) (0.13) (0.14) --
-------------------------------------------------------------------------------------
Total distributions (0.18) (0.26) (0.42) (0.01) (0.18) (0.24) (0.40) (0.01)
-------------------------------------------------------------------------------------
Net asset value, end of period $ 9.24 $ 6.61 $ 6.56 $ 5.39 $ 9.14 $ 6.57 $ 6.53 $ 5.37
-------------------------------------------------------------------------------------
Total Return (a) 42.7% 5.1% 30.3% 8.0% 42.0% 4.6% 29.8% 7.6%
Ratios and supplemental data:
Net assets, end of period (000) $11,520 $6,447 $5,678 $2,926 $1,409 $ 729 $ 671 $ 390
Ratio of expenses to average net
assets (b)* 2.0% 2.0% 2.0% 2.0% 2.5% 2.5% 2.5% 2.5%
Ratio of net investment income
to average net assets (b)* 0.5% 1.3% 1.4% 1.8% 0.0% 0.8% 0.9% 1.6%
-------------------------------------------------------------------------------------
<CAPTION>
CLASS I
----------------------------------------
SEPTEMBER 18,
YEAR YEAR 1997
ENDED ENDED THROUGH
MARCH 31, MARCH 31, MARCH 31,
----------------------------------------
2000 1999 1998
----------------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $ 6.63 $ 6.56 $ 6.18
Income from investment operations:
Net investment income 0.08 0.03 0.07
Net realized and unrealized gain
(loss) on investments 2.72 0.31 0.58
----------------------------------------
Total from investment operations 2.80 0.34 0.65
----------------------------------------
Less distributions:
Dividends from net investment
income (0.05) (0.14) (0.17)
Dividends from net realized capital
gains (0.14) (0.13) (0.10)
----------------------------------------
Total distributions (0.19) (0.27) (0.27)
----------------------------------------
Net asset value, end of period $ 9.24 $ 6.63 $ 6.56
----------------------------------------
Total Return (a) 42.5% 5.6% 10.9%
Ratios and supplemental data:
Net assets, end of period (000) $ 689 $ 484 $ 458
Ratio of expenses to average net
assets (b)* 1.5% 1.5% 1.5%
Ratio of net investment income
to average net assets (b)* 1.0% 1.8% 1.9%
----------------------------------------
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31,
----------------------------------------------------------------
SEPTEMBER 9,
1996
THROUGH
MARCH 31,
2000 1999 1998 1997
----------------------------------------------------------------
<S> <C> <C> <C> <C>
Portfolio turnover rate 84.6% 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, 1.2%, 1.5%, 1.2%, and 1.8%* of average net assets, respectively, for
C shares and 1.2%, .9%, and 1.2%* of the average net assets, respectively,
for I shares.
* Annualized
53
<PAGE> 55
Financial Highlights
CALAMOS High Yield Fund
[ICON]
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
--------------
AUGUST 1, 1999
THROUGH
MARCH 31,
--------------
<S> <C>
Net asset value, beginning of period $10.00
Income from investment operations:
Net investment income .33
Net realized and unrealized gain (loss) on
investments (0.48)
--------------
Total from investment operations (0.15)
--------------
Less distributions:
Dividends from net investment income (0.32)
--------------
Total distributions (0.32)
--------------
Net asset value, end of period $ 9.53
--------------
Total Return(a) (1.5%)
Ratios and supplemental data:
Net assets, end of period (000) $ 728
Ratio of expenses to average net
assets(b)* 2.0%
Ratio of net investment income to average
net assets(b)* 5.9%
</TABLE>
<TABLE>
<CAPTION>
AUGUST 1, 1999
THROUGH
MARCH 31,
--------------
<S> <C>
Portfolio turnover rate 1.6%*
--------------
</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
11.1% of average net assets, respectively.
*Annualized
54
<PAGE> 56
Report of Independent Auditors
The Board of Trustees and Shareholders
CALAMOS INVESTMENT TRUST
We have audited the accompanying statements of assets and liabilities, including
the schedules of investments, of CALAMOS INVESTMENT TRUST (comprising CALAMOS
Convertible Fund, CALAMOS Growth and Income Fund, CALAMOS Market Neutral Fund
(formerly CALAMOS Strategic Income Fund), CALAMOS Growth Fund, CALAMOS Global
Growth and Income Fund and CALAMOS High Yield Fund) as of March 31, 2000, and
the related statements of operations, changes in net assets and the financial
highlights for the periods indicated therein. These financial statements and
financial highlights are the responsibility of the Funds' management. Our
responsibility is to express an opinion on these financial statements and
financial highlights based on our audits.
We conducted our audits in accordance with auditing standards generally accepted
in the United States. Those standards require that we plan and perform the audit
to obtain reasonable assurance about whether the financial statements and
financial highlights are free of material misstatement. An audit includes
examining, on a test basis, evidence supporting the amounts and disclosures in
the financial statements. Our procedures included confirmation of investments
owned as of March 31, 2000, by correspondence with the custodian. An audit also
includes assessing the accounting principles used and significant estimates made
by management, as well as evaluating the overall financial statement
presentation. We believe that our audits provide a reasonable basis for our
opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of each
of the respective portfolios constituting the CALAMOS INVESTMENT TRUST at March
31, 2000, the results of their operations, the changes in their net assets and
the financial highlights for the periods indicated therein in conformity with
accounting principles generally accepted in the United States.
/s/ ERNST & YOUNG LLP
Chicago, Illinois
May 19, 2000
55
<PAGE> 57
FOR SHAREHOLDER ASSISTANCE
24 HOURS
800.823.7386
TO OPEN AN ACCOUNT OR OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB-SITE
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
PFPC
Global Fund Services
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
[THE FUNDS ICON]
--------------------------------------------------------------------------------
This report, including the audited 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
June 30, 2000, 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 March 31, 2000. The manager's views are subject to
change at any time based on market and other conditions.
