<PAGE> 1
[CALAMOS ICON]
SEMI-ANNUAL REPORT SEPTEMBER 30, 2000
unaudited
CALAMOS Convertible Fund
CALAMOS Convertible Growth and Income Fund
formerly named Growth and Income Fund
CALAMOS Market Neutral Fund
CALAMOS Growth Fund
CALAMOS Global Convertible Fund
formerly named Global Growth and Income
Fund
CALAMOS High Yield Fund
CALAMOS Convertible Technology Fund
[CALAMOS ICON]
CALAMOS Family of Funds
<PAGE> 2
[THE FUNDS ICON]
President's Letter
President Photo
Dear Shareholder:
The past six months have been an exciting period for the CALAMOS Family of Funds
as we introduced several changes that expand our Fund offerings and enhance
service to shareholders.
Perhaps the most newsworthy development is the inception of our seventh fund,
the CALAMOS Convertible Technology Fund. CALAMOS is the first specialty
convertible manager to offer a convertible technology fund. Many investors have
become uncomfortable with tech's jarring drops and partial rebounds, but they
also fear not being on board if the sector resumes its unrelenting climb from
last winter. Because this Fund combines participation in the performance
potential of common stocks with the interest and risk-management characteristics
of bonds, we believe this Fund may be an attractive alternative for investors.
Please note that as a non-diversified fund, the Convertible Technology Fund's
investments may be concentrated in a small number of securities, which may
present increased risk because each investment has a greater effect on the
Fund's performance.
In addition, during the past six months we renamed the Growth and Income Fund
the CALAMOS Convertible Growth and Income Fund and the Global Growth and Income
Fund became the CALAMOS Global Convertible Fund to communicate their strategies
more clearly. We created Class B shares to make the Funds attractive to a wider
range of investors. We expanded our Client Service function to keep pace with
investors' growing interest in our funds. Finally, we selected Firstar as
CALAMOS' new transfer agent, enabling us to enhance our range of client service
functions and our web-based communications with shareholders.
We are pleased with our performance in each of the Funds and are especially
proud to announce that two of our Funds are 5-star performers AS OF 9/30/00*:
CALAMOS Growth Fund
* * * **
Overall Morningstar rating out of 3,876 domestic equity funds
Please note that investments by the CALAMOS Growth Fund in smaller companies
present greater risks than investments in larger companies.
CALAMOS Convertible Growth and Income Fund
* * * **
Overall Morningstar rating out of 3,876 domestic equity funds
CALAMOS FAMILY OF FUNDS 1
<PAGE> 3
[THE FUNDS ICON]
President's Letter
At CALAMOS, we believe the Funds can benefit from long-term market trends . . .
and that our product and service enhancements may also help you achieve your
financial goals. Thank you for your continued confidence in the CALAMOS Family
of Funds.
Sincerely,
/s/ John P. Calamos
John P. Calamos
President
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
*CALAMOS Growth Fund: 5 stars for 3, 5 and 10 years out of 3876, 2419, and 796
funds respectively; CALAMOS Convertible Growth and Income Fund: 4 stars for 3
years and 5 stars for 5 and 10 years out of 3876, 2419 and 796 funds
respectively for A Shares as of 9/30/00.
Source: Morningstar, Inc. Ratings are for Class A shares. Morningstar
proprietary ratings on U.S.-domiciled funds 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 Overall Morningstar Rating(TM) is a
weighted average based on the 3, 5 and 10-year risk-adjusted performance. The
top 10% of funds in an investment category receive five stars, the next 22.5%
receive four stars, and the next 35% receive three stars, the next 22.5% receive
2 stars, and the bottom 10% receive 1 star. Ratings reflect the effect of sales
charges.
2 CALAMOS FAMILY OF FUNDS
<PAGE> 4
Convertible Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (57.0%)
CAPITAL GOODS - INDUSTRIAL (1.0%)
$ 3,650,000 Perkinelmer, Inc.(c) $ 2,501,528
0.000%, 08/07/20
CAPITAL GOODS- TECHNOLOGY (27.8%)
1,400,000 Advanced Energy Industry 1,285,858
5.250%, 11/15/06
3,500,000 Allianz (Siemens AG)
EUR 2.000%, 03/23/05 3,009,796
5,860,000 Anixter International(b)(c) 1,658,146
0.000%, 06/28/20
1,665,000 Anixter International(c) 472,444
0.000%, 06/28/20
1,400,000 Atmel Corporation(b)(c) 1,241,758
0.000%, 04/21/18
3,700,000 Bell Atlantic (Cable & Wireless) 4,064,750
4.250%, 09/15/05
4,500,000 Celestica, Inc.(c) 2,221,875
0.000%, 08/01/20
1,625,000 Cypress Semiconductor 1,906,629
4.000%, 02/01/05
975,000 Cypress Semiconductor 930,335
3.750 %, 07/01/05
830,000 Delta Electronics, Inc.(c) 848,675
0.000%, 02/15/05
4,001,250 Finmeccanica
EUR 2.000%, 06/08/05 3,465,208
2,250,000 France Telecom (Panafon)
EUR 4.125%, 11/29/04 2,035,346
1,125,000 I2 Technologies(b) 2,918,318
5.250% 12/15/06
2,170,000 International Rectifier(b) 1,981,839
4.250%, 07/15/07
2,830,000 Juniper Networks 4,413,328
4.750%, 03/15/07
400,000 Liberty Media(b) 310,000
3.750%, 02/15/30
3,737,000 LSI Logic 3,035,901
4.000%, 02/15/05
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
$ 4,200,000 Merrill Lynch Basket $ 3,811,500
0.500%, 02/03/05
4,100,000 Morgan Stanley Basket 5,791,250
0.500%, 12/13/04
850,000 Rational Software(b) 1,763,512
5.000%, 02/01/07
3,400,000 Solectron Corporation(b)(c) 2,530,586
0.000%, 01/27/19
4,245,000 Solectron Corporation(b)(c) 2,869,662
0.000%, 05/08/20
5,700,000 SSB Technology Structure 5,635,875
0.250%, 04/18/05
1,175,000 Systems & Computer Technology 978,188
5.000%, 10/15/04
3,930,000 Terayon Communication(b) 2,674,522
5.000%, 08/01/07
1,130,000 Veritas Software 4,521,684
1.856%, 08/13/06
1,100,000 Versatel Telecom
EUR 4.000%, 12/17/04 850,653
------------
67,227,638
CONSUMER CYCLICAL (3.4%)
6,000,000 Four Season(c) 2,512,500
0.000%, 09/23/29
2,277,000 Interpublic Group(b) 2,037,027
1.870%, 06/01/06
1,150,000 United Parcel Services 1,184,500
1.750%, 09/27/07
2,640,000 Young & Rubicam(b) 2,534,268
3.000%, 01/15/05
------------
8,268,295
CONSUMER GROWTH STAPLES (11.8%)
400,000 Alpharma, Inc.(b) 819,500
3.000%, 06/01/06
5,325,000 Alza Corporation 6,070,500
0.000%, 07/14/14
3,850,000 Alza Corporation(b)(c) 2,670,052
0.000%, 07/28/20
</TABLE>
See accompanying Notes to Schedule of Investments.
3
<PAGE> 5
Convertible Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
$ 1,100,000 CV Therapeutics(b) $ 1,477,718
4.750%, 03/07/07
4,440,000 Elan Corporation(b)(c) 3,658,826
0.000%, 12/14/18
925,000 Elan Corporation(c) 762,256
0.000%, 12/14/18
1,900,000 Ivax Corporation(b) 2,758,572
5.500%, 05/15/07
7,035,000 Kohls Corporation(b)(c) 4,139,464
0.000%, 06/12/20
1,950,000 Quanta Services 1,570,647
4.000%, 07/01/07
4,500,000 Roche Holdings(b)(c) 2,171,250
0.000%, 05/06/12
4,580,000 Universal Health Services(b) 2,539,473
0.426%, 06/23/20
------------
28,638,258
CONSUMER STAPLES (1.7%)
2,000,000 Nestle Australia 1,950,000
1.250%, 04/27/05
2,000,000 Koninklijke Numico
EUR 1.500%, 09/22/04 2,118,966
------------
4,068,966
CREDIT CYCLICAL (1.0%)
5,000,000 Lennar Corporation(c) 2,408,400
0.000%, 07/29/18
ENERGY (7.6%)
5,400,000 Anadarko Petrol(c) 4,477,302
0.000%, 03/07/20
5,700,000 Baker Hughes(c) 4,565,358
0.000%, 05/05/08
3,000,000 Devon Energy (Chevron) 2,730,000
4.900%, 08/15/08
4,300,000 Devon Energy(b)(c) 2,151,634
0.000%, 06/27/20
4,955,000 Loews Corporation (Diamond 4,434,725
Offshore)
3.125%, 09/15/07
------------
18,359,019
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL (2.7%)
$ 2,300,000 Financial Federal Corporation $ 2,047,000
4.500%, 05/01/05
2,300,000 Munich RE (Allianz Ag)
EUR 1.000%, 06/09/05 1,979,084
2,150,000 Providian Financial 2,416,060
3.250%, 08/15/05
------------
6,442,144
------------
TOTAL CONVERTIBLE BONDS 137,914,248
(Cost $122,753,448)
<CAPTION>
NUMBER OF
SHARES VALUE
-------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (23.1%)
CAPITAL GOODS - TECHNOLOGY (1.9%)
14,000 Global Crossing(b) 2,788,760
7.000%
20,700 Global Crossing(b) 1,841,803
6.375%
------------
4,630,563
CONSUMER CYCLICALS (1.5%)
17,500 American Classic Voyage 619,063
7.000%
82,500 Newell Financial Trust 3,091,028
5.250%
------------
3,710,091
CONSUMER GROWTH STAPLES (3.0%)
20,200 Biovail Corporation 1,515,000
6.750%
65,000 Pharmacia Corporation 3,404,375
2.600%
46,500 Wendys International 2,208,750
5.000%
------------
7,128,125
CONSUMER STAPLES (1.9%)
115,000 Suiza Foods Trust(b) 4,615,295
5.500%
</TABLE>
See accompanying Notes to Schedule of Investments.
4
<PAGE> 6
Convertible Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
-------------------------------------------------------------
<C> <S> <C>
ENERGY (0.5%)
15,000 El Paso Energy Capital Trust I 1,177,500
2.375%
FINANCIAL (8.2%)
32,100 Ace, Ltd. 2,590,069
4.125%
24,800 Equity Office Trust 1,140,800
2.625%
50,700 Equity Residential Properties 1,147,088
1.812%
55,000 Host Marriott 2,100,340
6.750%
64,000 Metlife Capital Trust I 5,440,000
5.688%
139,500 National Australia Bank 3,531,094
7.874%
44,000 Sovereign Capital 2,527,250
7.500%
26,000 Vornado Realty Trust - Series A 1,360,125
3.250%
------------
19,836,766
UTILITIES (6.1%)
81,500 AES Trust VII(b) 6,735,405
6.000%
117,400 Calpine Trust(b) 8,027,223
2.500%
------------
14,762,628
------------
TOTAL CONVERTIBLE
PREFERRED STOCKS 55,860,968
(Cost $47,611,460)
COMMON STOCKS (7.9%)
CAPITAL GOODS - TECHNOLOGY (3.1%)
60,000 Ciena Corporation 7,368,750
CONSUMER CYCLICALS (4.2%)
96,000 Boeing Company 6,048,000
800 Ciphergen Biosystems, Inc. 25,600
73,584 Marriott International 2,681,217
54,629 Royal Caribbean Cruises, Ltd. 1,406,150
------------
10,160,967
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
-------------------------------------------------------------
<C> <S> <C>
CREDIT CYCLICAL (0.6%)
28,000 Federal Home Loan Mortgage 1,513,750
Corporation
------------
TOTAL COMMON STOCKS 19,043,467
(Cost $8,877,861)
<CAPTION>
NUMBER OF
CONTRACTS VALUE
-------------------------------------------------------------
<C> <S> <C>
CALL OPTIONS (1.2%)
CAPITAL GOODS - TECHNOLOGY (0.3%)
150 Northrup Gumann(a) 423,750
LEAPS Expiration 01/19/03
Strike 80
300 Sybase(a) 255,000
LEAPS Expiration 01/21/02
Strike 20
------------
678,750
CONSUMER CYCLICAL (0.2%)
300 International Game Technology(a) 363,750
LEAPS Expiration 01/17/02
Strike 25
CONSUMER GROWTH STAPLES (0.2%)
200 Chiron(a) 247,500
LEAPS Expiration 01/19/02
Strike 50
225 Pfizer(a) 196,875
LEAPS Expiration 01/17/02
Strike 45
------------
444,375
CONSUMER STAPLES (0.1%)
200 Pepsico(a) 281,250
LEAPS Expiration 01/17/03
Strike 40
CREDIT CYCLICAL (0.1%)
250 Washington Mutual Stock(a) 303,125
LEAPS Expiration 01/19/03
Strike 35
</TABLE>
See accompanying Notes to Schedule of Investments.
5
<PAGE> 7
Convertible Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS VALUE
-------------------------------------------------------------
<C> <S> <C>
ENERGY (0.1%)
150 Enron(a) $ 356,250
LEAPS Expiration 01/19/02
Strike 80
FINANCIAL (0.2%)
445 Allstate(a) 275,344
LEAPS Expiration 01/19/02
Strike 35
140 Merrill Lynch(a) 308,000
LEAPS Expiration 01/18/03
Strike 60
------------
583,344
------------
TOTAL CALL OPTIONS 3,010,844
(Cost $2,685,120)
<CAPTION>
NUMBER OF
SHARES VALUE
-------------------------------------------------------------
<C> <S> <C>
WARRANTS (0.8%)
CONSUMER GROWTH STAPLES (0.8%)
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 (4.7%)
UNITED STATES TREASURY NOTES
$ 2,750,000 6.875%, 05/15/06 2,874,520
2,000,000 6.500%, 10/15/06 2,056,740
2,000,000 6.250%, 02/15/03 2,012,040
13,000,000 0.000%, 11/15/18 4,318,340
------------
TOTAL U.S. GOVERNMENT SECURITIES
(Cost $11,222,973) 11,261,640
------------
TOTAL INVESTMENTS (94.7%) 228,958,687
(Cost $193,596,446)
</TABLE>
<TABLE>
<CAPTION>
VALUE
-------------------------------------------------------------
-------------------------------------------------------------
<C> <S> <C>
U.S. DOLLAR CASH DEPOSITS WITH CUSTODIAN $ 11,180,329
(INTEREST BEARING) (4.6%)
------------
OTHER ASSETS, LESS LIABILITIES (0.7%) 1,759,986
------------
NET ASSETS (100.0%) $241,899,002
------------
NET ASSET VALUE PER SHARE - CLASS A $ 23.61
------------
(5,203,996 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS B $ 23.55
------------
(10,558 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 23.49
------------
(3,362,142 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS I $ 23.68
------------
(1,680,975 share outstanding)
</TABLE>
Notes to Schedule of Investments
(a) Non- income producing security
(b) Rule 144A security- Private placement securities issued
under Rule 144A are exempt from the registration requirement of the
Securities Act of 1933. These securities generally are issued to
qualified institutional buyers, such as the Funds, and any resale by the
Funds must be an exempt transaction, normally to other qualified
institutional investors.
(c) LYON- Liquid Yield Option Note
See accompanying Notes to Schedule of Investments.
6
<PAGE> 8
Convertible Growth and Income Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (56.8%)
CAPITAL GOODS - INDUSTRIAL (2.9%)
$2,200,000 Perkinelmer, Inc.(c) $ 1,507,770
0.000%, 08/07/20
625,000 Robbins & Myers 617,188
6.500%, 09/01/03
-----------
2,124,958
CAPITAL GOODS - TECHNOLOGY (22.8%)
2,900,000 Anixter International(b)(c) 820,584
0.000%, 06/28/20
1,500,000 Anixter International(c) 425,625
0.000%, 06/28/20
800,000 Atmel Corporation(b)(c) 709,576
0.000%, 04/21/18
1,250,000 Celestica, Inc.(c) 617,188
0.000%, 08/01/20
400,000 Bell Atlantic (Cable&Wireless) 437,000
4.250%, 09/15/05
400,000 Cypress Semiconductor 469,324
4.000%, 02/01/05
400,000 Cypress Semiconductor 381,676
3.750%, 07/01/05
1,300,000 Hewlett Packard(c) 953,862
0.000%, 10/14/17
725,000 I2 Technologies(b) 1,880,694
5.250%, 12/15/06
700,000 International Rectifier(b) 639,303
4.250%, 07/15/07
1,320,000 Juniper Networks 2,058,514
4.750%, 03/15/07
1,100,000 LSI Logic 893,629
4.000%, 02/15/05
1,100,000 Merrill Lynch Basket 998,250
0.500%, 02/03/05
900,000 Rational Software(b) 1,867,248
5.000%, 02/01/07
1,600,000 SSB Technology Structure 1,582,000
0.250%, 04/18/05
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
$ 250,000 Systems & Computer Technology $ 208,125
5.000%, 10/15/04
650,000 Texas Instrument(b) 811,922
4.250%, 02/15/07
280,000 Veritas Software 1,120,417
1.856%, 08/13/06
-----------
16,874,937
CONSUMER CYCLICAL (3.9%)
3,000,000 Four Season(c) 1,256,250
0.000%, 09/23/29
1,715,000 Young & Rubicam(b) 1,646,314
3.000%, 01/15/05
-----------
2,902,564
CONSUMER GROWTH STAPLES (14.7%)
100,000 Alpharma, Inc.(b) 204,875
3.000%, 06/01/06
1,500,000 Alza Corporation(c) 1,710,000
0.000%, 07/14/14
620,000 CV Therapeutics(b) 832,896
4.750%, 03/07/07
725,000 Elan Corporation(b)(c) 597,444
0.000%, 12/14/18
625,000 Elan Corporation(c) 515,038
0.000%, 12/14/18
2,000,000 Health Management(b)(c) 1,370,000
0.250%, 08/16/20
1,200,000 Ivax Corporation(b) 1,742,256
5.500%, 05/15/07
2,050,000 Kohls Corporation(b)(c) 1,206,241
0.000%, 06/12/20
360,000 Kohls Corporation(c) 211,725
0.000%, 06/12/20
1,410,000 Quanta Services 1,135,699
4.000%, 07/01/07
2,430,000 Universal Health Services(b)(c) 1,347,362
0.426%, 06/23/20
-----------
10,873,536
</TABLE>
See accompanying Notes to Schedule of Investments.
7
<PAGE> 9
Convertible Growth and Income Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
CREDIT CYCLICALS (0.9%)
$1,500,000 Lennar Corporation(c) $ 722,520
0.000%, 07/29/18
ENERGY (9.7%)
1,670,000 Anadarko Petrol(c) 1,384,647
0.000%, 03/07/20
1,700,000 Baker Hughes(c) 1,361,598
0.000%, 05/05/08
1,250,000 Devon Energy(b)(c) 625,475
0.000%, 06/27/20
1,450,000 Loews Corporation (Diamond Offshore) 1,297,750
3.125%, 09/15/07
1,000,000 Seacor Holdings 1,098,390
5.375%, 11/15/06
1,100,000 Swift Energy Company 1,439,625
6.250%, 11/15/06
-----------
7,207,485
FINANCIAL (1.9%)
1,265,000 Providian Financial 1,421,543
3.250%, 08/15/05
-----------
TOTAL CONVERTIBLE BONDS 42,127,543
(Cost $35,592,412)
<CAPTION>
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (23.3%)
CAPITAL GOODS - TECHNOLOGY (1.7%)
3,100 Global Crossing 620,000
7.000%
1,350 Global Crossing(b) 266,965
7.000%
4,700 Global Crossing(b) 418,187
6.375%
-----------
1,305,152
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
<C> <S> <C>
CONSUMER GROWTH STAPLES (3.8%)
20,000 Biovail Corporation $ 1,500,000
6.750%
25,000 Pharmacia Corporation 1,309,375
2.600%
-----------
2,809,375
CONSUMER STAPLES (2.2%)
40,000 Suiza Foods Trust(b) 1,605,320
5.500%
ENERGY (0.9%)
8,800 El Paso Energy Capital Trust I 690,800
2.375%
FINANCIAL (9.0%)
19,000 Ace, Ltd. 1,533,063
4.125%
28,200 Equity Office Trust 1,297,200
2.625%
54,000 Equity Resource Properties 1,221,750
1.812%
18,300 Metlife Capital Trust I 1,555,500
5.688%
18,800 Sovereign Capital 1,079,825
7.500%
-----------
6,687,338
UTILITIES (5.7%)
23,000 AES Trust VII 1,900,788
6.000%
33,500 Calpine Trust(b) 2,290,563
2.500%
-----------
4,191,351
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $14,481,626) 17,289,336
</TABLE>
See accompanying Notes to Schedule of Investments.
8
<PAGE> 10
Convertible Growth and Income Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
---------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS (7.6%)
CAPITAL GOODS TECHNOLOGY (4.9%)
29,400 Ciena Corporation $ 3,610,687
CONSUMER CYCLICALS (2.7%)
17,000 Boeing Company 1,071,000
25,000 Walt Disney Company 956,250
-----------
2,027,250
-----------
TOTAL COMMON STOCKS 5,637,937
(Cost $2,537,491)
<CAPTION>
NUMBER OF
CONTRACTS VALUE
---------------------------------------------------------------
<C> <S> <C>
CALL OPTIONS (1.1%)
CAPITAL GOODS - TECHNOLOGY (0.3%)
4,000 Northrup Gumann(a) 113,000
LEAPS Expiration 01/19/03
Strike 80
6,000 Sybase(a) 51,000
LEAPS Expiration 01/21/02
Strike 20
-----------
164,000
CONSUMER CYCLICAL (0.1%)
8,000 International Game Technology(a) 97,000
LEAPS Expiration 01/17/02
Strike 25
CONSUMER GROWTH STAPLES (0.2%)
5,000 Chiron(a) 61,874
LEAPS Expiration 01/19/02
Strike 50
6,000 Pfizer(a) 52,500
LEAPS Expiration 01/17/02
Strike 45
-----------
114,374
CONSUMER STAPLES (0.1%)
5,000 Pepsico(a) 70,312
LEAPS Expiration 01/17/03
Strike 40
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS VALUE
---------------------------------------------------------------
<C> <S> <C>
CREDIT CYCLICALS (0.1%)
8,000 Washington Mutual Stock(a) $ 97,000
LEAPS Expiration 01/19/03
Strike 35
ENERGY (0.1%)
4,000 Enron(a) 95,000
LEAPS Expiration 01/19/02
Strike 80
FINANCIAL (0.2%)
4,000 Merrill Lynch(a) 86,500
LEAPS Expiration 01/18/03
Strike 60
12,500 Allstate(a) 77,344
LEAPS Expiration 01/19/02
Strike 35
-----------
163,844
-----------
TOTAL CALL OPTIONS 801,530
(Cost $704,208)
<CAPTION>
PRINCIPAL
AMOUNT VALUE
---------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT SECURITIES (2.5%)
UNITED STATES TREASURY NOTE
$ 635,000 6.875%, 05/15/06 663,753
1,150,000 6.250%, 02/15/03 1,156,922
-----------
TOTAL U.S. GOVERNMENT SECURITIES
1,820,675
(Cost $1,781,530)
-----------
TOTAL INVESTMENTS (91.3%) 67,677,021
(Cost $55,097,267)
CASH DEPOSITS WITH CUSTODIAN 5,217,360
(INTEREST BEARING) (7.0%)
OTHER ASSETS, LESS LIABILITIES (1.7%) 1,273,039
-----------
NET ASSETS (100.0%) $74,167,420
-----------
</TABLE>
See accompanying Notes to Schedule of Investments.
9
<PAGE> 11
Convertible Growth and Income Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
VALUE
---------------------------------------------------------------
<C> <S> <C>
NET ASSET VALUE PER SHARE - CLASS A $ 29.38
-----------
(2,016,090 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS B $ 29.17
-----------
(964 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 29.10
-----------
(396,852 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS I $ 29.53
-----------
(113,413 shares outstanding)
</TABLE>
Notes to Schedule of Investments
(a) Non-Income producing security
(b) Rule 144A security- Private placement securities issued
under Rule 144A are exempt from the registration requirement of the
Securities Act of 1933. These securities generally are issued to
qualified institutional buyers, such as the Funds, and any resale by the
Funds must be an exempt transaction, normally to other qualified
institutional investors.
(c) LYON - Liquid Yield Option Note
See accompanying Notes to Schedule of Investments.
10
<PAGE> 12
Market Neutral Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (58.1%)
CAPITAL GOODS - TECHNOLOGY (35.1%)
$1,150,000 Advanced Energy Industry $ 1,056,240
5.250%, 11/15/06
575,000 Aether Systems 443,181
6.000%, 03/22/05
1,390,000 Amazon.Com, Inc. 940,140
4.750%, 02/01/09
940,000 American Tower Corporation(b) 917,017
5.000%, 02/15/10
1,000,000 CNET Networks, Inc. 871,220
5.000%, 03/01/06
75,000 Cox Communication 52,780
3.000%, 03/14/30
1,000,000 Critical Path 889,630
5.750%, 04/01/05
1,050,000 Cypress Semiconductor 1,001,899
3.750%, 07/01/05
850,000 Doubleclick, Inc. 826,190
4.750%, 03/15/06
1,280,000 Emcor Group, Inc 1,331,481
5.750%, 04/01/05
1,850,000 International Rectifier(b) 1,689,586
4.250%, 07/15/07
1,100,000 Level 3 Communication 948,761
6.000%, 03/15/10
740,000 Liberty Media(b) 573,500
3.750%, 02/15/30
670,000 Nextel Communication(b) 632,024
5.250%, 01/15/10
1,250,000 Radisys Corporation(b) 1,217,187
5.500%, 08/15/07
1,400,000 Redback Networks(b) 1,568,000
5.000%, 04/01/07
1,480,000 RF Micro Device(b) 1,372,700
3.750%, 08/15/05
1,200,000 Transwitch Corporation(b) 1,473,000
4.500%, 09/12/05
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
$ 540,000 Triquint Semiconductor $ 429,300
4.000%, 03/01/07
750,000 Triquint Semiconductor(b) 596,250
4.000%, 03/01/07
550,000 Vitesse Semiconductor 573,375
4.000%, 03/15/05
1,100,000 Vitesse Semiconductor(b) 1,142,361
4.000%, 03/15/05
------------
20,545,822
CONSUMER CYCLICALS (4.6%)
1,625,000 Lamar Advertisement Company 1,683,938
5.250%, 09/15/06
1,025,000 Young & Rubicam(b) 983,948
3.000%, 01/15/05
------------
2,667,886
CONSUMER GROWTH STAPLES (10.5%)
1,280,000 Alexion Pharmaceuticals(b) 1,594,022
5.750%, 03/15/07
2,000,000 Clear Channel 1,864,760
1.500%, 12/01/02
1,750,000 Quanta Services 1,409,555
4.000%, 07/01/07
1,170,000 Vertex Pharmaceuticals(b) 1,292,850
5.000%, 09/19/07
------------
6,161,187
CONSUMER STAPLES (0.6%)
875,000 Whole Foods Market(c) 349,151
0.000%, 03/02/18
ENERGY (2.7%)
1,750,000 Loews Corporation (Diamond 1,566,250
Offshore)
3.125%, 09/15/07
FINANCIAL (4.6%)
620,000 Financial Federal Corporation 551,800
4.500%, 05/01/05
1,050,000 Mutual Risk Management(c) 545,580
0.000%, 10/30/15
</TABLE>
See accompanying Notes to Schedule of Investments.
11
<PAGE> 13
Market Neutral Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
$1,440,000 Providian Financial $ 1,618,209
3.250%, 08/15/05
------------
2,715,589
------------
TOTAL CONVERTIBLE BONDS 34,005,885
(Cost $34,778,910)
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (36.1%)
BASIC INDUSTRIES (4.0%)
34,100 International Paper 1,343,744
5.250%
22,500 Sealed Air Corporation 1,012,500
2.000%
------------
2,356,244
CAPITAL GOODS - TECHNOLOGY (8.1%)
28,100 Broadwing, Inc., Series B 1,310,162
6.750%
4,400 Global Crossing 880,000
7.000%
1,500 Global Crossing(b) 296,628
7.000%
33,000 Pioneer Standard Trust 1,641,750
3.375%
8,900 Titan Corporation 268,576
5.750%
11,500 Titan Corporation(b) 345,000
5.750%
------------
4,742,116
CONSUMER STAPLES (3.1%)
45,200 Suiza Foods Trust 1,814,011
5.500%
CREDIT CYCLICALS (1.5%)
28,500 Texas Industries, Inc 874,593
2.750%
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
ENERGY (6.6%)
16,000 Pogo Trust I $ 980,000
6.500%
28,500 Unocal Corporation 1,401,402
6.250%
39,000 Western Gas Resources 1,477,123
2.625%
------------
3,858,525
FINANCIAL (3.8%)
88,200 National Australia Bank 2,232,561
7.875%
TRANSPORTATION (6.3%)
51,200 CNF Transport 1,907,201
5.000%
42,600 Union Pacific Capital Trust 1,748,091
6.250%
------------
3,655,292
UTILITIES (2.7%)
23,200 Calpine Trust(b) 1,586,304
5.000%
------------
TOTAL CONVERTIBLE 21,119,646
PREFERRED STOCKS
(Cost $21,205,720)
------------
TOTAL INVESTMENTS (94.2%) 55,125,531
(Cost $55,984,630)
COMMON STOCKS SOLD SHORT (-41.3%)
BASIC INDUSTRIES (-2.1%)
(16,150) International Paper (463,303)
(16,300) Sealed Air Corporation (737,575)
------------
(1,200,878)
CAPITAL GOODS - TECHNOLOGY (-19.2%)
(12,650) Advanced Energy Industries (417,450)
(1,150) Aether Systems (121,325)
(9,025) Amazon.Com, Inc. (346,898)
(9,400) American Tower (354,262)
(32,300) Broadwing, Inc. (825,668)
(16,000) CNET Networks, Inc. (389,750)
(5,500) Critical Path (334,125)
</TABLE>
See accompanying Notes to Schedule of Investments.
12
<PAGE> 14
Market Neutral Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
(8,400) Cypress Semiconductor $ (349,125)
(17,000) Doubleclick, Inc. (544,000)
(28,100) Emcor Group, Inc. (730,600)
(16,000) Global Crossing, Ltd. (496,000)
(13,800) International Rectifier (697,762)
(3,850) Level 3 Comm (296,931)
(4,650) Nextel Communication (217,387)
(69,300) Pioneer Standard Electronics (939,881)
(11,825) Radisys Corporation (597,901)
(4,200) Redback Networks (688,800)
(21,500) RF Micro Devices (688,000)
(9,100) Sprint (319,068)
(8,150) Titan Corporation (134,475)
(9,950) Triquint Semiconductor (362,553)
(12,000) Transwitch Corporation (765,000)
(6,850) Vitesse Semiconductor (609,221)
------------
(11,226,182)
CONSUMER CYCLICALS (-2.9%)
(30,275) Lamar Advertisement Company (1,146,665)
(11,225) Young & Rubicam (555,637)
------------
(1,702,302)
CONSUMER GROWTH STAPLES (-4.1%)
(9,600) Alexion Pharmaceuticals, Inc. (1,094,400)
(4,000) Clear Channel Communications (226,000)
(17,500) Quanta Services (481,250)
(7,600) Vertex Pharmaceuticals (642,200)
------------
(2,443,850)
CONSUMER STAPLES (-1.4%)
(14,700) Suiza Foods Corporation (745,106)
(875) Whole Foods Market (46,976)
------------
(792,082)
CREDIT CYCLICALS (-0.8%)
(14,250) Texas Industries (454,219)
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
ENERGY (-3.6%)
(10,500) Diamond Offshore Drilling $ (430,500)
(25,600) Pogo Producing Company (649,600)
(10,700) Unocal Corporation (379,181)
(27,300) Western Gas Resources (684,206)
------------
(2,143,487)
FINANCIAL (-3.4%)
(8,175) Financial Federal Corporation (197,732)
(8,400) Mutual Risk Management (184,275)
(13,225) National Australia Bank (917,484)
(5,750) Providian Financial Corporation (730,250)
------------
(2,029,741)
TRANSPORTATION (-1.9%)
(32,300) CNF Transportation, Inc. (718,675)
(10,650) Union Pacific Corporation Trust (414,018)
------------
(1,132,693)
UTILITIES (-1.9%)
(10,450) Calpine Corporation (1,090,728)
------------
TOTAL COMMON STOCKS
SOLD SHORT (24,216,162)
(Proceeds $25,115,003)
CASH DEPOSITS WITH CUSTODIAN 26,310,229
(INTEREST BEARING)(44.9%)
OTHER ASSETS, LESS LIABILITIES (2.2%) 1,312,942
------------
NET ASSETS (100.0%) $ 58,532,540
------------
NET ASSET VALUE PER SHARE - CLASS A $ 13.59
------------
(3,219,929 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS B $ 13.66
------------
(734 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 13.60
------------
(224,067 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS I $ 13.57
------------
(863,366 shares outstanding)
</TABLE>
See accompanying Notes to Schedule of Investments.
13
<PAGE> 15
Market Neutral Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
Notes to Schedule of Investments
(a) Non-income producing security
(b) Rule 144A security - Private placement securities issued
under Rule 144A are exempt from the registration requirement of the
Securities Act of 1933. These securities generally are issued to
qualified institutional buyers, such as the Funds, and any resale by the
Funds must be an exempt transaction, normally to other qualified
institutional investors.
(c) LYON - Liquid Yield Option Note
See accompanying Notes to Schedule of Investments.
14
<PAGE> 16
Growth Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
COMMON STOCKS(89.7%)
CAPITAL GOODS - INDUSTRIAL(5.9%)
19,000 Applied Films(a) $ 515,375
34,000 Concord Camera Corporation(a) 871,250
38,000 Esco Technology, Inc.(a) 665,000
28,000 Keithley Instruments, Inc. 1,960,000
19,000 Measurement(a) 916,750
24,500 Tektronix, Inc.(a) 1,881,906
------------
6,810,281
CAPITAL GOODS - TECHNOLOGY(41.8%)
56,000 1-800 Contacts(a) 2,688,000
28,400 Altera Corporation(a) 1,356,100
22,500 Amphenol Corporation(a) 1,281,093
11,300 Analog Devices(a) 932,956
17,500 Anaren Microwave, Inc.(a) 2,373,437
30,000 Barra, Inc.(a) 1,861,875
41,000 C&D Technology, Inc.(a) 2,326,750
41,000 Cerprobe(a) 604,750
3,424 Cybear Group(a) 4,494
21,000 DST Systems(a) 2,467,500
21,500 Elantec Semiconductor(a) 2,141,939
20,000 Flextronic International(a) 1,642,500
23,000 Integrated Device Technology(a) 2,081,500
26,000 International Rectifier 1,314,625
Corporation(a)
14,400 Juniper Networks(a) 3,152,700
23,000 Macrovision Corporation(a) 1,863,000
35,000 Manhattan Associates(a) 2,143,750
37,000 Merix Corporation(a) 2,398,062
30,000 Nvidia Corporation(a) 2,456,250
67,000 Oak Technology(a) 1,834,125
33,000 PC Connection(a) 1,881,000
17,200 Pericom Semiconductor(a) 646,075
500 Proton(a) 14,312
17,500 Sanmina Corporation(a) 1,638,437
33,300 Serena Software(a) 1,533,881
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
49,500 Silicon Storage Technology(a) $ 1,345,782
15,500 Supertex, Inc.(a) 780,813
15,000 Technitrol, Inc.(a) 1,515,000
17,000 Tollgrade Communication(a) 2,359,813
------------
48,640,519
CONSUMER CYCLICAL (4.7%)
37,000 Advo, Inc.(a) 1,221,000
60,000 Christopher & Bank(a) 2,332,500
42,000 Hot Topic, Inc.(a) 1,260,000
70,000 Stein Mart, Inc.(a) 756,875
------------
5,570,375
CONSUMER GROWTH STAPLES (17.8%)
23,000 Andrx Group(a) 2,147,625
13,000 Aurora Biosciences Corporation(a) 884,000
52,000 Career Education Corporation(a) 2,314,000
28,000 CDW Computer Centers, Inc.(a) 1,932,000
28,300 Celgene Corporation(a) 1,683,850
23,000 Diagnostic Product(a) 1,233,375
29,600 Direct Focus(a) 1,176,600
26,000 Laboratory Corporate of American 3,113,500
Holdings(a)
22,400 Learning Tree(a) 1,066,800
15,800 PF Changes China(a) 546,088
36,000 Robert Half International, Inc.(a) 1,248,750
40,000 Skechers USA(a) 605,000
47,000 Timberland Company(a) 1,927,000
31,000 Triad Hospitals(a) 910,625
------------
20,789,213
CONSUMER STAPLES (0.1%)
3,000 Stanley Furnace Company(a) 72,750
ENERGY (11.5%)
56,000 Anadarko Petroleum 3,721,760
45,000 Clayton Williams Energy, Inc.(a) 1,822,500
30,000 Equitable Resources 1,901,250
21,000 HS Resources(a) 706,125
</TABLE>
See accompanying Notes to Schedule of Investments.
15
<PAGE> 17
Growth Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
27,000 Patina Oil & Gas Corporation $ 540,000
33,400 Prima Energy(a) 1,778,550
55,000 Spinnaker Explore(a) 1,918,125
42,000 Vintage Petrol 955,500
------------
13,343,810
FINANCIAL (6.7%)
42,000 Alliance Capital(a) 2,105,250
31,000 Greater Bay 2,152,562
30,900 Hartford Financial Services Group(a) 2,253,769
21,400 Silicon Valley Busch(a) 1,246,216
------------
7,757,797
TRANSPORTATION (1.2%)
20,000 Forward Air Corporation(a) 703,750
14,700 Teekay Shipping(a) 689,981
------------
1,393,731
------------
TOTAL COMMON STOCKS 104,378,476
(Cost $84,558,852)
------------
TOTAL INVESTMENTS (89.7%) 104,378,476
(Cost $84,558,852)
</TABLE>
<TABLE>
<CAPTION>
NUMBER
OF SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
CASH DEPOSITS WITH CUSTODIAN $ 10,580,549
(INTEREST BEARING) (9.1%)
OTHER ASSETS, LESS LIABILITIES (1.2%) 1,381,527
------------
NET ASSETS (100.0%) $116,340,552
------------
NET ASSETS VALUE PER SHARE - CLASS A $ 52.25
------------
(1,664,221 shares outstanding)
NET ASSETS VALUE PER SHARE - CLASS B $ 51.02
------------
(8,194 shares outstanding)
NET ASSETS VALUE PER SHARE - CLASS C $ 51.00
------------
(501,811 shares outstanding)
NET ASSETS VALUE PER SHARE - CLASS I $ 52.97
------------
(63,522 shares outstanding)
</TABLE>
Notes to Schedule of Investments
(a) Non-income producing security
See accompanying Notes to Schedule of Investments.
16
<PAGE> 18
Global Convertible Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS (66.9%)
CAPITAL GOODS - INDUSTRIAL (1.1%)
$ 250,000 Perkinelmer, Inc.(c) $ 171,338
0.000%, 08/07/20
CAPITAL GOODS - TECHNOLOGY (31.7%)
2,500 Adecco SPA ADR 205,250
1.500%, 11/25/04
160,000 Allianz (Siemens Ag) 137,591
EUR 2.000%, 03/23/05
550,000 Anixter International(b)(c) 155,628
0.000%, 06/28/2020
250,000 ASM Lithography 281,250
4.250%, 11/30/04
140,000 Bell Atlantic (Cable & Wireless) 152,950
4.250%, 09/15/05
300,000 Celestica, Inc.(c) 148,125
0.000%, 08/01/20
105,000 Cypress Semiconductor 123,198
4.000%, 02/01/05
80,000 Cypress Semiconductor 76,335
3.750%, 07/01/05
110,000 Delta Electronics, Inc 112,475
0.000%, 02/15/05
300,000 Finmeccanica 259,809
EUR 2.000%, 06/08/05
250,000 France Telcom (Panafon) 226,150
EUR 4.125%, 11/29/04
120,000 I2 Technologies(b) 311,287
5.250%, 12/15/06
75,000 International Rectifier(b) 68,497
4.250%, 07/15/07
185,000 Juniper Networks 288,504
4.750%, 03/15/07
260,000 LSI Logic 211,221
4.000%, 02/15/05
275,000 Merrill Lynch Basket 249,563
0.500%, 02/03/05
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
$ 245,000 Solectron Corporation(b)(c) $ 182,351
0.000%, 01/27/19
285,000 Solectron Corporation(c) 192,663
0.000%, 05/08/20
400,000 SSB Technology Structure 395,500
0.250%, 04/18/05
130,000 Telefonos De Mexico 161,525
4.250%, 06/15/04
135,000 Terayon Communication(b) 91,873
5.000%, 08/01/07
240,000 Texas Instruments(b) 299,786
4.250%, 02/15/07
230,000 Triquint Semiconductor(b) 182,850
4.000%, 03/01/07
85,000 Veritas Software 340,127
1.856%, 08/13/06
100,000 Versatel Telecommunication 77,332
EUR 4.000%, 12/17/04
200,000 Versatel Telecommunication 142,750
EUR 4.000%, 03/30/05
-----------
5,074,590
CONSUMER CYCLICAL (6.2%)
200,000 BAA PLC 309,404
BPS 5.750%, 03/29/06
800,000 Four Season 335,000
0.000%, 09/23/29
140,000 Interpublic Group(b) 125,245
1.870%, 06/01/06
230,000 Young & Rubicam(b) 220,789
3.000%, 01/15/05
-----------
990,438
CONSUMER GROWTH STAPLES (10.6%)
275,000 Alza Corporation(b)(c) 190,718
0.000%, 07/28/20
160,000 CV Therapeutics(b) 214,941
4.750%, 03/07/07
</TABLE>
See accompanying Notes to Schedule of Investments.
17
<PAGE> 19
Global Convertible Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
$ 385,000 Kohls Corporation(b)(c) $ 226,538
0.000%, 06/12/20
150,000 News Corporation, Ltd.(c) 170,120
0.000%, 03/11/13
140,000 Quanta Services 112,764
4.000%, 07/01/07
250,000 Swatch Group
SFS 2.000%, 10/23/02 353,868
320,000 Universal Health Services(b)(c) 177,430
0.426%, 06/23/20
290,640 Vivendi (British Sky Broadcasting)
EUR 1.000%, 07/05/03 255,961
-----------
1,702,340
CONSUMER STAPLES (6.7%)
330,000 Ahold
EUR 4.000%, 05/19/05 325,457
450,000 Nestle Australia 438,750
1.250%, 04/27/05
300,000 Koninklijke Numico
EUR 1.500%, 09/22/04 317,845
-----------
1,082,052
ENERGY (7.7%)
385,000 Anadarko Petrol(c) 319,215
0.000%, 3/07/20
400,000 Baker Hughes(c) 320,376
0.000%, 05/05/08
201,168 Belgelectric (TotalFina SA)
EUR 1.500%, 08/04/04 197,182
310,000 Devon Energy Zero(b)(c) 155,118
0.000%, 06/27/20
270,000 Loews Corporation (Diamond Offshore) 240,808
3.125%, 09/15/07
-----------
1,232,699
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
FINANCIAL (2.9%)
$ 225,000 Allianz (Deutsche Bank)
DMS 3.000%, 02/04/03 $ 131,986
200,000 Munich RE (Allianz Ag)
EUR 1.000%, 06/09/05 172,094
150,000 Providian Financial 168,563
3.250%, 08/15/05
-----------
472,643
-----------
TOTAL CONVERTIBLE BONDS 10,726,100
(Cost $9,880,405)
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCK (15.9%)
CAPITAL GOODS - TECHNOLOGY (2.1%)
700 Global Crossing 140,000
7.000%
365 Global Crossing(b) 72,179
7.000%
1,300 Global Crossing(b) 115,669
6.375%
-----------
327,848
CONSUMER GROWTH STAPLES (2.1%)
1,300 Biovail Corporation 97,500
6.750%
4,500 Pharmacia Corporation 235,688
2.600%
-----------
333,188
CONSUMER STAPLES (2.0%)
8,000 Suiza Foods Trust 321,064
5.500%
ENERGY (1.0%)
2,100 El Paso Energy Capital Trust I 164,850
2.375%
FINANCIAL (2.4%)
4,500 Metlife Capital Trust I 382,500
5.688%
</TABLE>
See accompanying Notes to Schedule of Investments.
18
<PAGE> 20
Global Convertible Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
UTILITIES (6.3%)
5,700 AES Trust VII(b) $ 471,065
6.000%
2,000 Calpine Trust(b) 216,490
5.561%
4,700 Calpine Trust(b) 321,363
5.000%
-----------
1,008,918
-----------
TOTAL CONVERTIBLE
PREFERRED STOCK 2,538,368
(Cost $2,077,025)
COMMON STOCKS (4.4%)
CAPITAL GOODS - TECHNOLOGY (3.5%)
7,496 Koninklijke Philips Electronic 318,580
2,300 Telecommunication Italia SPA-ADR 241,500
-----------
560,080
CONSUMER STAPLES (0.9%)
50,000 Endois PLC 143,791
-----------
TOTAL COMMON STOCKS 703,871
(Cost $335,696)
<CAPTION>
NUMBER OF
CONTRACTS VALUE
--------------------------------------------------------------
<C> <S> <C>
CALL OPTIONS (1.2%)
CAPITAL GOODS - TECHNOLOGY (0.2%)
10 Northrup Gumann(a) 28,250
LEAPS Expiration 01/19/03
Strike 80
15 Sybase(a) 12,750
LEAPS Expiration 01/21/02
Strike 20
-----------
41,000
CONSUMER CYCLICAL (0.2%)
20 International Game Technology(a) 24,250
LEAPS Expiration 01/17/02
Strike 25
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
CONTRACTS VALUE
--------------------------------------------------------------
<C> <S> <C>
CONSUMER GROWTH STAPLES (0.2%)
10 Chiron(a) $ 12,375
LEAPS Expiration 01/19/02
Strike 50
15 Pfizer(a) 13,125
LEAPS Expiration 01/17/02
Strike 45
-----------
25,500
CONSUMER STAPLES (0.1%)
10 Pepsico(a) 14,063
LEAPS Expiration 01/17/03
Strike 40
CREDIT CYCLICALS (0.1%)
20 Washington Mutual Stock(a) 24,250
LEAPS Expiration 01/19/03
Strike 35
ENERGY (0.1%)
10 Enron(a) 23,750
LEAPS Expiration 01/19/02
Strike 80
FINANCIAL (0.3%)
30 Allstate(a) 18,563
LEAPS Expiration 01/19/02
Strike 35
10 Merrill Lynch(a) 21,625
LEAPS Expiration 01/18/03
Strike 60
-----------
40,188
-----------
TOTAL CALL OPTIONS 193,001
(Cost $169,118)
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
WARRANTS (0.5%)
CONSUMER GROWTH STAPLES (0.5%)
2,871 News Corporation, Ltd 81,824
-----------
TOTAL WARRANTS 81,824
(Cost $19,523)
</TABLE>
See accompanying Notes to Schedule of Investments.
19
<PAGE> 21
Global Convertible Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT SECURITIES (3.7%)
United States Strips Interest Coupon
$ 225,000 6.250%, 02/15/03 $ 226,355
1,125,000 0.000%, 11/15/18 373,703
-----------
TOTAL U.S. GOVERNMENT SECURITIES
(Cost $594,617) 600,058
-----------
TOTAL INVESTMENTS (92.6%) 14,843,222
(Cost $13,076,384)
CASH DEPOSITS WITH 343,468
CUSTODIAN (INTEREST BEARING) (2.2%)
OTHER ASSETS, LESS LIABILITIES (5.2%) 837,252
-----------
NET ASSETS (100.0%) $16,023,942
-----------
NET ASSET VALUE PER SHARE - CLASS A $ 9.11
-----------
(1,419,567 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS B $ 9.02
-----------
(1,098 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 9.02
-----------
(265,064 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS I $ 9.11
-----------
(75,563 share outstanding)
</TABLE>
Notes to Schedule of Investments
(a) Non-income producing security
(b) Rule 144A security - Private placement securities issued
under Rule 144A are exempt from the registration requirement of the
Securities Act of 1933. These securities generally are issued to
qualified institutional buyers, such as the Funds, and any resale by the
Funds must be an exempt transaction, normally to other qualified
institutional investors.
(c) LYON - Liquid Yield Option Note
See accompanying Notes to Schedule of Investments.
20
<PAGE> 22
High Yield Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
CORPORATE BONDS (47.9%)
BASIC INDUSTRIES (5.0%)
$20,000 Domtar, Inc. $ 20,825
8.750%, 08/01/06
20,000 Pope & Talbot 18,592
8.375%, 06/01/13
--------
39,417
CAPITAL GOODS - INDUSTRIAL (3.3%)
30,000 Allied Waste 26,250
10.000%, 08/01/09
CAPITAL GOODS - TECHNOLOGY (9.8%)
20,000 Exodus Communication, Inc. 19,800
11.250%, 07/01/08
20,000 Global Crossing (a) 19,900
9.125%, 11/15/06
20,000 Metromedia Fiber Network 18,900
10.000%, 11/15/08
20,000 Nextlink Communication 18,600
10.750%, 11/15/08
--------
77,200
CONSUMER CYCLICAL (17.3%)
20,000 Ameristar Casino 20,200
10.500%, 08/01/04
20,000 Aztar Corporation 19,500
8.875%, 05/15/07
12,000 Mandalay Resort (Circus Circus) 11,940
9.250%, 12/01/05
20,000 MGM Mirage 18,408
6.875%, 02/06/08
20,000 Michaels Stores 20,700
10.875%, 06/15/06
15,000 Northwest Air 13,932
7.625%, 03/15/05
20,000 Salton, Inc. 19,650
10.750%, 2/15/05
12,000 Station Casinos 12,060
9.750%, 04/15/07
--------
136,390
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
CONSUMER GROWTH STAPLES (4.2%)
$14,000 Medpartners, Inc. $ 12,110
7.375%, 10/01/06
20,000 Price Communication Corporation 20,500
9.125%, 12/15/06
--------
32,610
CONSUMER STAPLES (2.6%)
20,000 Fleming Cos, Inc. 20,200
10.625%, 12/15/01
CREDIT CYCLICALS (3.9%)
13,000 Beazer Homes 12,350
8.875%, 04/01/08
20,000 Engle Homes, Inc. 18,300
9.250%, 02/01/08
--------
30,650
UTILITIES (1.8%)
15,000 Calpine Trust 14,344
7.750%, 04/15/09
--------
TOTAL CORPORATE BONDS 377,061
(Cost $378,247)
CONVERTIBLE BONDS (29.8%)
BASIC INDUSTRIES (2.3%)
20,000 Inco, Ltd. 18,075
7.750%, 03/15/16
CAPITAL GOODS - INDUSTRIAL (5.2%)
25,000 Speedfam International 16,979
6.250%, 09/15/04
35,000 Spherion Corporation 23,523
4.500%, 06/01/05
--------
40,502
CAPITAL GOODS - TECHNOLOGY (6.7%)
25,000 Checkpoint Systems 16,242
5.250%, 11/01/05
20,000 Richardson Electric 19,900
8.250%, 06/15/06
20,000 Systems & Computer Technology 16,650
5.000%, 10/15/04
--------
52,792
</TABLE>
See accompanying Notes to Schedule of Investments.
21
<PAGE> 23
High Yield Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
-------------------------------------------------------------
<C> <S> <C>
CONSUMER GROWTH STAPLES (2.9%)
$25,000 Columbia/HCA Healthcare $ 22,875
6.750%, 10/01/06
CONSUMER CYCLICAL (5.0%)
20,000 Genesco, Inc. 19,431
5.500%, 04/15/05
24,000 Hilton Hotels 20,280
5.000%, 05/15/06
--------
39,711
CREDIT CYCLICALS (3.0%)
50,000 Lennar Corporation (b) 24,084
0.000%, 07/29/18
ENERGY (2.5%)
20,000 Offshore Logistic 19,534
6.000%, 12/15/03
FINANCIAL (2.2%)
19,000 Financial Federal Corporation 16,910
4.500%, 05/01/05
--------
TOTAL CONVERTIBLE BONDS 234,483
(Cost $238,915)
<CAPTION>
NUMBER OF
SHARES VALUE
-------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (5.2%)
CONSUMER CYCLICAL (2.3%)
520 American Classic Voyage $ 18,393
7.000%
</TABLE>
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
-------------------------------------------------------------
<C> <S> <C>
FINANCIAL (2.9%)
590 Host Marriott $ 22,531
6.750%
--------
TOTAL CONVERTIBLE
PREFERRED STOCKS 40,924
--------
(Cost $38,910)
TOTAL INVESTMENTS (82.9%) $652,468
(Cost $656,072)
CASH DEPOSITS WITH CUSTODIAN 110,099
(INTEREST BEARING) (13.9%)
OTHER ASSETS, LESS LIABILITIES (3.2%) 25,041
--------
NET ASSETS (100.0%) $787,608
--------
NET ASSETS VALUE PER SHARE - CLASS A $ 9.63
--------
(81,770 shares outstanding)
</TABLE>
Notes to Schedule of Investments
(a) Rule 144A security- Private placement securities issued
under Rule 144A are exempt from the registration requirement of the
Securities Act of 1933. These securities generally are issued to
qualified institutional buyers, such as the Funds, and any resale by the
Funds must be an exempt transaction, normally to other qualified
institutional investors.
(b) LYON- Liquid Yield Option Note
See accompanying Notes to Schedule of Investments.
22
<PAGE> 24
Convertible Technology Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE BONDS(52.8)
CAPITAL GOODS - INDUSTRIAL(2.7%)
$ 100,000 Perkinelmer, Inc.(c) $ 68,535
0.000%, 08/07/20
CAPITAL GOODS - TECHNOLOGY (47.6%)
30,000 Advanced Energy 27,554
5.250%, 11/15/06
90,000 Aether Systems 69,368
6.000%, 03/22/05
50,000 Analog Devices(b) 51,500
4.750%, 10/01/05
195,000 Anixter International(b)(c) 55,233
0.000%, 06/28/20
55,000 Atmel Corporation 48,783
0.000%, 04/21/18
110,000 Celestica, Inc.(c) 54,313
0.000%, 08/01/20
20,000 Conexant Systems 38,759
4.250%, 05/01/06
45,000 Conexant Systems 32,400
4.000%, 02/01/07
60,000 Cypress Semiconductor 70,399
4.000%, 02/01/05
60,000 International Rectifier(b) 54,797
4.250%, 07/15/07
45,000 Juniper Networks 70,177
4.750%, 03/15/07
85,000 LSI Logic 69,053
4.000%, 02/15/05
100,000 Merrill Lynch Basket 90,752
0.500%, 02/03/05
40,000 Rational Software 82,989
5.000%, 02/01/07
30,000 Redback Networks(b) 33,600
5.000%, 04/01/07
50,000 Science Systems, Inc. 50,063
3.000%, 03/15/07
55,000 Solectron Corporation(c) 40,936
0.000%, 01/27/19
</TABLE>
<TABLE>
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
$ 90,000 SSB Technology Structure $ 88,988
0.250%, 04/18/05
100,000 Terayon Communication(b) 68,054
5.000%, 08/01/07
20,000 Texas Instruments 24,982
4.250%, 02/15/07
45,000 Triquint Semiconductor 35,775
4.000%, 03/01/07
10,000 Veritas Software 40,015
1.856%, 08/13/06
15,000 Wind River Systems 22,384
5.000%, 08/01/02
----------
1,220,874
CONSUMER GROWTH STAPLES (2.5%)
80,000 Quanta Services 64,436
4.000%, 07/01/2007
----------
TOTAL CONVERTIBLE BONDS 1,353,845
(Cost $1,408,197)
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
CONVERTIBLE PREFERRED STOCKS (5.3%)
CAPITAL GOODS - TECHNOLOGY (2.4%)
300 Global Crossing (b) 60,000
7.000%
UTILITIES (2.9%)
1,100 Calpine Trust (b) 75,212
5.000%
----------
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $130,413) 135,212
COMMON STOCKS (16.0%)
CAPITAL GOODS - TECHNOLOGY (16.0%)
600 Barra, Inc. 37,238
400 Ciena Corporation 49,125
400 I2 Technologies 74,826
630 Merix Corporation 40,832
1,100 Sungard Data Systems, Inc. 47,094
</TABLE>
See accompanying Notes to Schedule of Investments.
23
<PAGE> 25
Convertible Technology Fund -- continued
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
NUMBER OF
SHARES VALUE
--------------------------------------------------------------
<C> <S> <C>
950 Coltec Capital Trust 46,054
600 Sun Microsystems 70,051
980 Wind River Systems 46,979
----------
TOTAL COMMON STOCKS 412,199
(Cost $397,225)
<CAPTION>
PRINCIPAL
AMOUNT VALUE
--------------------------------------------------------------
<C> <S> <C>
U.S. GOVERNMENT SECURITIES (1.9%)
United States Treasury Notes
$ 50,000 6.250%, 02/15/03 50,301
----------
TOTAL U.S. GOVERNMENT
SECURITIES 50,301
----------
(Cost $50,210)
TOTAL INVESTMENTS (76.0%) 1,951,557
(Cost $1,986,045)
CASH DEPOSITS WITH CUSTODIAN (29.9%) 766,698
(INTEREST BEARING)
LIABILITIES, LESS OTHER ASSETS (-5.9%) (152,253)
----------
</TABLE>
<TABLE>
<CAPTION>
VALUE
--------------------------------------------------------------
--------------------------------------------------------------
<C> <S> <C>
NET ASSETS (100.0%) $2,566,002
----------
NET ASSET VALUE PER SHARE - CLASS A $ 9.88
----------
(128,530 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS B $ 9.88
----------
(70,585 shares outstanding)
NET ASSET VALUE PER SHARE - CLASS C $ 9.88
----------
(60,568 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 Schedule of Investments.
24
<PAGE> 26
Statement of Assets and Liabilities
SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
CONVERTIBLE
GROWTH AND MARKET GLOBAL CONVERTIBLE
CONVERTIBLE INCOME NEUTRAL CONVERTIBLE HIGH YIELD TECHNOLOGY
FUND FUND FUND GROWTH FUND FUND FUND FUND
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
ASSETS
Investments, at value (cost
$193,596,446, $55,097,267,
$55,984,630, $84,558,852,
$13,076,384, $656,072,
$1,986,045, respectively) $228,958,687 67,677,021 55,125,531 104,378,476 14,843,222 652,468 1,951,557
Cash with custodian (interest
bearing) 11,180,329 5,217,360 26,310,229 10,580,549 343,468 110,099 766,698
Foreign Currency (cost $240,
$566, respectively) 244 -- -- -- 153 -- --
Net unrealized appreciation in
forward foreign currency
contracts -- -- -- -- 193,651 -- --
Accrued interest and dividends
receivable 877,949 251,521 397,247 52,945 70,783 16,690 9,261
Receivable for investments sold -- 151,368 176,749 -- 573,926 -- --
Receivable for Fund shares sold 1,805,035 1,086,120 1,021,528 3,642,449 35,004 -- 19,772
Prepaid expenses 5,053 -- 38,383 -- -- -- --
Due from Adviser -- -- -- -- 40,939 23,646 14,617
----------------------------------------------------------------------------------------------
Total Assets $242,827,297 74,383,390 83,069,667 118,654,419 16,101,146 802,903 2,761,905
----------------------------------------------------------------------------------------------
LIABILITIES AND NET ASSETS
Common stocks sold short, at
value (proceeds $25,115,003) -- -- 24,216,162 -- -- -- --
Net unrealized depreciation in
forward foreign currency
contracts 304,552 -- -- -- -- -- --
Payable for investments purchased 12,800 -- 16,530 1,869,618 -- -- 181,605
Payable for Fund shares redeemed 206,794 10,114 180,017 104,159 -- -- --
Payable to investment adviser 144,589 43,199 34,027 88,146 13,180 486 1,414
Accounts payable and accrued
liabilities 175,000 150,000 79,702 216,365 59,431 14,809 11,944
Payable to distributor 84,560 12,657 10,689 35,579 4,593 -- 940
----------------------------------------------------------------------------------------------
Total Liabilities 928,295 215,970 24,537,127 2,313,867 77,204 15,295 195,903
----------------------------------------------------------------------------------------------
NET ASSETS $241,899,002 74,167,420 58,532,540 116,340,552 16,023,942 787,608 2,566,002
----------------------------------------------------------------------------------------------
ANALYSIS OF NET ASSETS
Excess of amounts received from
issuance of shares over amounts
paid on redemptions of shares on
account of capital $173,756,322 52,632,417 56,387,700 84,739,745 11,848,042 814,021 2,596,607
Undistributed net investment
income 257,797 171,858 81,809 -- 121,885 2,065 3,590
Accumulated net realized gain
(loss) on investments 32,827,189 8,783,391 2,023,290 11,781,183 2,093,940 (24,874) 293
Unrealized appreciation
(depreciation) of investments
and other assets less
liabilities 35,057,694 12,579,754 39,741 19,819,624 1,960,075 (3,604) (34,488)
----------------------------------------------------------------------------------------------
NET ASSETS $241,899,002 74,167,420 58,532,540 116,340,552 16,023,942 787,608 2,566,002
----------------------------------------------------------------------------------------------
CLASS A SHARES
Net Assets Applicable to Shares
Outstanding $122,868,151 59,242,505 43,758,425 86,963,634 12,935,830 787,608 1,270,296
Shares Outstanding 5,203,996 2,016,090 3,219,929 1,664,221 1,419,567 81,770 128,530
Net Asset Value and Redemption
Price Per Share $ 23.61 29.38 13.59 52.25 9.11 9.63 9.88
----------------------------------------------------------------------------------------------
Maximum Offering Price Per Share
(Net asset value, plus 4.99% of
net asset value or 4.75% of
offering price) $ 24.79 30.85 14.27 54.86 9.56 10.11 10.37
----------------------------------------------------------------------------------------------
CLASS B SHARES
Net Assets Applicable to Shares
Outstanding $ 248,652 28,113 10,025 418,012 9,902 N/A 697,324
Shares Outstanding 10,558 964 734 8,194 1,098 N/A 70,585
Net Asset Value and Redemption
Price Per Share $ 23.55 29.17 13.66 51.02 9.02 N/A 9.88
----------------------------------------------------------------------------------------------
CLASS C SHARES
Net Assets Applicable to Shares
Outstanding $ 78,981,946 11,547,209 3,047,740 25,594,142 2,390,158 N/A 598,382
Shares Outstanding 3,362,142 396,852 224,067 501,811 265,064 N/A 60,568
Net Asset Value and Redemption
Price Per Share $ 23.49 29.10 13.60 51.00 9.02 N/A 9.88
----------------------------------------------------------------------------------------------
CLASS I SHARES
Net Assets Applicable to Shares
Outstanding $ 39,800,253 3,349,593 11,716,350 3,364,764 688,052 N/A N/A
Shares Outstanding 1,680,975 113,413 863,366 63,522 75,563 N/A N/A
Net Asset Value and Redemption
Price Per Share $ 23.68 29.53 13.57 52.97 9.11 N/A N/A
----------------------------------------------------------------------------------------------
</TABLE>
See accompanying Notes to Financial Statements.
25
<PAGE> 27
Statement of Operations
PERIOD ENDED SEPTEMBER 30, 2000 (UNAUDITED)
<TABLE>
<CAPTION>
CONVERTIBLE
GROWTH AND MARKET GLOBAL HIGH CONVERTIBLE
CONVERTIBLE INCOME NEUTRAL GROWTH CONVERTIBLE YIELD TECHNOLOGY
FUND FUND FUND FUND FUND FUND FUND*
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
INVESTMENT INCOME
Interest $ 2,418,459 846,006 647,114 127,695 148,663 33,528 6,651
Dividends 1,265,918 325,307 384,957 66,574 81,848 997 --
---------------------------------------------------------------------------------------
Total Investment Income 3,684,377 1,171,313 1,032,071 194,269 230,511 34,525 6,651
---------------------------------------------------------------------------------------
EXPENSES
Investment advisory fees 745,577 228,524 126,704 374,709 74,181 2,850 1,414
Distribution fees 455,693 98,216 36,318 128,655 23,488 950 939
Transfer agent fees 23,790 21,960 37,020 32,100 21,960 10,980 2,640
Accounting fees 35,379 22,569 22,805 20,333 27,450 12,199 3,300
Custodian fees 13,419 5,490 4,573 11,721 18,291 1,524 807
Trustees' fees 3,312 3,312 3,312 3,312 3,312 3,312 220
Registration fees 15,372 5,856 6,954 8,418 9,699 5,856 1,166
Audit and legal fees 15,280 15,280 16,946 15,716 15,281 15,281 1,837
Other 93,892 33,119 31,861 88,219 30,468 1,367 5,355
---------------------------------------------------------------------------------------
Total expenses 1,401,714 434,326 286,493 683,183 224,130 54,319 17,678
Less expense reimbursement -- -- -- -- 78,323 46,892 14,617
---------------------------------------------------------------------------------------
Net expenses 1,401,714 434,326 286,493 683,183 145,807 7,427 3,061
---------------------------------------------------------------------------------------
NET INVESTMENT INCOME (LOSS) 2,282,663 736,987 745,578 (488,914) 84,704 27,098 3,590
---------------------------------------------------------------------------------------
REALIZED AND UNREALIZED GAIN (LOSS)
Net realized gain (loss) on investments,
options, and forward foreign currency
contracts 7,626,313 1,942,557 1,341,149 1,951,908 509,932 (15,574) 293
Change in net unrealized
appreciation/depreciation on
investments, options and forward
foreign currency contracts 1,809,146 1,063,542 51,901 5,703,212 (681,060) 22,397 (34,488)
---------------------------------------------------------------------------------------
NET GAIN (LOSS) ON INVESTMENTS 9,435,459 3,006,099 1,393,050 7,655,120 (171,128) 6,823 (34,195)
---------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS
RESULTING FROM OPERATIONS $11,718,122 3,743,086 2,138,628 7,166,206 (86,424) 33,921 (30,605)
---------------------------------------------------------------------------------------
</TABLE>
* The Convertible Technology Fund commenced operations on August 24, 2000.
See accompanying Notes to Financial Statements.
26
<PAGE> 28
Statement of Changes in Net Assets
PERIOD ENDED SEPTEMBER 30, 2000 (UNAUDITED) AND YEAR ENDED MARCH 31, 2000
<TABLE>
<CAPTION>
CONVERTIBLE GROWTH AND
CONVERTIBLE FUND INCOME FUND MARKET NEUTRAL FUND
------------------------------------------------------------------------------
SIX MONTHS SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED YEAR ENDED ENDED YEAR ENDED
SEPT. 30, MARCH 31, SEPT. 30, MARCH 31, SEPT. 30, MARCH 31,
2000 2000 2000 2000 2000 2000
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss) $ 2,282,663 3,310,172 736,987 609,823 745,578 187,317
Net realized gain (loss) on
investments, options and forward
foreign currency contracts 7,626,313 28,016,377 1,942,557 7,349,217 1,341,149 731,257
Change in unrealized
appreciation/depreciation on
investments, options and forward
foreign currency contracts 1,809,146 17,371,776 1,063,542 8,559,620 51,901 (68,318)
------------------------------------------------------------------------------
Increase (decrease) in net assets
resulting from operations 11,718,122 48,698,325 3,743,086 16,518,660 2,138,628 850,256
------------------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (2,199,840) (3,401,091) (708,892) (584,233) (667,014) (184,175)
Net realized gains -- (2,772,261) -- (433,453) -- (88,438)
------------------------------------------------------------------------------
Total Distributions (2,199,840) (6,173,352) (708,892) (1,017,686) (667,014) (272,613)
------------------------------------------------------------------------------
INCREASE IN NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS 35,285,628 21,546,703 15,220,713 16,779,348 42,630,683 11,763,448
------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS 44,803,910 64,071,676 18,254,907 32,280,322 44,102,297 12,341,091
NET ASSETS
Beginning of period 197,095,092 133,023,416 55,912,513 23,632,191 14,430,243 2,089,152
------------------------------------------------------------------------------
End of period $241,899,002 197,095,092 74,167,420 55,912,513 58,532,540 14,430,243
------------------------------------------------------------------------------
Undistributed Net Investment Income $ 257,797 174,974 171,858 143,763 81,809 3,245
<CAPTION>
GROWTH FUND
------------------------
SIX MONTHS
ENDED YEAR ENDED
SEPT. 30, MARCH 31,
2000 2000
-----------------------------------
<S> <C> <C>
OPERATIONS
Net investment income (loss) (488,914) (420,938)
Net realized gain (loss) on
investments, options and forward
foreign currency contracts 1,951,908 12,604,159
Change in unrealized
appreciation/depreciation on
investments, options and forward
foreign currency contracts 5,703,212 10,267,503
------------------------
Increase (decrease) in net assets
resulting from operations 7,166,206 22,450,724
------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income -- --
Net realized gains -- (2,395,194)
------------------------
Total Distributions -- (2,395,194)
------------------------
INCREASE IN NET ASSETS FROM CAPITAL
SHARE TRANSACTIONS 59,044,039 14,421,942
------------------------
TOTAL INCREASE (DECREASE) IN NET
ASSETS 66,210,245 34,477,472
NET ASSETS
Beginning of period 50,130,307 15,652,835
------------------------
End of period 116,340,552 50,130,307
------------------------
Undistributed Net Investment Income -- --
</TABLE>
See accompanying Notes to Financial Statements.
27
<PAGE> 29
Statement of Changes in Net Assets
PERIOD ENDED SEPTEMBER 30, 2000 (UNAUDITED) AND YEAR ENDED MARCH 31, 2000
<TABLE>
<CAPTION>
CONVERTIBLE
TECHNOLOGY
GLOBAL CONVERTIBLE FUND HIGH YIELD FUND FUND
-----------------------------------------------------------------------
SIX MONTHS SIX MONTHS
ENDED YEAR ENDED ENDED PERIOD ENDED PERIOD ENDED
SEPT. 30, MARCH 31, SEPT. 30, MARCH 31, SEPT. 30,
2000 2000 2000 2000* 2000**
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
OPERATIONS
Net investment income (loss) $ 84,704 48,313 27,098 25,055 3,590
Net realized gain (loss) on investments, options and
forward foreign currency contracts 509,932 1,807,932 (15,574) (9,300) 293
Change in unrealized appreciation/depreciation on
investments, options and forward foreign currency
contracts (681,060) 1,558,362 22,397 (26,001) (34,488)
-----------------------------------------------------------------------
Increase (decrease) in net assets resulting from
operations (86,424) 3,414,607 33,921 (10,246) (30,605)
-----------------------------------------------------------------------
DISTRIBUTIONS TO SHAREHOLDERS
Net investment income (82,029) (47,872) (25,877) (24,211) --
Net realized gains -- (169,720) -- -- --
-----------------------------------------------------------------------
Total Distributions (82,029) (217,592) (25,877) (24,211) --
-----------------------------------------------------------------------
INCREASE IN NET ASSETS FROM CAPITAL SHARE TRANSACTIONS 2,574,536 2,761,295 51,310 762,701 2,596,607
-----------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 2,406,083 5,958,310 59,354 728,244 2,566,002
NET ASSETS
Beginning of period 13,617,859 7,659,549 728,254 10 --
-----------------------------------------------------------------------
End of period $16,023,942 13,617,859 787,608 728,254 2,566,002
-----------------------------------------------------------------------
Undistributed Net Investment Income $ 121,885 119,210 2,065 844 3,590
</TABLE>
* The High Yield Fund commenced operations on August 1, 1999.
** The Convertible Technology Fund commenced operations on August 24, 2000.
See accompanying Notes to Financial Statements.
28
<PAGE> 30
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 seven series, CALAMOS
Convertible Fund, CALAMOS Convertible Growth and Income Fund (formerly named
Growth and Income Fund), CALAMOS Market Neutral Fund, CALAMOS Growth Fund,
CALAMOS Global Convertible Fund (formerly named Global Growth and Income Fund),
CALAMOS High Yield Fund and CALAMOS Convertible Technology Fund. The Trust
currently offers Class A, Class B, Class C and Class I shares of each of the
seven series of the Trust.
Portfolio Valuation - Investments are stated at value. Securities for which
quotations are readily available are valued at the last available sales price on
the exchange market on which they are principally traded, or lacking any sales,
at the mean of the most recently quoted bid and asked prices. Securities and
other assets for which market quotations are not readily available are valued at
fair value determined in good faith by or under the direction of the Trust's
Board of Trustees. Forward currency contracts are valued using forward currency
exchange rates available from a quotation service.
Investment Transactions and Investment Income - Investment transactions are
recorded on a trade date basis. Realized gains and losses from investment
transaction are reported on an identified cost basis. Interest income is
recognized using the accrual method and includes amortization of original issue
discount and market discount. Dividend income is recognized on the ex-dividend
date, except that certain dividends from foreign securities are recorded as soon
as the information becomes available.
Foreign Currency Translation - Values of investments denominated in foreign
currencies are converted into U.S. dollars using the spot market rate of
exchange at the time of valuation. Purchases and sales of investments and
dividend and interest income are translated into U.S. dollars using the spot
market rate of exchange prevailing on the respective dates of such transaction.
Realized foreign exchange gains of $95,518 and unrealized foreign exchange
losses of $304,547 incurred by the Convertible Fund and realized foreign
exchange gains of $281,047 and unrealized foreign exchange gains of $193,237
incurred by the Global Convertible Fund are included as a component of net
realized gains (losses) on investments, options and forward foreign currency
contracts and change in net unrealized appreciation and depreciation on
investments, options and forward foreign currency contracts, respectively.
Federal Income Taxes - No provision has been made for Federal income taxes since
each Fund 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 Fund on the
ex-dividend date. Income and capital gain dividends are determined in accordance
with income tax regulations, which may differ from generally accepted accounting
principles. These differences are primarily due to differing treatments for
foreign currency transactions.
Allocation of Expenses between Classes - Expenses arising in connection with a
specific class of shares are allocated directly. All other expenses are
allocated pro rata based on relative net assets.
29
<PAGE> 31
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,
Convertible Growth and Income Fund and Market Neutral Fund are at the annual
rate of 0.75% of the first $500 million of average net assets, 0.70% of the next
$500 million of average net assets, 0.65% of average net assets in excess of $1
billion. The High Yield Fund fee is at the annual rate of 0.75% of the Fund's
average daily net assets. The Growth Fund fees are at the annual rate of 1.00%
of the first $500 million of average daily net assets, 0.90% of the next $500
million of average net assets, and 0.80% of average net assets in excess of $1
billion. The Global Convertible Fund and Convertible Technology Fund fees are at
the annual rate of 1.00% of the Fund's average daily net assets.
CAM has voluntarily undertaken to limit normal operating expenses of each Fund,
as a percentage of the average net assets of the particular class of shares, to
1.75% for Class A shares, 2.50% for Class B shares, 2.50% for Class C shares,
and 1.50% for Class I shares through August 31, 2001. For the period ended
September 30, 2000, CAM waived or absorbed expenses of $78,323, $46,892, and
$14,617 for the Global Convertible Fund, High Yield Fund and Convertible
Technology 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
distribution and service fee of 0.25% of the average daily net assets of the
Fund's Class A shares, and 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 B
shares and Class C shares.
CFS also receives a sales commission on certain sales of each Fund's Class A
shares. During the six months ended September 30, 2000 CFS received commissions
of $9,516, $6,344, $1,891, $47,395, $2,126, $15 and $135 from the sale of shares
of Convertible Fund, Convertible Growth and Income Fund, Market Neutral Fund,
Growth Fund, Global Convertible Fund, High Yield Fund, and Convertible
Technology 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 six months ended September 30, 2000, the Convertible Fund,
Convertible Growth and Income Fund, Market Neutral Fund, Growth Fund, Global
Convertible Fund, and Convertible Technology Fund paid brokerage commissions to
CFS on purchases and sales of portfolio securities in the amount of $12,469,
$6,753, $3,829, $1,164, $1,810 and $66, respectively.
30
<PAGE> 32
Notes to Financial Statements -- continued
Certain officer 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.
NOTE 3 -- INVESTMENTS
Purchases and sales of investments other than short-term obligation by the Funds
for the six months ended September 30, 2000, were as follows:
<TABLE>
<CAPTION>
CONVERTIBLE
GROWTH AND MARKET GLOBAL HIGH
CONVERTIBLE INCOME NEUTRAL GROWTH CONVERTIBLE YIELD
FUND FUND FUND FUND FUND FUND
-------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Purchases $63,176,028 $46,843,211 $62,850,934 $97,950,201 $9,496,588 $106,847
Proceeds from sales 88,179,463 34,098,756 21,235,016 47,248,924 7,015,174 49,578
<CAPTION>
CONVERTIBLE
TECHNOLOGY
FUND
-------------------------------- -----------
<S> <C>
Purchases $1,995,156
Proceeds from sales 10,293
</TABLE>
The following information is based on the cost basis of investments for Federal
income tax purposes at September 30, 2000.
<TABLE>
<CAPTION>
CONVERTIBLE
GROWTH AND MARKET GLOBAL HIGH CONVERTIBLE
CONVERTIBLE INCOME NEUTRAL GROWTH CONVERTIBLE YIELD TECHNOLOGY
FUND FUND FUND FUND FUND FUND FUND
---------------------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Cost basis of investments $193,596,446 $55,097,267 $55,984,630 $84,558,852 $13,076,384 $656,072 $1,986,045
Gross unrealized
appreciation 42,467,899 13,780,726 2,772,933 22,081,236 2,591,224 15,388 74,949
Gross unrealized
depreciation 7,105,658 1,200,972 3,632,037 2,261,612 824,386 18,992 109,437
Net unrealized
appreciation/(depreciation) 35,362,241 12,579,754 (859,099) 19,819,624 1,766,838 (3,604) (34,488)
</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 six months ended September 30, 2000, the Market Neutral Fund incurred
net losses of $971,223 on short sales that were classified as net realized
losses on investments. No other Fund engaged in short sales during the six
months ended September 30, 2000.
NOTE 5 - FORWARD FOREIGN CURRENCY CONTRACTS
Each Fund may engage in portfolio hedging with respect to change in currency
exchange rates by entering into foreign currency contacts to purchase or sell
currencies. A forward foreign currency contract is a commitment to purchase or
sell
31
<PAGE> 33
Notes to Financial Statements -- continued
a foreign currency at a future date at a negotiated forward rate. Risks
associated with such contracts include movement in the value of the foreign
currency relative to the U.S. dollar and the ability of the counterparty to
perform. The net unrealized gain, if any, represents the credit risk to the Fund
on a forward foreign currency contract. The contracts are valued daily at
forward exchange rates and an unrealized gain or loss is recorded. The Fund
realizes a gain or loss upon settlement of the contracts. The statement of
operations reflects net unrealized gains and losses on these contracts. The
counterparty to all forward foreign currency contracts at September 30, 2000,
was a multinational bank.
As of September 30, 2000, the Convertible Fund had the following open forward
foreign currency contracts:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN(LOSS)
---------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Long Contracts
Japanese Yen 10/26/00 821,739 $ 818,852 $ (2,887)
Short Contracts
Euros 10/26/00 14,701,137 15,004,233 (303,096)
Japanese Yen 10/26/00 820,283 818,852 1,431
---------
(301,665)
---------
(304,552)
</TABLE>
As of September 30, 2000, the Global Convertible Fund had the following open
forward foreign currency contracts:
<TABLE>
<CAPTION>
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN(LOSS)
-------------------------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C>
Long Contracts
British Pound Sterling 10/26/00 120,475 $ 118,306 $ (2,169)
Japanese Yen 10/26/00 500,078 497,825 (2,253)
--------
(4,422)
Short Contracts
British Pound Sterling 10/26/00 983,140 961,239 21,901
Euros 10/26/00 2,354,250 2,208,774 145,476
Hong Kong Dollars 10/26/00 125,185 125,089 96
Japanese Yen 10/26/00 619,837 618,791 1,046
Swiss Fracs 10/26/00 696,771 667,217 29,554
--------
198,073
--------
193,651
</TABLE>
NOTE 6 - INTEREST BEARING CASH DEPOSIT WITH CUSTODIAN
Each Fund earns interest on its average daily balance deposited with its
custodian at a rate equal to the current Federal Reserve federal funds rate.
During the period ended September 30, 2000, the Convertible Fund, Convertible
Growth and Income Fund, Market Neutral Fund, Growth Fund, Global Convertible
Fund, High Yield Fund and Convertible Technology Fund earned $166,523, $82,484,
$286,916, $127,695, $13,740, $3,287 and $3,590, respectively.
32
<PAGE> 34
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
CONVERTIBLE GROWTH AND MARKET NEUTRAL
SIX MONTHS ENDED SEPTEMBER 30, 2000 FUND INCOME FUND FUND
---------------------------------------------------------------------------------------------------------------------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
A SHARES ------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 1,097,412 $24,560,537 481,240 $13,343,552 2,179,509 $29,203,651
Shares issued in reinvestment of distributions 32,924 749,137 15,965 450,300 28,576 384,492
Less shares redeemed (350,581) (7,785,731) (87,521) (2,435,022) (81,918) (1,090,182)
------------------------------------------------------------------------------
Increase(Decrease) 779,755 $17,523,943 409,684 $11,358,830 2,126,167 $28,497,961
------------------------------------------------------------------------------
B SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
------------------------------------------------------------------------------
Shares sold 10,558 $ 245,374 964 $ 27,622 734 $ 10,000
Shares issued in reinvestment of distributions -- -- -- -- -- --
Less shares redeemed -- -- -- -- -- --
------------------------------------------------------------------------------
Increase(Decrease) 10,558 $ 245,374 964 $ 27,622 734 $ 10,000
------------------------------------------------------------------------------
C SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
------------------------------------------------------------------------------
Shares sold 897,086 $19,920,143 152,030 $ 4,215,134 207,731 $ 2,790,281
Shares issued in reinvestment of distributions 7,076 158,698 527 14,768 743 10,011
Less shares redeemed (135,775) (2,981,274) (16,611) (449,454) (286) (3,806)
------------------------------------------------------------------------------
Increase(Decrease) 768,387 $17,097,567 135,946 $ 3,780,448 208,188 $ 2,796,486
------------------------------------------------------------------------------
I SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
------------------------------------------------------------------------------
Shares sold 147,983 $ 3,204,944 445 $ 12,500 919,736 $12,069,452
Shares issued in reinvestment of distributions 3,195 72,947 1,454 41,313 13,963 187,413
Less shares redeemed (127,745) (2,859,147) -- -- (70,333) (930,629)
------------------------------------------------------------------------------
Increase(Decrease) 23,433 $ 418,744 1,899 $ 53,813 863,366 $11,326,236
------------------------------------------------------------------------------
</TABLE>
33
<PAGE> 35
Notes to Financial Statements -- continued
<TABLE>
<CAPTION>
GROWTH GLOBAL CONVERTIBLE HIGH YIELD
SIX MONTHS ENDED SEPTEMBER 30, 2000 FUND FUND FUND
--------------------------------------------------------------------------------------------------------------
SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
A SHARES -----------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 1,252,261 $ 61,428,452 260,089 $2,337,958 2,683 $25,960
Shares issued in reinvestment of
distributions -- -- 7,338 66,933 2,696 25,877
Less shares redeemed (420,569) (19,913,974) (94,024) (846,515) (54) (527)
-----------------------------------------------------------------------
Increase(Decrease) 831,692 $ 41,514,478 173,403 $1,558,376 5,325 $51,310
-----------------------------------------------------------------------
B SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
-----------------------------------------------------------------------
Shares sold 8,194 $ 414,039 1,098 $ 10,000 -- $ --
Shares issued in reinvestment of
distributions -- -- -- -- -- --
Less shares redeemed -- -- -- -- -- --
-----------------------------------------------------------------------
Increase(Decrease) 8,194 $ 414,039 1,098 $ 10,000 -- $ --
-----------------------------------------------------------------------
C SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
-----------------------------------------------------------------------
Shares sold 448,079 $ 21,500,407 114,924 $1,033,981 -- $ --
Shares issued in reinvestment of
distributions -- -- 176 1,597 -- --
Less shares redeemed (73,871) (3,384,885) (4,283) (38,550) -- --
-----------------------------------------------------------------------
Increase(Decrease) 374,208 $ 18,115,522 110,817 $ 997,028 -- --
-----------------------------------------------------------------------
I SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
-----------------------------------------------------------------------
Shares sold -- $ -- 384 $ 3,500 -- $ --
Shares issued in reinvestment of
distributions -- -- 617 5,632 -- --
Less shares redeemed (18,776) (1,000,000) -- -- -- --
-----------------------------------------------------------------------
Increase(Decrease) (18,776) $ (1,000,000) 1,001 $ 9,132 -- $ --
-----------------------------------------------------------------------
<CAPTION>
CONVERTIBLE
TECHNOLOGY
SIX MONTHS ENDED SEPTEMBER 30, 2000 FUND*
----------------------------------- ---------------------
SHARES DOLLARS
A SHARES ---------------------
<S> <C> <C>
Shares sold 128,530 $1,283,112
Shares issued in reinvestment of
distributions -- --
Less shares redeemed -- --
---------------------
Increase(Decrease) 128,530 $1,283,112
---------------------
B SHARES SHARES DOLLARS
---------------------
Shares sold 70,585 $ 707,000
Shares issued in reinvestment of
distributions -- --
Less shares redeemed -- --
---------------------
Increase(Decrease) 70,585 $ 707,000
---------------------
C SHARES SHARES DOLLARS
---------------------
Shares sold 60,568 $ 606,495
Shares issued in reinvestment of
distributions -- --
Less shares redeemed -- --
---------------------
Increase(Decrease) 60,568 $ 606,495
---------------------
I SHARES SHARES DOLLARS
---------------------
Shares sold -- $ --
Shares issued in reinvestment of
distributions -- --
Less shares redeemed -- --
---------------------
Increase(Decrease) -- $ --
---------------------
</TABLE>
* The Convertible Technology Fund commenced operations on August 24, 2000.
34
<PAGE> 36
Notes to Financial Statements -- continued
<TABLE>
<CAPTION>
CONVERTIBLE
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 CONVERTIBLE HIGH YIELD
YEAR ENDED MARCH 31, 2000 FUND FUND FUND
---------------------------------------------------------------------------------------------------------------------------------
A SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
-------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Shares sold 499,669 $ 19,106,373 598,682 $ 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 $ 10,186,042 271,451 $ 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>
35
<PAGE> 37
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>
36
<PAGE> 38
Financial Highlights
CALAMOS Convertible Fund
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS B
----------------------------------------------------------------- ---------
SIX SEPT. 11,
MONTHS 2000
ENDED THROUGH
SEPT. 30, YEAR ENDED MARCH 31, SEPT. 30,
------------------------------------------------------------------------------
2000 2000 1999 1998 1997 1996 2000
------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 22.74 $ 17.14 $ 17.43 $ 14.68 $ 14.49 $ 12.41 $23.03
Income from investment operations:
Net investment income 0.25 0.43 0.41 0.49 0.36 0.40 0.01
Net realized and unrealized gain (loss) on
investments 0.87 5.98 0.09 3.92 1.39 3.06 0.51
------------------------------------------------------------------------------
Total from investment operations 1.12 6.41 0.50 4.41 1.75 3.46 0.52
------------------------------------------------------------------------------
Less distributions:
Dividends from net investment income (0.25) (0.44) (0.41) (0.61) (0.45) (0.36) --
Dividends from net realized capital gains -- (0.37) (0.38) (0.95) (1.11) (1.07) --
Distributions paid from capital -- -- -- (0.10) -- -- --
------------------------------------------------------------------------------
Total distributions (0.25) (0.81) (0.79) (1.66) (1.56) (1.38) --
------------------------------------------------------------------------------
Net assets value, end of period $ 23.61 $ 22.74 $ 17.14 $ 17.43 $ 14.68 $ 14.49 $23.55
------------------------------------------------------------------------------
Total Return (a) 4.9% 38.1% 3.2% 31.4% 12.9% 28.8% 2.3%
Ratios and supplemental data:
Net assets, end of period (000) $122,868 $100,589 $67,456 $62,157 $35,950 $24,460 $ 249
Ratio of expenses to average net assets* 1.1% 1.4% 1.4% 1.4% 1.5% 1.5% 1.8%
Ratio of net investment income to average net
assets* 2.4% 2.3% 2.6% 3.3% 2.8% 3.0% 1.7%
------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
YEAR ENDED MARCH 31,
SIX
MONTHS
ENDED
-----------------------------------------------------------------
SEPT. 30,
2000 2000 1999 1998 1997 1996
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Portfolio turnover rate* 61.5% 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
37
<PAGE> 39
Financial Highlights
CALAMOS Convertible Fund -- continued
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS C CLASS I
--------------------------------------------------- ---------------------------------------------
SIX JULY 5, SIX JUNE 25,
MONTHS 1996 MONTHS YEAR 1997
ENDED THROUGH ENDED ENDED THROUGH
SEPT. 30, YEAR ENDED MARCH 31, MARCH 31, SEPT. 30, MARCH 31, MARCH 31,
---------------------------------------------------------------------------------------------------
2000 2000 1999 1998 1997 2000 2000 1999 1998
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $ 22.62 $ 17.07 $ 17.38 $ 14.63 $13.87 $ 22.82 $ 17.21 $ 17.47 $ 15.88
Income from investment
operations:
Net investment income 0.17 0.35 0.31 0.40 0.30 0.30 0.55 0.50 0.37
Net realized and unrealized
gain (loss) on
investments 0.86 5.93 0.11 3.92 1.21 0.86 5.98 0.09 2.49
---------------------------------------------------------------------------------------------------
Total from investment
operations 1.03 6.28 0.42 4.32 1.51 1.16 6.53 0.59 2.86
---------------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income (0.16) (0.36) (0.35) (0.52) (0.25) (0.30) (0.55) (0.47) (0.54)
Dividends from net realized
capital gains -- (0.37) (0.38) (0.95) (0.50) -- (0.37) (0.38) (0.63)
Distributions paid from
capital -- -- -- (0.10) -- -- -- -- (0.10)
---------------------------------------------------------------------------------------------------
Total distributions (0.16) (0.73) (0.73) (1.57) (0.75) (0.30) (0.92) (0.85) (1.27)
---------------------------------------------------------------------------------------------------
Net assets value, end of
period $ 23.49 $ 22.62 $ 17.07 $ 17.38 $14.63 $ 23.68 $ 22.82 $ 17.21 $ 17.47
---------------------------------------------------------------------------------------------------
Total Return (a) 4.6% 37.4% 2.7% 30.8% 11.1% 5.1% 38.8% 3.7% 18.8%
Ratios and supplemental
data:
Net assets, end of period
(000) $78,982 $58,679 $30,843 $14,358 $3,094 $39,800 $37,827 $34,725 $35,951
Ratio of expenses to
average net assets* 1.9% 1.9% 1.9% 2.0% 2.0% 0.9% 0.9% 0.9% 0.9%
Ratio of net investment
income to average net
assets* 1.6% 1.8% 2.1% 3.0% 2.7% 2.6% 2.8% 3.1% 2.9%
---------------------------------------------------------------------------------------------------
</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
38
<PAGE> 40
Financial Highlights
CALAMOS Convertible Growth and Income Fund
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS B
------------------------------------------------------------------------ ---------
SIX
MONTHS SEPT. 11,
ENDED THROUGH
SEPT. 30, YEAR ENDED MARCH 31, SEPT. 30,
---------------------------------------------------------------------------------------
2000 2000 1999 1998 1997 1996 2000
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period $ 28.29 $ 18.22 $ 18.59 $ 15.52 $15.62 $12.68 $28.43
Income from investment operations:
Net investment income 0.33 0.40 0.39 0.34 0.34 0.37 0.02
Net realized and unrealized gain
(loss) on investments 1.08 10.34 0.79 5.14 1.52 3.70 0.72
---------------------------------------------------------------------------------------
Total from investment operations 1.41 10.74 1.18 5.48 1.86 4.07 0.74
---------------------------------------------------------------------------------------
Less distributions:
Dividends from net investment
income (0.32) (0.39) (0.39) (0.41) (0.28) (0.42) --
Dividends from net realized
capital gains -- (0.28) (1.16) (2.00) (1.68) (0.71) --
---------------------------------------------------------------------------------------
Total distributions (0.32) (0.67) (1.55) (2.41) (1.96) (1.13) --
---------------------------------------------------------------------------------------
Net assets value, end of period $ 29.38 $ 28.29 $ 18.22 $ 18.59 $15.52 $15.62 $29.17
---------------------------------------------------------------------------------------
Total Return (a) 5.0% 59.8% 6.9% 37.8% 12.9% 33.0% 2.6%
Ratios and supplemental data:
Net assets, end of period (000) $59,243 $45,440 $18,981 $13,119 $8,408 $5,813 $ 28
Ratio of expenses to average net
assets (b)* 1.4% 1.7% 2.0% 2.0% 2.0% 2.0% 2.0%
Ratio of net investment income to
average net assets (b)* 2.5% 1.8% 2.3% 2.0% 2.4% 2.6% 1.9%
---------------------------------------------------------------------------------------
<CAPTION>
CLASS C
---------
SIX
MONTHS
ENDED
SEPT. 30,
---------
2000
---------
<S> <C>
Net asset value, beginning of
period $ 27.99
Income from investment operations:
Net investment income 0.22
Net realized and unrealized gain
(loss) on investments 1.09
---------
Total from investment operations 1.31
---------
Less distributions:
Dividends from net investment
income (0.20)
Dividends from net realized
capital gains --
---------
Total distributions (0.20)
---------
Net assets value, end of period $ 29.10
---------
Total Return (a) 4.7%
Ratios and supplemental data:
Net assets, end of period (000) $11,547
Ratio of expenses to average net
assets (b)* 2.1%
Ratio of net investment income to
average net assets (b)* 1.8%
---------
</TABLE>
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
--------------------------------------------------------
2000 2000 1999 1998 1997 1996
--------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Portfolio turnover rate* 118.9% 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%, 0%, .1%, and .1% of average net assets, respectively for A
shares, and 0%, 0%, 0%, 0%, and .6%* of average net assets, respectively for
C shares.
* Annualized
39
<PAGE> 41
Financial Highlights
CALAMOS Convertible Growth and Income Fund -- continued
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS C CLASS I
-------------------------------------------------- ---------
SIX
AUGUST 5, 1996 MONTHS
THROUGH ENDED
YEAR ENDED MARCH 31, MARCH 31, SEPT. 30,
-----------------------------------------------------------------
2000 1999 1998 1997 2000
-----------------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Net asset value, beginning of period $18.07 $18.48 $15.50 $14.52 $28.44
Income from investment operations:
Net investment income 0.33 0.28 0.26 0.26 0.38
Net realized and unrealized gain (loss) on
investments 10.18 0.82 5.11 1.30 1.08
-----------------------------------------------------------------
Total from investment operations 10.51 1.10 5.37 1.56 1.46
-----------------------------------------------------------------
Less distributions:
Dividends from net investment income (0.31) (0.34) (0.39) (0.25) (0.37)
Dividends from net realized capital gains (0.28) (1.17) (2.00) (0.33) --
-----------------------------------------------------------------
Total distributions (0.59) (1.51) (2.39) (0.58) (0.37)
-----------------------------------------------------------------
Net assets value, end of period $27.99 $18.07 $18.48 $15.50 $29.53
-----------------------------------------------------------------
Total Return (a) 58.9% 6.5% 37.1% 10.8% 5.2%
Ratios and supplemental data:
Net assets, end of period (000) $7,302 $2,676 $1,379 $ 330 $3,350
Ratio of expenses to average net assets (b)* 2.2% 2.4% 2.5% 2.5% 1.1%
Ratio of net investment income to average net
assets (b)* 1.3% 1.9% 1.5% 2.4% 2.8%
-----------------------------------------------------------------
<CAPTION>
CLASS I
-----------------------------------------
SEPT. 18, 1997
YEAR ENDED THROUGH
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 assets 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>
(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%, 0%, .1%, and .1% of average net assets, respectively for A
shares, and 0%, 0%, 0%, 0%, and .6%* of average net assets, respectively for
C shares.
* Annualized
40
<PAGE> 42
Financial Highlights
CALAMOS Market Neutral Fund
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS B
------------------------------------------------------- ---------
SIX SEPT. 11,
MONTHS 2000
ENDED THROUGH
SEPT. 30, YEAR ENDED MARCH 31, SEPT. 30,
-------------------------------------------------------------------
2000 2000 1999 1998 1997 1996 2000
-------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 13.00 $ 11.72 $11.91 $10.81 $11.07 $10.13 $13.63
Income from investment operations:
Net investment income 0.21 0.41 0.32 0.50 0.50 0.53 0.03
Net realized and unrealized gain (loss) on investments 0.58 1.54 0.67 1.19 0.29 0.83 --
-------------------------------------------------------------------
Total from investment operations 0.79 1.95 0.99 1.69 0.79 1.36 0.03
-------------------------------------------------------------------
Less distributions:
Dividends from net investment income (0.20) (0.41) (0.32) (0.55) (0.68) (0.42) --
Dividends from net realized capital gains -- (0.26) (0.86) (0.04) (0.37) -- --
-------------------------------------------------------------------
Total distributions (0.20) (0.67) (1.18) (0.59) (1.05) (0.42) --
-------------------------------------------------------------------
Net assets value, end of period $ 13.59 $ 13.00 $11.72 $11.91 $10.81 $11.07 $13.66
-------------------------------------------------------------------
Total Return (a) 6.1% 17.1% 8.7% 15.7% 7.4% 13.6% 0.2%
Ratios and supplemental data:
Net assets, end of period (000) $43,758 $14,224 $2,089 $1,123 $1,317 $1,620 $ 10
Ratio of expenses to average net assets (b)(c)* 1.7% 2.0% 2.1% 2.1% 2.1% 2.2% 2.4%
Ratio of net investment income to average net assets (b)* 4.4% 3.9% 3.1% 3.9% 4.3% 4.6% 3.7%
-------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
-------------------------------------------------------------------------------
2000 2000 1999 1998 1997 1996
-------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Portfolio turnover rate* 157.4% 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
0.0%, 1.5%, 4.3%, 4.1%, 3.0%, and 1.6% of average net assets, respectively,
for Class A, and 0.0% and 1.5% for Class C.
(c) Includes 0.0%, 0.0%, 0.1%, 0.1%, 0.1%, and 0.2%, respectively, related to
dividend expense on short positions.
* Annualized
41
<PAGE> 43
Financial Highlights
CALAMOS Market Neutral Fund -- continued
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS C CLASS I
---------------------- ---------
SIX FEB. 16, MAY 10,
MONTHS 1999 2000
ENDED THROUGH THROUGH
SEPT. 30, MARCH 31, SEPT. 30,
-----------------------------------
2000 2000 2000
-----------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $13.01 $12.82 $ 12.97
Income from investment operations:
Net investment income 0.24 0.04 0.23
Net realized and unrealized gain (loss) on investments 0.59 0.22 0.61
-----------------------------------
Total from investment operations 0.83 0.26 0.84
-----------------------------------
Less distributions:
Dividends from net investment income (0.24) -- (0.24)
Dividends from net realized capital gains -- (0.07) --
-----------------------------------
Total distributions (0.24) (0.07) (0.24)
-----------------------------------
Net assets value, end of period $13.60 $13.01 $ 13.57
-----------------------------------
Total Return (a) 5.7% 2.0% 7.1%
Ratios and supplemental data:
Net assets, end of period (000) $3,048 $ 207 $11,716
Ratio of expenses to average net assets (b)* 2.5% 2.5% 1.5%
Ratio of net investment income to average net assets (b)* 3.6% 3.2% 4.6%
-----------------------------------
</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
0.0%, 1.5%, 4.3%, 4.1%, 3.0%, and 1.6% of average net assets, respectively,
for Class A, and 0.0% and 1.5% for Class C.
* Annualized
42
<PAGE> 44
Financial Highlights
CALAMOS Growth Fund
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS B
------------------------------------------------------------------------ ---------
SIX SEPT. 11,
MONTHS 2000
ENDED THROUGH
SEPT. 30, YEAR ENDED MARCH 31, SEPT. 30,
---------------------------------------------------------------------------------------
2000 2000 1999 1998 1997 1996 2000
---------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 48.17 $ 23.51 $ 20.06 $ 17.04 $15.74 $14.18 $50.67
Income from investment operations:
Net investment income (0.51) (0.56) (0.30) (0.01) (0.09) (0.09) (0.02)
Net realized and unrealized gain
(loss) on investments 4.59 28.35 3.75 8.53 3.14 4.69 0.37
---------------------------------------------------------------------------------------
Total from investment operations 4.08 27.79 3.45 8.52 3.05 4.60 0.35
---------------------------------------------------------------------------------------
Less distributions:
Dividends from net investment income -- -- -- -- -- (0.07) --
Dividends from net realized capital
gains -- (3.13) -- (5.32) (1.75) (2.97) --
Distributions paid from capital -- -- -- (0.18) -- -- --
---------------------------------------------------------------------------------------
Total distributions -- (3.13) -- (5.50) (1.75) (3.04) --
---------------------------------------------------------------------------------------
Net assets value, end of period $ 52.25 $ 48.17 $ 23.51 $ 20.06 $17.04 $15.74 $51.02
---------------------------------------------------------------------------------------
Total Return (a) 8.5% 123.4% 17.2% 54.0% 19.1% 35.2% 0.7%
Ratios and supplemental data:
Net assets, end of period $86,964 $40,102 $13,553 $10,374 $6,635 $2,866 $ 418
Ratio of expenses to average net
assets (b)* 1.7% 2.0% 2.0% 2.0% 2.0% 2.0% 2.4%
Ratio of net investment income to
average net assets (b)* (1.2%) (1.7%) (1.6%) (1.5%) (1.3%) (0.8%) (1.9%)
---------------------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SIX
MONTHS
ENDED
SEPT. 30, YEAR ENDED MARCH 31,
------------------------------------------------------
2000 2000 1999 1998 1997 1996
------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Portfolio turnover rate* 137.1% 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
0.0%, .4%, .4%, .3%, .7%, and 1.2% of average net assets, respectively for A
shares, 0.0%, 1.4%, .5%, .4%, and .6%* of average net assets, respectively
for C shares and 0.0%, .4%, .3%, and .3%* of the average net assets,
respectively for I shares.
* Annualized
43
<PAGE> 45
Financial Highlights
CALAMOS Growth Fund -- continued
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS C CLASS I
------------------------------------------------ ---------------------------------------------
SIX SEPT. 3, SIX SEPT. 18,
MONTHS 1996 MONTHS 1997
ENDED THROUGH ENDED YEAR ENDED THROUGH
SEPT. 30, YEAR ENDED MARCH 31, MARCH 31, SEPT. 30, MARCH 31, MARCH 31,
------------------------------------------------------------------------------------------------
2000 2000 1999 1998 1997 2000 2000 1999 1998
------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of
period $ 47.16 $23.18 $19.85 $16.98 $17.63 $48.73 $23.71 $20.12 $24.32
Income from investment
operations:
Net investment income 0.01 (1.55) (0.11) (0.13) (0.07) (0.53) (0.39) (0.21) (0.11)
Net realized and unrealized
gain (loss) on investments 3.83 28.66 3.44 8.50 1.07 4.77 28.54 3.80 1.07
------------------------------------------------------------------------------------------------
Total from investment
operations 3.84 27.11 3.33 8.37 1.00 4.24 28.15 3.59 0.96
------------------------------------------------------------------------------------------------
Less distributions:
Dividends from net investment
income -- -- -- (5.32) (1.65) -- -- -- (4.98)
Dividends from net realized
capital gains -- (3.13) -- (0.18) -- -- (3.13) -- (0.18)
Distributions paid from
capital -- -- -- -- -- -- --
------------------------------------------------------------------------------------------------
Total distributions -- (3.13) -- (5.50) (1.65) -- (3.13) -- (5.16)
------------------------------------------------------------------------------------------------
Net assets value, end of period $ 51.00 $47.16 $23.18 $19.85 $16.98 $52.97 $48.73 $23.71 $20.12
------------------------------------------------------------------------------------------------
Total Return (a) 8.1% 122.2% 16.8% 53.3% 5.4% 8.7% 123.9% 17.8% 6.4%
Ratios and supplemental data:
Net assets, end of period $25,594 $6,017 $ 308 $ 41 $ 8 $3,365 $4,011 $1,792 $1,508
Ratio of expenses to average
net assets (b)* 2.4% 2.5% 2.5% 2.5% 2.5% 1.5% 1.5% 1.5% 1.5%
Ratio of net investment
income to average net
assets (b)* (1.9%) (2.2%) (2.1%) (2.0%) (1.9%) (1.0%) (1.2%) (1.1%) (1.0%)
------------------------------------------------------------------------------------------------
</TABLE>
(a) Total return is not annualized for periods that are less than a full year
and does not reflect the effect of sales charge.
(b) After the reimbursement and waiver of expenses by the Adviser equivalent to
0.0%, .4%, .4%, .3%, .7%, and 1.2% of average net assets, respectively for A
shares, 0.0%, 1.4%, .5%, .4%, and .6%* of average net assets, respectively
for C shares and 0.0%, .4%, .3%, and .3%* of the average net assets,
respectively for I shares.
* Annualized
44
<PAGE> 46
Financial Highlights
CALAMOS Global Convertible Fund
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS B
------------------------------------------------------------- ---------
SIX SEPT. 9, SEPT. 11,
MONTHS 1996 2000
ENDED THROUGH THROUGH
SEPT. 30, YEAR ENDED MARCH 31, MARCH 31, SEPT. 30,
----------------------------------------------------------------------------
2000 2000 1999 1998 1997 2000
----------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C>
Net asset value, beginning of period $ 9.24 $ 6.61 $ 6.56 $ 5.39 $ 5.00 $ 9.11
Income from investment operations:
Net investment income 0.05 0.05 0.02 0.17 0.04 --
Net realized and unrealized gain (loss) on
investments (0.13) 2.76 0.29 1.42 0.36 (0.09)
----------------------------------------------------------------------------
Total from investment operations (0.08) 2.81 0.31 1.59 0.40 (0.09)
----------------------------------------------------------------------------
Less distributions:
Dividends from net investment income (0.05) (0.04) (0.13) (0.28) (0.01) --
Dividends from net realized capital gains -- (0.14) (0.13) (0.14) -- --
----------------------------------------------------------------------------
Total distributions (0.05) (0.18) (0.26) (0.42) (0.01) --
----------------------------------------------------------------------------
Net assets value, end of period $ 9.11 $ 9.24 $ 6.61 $ 6.56 $ 5.39 $ 9.02
----------------------------------------------------------------------------
Total Return (a) (0.8%) 42.7% 5.1% 30.3% 8.0% (1.0%)
Ratios and supplemental data:
Net assets, end of period (000) $12,936 $11,520 $6,447 $5,678 $2,926 $ 10
Ratio of expenses to average net assets (b)* 1.8% 2.0% 2.0% 2.0% 2.0% 2.5%
Ratio of net investment income to average net
assets (b)* 1.2% 0.5% 1.3% 1.4% 1.8% 0.5%
----------------------------------------------------------------------------
</TABLE>
<TABLE>
<CAPTION>
SIX SEPT. 9,
MONTHS 1996
ENDED THROUGH
SEPT. 30, YEAR ENDED MARCH 31, MARCH 31,
----------------------------------------------------------
2000 2000 1999 1998 1997
----------------------------------------------------------
<S> <C> <C> <C> <C> <C>
Portfolio turnover rate* 100.4% 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
1.1%, 1.2%, 1.2%, 1.0%, and 1.8%* of average net assets, respectively for A
shares, 1.1% of average net assets for B shares, 1.1%, 1.2%, 1.5%, 1.2%, and
1.8%* of average net assets, respectively for C shares and 1.1%, 1.2%, .9%,
and 1.2%* of the average net assets, respectively for I shares.
* Annualized
45
<PAGE> 47
Financial Highlights
CALAMOS Global Convertible Fund -- continued
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS C CLASS I
--------------------------------------------------- ---------------------------------------------
SIX SEPT. 24, SIX SEPT. 18,
MONTHS 1996 MONTHS YEAR 1997
ENDED THROUGH ENDED ENDED THROUGH
SEPT. 30, YEAR ENDED MARCH 31, MARCH 31, SEPT. 30, MARCH 31, MARCH 31,
---------------------------------------------------------------------------------------------------
2000 2000 1999 1998 1997 2000 2000 1999 1998
---------------------------------------------------------------------------------------------------
<S> <C> <C> <C> <C> <C> <C> <C> <C> <C>
Net asset value, beginning
of period $ 9.14 $ 6.57 $ 6.53 $ 5.37 $ 5.00 $ 9.24 $ 6.63 $ 6.56 $ 6.18
Income from investment
operations:
Net investment income 0.04 0.02 0.01 0.15 0.03 0.07 0.08 0.03 0.07
Net realized and
unrealized gain (loss)
on investments (0.14) 2.73 0.27 1.41 0.35 (0.12) 2.72 0.31 0.58
---------------------------------------------------------------------------------------------------
Total from investment
operations (0.10) 2.75 0.28 1.56 0.38 (0.05) 2.80 0.34 0.65
---------------------------------------------------------------------------------------------------
Less distributions:
Dividends from net
investment income (0.02) (0.04) (0.11) (0.26) (0.01) (0.08) (0.05) (0.14) (0.17)
Dividends from net
realized capital gains -- (0.14) (0.13) (0.14) -- -- (0.14) (0.13) (0.10)
---------------------------------------------------------------------------------------------------
Total distributions (0.02) (0.18) (0.24) (0.40) (0.01) (0.08) (0.19) (0.27) (0.27)
---------------------------------------------------------------------------------------------------
Net assets value, end of
period $ 9.02 $ 9.14 $ 6.57 $ 6.53 $ 5.37 $ 9.11 $ 9.24 $ 6.63 $ 6.56
---------------------------------------------------------------------------------------------------
Total Return (a) (1.1%) 42.0% 4.6% 29.8% 7.6% (0.6%) 42.5% 5.6% 10.9%
Ratios and supplemental
data:
Net assets, end of
period (000) $2,390 $1,409 $ 729 $ 671 $ 390 $ 688 $ 689 $ 484 $ 458
Ratio of expenses to
average net assets
(b)* 2.5% 2.5% 2.5% 2.5% 2.5% 1.5% 1.5% 1.5% 1.5%
Ratio of net investment
income to average net
assets (b)* 0.5% 0.0% 0.8% 0.9% 1.6% 1.5% 1.0% 1.8% 1.9%
---------------------------------------------------------------------------------------------------
</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
1.1%, 1.2%, 1.2%, 1.0%, and 1.8%* of average net assets, respectively for A
shares, 1.1% of average net assets for B shares, 1.1%, 1.2%, 1.5%, 1.2%, and
1.8%* of average net assets, respectively for C shares and 1.1%, 1.2%, .9%,
and 1.2%* of the average net assets, respectively for I shares.
* Annualized
46
<PAGE> 48
Financial Highlights
CALAMOS High Yield Fund
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A
-------------------------------
SIX MONTHS AUGUST 1, 1999
ENDED THROUGH
SEPTEMBER 30, MARCH 31,
-------------------------------
-------------------------------
2000 2000
-------------------------------
<S> <C> <C>
Net asset value, beginning of period $ 9.53 $10.00
Income from investment operations:
Net investment income 0.34 0.33
Net realized and unrealized gain (loss) on
investments 0.09 (0.48)
-------------------------------
Total from investment operations 0.43 (0.15)
-------------------------------
Less distributions:
Dividends from net investment income (0.33) (0.32)
-------------------------------
Total distributions (0.33) (0.32)
-------------------------------
Net assets value, end of period $ 9.63 $ 9.53
-------------------------------
Total Return (a) 4.5% (1.5%)
Ratios and supplemental data:
Net assets, end of period (000) $ 788 $ 728
Ratio of expenses to average net assets (b)* 1.8% 2.0%
Ratio of net investment income to average
net assets (b)* 7.1% 5.9%
-------------------------------
</TABLE>
<TABLE>
<CAPTION>
CLASS A
-------------------------------
SIX MONTHS AUGUST 1, 1999
ENDED THROUGH
SEPTEMBER 30, MARCH 31,
-------------------------------
-------------------------------
2000 2000
-------------------------------
<S> <C> <C>
Portfolio turnover rate* 16.1% 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
12.3% and 11.1% of average net assets, respectively.
*Annualized
47
<PAGE> 49
Financial Highlights
CALAMOS Convertible Technology Fund
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
<TABLE>
<CAPTION>
CLASS A CLASS B CLASS C
--------- --------- ---------
AUG. 24, AUG. 24, AUG. 24,
2000 2000 2000
THROUGH THROUGH THROUGH
SEPT. 30, SEPT. 30, SEPT. 30,
-----------------------------------
2000 2000 2000
-----------------------------------
<S> <C> <C> <C>
Net asset value, beginning of period $10.00 $10.00 $10.00
Income from investment operations:
Net investment income 0.01 0.01 0.01
Net realized and unrealized gain (loss) on
investments (0.13) (0.13) (0.13)
-----------------------------------
Total from investment operations (0.12) (0.12) (0.12)
-----------------------------------
Less distributions:
Dividends from net investment income -- -- --
Dividends from net realized capital gains -- -- --
-----------------------------------
Total distributions -- -- --
-----------------------------------
Net assets value, end of period $ 9.88 $ 9.88 $ 9.88
-----------------------------------
Total Return (a) (1.2%) (1.2%) (1.2%)
Ratios and supplemental data:
Net assets, end of period (000) $1,270 $ 697 $ 598
Ratio of expenses to average net
assets (b)* 1.8% 2.5% 2.5%
Ratio of net investment income to average
net assets (b)* 3.1% 2.3% 2.3%
-----------------------------------
</TABLE>
<TABLE>
<CAPTION>
PERIOD
ENDED
SEPT. 30,
---------
<S> <C>
Portfolio turnover rate* 6.9%
---------
</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 for A shares, B shares, and C shares,
respectively.
*Annualized
48
<PAGE> 50
Special Shareholders Meeting
On July 25, 2000, a Special Shareholders' meeting was held and adjourned as
necessary. Shareholders of each CALAMOS Fund were asked to vote on three issues:
election of the five members to the Board of Trustees, ratification of Ernst &
Young LLP as independent auditors, and approval of the new investment management
agreement with CALAMOS ASSET MANAGEMENT, INC. The following are the results for
each-issue:
1) Election of Trustees
<TABLE>
<S> <C> <C>
For Withheld
John P. Calamos..................................... 10,915,544 64,356
Nick P. Calamos..................................... 10,912,877 67,023
Richard J. Dowen.................................... 10,906,873 73,028
Robert Frost........................................ 10,913,237 66,663
William A. Kaun..................................... 10,912,086 67,814
</TABLE>
2) Ratification of the selection of Ernst & Young LLP as independent
auditors for the current fiscal year.
<TABLE>
<CAPTION>
CONVERTIBLE FUND
FOR AGAINST ABSTAIN
<S> <C> <C>
5,874,887 21,754 23,250
</TABLE>
<TABLE>
<CAPTION>
CONVERTIBLE GROWTH & INCOME FUND
FOR AGAINST ABSTAIN
<S> <C> <C>
1,325,377 6,509 9,843
</TABLE>
<TABLE>
<CAPTION>
MARKET NEUTRAL FUND
FOR AGAINST ABSTAIN
<S> <C> <C>
1,587,864 1,161 5,223
</TABLE>
<TABLE>
<CAPTION>
GROWTH FUND
FOR AGAINST ABSTAIN
<S> <C> <C>
886,112 6,193 1,838
</TABLE>
<TABLE>
<CAPTION>
GLOBAL CONVERTIBLE FUND
FOR AGAINST ABSTAIN
<S> <C> <C>
1,183,150 0 2,460
</TABLE>
<TABLE>
<CAPTION>
HIGH YIELD FUND
FOR AGAINST ABSTAIN
<S> <C> <C>
44,279 0 0
</TABLE>
3) Approval of new investment management agreement with Calamos Asset
Management, Inc.
<TABLE>
<CAPTION>
CONVERTIBLE FUND
FOR AGAINST ABSTAIN BROKER NON-VOTES
<S> <C> <C> <C>
4,349,343 271,006 67,389 1,232,153
</TABLE>
<TABLE>
<CAPTION>
CONVERTIBLE GROWTH & INCOME FUND
FOR AGAINST ABSTAIN BROKER NON-VOTES
<S> <C> <C> <C>
957,652 49,592 17,581 316,904
</TABLE>
<TABLE>
<CAPTION>
MARKET NEUTRAL FUND
FOR AGAINST ABSTAIN BROKER NON-VOTES
<S> <C> <C> <C>
1,189,038 27,038 14,691 459,156
</TABLE>
<TABLE>
<CAPTION>
GROWTH FUND
FOR AGAINST ABSTAIN BROKER NON-VOTES
<S> <C> <C> <C>
632,676 20,261 5,096 236,111
</TABLE>
<TABLE>
<CAPTION>
GLOBAL CONVERTIBLE FUND
FOR AGAINST ABSTAIN BROKER NON-VOTES
<S> <C> <C> <C>
822,063 10,324 6,764 346,460
</TABLE>
<TABLE>
<CAPTION>
HIGH YIELD FUND
FOR AGAINST ABSTAIN BROKER NON-VOTES
<S> <C> <C> <C>
44,279 0 0 0
</TABLE>
<PAGE> 51
FOR 24 HOUR SHAREHOLDER ASSISTANCE
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 60563-1463
TRANSFER AGENT
Firstar Mutual Fund Services, LLC
615 E. Michigan St. 3rd floor
Milwaukee, WI 53202
INDEPENDENT AUDITORS
Ernst & Young LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd
Chicago, IL
[THE FUNDS ICON]
CALAMOS(R) INVESTMENT TRUST
This report, including the unaudited financial statements contained herein, is
submitted for general information for the shareholders of the Funds. The report
is not authorized for distribution to prospective investors in the Funds unless
it is accompanied by a currently effective prospectus of the Funds, and, after
December 31, 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 September 30, 2000. The manager's views are
subject to change at any time based on market and other conditions.
