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Calamos Advisors Trust

Filed: 5 Aug 19, 3:18pm
 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSRS

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

INVESTMENT COMPANY ACT FILE NUMBER: 811-09237

EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Advisors Trust
  
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court
Naperville, Illinois 60563-2787
  
NAME AND ADDRESS OF AGENT FOR SERVICE: John P. Calamos, Sr., Founder, Chairman and
Global Chief Investment Officer
Calamos Advisors LLC
2020 Calamos Court
Naperville, Illinois 60563-2787

REGISTRANT’S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200

DATE OF FISCAL YEAR END: December 31, 2019

DATE OF REPORTING PERIOD: January 1, 2019 through June 30, 2019

ITEM 1. REPORT TO SHAREHOLDERS.

Growth and Income Portfolio

SEMIANNUAL REPORT JUNE 30, 2019

Beginning on March 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Portfolio’s shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Portfolio or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Portfolio electronically by calling 800.582.6959. If you own these shares through a financial intermediary, you may contact your financial intermediary.

You may elect to receive all future reports in paper free of charge. You can inform the Portfolio that you wish to continue receiving paper copies of your shareholder reports by calling 800.582.6959. If you own these shares through a financial intermediary, you may contact your financial intermediary or follow instructions included with this disclosure to elect to continue to receive paper copies of your shareholder reports. Your election to receive reports in paper will apply to all funds held with the fund complex or your financial intermediary.

  

Experience and Foresight

About Calamos Investments

For over 40 years, we have helped investors like you manage and build wealth to meet long-term objectives. Because investors have different time horizons, risk tolerances and goals, we offer investment portfolios to suit a variety of asset allocation needs. For example, our mutual funds include equity, fixed income and alternative funds. We offer U.S. funds, as well as global and international choices.

We are dedicated to helping our clients build and protect wealth. We understand when you entrust us with your assets, you also entrust us with your achievements, goals and aspirations. We believe we best honor this trust by making investment decisions guided by integrity, by discipline and by our conscientious research.

We believe that an active, risk-conscious approach is essential for wealth creation.In the 1970s, we pioneered the use of convertible securities as a means to manage risk in volatile markets. We followed with strategies that combine convertibles and stocks, with the aim of participating in equity market upside with potentially less volatility than an all-stock portfolio. In the 1990s, we introduced our first stock fund, which invests in growth companies both large and small. Across our funds, our investment process seeks to manage risk at multiple levels and draws upon our experience investing through many market cycles. In a rapidly changing environment, we believe that this active management is essential.

We are global in our perspective. We believe globalization offers tremendous opportunities for countries and companies all over the world. In our U.S., global and international portfolios, we are seeking to capitalize on the potential growth of the global economy.

We believe there are opportunities in all markets.Our history traces back to the 1970s, a period of significant volatility and economic concerns. We have invested through multiple market cycles, each with its own challenges. Out of this experience comes our belief that the flipside of volatility is opportunity.

TABLE OF CONTENTS

Letter to Contract Owners1

Investment Team Discussion4

Expense Overview8

Schedule of Investments10

Statement of Assets and Liabilities15

Statement of Operations16

Statements of Changes In Net Assets17

Notes to Financial Statements18

Financial Highlights25

Report of Independent Registered
Public Accounting Firm
26

Letter to Contract Owners

1

John P. calamos, sr.

Founder, Chairman
and Global Chief
Investment Officer

Dear Contract Holder:

Welcome to your annual report for the six-month period ended June 30, 2019. In this report, you will find commentary from the Calamos investment team, as well as a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and positioning of Calamos Growth and Income Portfolio.

Calamos Growth and Income Portfolio employs an innovative defensive equity approach. In this strategy, we focus on helping investors manage volatile equity markets over time, while also delivering income to investors. Over the reporting period, we believe the benefits of our strategy were demonstrated, as the Portfolio posted a very strong gain in absolute terms, capturing the substantial majority of the equity market’s upside, while maintaining its risk-conscious approach. Additionally, the Portfolio has provided a very competitive distribution. Over the past 12 months, the Portfolio’s distributions totaled approximately 5.83% of its NAV as of June 30, 2019. This distribution included income of approximately $0.34 per share over the 12-month period.

Looking to the remainder of the year, we expect markets to grind higher with ongoing volatility and periods of sideways movement that may unsettle investors. We encourage investors to take a long-term approach and resist the temptation to try to “time” the market. Because it is impossible to predict the twists and turns in the markets with certainty, investors who make moves in response to short-term volatility often end up catching the downside but missing the upside.

Calamos Growth and Income Portfolio is designed to be held through full and multiple market cycles. Because we position the Portfolio to participate in the upside of the stock market with less exposure to the downside, it may be easier for investors to stay the course. We believe the strategy’s defensive equity approach makes the Portfolio a compelling asset allocation cornerstone.

Letter to Contract Owners

2   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

One of the key differentiators of our approach is our use of convertible securities as a complement to stocks. At Calamos Investments, we have utilized convertible securities since the 1970s to help investors navigate the ups and downs of the market and pursue capital appreciation and income oriented goals. Convertible securities combine features of stocks and bonds and can be actively managed to provide risk-managed stock market exposure. Convertible bonds also offer coupon income, which can bolster the dividends and distributions earned by the stocks in the Portfolio.

Market Review

Stocks, convertible securities and corporate bonds all posted healthy returns over the reporting period, but advances were punctuated by selloffs. Federal Reserve policy, trade negotiations, geopolitics, and the health of the global economy drove sentiment, fueling both downturns and rebounds. Following the steep selloff that occurred in the final months of 2018, markets began the year on a much brighter note, encouraged by indications that the Federal Reserve would maintain a gradual and patient approach to monetary policy. Other causes for optimism included corporate earnings results, improvements in global economic data and the prospect of a resolution to U.S.-China trade policy disputes. In May, the upbeat tenor of the market gave way to rekindled anxiety about the Federal Reserve, global trade and slowing economic growth. Markets resumed their upward course in June, as the Federal Reserve held short-term interest rates unchanged and validated market expectations of renewed monetary accommodation.

Outlook

We do not believe the U.S. economy is facing an imminent recession. We expect GDP growth to remain healthy and stable, supported by a variety of factors, including contained inflation, favorable financial conditions, and extremely low unemployment. The U.S. consumer remains strong, as evidenced by good income and spending data, debt levels and confidence measures. Corporations have continued to beat reduced earnings estimates and small and mid-size companies are still in growth mode. We believe these favorable tailwinds can offset near-term signs of pressure in the U.S. economy, including yield curve inversion and slower manufacturing growth.

Although we expect benign economic conditions, we are prepared for market volatility. The extreme shifts in investor sentiment over recent months illustrate how sensitized market participants are to changes in Federal Reserve policy, whether actual or anticipated. The pace of trade negotiations will continue to be a focal point of investor attention; and we are monitoring the impact of the trade impasse on companies, industries and the economy as a whole. Additionally, investors will be increasingly nervous about the political and geopolitical landscape as 2020 election rhetoric heats up.

Letter to Contract Owners

3

We believe the U.S. economy’s expansionary course sets the stage for growth companies to outperform. However, there will be winners and losers at this stage of the economic cycle, with the potential for rolling recessions in certain industries.Our view is that active managers with fundamentally driven, risk-aware approaches will have an advantage over passive strategies. As we will discuss at greater length in the pages that follow, the Portfolio’s investments include attractively valued securities issued by companies with higher quality, growth-oriented fundamentals, such as those positioned to benefit from a healthy U.S. consumer.

In closing, we maintain high conviction in the risk-conscious investment approach of the Calamos Growth and Income Portfolio. We thank you for choosing us to help you achieve your financial goals. I invite you to visit our website,www.calamos.com, for additional resources on asset allocation, the markets and the economy.

Sincerely,

John P. Calamos, Sr.

Founder, Chairman and Global Chief Investment Officer

4   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

Investment Team Discussion

CALAMOS GROWTH AND INCOME PORTFOLIO

INVESTMENT TEAM DISCUSSION

How has the Portfolio performed?

For the six-month period ended June 30, 2019, the Calamos Growth and Income Portfolio (the “Portfolio”) increased 15.82% versus a gain of 18.54% for the S&P 500 Index, the Portfolio’s benchmark. The ICE BofAML All U.S. Convertibles Ex Mandatory Index returned 14.39% for the period.

In this Portfolio, we own equities and securities, such as equity-sensitive convertible bonds or income producing convertible preferred stocks that we believe are best positioned to take advantage of upward equity movements and potentially limit losses on the downside. During the period’s volatile equity market moves, the risk-conscious strategy generated strong double-digit performance while undertaking less equity market risk. (See the “lower-volatility characteristics” discussion below.) Portfolio sector allocations were modestly additive, while security selection added significant value to performance during the period.

We manage this Portfolio with the goal of achieving upside equity participation and potential downside protection over full market cycles via a quality-growth strategy. Since its inception on May 18, 1999, the Portfolio has returned 7.26% on an annualized basis versus a 5.98% gain for the S&P 500 Index and 7.50% increase for the ICE BofAML All U.S. Convertibles Ex Mandatory Index.

What is the Portfolio’s investment strategy?

The Portfolio invests primarily in a diversified portfolio of equities and convertible instruments (including synthetic convertibles) of U.S. companies. In pursuing its total return investment objective, the Portfolio’s investment team attempts to utilize these different types of securities to strike the appropriate balance between risk and return with the intent of optimizing growth and income. As we discussed in the letter, the Portfolio’s income component served an important role in meeting the total return objective. Over the past 12 months, the Portfolio’s distributions totaled approximately 5.83% of its NAV or approximately $0.34 per share as of June 30, 2019. As we focus on managing volatility, our goal for the Portfolio is to participate in a greater portion of equity market upside than downside over the long term.

Please discuss the Portfolio’s lower-volatility characteristics

We believe the Portfolio’s historical lower-volatility characteristics are a byproduct of our investment style and focus on participating in equity market upside with less volatility than the market as a whole. Beta is one popular statistic for measuring volatility. Beta considers a portfolio’s historic volatility versus the market, which is assigned a beta of 1.0. A portfolio with half the volatility of the market would have a beta of 0.5, while a portfolio with a beta of 2.0 would have been twice as volatile as the market.

Since its inception, the Portfolio has had a beta of 0.73 (Class A shares) versus the S&P 500 Index. The Portfolio has therefore outperformed the broader equity market, as measured by the S&P 500 Index, with less volatility than the equity market. Please note that past performance does not indicate future results and that beta is one of many measures of risk.

SECTOR WEIGHTINGS

Information Technology

20.8%

Financials

13.6

Health Care

12.9

Communication Services

10.4

Consumer Discretionary

10.0

Industrials

9.6

Consumer Staples

6.3

Utilities

4.1

Energy

4.0

Real Estate

2.4

Other

1.5

Materials

0.9

Sector weightings are subject to change daily and are calculated as a percentage of net assets. The table excludes cash or cash equivalents, any government/sovereign bonds or broad based index hedging securities the Fund may hold.

5

Investment Team Discussion

Although our strategy is compared to an all-equity benchmark, we typically invest a portion of the Portfolio in securities that exhibit less volatility, such as convertible securities. We believe this offers lower downside capture, which is a critical part of our risk-management process, but it can also cause the Portfolio results to lag the benchmark return during periods of strong equity market performance. Through this focus on risk management, we have been able to provide investors a less-volatile equity investment, as measured by beta, and outperform the S&P 500 Index since inception.

What factors influenced performance?

In the second calendar quarter of 2019, the U.S. equity market delivered another round of strong returns to tack onto a robust first calendar quarter, albeit with considerable volatility over the second half of the reporting period. For the Q2 2019, the S&P 500 Index gained 4.30%, adding to its best first half of any year (+18.5%) since 1997. While pundits love to talk about “bests” and “worsts,” it’s important to remember that this performance is coming off the heels of the worst December (-9.0%) and calendar year (-4.4% in 2018) since the Financial Crisis. During the six-month period ended June 30, market worries included concerns over domestic and global economic growth, global trade and tariffs, and an unnerving inversion of the U.S. yield curve. Even with this backdrop, the U.S. equity market rallied in response to an accommodative Fed policy outlook, lower bond yields, and a seemingly positive, if not conclusive, meeting between the U.S. and China at the G20 Summit.

Growth stocks edged out their value counterparts, as the S&P 500 Growth Index gained 19.94% versus a 16.63% increase for the S&P 500 Value Index for the six month period. While the growth style was more in favor, low volatility was the top-performing factor, according to S&P Dow Jones. The S&P 500 Index was led by information technology (+27.1%), consumer discretionary (+21.8%), industrials (+21.4%), real estate (+20.4%) and communication services (+19.1%), all of which outperformed the broad market. Materials (+17.2%), financials (+17.2%), consumer staples (+16.2%), utilities (+14.7%), energy (+13.1%), and health care (+8.1%) likewise delivered positive results, though they lagged the overall market.

In this strategy, we own equities and other corporate securities, including equity-sensitive convertible bonds, that we believe are best positioned to take advantage of upward equity movements and potentially limit losses on the downside. Given the strong rally near period end, the risk-conscious strategy trailed the all-equity S&P 500 Index but posted strong absolute returns for the semiannual period. Portfolio sector allocations were modestly negative, while security selection fared better during the volatile but mostly risk-on period.

Positive Influences on Performance

Health Care. The portfolio’s favorable security selection and an average underweight position in health care positively contributed to relative results. In particular, biotechnology and health care services were sources of strength.

Industrials. Leading security selection in industrials added to the portfolio’s performance. The main contributors within this sector were industrial conglomerates and air freight & logistics.

Negative Influences on Performance

Consumer Discretionary. Over the period, security selection and an average underweight allocation within the consumer discretionary sector lagged on a relative basis, as holdings in the automobile manufacturers and internet & direct marketing retail industries trailed.

Information Technology. Selection and an average underweight position within the semiconductors and technology hardware, storage & peripherals industries of the information technology sector hindered return.

6   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

Investment Team Discussion

GROWTH OF $ 10,000 FOR 10 YEAR PERIOD ENDED 6/30/19

AVERAGE ANNUAL TOTAL RETURN FOR THE PERIOD ENDED 6/30/19

6 MONTHS

1 YEAR

3 YEARS

5 YEARS

10 YEARS

15.82%

7.92%

10.62%

6.95%

9.59%

Performance data quoted represents past performance, which is no guarantee of future results.Current performance may be lower or higher than the performance quoted. The principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Returns are net of all fees and expenses incurred by the Portfolio. Performance figures of the Portfolio do not reflect fees charged pursuant to the terms of variable life insurance policies and variable annuity contracts. If these charges had been reflected, performance would have been lower.

Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average, assuming reinvestment of income and capital gain distributions. Returns do not reflect sales charges, expenses and fees assessed in connection with the variable product. Sales charges, expenses and fees, which are determined by the variable product issuers, will vary and will lower the total return to the contract or policy owner.

The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. Source: Lipper.

The ICE BofA Merrill Lynch All U.S. Convertibles EX Mandatory Index represents the U.S. convertible market excluding mandatory convertibles. Source ICE Data Indices, LLC, used with permission. ICE permits use of the ICEBofAML indices and related data on an `as is’ basis, makes no warranties regarding same, does not guarantee the suitability, quality, accuracy, timeliness, and/or completeness of the ICE BofAML Indices or data included in, related to, or derived therefrom, assumes no liability in connection with the use of the foregoing and does not sponsor, endorse or recommend Calamos Advisors LLC or any of its products or services.

Index returns assume reinvestment of dividends and do not reflect deduction of fees and expenses. It is not possible to invest directly in an index.

How is the Portfolio positioned?

In terms of economic sectors, the largest portfolio weights are in information technology, financials and health care on an absolute basis. Conversely, materials and real estate represent the smallest absolute sector weights. We maintain overweight allocations to communication services and utilities versus the index. Interactive media & services and independent power producers & energy traders represent the largest industry overweights within the respective sectors. Biotechnology and pharmaceuticals constitute the most significant underweight industries.

Allocations to information technology and communication services rose during the period with increased weights in data processing & outsourced services and movies & entertainment. By contrast, allocations to health care and materials decreased over the period with reductions to pharmaceuticals and diversified chemicals.

7

Investment Team Discussion

What closing thoughts do you have for Portfolio shareholders?

Overall, we continue to believe the U.S. economy is in good standing. Framing our conviction is a strong U.S. consumer enjoying record employment, gains in personal income and modestly growing personal consumption. Stepping back, we do not foresee an imminent recession in the U.S., but acknowledge that global growth is slowing meaningfully. Investor nerves are a bit frayed, as evidenced by the dramatic moves to and from equity markets in the last nine months. In the S&P 500 Index, we witnessed a nearly perfect V-shaped equity market in Q4 2018 (-13.52%) through Q1 2019 (+13.65%), and again in May 2019 when a -6.35% decline was followed by a 7.05% rise in June. Investor angst and the aforementioned market movements may be partially attributable to the Fed’s attempt to thread the needle by managing interest rates, market expectations, employment and price stability. Moving forward, we believe equity opportunities may be more tactical versus structural, which will require adept and active management of the portfolio’s holdings and risk positioning. We will continue to focus on higher-quality businesses more closely tied to the U.S. consumer and believe that companies offering growth in a low-growth environment will be most favored by the market. Once again, we contend that markets subject to sudden changes in sentiment may prove to be the best environment for this strategy, which seeks to reduce equity market risk while striving for equity-like returns over a full market cycle.

This information is not intended to be a recommendation or investment advice, and does not constitute a solicitation to buy or sell securities. Certain statements in this commentary are forward-looking statements. Discussions of specific investments are for illustration only and are not intended as recommendations of individual investments. The forward looking statements and other views expressed herein are those of the portfolio managers as of the date of this report. Actual future results or occurrence may differ significantly from those anticipated in any forward-looking statements and the views expressed herein are subject to change at any time, due to numerous market and other factors. The Portfolio disclaims any obligation to update publicly or review any forward-looking statements or views expressed herein.

Expense Overview

8   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

EXPENSE OVERVIEW

As a contract or policy owner, you incur certain costs. Because the Portfolio is a funding vehicle for annuities, policies and eligible plans, you may also incur sales charges and other fees related to your annuity, policy or eligible plan. In addition, the Portfolio incurs transaction costs and ongoing costs, including management fees, and other fund expenses, such as audit, legal and custodian fees.

The examples in this report are based on an investment of $1,000 made at the beginning of the period and held for the entire period from January 1, 2019 to June 30, 2019. It is intended to help you understand the ongoing costs associated with investing in the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.

There are two parts to the examples table:

Actual

In this part of the table, you’ll see the actual expenses you would have paid on a $1,000 investment made at the beginning of the period and held for the entire period from January 1, 2019 to June 30, 2019, the period covered by this report. This table also shows the actual returns, after expenses, you would have earned during that time. This table can help you estimate your own expenses. For example, if you invested $8,600 in the Portfolio, simply divide $8,600 by $1,000, then multiply that result by the figure in the “Actual Expenses per $1,000” row. In this example, you would multiply 8.6 by the figure.

Hypothetical

In this part of the table, you’ll see the hypothetical expenses you would have paid on a $1,000 investment from January 1, 2019 to June 30, 2019, and the hypothetical returns, after expenses, you would have earned during that time. The Securities and Exchange Commission (SEC) has established the guidelines for this table, including the assumed 5% annual rate of return before expenses, which is what you’ll see in the table. Note that this table will not help you determine your own expenses, but will help you compare expenses of the Portfolio to the expenses of other mutual funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not include any transactional costs, such as sales charges (loads), redemption fees or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactions costs were included, your costs would have been higher.

9

Expense Overview

The actual and hypothetical examples shown assume a $1,000 investment at the beginning of the period, January 1, 2019 and held through June 30, 2019.

Actual Expenses per $1,000*

$

7.65

Actual - Ending Balance

$

1,158.20

Hypothetical Expenses per $1,000*

$

7.15

Hypothetical - Ending Value

$

1,017.70

Annualized expense ratio

1.43%

*Expenses are equal to the Portfolio’s annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365.

10   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

Schedule of Investments June 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

  

VALUE

CONVERTIBLE BONDS (14.3%)  

Communication Services (2.4%) 

110,000

GCI Liberty, Inc.*
1.750%, 09/30/46

$

128,772

 

Liberty Media Corp.

125,000

2.250%, 09/30/46

69,726

90,000

1.375%, 10/15/23

100,733

65,000

Liberty Media Corp. (Sirius XM Holdings, Inc.)*§
2.125%, 03/31/48

62,994

105,000

Liberty Media Corp. / Liberty Formula One
1.000%, 01/30/23

123,585

27,000

Live Nation Entertainment, Inc.
2.500%, 03/15/23

32,014

70,000

Twitter, Inc.
0.250%, 06/15/24

68,532

65,000

Zynga, Inc.*
0.250%, 06/01/24

64,906

 

651,262

 

Consumer Discretionary (1.3%) 

60,000

Booking Holdings, Inc.
0.350%, 06/15/20

86,318

25,000

Chegg, Inc.*^
0.125%, 03/15/25

25,064

26,000

Ctrip.com International, Ltd.^
1.990%, 07/01/25

28,413

28,000

DISH Network Corp.
3.375%, 08/15/26

27,284

41,000

Guess, Inc.*
2.000%, 04/15/24

38,529

 

Tesla, Inc.

80,000

2.000%, 05/15/24^

78,567

80,000

1.250%, 03/01/21

76,072

 

360,247

 

Financials (1.7%) 

50,000

Ares Capital Corp.^
4.625%, 03/01/24

51,553

200,000

JPMorgan Chase Bank, N.A.
0.000%, 12/30/20

236,791

155,000

JPMorgan Chase Financial Company, LLC (Voya Financial, Inc.)*§
0.250%, 05/01/23

158,720

 

447,064

 

Health Care (2.0%) 

23,000

BioMarin Pharmaceutical, Inc.
1.500%, 10/15/20

25,890

65,000

CONMED Corp.*
2.625%, 02/01/24

74,848

75,000

DexCom, Inc.*
0.750%, 12/01/23

87,945

PRINCIPAL
AMOUNT

 

  

VALUE

65,000

Exact Sciences Corp.^
0.375%, 03/15/27

$

82,069

93,000

Illumina, Inc.*^
0.000%, 08/15/23

107,531

55,000

Insulet Corp.
1.375%, 11/15/24

78,294

21,000

Neurocrine Biosciences, Inc.^
2.250%, 05/15/24

27,767

48,000

Wright Medical Group, Inc.^
1.625%, 06/15/23

52,980

 

537,324

 

Industrials (0.6%) 

55,000

Air Transport Services Group, Inc.
1.125%, 10/15/24

55,944

96,000

Fortive Corp.*^
0.875%, 02/15/22

99,302

 

155,246

 

Information Technology (5.6%) 

60,000

8x8, Inc.*^
0.500%, 02/01/24

68,875

23,000

Akamai Technologies, Inc.^
0.125%, 05/01/25

24,668

39,000

Coupa Software, Inc.*
0.125%, 06/15/25

41,757

26,000

Cypress Semiconductor Corp.
2.000%, 02/01/23

30,714

70,000

DocuSign, Inc.*^
0.500%, 09/15/23

72,512

26,000

Envestnet, Inc.
1.750%, 12/15/19

29,655

31,000

Euronet Worldwide, Inc.*^
0.750%, 03/15/49

37,563

23,000

II-VI, Inc.
0.250%, 09/01/22

24,261

80,000

Intel Corp.
3.250%, 08/01/39

188,571

57,000

Lumentum Holdings, Inc.^
0.250%, 03/15/24

66,747

80,000

Microchip Technology, Inc.
1.625%, 02/15/27

94,748

53,000

New Relic, Inc.^
0.500%, 05/01/23

56,648

64,000

ON Semiconductor Corp.
1.000%, 12/01/20

78,766

80,000

Palo Alto Networks, Inc.*
0.750%, 07/01/23

84,522

19,000

Pluralsight, Inc.*^
0.375%, 03/01/24

20,228

26,000

Pure Storage, Inc.
0.125%, 04/15/23

24,896

50,000

Q2 Holdings, Inc.*
0.750%, 06/01/26

53,657


11

Schedule of Investments June 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

PRINCIPAL
AMOUNT

 

  

VALUE

58,000

Silicon Laboratories, Inc.^
1.375%, 03/01/22

$

72,199

70,000

Splunk, Inc.*
0.500%, 09/15/23

77,025

70,000

Wix.com, Ltd.*^
0.000%, 07/01/23

85,781

90,000

Workday, Inc.
0.250%, 10/01/22

134,783

79,000

Zendesk, Inc.
0.250%, 03/15/23

121,409

 

1,489,985

 

Real Estate (0.4%) 

23,000

Extra Space Storage, LP*
3.125%, 10/01/35

27,314

70,000

IH Merger Sub, LLC
3.500%, 01/15/22

85,630

 

112,944

Utilities (0.3%) 

70,000

NRG Energy, Inc.^
2.750%, 06/01/48

74,922

 

TOTAL CONVERTIBLE BONDS
(Cost $3,517,080)

3,828,994

 

U.S. Government And Agency Securities (1.5%)  

 

United States Treasury Note

140,000

2.000%, 01/31/20

139,976

125,000

1.125%, 06/30/21

123,455

66,000

2.000%, 11/15/26

66,469

63,000

1.625%, 05/15/26^

61,971

 

Total U.S. Government And Agency Securities
(Cost $391,122)

391,871

 

SYNTHETIC CONVERTIBLE SECURITIES (3.0%) ¤ 

CORPORATE BONDS (2.7%)  

Communication Services (0.5%) 

135,000

Alphabet, Inc.^
3.375%, 02/25/24

142,749

 

Consumer Discretionary (1.1%) 

53,000

Dana, Inc.
5.500%, 12/15/24

54,396

100,000

Home Depot, Inc.^
2.700%, 04/01/23

102,210

95,000

L Brands, Inc.
5.625%, 02/15/22

99,449

25,000

Lowe’s Companies, Inc.
3.875%, 09/15/23

26,427

 

282,482

 

Consumer Staples (0.5%) 

135,000

Walmart, Inc.^
3.300%, 04/22/24

141,974

PRINCIPAL
AMOUNT

 

  

VALUE

 

Financials (0.2%) 

50,000

Berkshire Hathaway, Inc.
2.750%, 03/15/23

$50,997

 

Health Care (0.1%) 

30,000

Universal Health Services, Inc.*
4.750%, 08/01/22

30,401

 

Information Technology (0.3%) 

65,000

Apple, Inc.^
3.450%, 05/06/24

68,800

 

TOTAL CORPORATE BONDS

717,403

NUMBER OF
CONTRACTS/
 NOTIONAL
  AMOUNT

 

VALUE

Purchased Options (0.3%) # 

Other (0.3%) 

11
382,106

EUR

Euro Stoxx 50
Call, 12/20/19, Strike 3,350.00

24,503

62
407,526

iShares MSCI EAFE ETF
Call, 12/20/19, Strike $65.00

18,662

85
364,735

iShares MSCI Emerging Markets ETF
Call, 09/20/19, Strike $40.00

31,875

 

Xtrackers Harvest CSI 300 China A ETF

31
87,296

Call, 10/18/19, Strike $30.00

2,821

30
84,480

Call, 01/17/20, Strike $26.71

8,925

 

TOTAL PURCHASED OPTIONS

86,786

 

 

TOTAL SYNTHETIC
CONVERTIBLE SECURITIES

(Cost $769,965)

804,189

 

NUMBER OF
SHARES

 

 

VALUE

CONVERTIBLE PREFERRED STOCKS (7.8%) 

Financials (1.1%) 

4,550

AMG Capital Trust II^
5.150%, 10/15/37

220,009

620

Assurant, Inc.^
6.500%, 03/15/21

69,105

 

289,114

 

Health Care (0.9%) 

1,300

Becton Dickinson and Company
6.125%, 05/01/20

80,483

130

Danaher Corp.
4.750%, 04/15/22

143,604

 

224,087


12   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

Schedule of Investments June 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

NUMBER OF
SHARES

 

 

VALUE

 

Industrials (1.6%) 

100

Fortive Corp.
5.000%, 07/01/21

$

102,491

2,665

Rexnord Corp.
5.750%, 11/15/19

163,498

1,600

Stanley Black & Decker, Inc.
5.375%, 05/15/20

161,808

 

427,797

 

Materials (0.2%) 

1,100

International Flavors & Fragrances, Inc.
6.000%, 09/15/21

59,202

 

Real Estate (0.8%) 

185

Crown Castle International Corp.
6.875%, 08/01/20

222,342

 

Utilities (3.2%) 

2,630

American Electric Power Company, Inc.
6.125%, 03/15/22

140,731

1,625

Aqua America, Inc.
6.000%, 04/30/22

92,593

875

CenterPoint Energy, Inc.
(Warner Media, LLC, Charter
Communications Time, Inc.)§**
4.516%, 09/15/29

43,924

3,490

DTE Energy Company
6.500%, 10/01/19

196,138

4,275

NextEra Energy, Inc.
6.123%, 09/01/19

277,576

 

Sempra Energy

550

6.750%, 07/15/21

61,061

400

6.000%, 01/15/21

44,596

 

856,619

 

TOTAL CONVERTIBLE
PREFERRED STOCKS

(Cost $1,888,808)

2,079,161

 

Common Stocks (70.2%) 

Communication Services (7.5%) 

535

Alphabet, Inc. - Class A#

579,298

2,950

AT&T, Inc.

98,855

4,275

Comcast Corp. - Class A

180,747

2,255

Facebook, Inc. - Class A#

435,215

445

Netflix, Inc.#

163,457

4,165

Verizon Communications, Inc.

237,946

2,150

Walt Disney Company

300,226

 

1,995,744

 

Consumer Discretionary (7.6%) 

516

Alibaba Group Holding, Ltd.#

87,436

430

Amazon.com, Inc.#~

814,261

620

Dollar Tree, Inc.#

66,582

NUMBER OF
SHARES

 

 

VALUE

1,450

General Motors Company

$

55,869

1,430

Home Depot, Inc.

297,397

1,195

Lowe’s Companies, Inc.

120,587

1,265

McDonald’s Corp.

262,690

1,340

Nike, Inc. - Class B

112,493

505

Royal Caribbean Cruises, Ltd.

61,211

1,065

Starbucks Corp.

89,279

1,310

TJX Companies, Inc.

69,273

 

2,037,078

 

Consumer Staples (5.8%) 

5,804

Coca-Cola Company

295,540

605

Costco Wholesale Corp.

159,877

3,350

Mondelez International, Inc. - Class A

180,565

1,825

PepsiCo, Inc.

239,312

1,900

Philip Morris International, Inc.

149,207

2,760

Procter & Gamble Company

302,634

800

Walgreens Boots Alliance, Inc.

43,736

1,775

Walmart, Inc.

196,120

 

1,566,991

 

Energy (4.0%) 

2,445

Chevron Corp.

304,256

1,520

ConocoPhillips

92,720

1,200

EOG Resources, Inc.

111,792

3,440

Exxon Mobil Corp.

263,607

1,603

Hess Corp.

101,903

1,175

Marathon Petroleum Corp.

65,659

415

Pioneer Natural Resources Company

63,852

1,665

Schlumberger, Ltd.

66,167

 

1,069,956

 

Financials (10.6%) 

3,530

American International Group, Inc.

188,079

13,140

Bank of America Corp.

381,060

600

Berkshire Hathaway, Inc. - Class B#

127,902

1,335

Capital One Financial Corp.

121,138

565

Cboe Global Markets, Inc.

58,551

1,100

Chubb, Ltd.

162,019

2,565

Citigroup, Inc.

179,627

570

Discover Financial Services

44,226

1,785

E*TRADE Financial Corp.

79,611

290

Goldman Sachs Group, Inc.

59,334

2,000

Intercontinental Exchange, Inc.

171,880

3,335

JPMorgan Chase & Company

372,853

3,935

KeyCorp

69,846

1,555

Marsh & McLennan Companies, Inc.

155,111

2,065

Morgan Stanley

90,468

1,085

Northern Trust Corp.

97,650

975

Prudential Financial, Inc.

98,475


13

Schedule of Investments June 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

NUMBER OF
SHARES

 

 

VALUE

2,318

Starwood Property Trust, Inc.^

$

52,665

2,855

US Bancorp

149,602

2,185

Wells Fargo & Company

103,394

1,590

Zions Bancorporation, N.A. ^

73,108

 

2,836,599

 

Health Care (9.9%) 

350

Abbott Laboratories

29,435

1,575

Agilent Technologies, Inc.

117,605

625

Alexion Pharmaceuticals, Inc.#

81,863

351

Anthem, Inc.

99,056

2,435

Baxter International, Inc.

199,426

995

Bristol-Myers Squibb Company

45,123

315

Edwards Lifesciences Corp.#

58,193

745

Gilead Sciences, Inc.

50,332

350

Humana, Inc.

92,855

39

Illumina, Inc.#

14,358

145

Intuitive Surgical, Inc.#

76,060

2,475

Johnson & Johnson

344,718

815

Laboratory Corp. of America Holdings#

140,914

2,060

Medtronic, PLC

200,623

2,915

Merck & Company, Inc.

244,423

6,470

Pfizer, Inc.

280,280

230

Stryker Corp.

47,283

100

Teleflex, Inc.

33,115

435

Thermo Fisher Scientific, Inc.

127,751

1,465

UnitedHealth Group, Inc.

357,475

 

2,640,888

 

Industrials (7.4%) 

615

Boeing Company

223,866

1,065

Caterpillar, Inc.

145,149

2,170

CSX Corp.

167,893

4,320

Delta Air Lines, Inc.

245,160

1,670

Emerson Electric Company

111,422

6,300

General Electric Company

66,150

2,550

Honeywell International, Inc.

445,204

494

Lockheed Martin Corp.

179,589

805

Northrop Grumman Corp.

260,104

820

Union Pacific Corp.

138,670

 

1,983,207

Information Technology (14.9%) 

820

Accenture, PLC - Class A

151,511

335

Adobe, Inc.#~

98,708

3,950

Apple, Inc.

781,784

465

Broadcom, Inc.

133,855

4,605

Cisco Systems, Inc.

252,032

1,155

Fidelity National Information Services, Inc.

141,695

639

Lam Research Corp.

120,030

NUMBER OF
SHARES

 

 

VALUE

1,335

Marvell Technology Group, Ltd.

$

31,866

1,030

MasterCard, Inc. - Class A

272,466

8,335

Microsoft Corp.

1,116,557

615

NVIDIA Corp.

101,001

1,410

Oracle Corp.

80,328

890

PayPal Holdings, Inc.#

101,869

765

QUALCOMM, Inc.

58,194

800

Salesforce.com, Inc.#

121,384

2,370

Visa, Inc. - Class A

411,314

 

3,974,594

 

Materials (0.7%) 

895

Corteva, Inc.#

26,465

895

Dow, Inc.

44,132

895

DuPont de Nemours, Inc.

67,188

850

Nucor Corp.

46,835

 

184,620

 

Real Estate (1.2%) 

1,270

American Tower Corp.

259,651

805

Welltower, Inc.

65,632

 

325,283

 

Utilities (0.6%) 

3,471

Exelon Corp.

166,400

 

Total Common Stocks
(Cost $12,765,687)

18,781,360

 

Exchange-Traded Funds (1.2%) 

Other (1.2%) 

3,740

iShares MSCI EAFE ETF

245,830

1,425

iShares MSCI Emerging Markets ETF

61,147

 

Total Exchange-Traded Funds
(Cost $323,040)

306,977

NUMBER OF
CONTRACTS/
 NOTIONAL
  AMOUNT

 

VALUE

PURCHASED OPTIONS (0.1%) # 

Other (0.1%) 


30
560,220

Invesco QQQ Trust Series

Put, 07/19/19, Strike $178.00

2,655

 

S&P 500 Index

8
2,353,408

Put, 07/31/19, Strike $2,750.00

7,840

2
588,352

Put, 10/31/19, Strike $2,875.00

14,600

 

TOTAL PURCHASED OPTIONS
(Cost $50,475)

25,095


14   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

Schedule of Investments June 30, 2019 (Unaudited)

See accompanying Notes to Schedule of Investments

NUMBER OF
SHARES

 

 

VALUE

Short Term Investments (2.0%)  

273,446

Fidelity Prime Money Market Fund - Institutional Class, 2.400%***

$

273,555

273,038

Morgan Stanley Institutional Liquidity Funds - Government Portfolio, 2.270%***

273,038

 

Total Short Term Investments
(Cost $546,573)

546,593

NUMBER OF
SHARES/
PRINCIPAL AMOUNT

 

 

VALUE

INVESTMENT OF CASH COLLATERAL FOR
SECURITIES LOANED (6.5%)
 

1,739,964

State Street Navigator Securities
Lending Government Money
Market Portfolio
(Cost $1,739,964)

1,739,964

 

TOTAL INVESTMENTS (106.6%)
(Cost $21,992,714)

28,504,204

 

PAYABLE UPON RETURN OF SECURITIES
ON LOAN (-6.5%)

(1,739,964)

 

 

LIABILITIES, LESS OTHER ASSETS (-0.1%)

(18,018)

 

 

NET ASSETS (100.0%)

$26,746,222

 

NUMBER OF
CONTRACTS/
NOTIONAL
AMOUNT

 

VALUE

WRITTEN OPTION (0.0%) # 

Other (0.0%) 

25
107,275

iShares MSCI Emerging Markets ETF
Call, 09/20/19, Strike $43.00
(Premium $1,319)

(3,538)

 

 

FORWARD FOREIGN CURRENCY CONTRACTS

COUNTERPARTY

LONG
CONTRACTS

SETTLEMENT
DATE

LOCAL
CURRENCY

CURRENT
VALUE

UNREALIZED
GAIN/LOSS

State Street Bank and Trust

Hong Kong Dollar

07/25/19

281,000

35,976

$126

State Street Bank and Trust

Hong Kong Dollar

07/25/19

102,000

13,059

54

State Street Bank and Trust

Hong Kong Dollar

07/25/19

100,000

12,803

41

State Street Bank and Trust

Hong Kong Dollar

07/25/19

73,000

9,346

26

 

$247

COUNTERPARTY

LONG
CONTRACTS

SETTLEMENT
DATE

LOCAL
CURRENCY

CURRENT
VALUE

UNREALIZED
GAIN/LOSS

State Street Bank and Trust

Hong Kong Dollar

07/25/19

79,000

$10,114

$(38)

State Street Bank and Trust

Hong Kong Dollar

07/25/19

85,000

10,882

(28)

State Street Bank and Trust

Hong Kong Dollar

07/25/19

101,000

12,931

(32)

State Street Bank and Trust

Hong Kong Dollar

07/25/19

104,000

13,315

(41)

State Street Bank and Trust

Hong Kong Dollar

07/25/19

109,000

13,955

(57)

State Street Bank and Trust

Hong Kong Dollar

07/25/19

184,000

23,557

(20)

Northern Trust Company

Hong Kong Dollar

07/25/19

1,165,000

149,153

(306)

 

$(522)

NOTES TO SCHEDULE OF INVESTMENTS

*Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.

§Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.

^Security, or portion of security, is on loan.

¤The synthetic convertible securities strategy combines separate securities that together possess the economic characteristics similar to a convertible security.

**Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at June 30, 2019.

#Non-income producing security.

~Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options. The aggregate value of such securities is $24,829.

***The rate disclosed is the 7 day net yield as of June 30, 2019.

FOREIGN CURRENCY ABBREVIATION

EUREuropean Monetary Unit

Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. The principal amount for such securities is shown in the respective foreign currency. The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown.


15

Statement of Assets and Liabilities June 30, 2019 (Unaudited)

See accompanying Notes to Financial Statements

ASSETS

Investments in securities, at value (cost $21,992,714)

$

28,504,204

Unrealized appreciation on forward foreign currency contracts

247

Receivables:

Accrued interest and dividends

47,211

Portfolio shares sold

3,483

Prepaid expenses

1,422

Other assets

76,768

Total assets

28,633,335

 

LIABILITIES

Collateral for securities loaned

1,739,964

Options written, at value (premium $1,319)

3,538

Unrealized depreciation on forward foreign currency contracts

522

Payables:

Portfolio shares redeemed

3,906

Affiliates:

Investment advisory fees

16,229

Deferred compensation to trustees

76,768

Trustees’ fees and officer compensation

2,694

Other accounts payable and accrued liabilities

43,492

Total liabilities

1,887,113

NET ASSETS

$

26,746,222

 

COMPOSITION OF NET ASSETS

Paid in capital

$

20,268,941

Undistributed net investment income (loss)

(239,574

)

Accumulated net realized gain (loss) on investments, foreign currency transactions and written options

207,859

Unrealized appreciation (depreciation) of investments and written options

6,508,996

NET ASSETS

$

26,746,222

Shares outstanding (no par value; unlimited number of shares authorized)

1,668,577

Net asset value and redemption price per share

$

16.03

16   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

See accompanying Notes to Financial Statements

Statement of Operations Six Months Ended June 30, 2019 (Unaudited)

INVESTMENT INCOME

Interest

$

85,575

Dividends

242,957

Total investment income

328,532

 

EXPENSES

Investment advisory fees

97,032

Legal fees

31,640

Audit fees

21,182

Printing and mailing fees

13,162

Trustees’ fees and officer compensation

7,038

Accounting fees

6,375

Custodian fees

2,897

Transfer agent fees

1,101

Other

4,038

Total expenses

184,465

NET INVESTMENT INCOME (LOSS)

144,067

 

REALIZED AND UNREALIZED GAIN (LOSS)

Net realized gain (loss) from:

Investments, excluding purchased options

356,360

Purchased options

(147,081

)

Foreign currency transactions

18

Forward foreign currency contracts

1,494

Written options

1,866

Change in net unrealized appreciation/(depreciation) on:

Investments, excluding purchased options

3,337,361

Purchased options

70,979

Forward foreign currency contracts

(1,414

)

Written options

(2,143

)

NET GAIN (LOSS)

3,617,440

NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS

$

3,761,507

Securities lending income is zero.

17

See accompanying Notes to Financial Statements

Statements of Changes in Net Assets

 

(Unaudited)
Six Months Ended
June 30,
2019

Year Ended
December 31,
2018

OPERATIONS

Net investment income (loss)

$

144,067

$

308,680

Net realized gain (loss)

212,657

1,124,751

Change in unrealized appreciation/(depreciation)

3,404,783

(2,474,832

)

Net increase (decrease) in net assets resulting from operations

3,761,507

(1,041,401

)

 

DISTRIBUTIONS TO SHAREHOLDERS

Total distributions

(317,113

)

(1,403,435

)

 

CAPITAL SHARE TRANSACTIONS

Issued

452,258

1,341,849

Issued in reinvestment of distributions

317,113

1,403,435

Redeemed

(1,508,717

)

(3,146,075

)

Net increase (decrease) in net assets from capital share transactions

(739,346

)

(400,791

)

TOTAL INCREASE (DECREASE) IN NET ASSETS

2,705,048

(2,845,627

)

 

NET ASSETS

Beginning of period

$

24,041,174

$

26,886,801

End of period

$

26,746,222

$

24,041,174

 

CAPITAL SHARE TRANSACTIONS

Shares issued

29,563

83,976

Shares issued in reinvestment of distributions

20,590

98,666

Shares redeemed

(97,679

)

(196,885

)

Net increase (decrease) in capital shares outstanding

(47,526

)

(14,243

)

18   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

Notes to Financial Statements (Unaudited)

Note 1 – Organization and Significant Accounting Policies

Organization. CALAMOS ADVISORS TRUST (the “Trust”), a Massachusetts business trust organized February 17, 1999, consists of a single series,Calamos Growth and Income Portfolio(the “Portfolio”), which commenced operations on May 19, 1999.

The Trust currently offers the Portfolio’s shares to certain life insurance companies for allocation to certain separate accounts established for the purpose of funding qualified and non-qualified variable annuity contracts and variable life insurance contracts. The Portfolio seeks high long-term total return through growth and current income.

The Portfolio invests primarily in a diversified portfolio of convertible instruments (including synthetic convertible instruments), equity and fixed-income securities of U.S. companies without regard to market capitalization. In pursuing its investment objective, the Portfolio attempts to utilize these different types of securities to strike, in the investment adviser’s opinion, the appropriate balance between risk and reward in terms of growth and income.

Newly adopted accounting pronouncement. In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update No. 2017-08 (“ASU 2017-08”), “Receivables --Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities.” ASU 2017-08 changed the amortization period for certain callable debt securities held at a premium. Specifically, it required the premium to be amortized to the earliest call date. The Portfolio has adopted and applied ASU 2017-08 on a modified retrospective basis through a cumulative-effect adjustment as of the beginning of the period of adoption.

Significant Accounting Policies.The financial statements have been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP), and the Portfolio is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The Portfolio adheres to the accounting and reporting requirements set forth in ASC 946.Under U.S. GAAP, management is required to make certain estimates and assumptions at the date of the financial statements and actual results may differ from those estimates. Subsequent events, if any, through the date that the financial statements were issued, have been evaluated in the preparation of the financial statements.The following summarizes the significant accounting policies of the Portfolio:

Portfolio Valuation. The valuation of thePortfolio’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

Portfolio securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time the Portfolio determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time a Portfolio determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

Fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Portfolio determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on

19

Notes to Financial Statements (Unaudited)

every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Portfolio’s NAV is not calculated.

If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

The Portfolio also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Portfolio’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.

When fair value pricing of securities is employed, the prices of securities used by the Portfolio to calculate its NAV may differ from market quotations or official closing prices. In light of the judgment involved in fair valuations, there can be no assurance that a fair value assigned to a particular security is accurate.

Investment Transactions. Investment transactions are recorded on a trade date basis as of June 30, 2019. Net realized gains and losses from investment transactions are reported on an identified cost basis. Interest income is recognized using the accrual method and includes accretion of original issue and market discount and amortization of premium. 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 after the ex-dividend date.

Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.

The Portfolio does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

Reported net realized foreign currency gains or losses arise from disposition of foreign currency, the difference in the foreign exchange rates between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest and foreign withholding taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due to the changes in the exchange rate) in the value of foreign currency and other assets and liabilities denominated in foreign currencies held at period end.

Allocation of Expenses Among Funds. Expenses directly attributable to the Portfolio are charged to the Portfolio; certain other common expenses ofCalamos Advisors Trust, Calamos Investment Trust, Calamos Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Global Total Return Fund, Calamos Global Dynamic Income Fundand Calamos Dynamic Convertible and Income Fund are allocated proportionately among each Fund to which the expenses relate in relation to the net assets of each Fund or on another reasonable basis.

Income Taxes. No provision has been made for U.S. income taxes because the Trust’s policy is to continue to qualify as a regulated investment company under the Internal Revenue Code of 1986, as amended, and distribute to shareholders substantially all of thePortfolio’s taxable income and net realized gains.

Dividends and distributions paid to shareholders are recorded on the ex-dividend date. The amount of dividends and distributions from net investment income and net realized capital gains is determined in accordance with federal income tax regulations, which may differ from U.S. generally accepted accounting principles. To the extent these “book/tax” differences are permanent in nature, such amounts are reclassified within the capital accounts based on their federal tax-basis treatment. These differences are primarily due to differing treatments for foreign currency transactions, contingent payment debt instruments and methods of amortizing and accreting for fixed income securities. The financial statements are not adjusted for temporary differences.

The Portfolio recognized no liability for uncertain tax positions. A reconciliation is not provided as the beginning and ending amounts of unrecognized benefits are zero, with no interim additions, reductions or settlements. Tax years 2016 - 2019 remain subject to

20   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

Notes to Financial Statements (Unaudited)

examination by the U.S. and the State of Illinois tax jurisdictions.

Indemnifications. Under the Trust’s organizational documents, the Trust is obligated to indemnify its officers and trustees against certain liabilities incurred by them by reason of having been an officer or trustee of the Trust. In addition, in the normal course of business, the Trust may enter into contracts that provide general indemnifications to other parties. The Portfolio’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Portfolio that have not yet occurred. Currently, the Portfolio’s management expects the risk of material loss in connection to a potential claim to be remote.

Note 2 – Investment Adviser and Transactions With Affiliates Or Certain Other Parties

Pursuant to an investment advisory agreement with Calamos Advisors LLC (“Calamos Advisors”), the Portfolio pays a monthly investment advisory fee based on the average daily net assets of the Portfolio at the annual rate of 0.75%.

Pursuant to a financial accounting services agreement, during the period the Portfolio paid Calamos Advisors a fee for financial accounting services payable monthly at the annual rate of 0.0175% on the first $1 billion of combined assets, 0.0150% on the next $1 billion of combined assets and 0.0110% on combined assets above $2 billion (for purposes of this calculation “combined assets” means the sum of the total average daily net assets ofCalamos Investment Trust and Calamos Advisors Trustand the total average weekly managed assets ofCalamos Convertible and High Income Fund, Calamos Strategic Total Return Fund, Calamos Convertible Opportunities and Income Fund, Calamos Global Total Return Fund, Calamos Global Dynamic Income Fundand Calamos Dynamic Convertible and Income Fund). Calamos Advisors provided the following financial accounting services to the Portfolio: management of expenses and expense payment processing; monitoring of the calculation of expense accrual amounts for the Portfolio and making of any necessary modifications; coordination of any expense reimbursement calculations and payment; calculation of yields on the Portfolio in accordance with the SEC’s rules and regulations; calculation of net investment income dividends and capital gains distributions; calculation, tracking and reporting of tax adjustments on all assets of the Portfolio, including but not limited to contingent debt and preferred trust obligations; preparation of excise tax and fiscal year distributions schedules; preparation of tax information required for financial statement footnotes; preparation of state and federal income tax returns; preparation of specialized calculations of amortization on convertible securities; preparation of year-end dividend disclosure information; monitoring of trustee deferred compensation plan accruals and valuations; and preparation of Form 1099 information statements for board members and service providers. The Portfolio pays itspro rata share of the financial accounting services fee payable to Calamos Advisors based on its relative portion of combined assets used in calculating the fee. On October 12, 2018, the Board of Trustees approved terminating the financial accounting services agreement between the Portfolio and Calamos Advisors effectiveNovember 1, 2018. EffectiveNovember 1, 2018, the Trust on behalf of the Portfolio entered into an agreement with Ernst & Young LLP (“EY”) to provide certain tax services to the Portfolio. The tax services include the following: calculating, tracking and reporting tax adjustments on all assets of the Portfolio, including but not limited to contingent debt and preferred trust obligations; preparing excise tax and fiscal year distribution schedules; preparing tax information required for financial statement footnotes; preparing state and federal income tax returns; preparing specialized calculations of amortization on convertible securities; preparing year-end dividend disclosure information; providing treaty-based foreign withholding tax reclaim services; providing certain global compliance and reporting services; providing a match service and analysis of the “passive foreign investment company status of foreign corporate entities; and providing services related to corporate actions that may or may not have a tax impact on the Portfolio’s holdings. Effective November 1, 2018, the Trust on behalf of the Portfolio entered into an agreement with State Street pursuant to which State Street provides certain administration treasury services tothe Portfolio. These services include: monitoring the calculation of expense accrual amounts for the Portfolio and making any necessary modifications; managing the Portfolio’s expenses and expense payment processing; coordinating any expense reimbursement calculations and payment; calculating net investment income dividends and capital gain distributions; coordinating the audits for the Portfolio; preparing financial reporting statements for the Portfolio; preparing certain regulatory filings; and calculating asset coverage tests for certain Calamos Funds.

The Portfolio reimburses Calamos Advisors for a portion of compensation paid to the Trust’s Chief Compliance Officer. This compensation is reported as part of the “Trustees’ fees and officer compensation” expense on the Statement of Operations.

A trustee and certain officers of the Trust are also officers and directors of CFS and Calamos Advisors. Such trustee and officers serve without direct compensation from the Trust. The Trust’s Statement of Additional Information contains additional information about the Trust’s Trustees and Officers and is available without charge, upon request, atwww.calamos.com or by calling 800.582.6959.

The Trust has adopted a deferred compensation plan (the “Plan”). Under the Plan, a trustee who is not an “interested person” (as defined in the 1940 Act) and has elected to participate in the Plan (a “participating trustee”) may defer receipt of all or a portion of their compensation from the Trust. The deferred compensation payable to the participating trustee is credited to the trustee’s deferral

21

Notes to Financial Statements (Unaudited)

account as of the business day such compensation would have been paid to the participating trustee. The value of amounts deferred for a participating trustee is determined by reference to the change in value of Class I shares of one or more funds of Calamos Investment Trust designated by the participant. The value of the account increases with contributions to the account or with increases in the value of the measuring shares, and the value of the account decreases with withdrawals from the account or with declines in the value of the measuring shares. Deferred compensation of $76,768 is included in “Other assets” on the Statement of Assets and Liabilities at June 30, 2019. The Portfolio’s obligation to make payments under the Plan is a general obligation of the Portfolio and is included in “Payable for deferred compensation to trustees” on the Statement of Assets and Liabilities at June 30, 2019.

Note 3 – Investments

The cost of purchases and proceeds from sales of long-term investments for the period ended June 30, 2019 were as follows:

 

U.S. Government Securities

Other

Cost of purchases 

$

$1,867,060

Proceeds from sales

110,000

2,810,293

The cost basis of investments for federal income tax purposes at June 30, 2019 was as follows*:

Cost basis of investments

$21,887,956

Gross unrealized appreciation

7,199,261

Gross unrealized depreciation

(586,551

)

Net unrealized appreciation (depreciation)

$6,612,710

*Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Portfolio’s most recent annual report.

Note 4 – Income Taxes

The tax character of distributions for the period ended June 30, 2019 will be determined at the end of the Portfolio’s current fiscal year.

Distributions for the year ended December 31, 2018 were characterized for federal income tax purposes as follows:

 

YEAR ENDED DECEMBER 31, 2018

Distributions paid from:

Ordinary income

$697,814

Long-term capital gains

705,621

Return of capital

As of December 31, 2018, the components of accumulated earnings/(loss) on a tax basis were as follows:

Undistributed ordinary income

$

237,091

Undistributed capital gains

Total undistributed earnings

237,091

Accumulated capital and other losses

Net unrealized gains/(losses)

2,922,263

Total accumulated earnings/(losses)

3,159,354

Other

(126,467

)

Paid-in-capital

21,008,287

Net assets applicable to common shareholders

$24,041,174

Note 5 – Derivative Instruments

Foreign Currency Risk. The Portfolio may engage in portfolio hedging with respect to changes in currency exchange rates by entering into forward foreign currency contracts to purchase or sell currencies. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at a future date at a negotiated forward rate. Risks associated with such contracts include, among other things, movement in the value of the foreign currency relative to the U.S. dollar and the ability of the counterparty to perform.

22   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

Notes to Financial Statements (Unaudited)

To mitigate the counterparty risk, the Portfolio may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivative contract counterparties. An ISDA Master Agreement is a bilateral agreement between the Portfolio and a counterparty that governs Over-The-Counter derivatives and foreign exchange contracts and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Portfolio may, under certain circumstances, offset with the counterparty certain derivative financial instrument’s payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default (close-out netting) including the bankruptcy or insolvency of the counterparty. Generally, collateral is exchanged between the Portfolio and the counterparty and the amount of collateral due from the Portfolio or to a counterparty has to exceed a minimum transfer amount threshold before a transfer has to be made. To the extent amounts due to the Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from counterparty nonperformance. When a Portfolio is required to post collateral under the terms of a derivatives transaction and master netting agreement, the Portfolio’s custodian holds the collateral in a segregated account, subject to the terms of a tri-party agreement among the Portfolio, the custodian and the counterparty.  The master netting agreement and tri-party agreement provide, in relevant part, that the counterparty may have rights to the amounts in the segregated account in the event that the Portfolio defaults in its obligation with respect to the derivative instrument that is subject to the collateral requirement.  When a counterparty is required to post collateral under the terms of a derivatives transaction and master netting agreement, the counterparty delivers such amount to the Portfolio’s custodian.  The master netting agreement provides, in relevant part, that the Portfolio may have rights to such collateral in the event that the counterparty defaults in its obligation with respect to the derivative instrument that is subject to the collateral requirement. Generally before a default neither the Portfolio nor the counterparty may resell, rehypothecate or repledge any collateral that it receives.

For financial reporting purposes, the Portfolio does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities. The Portfolio’s net counterparty exposure is reflected in the counterparty table below. The net unrealized gain, if any, represents the credit risk to the Portfolio on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. The Portfolio realizes a gain or loss when a position is closed or upon settlement of the contracts. Please see the disclosure regarding ISDA Master Agreements under Foreign Currency Risk within this note.

As of June 30, 2019, the Portfolio had outstanding forward foreign currency contracts as listed on the Schedule of Investments.

Equity Risk. The Portfolio may engage in option transactions and in doing so achieves similar objectives to what it would achieve through the sale or purchase of individual securities. A call option, upon payment of a premium, gives the purchaser of the option the right to buy, and the seller of the option the obligation to sell, the underlying security, index or other instrument at the exercise price. A put option gives the purchaser of the option, upon payment of a premium, the right to sell, and the seller the obligation to buy, the underlyingsecurity, index, or other instrument at the exercise price.

To seek to offset some of the risk of a potential decline in value of certain long positions, the Portfolio may also purchase put options on individual securities, broad-based securities indexes or certain exchange-traded funds (“ETFs”). The Portfolio may also seek to generate income from option premiums by writing (selling) options on a portion of the equity securities (including securities that are convertible into equity securities) in the Portfolio, on broad-based securities indexes, or certain ETFs.

When the Portfolio purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Portfolio writes an option, it receives a premium and an amount equal to that premium is recorded as a liability. The asset or liability is adjusted daily to reflect the current market value of the option. If an option expires unexercised, the Portfolio realizes a gain or loss to the extent of the premium received or paid. If an option is exercised, the premium received or paid is recorded as an adjustment to the proceeds from the sale or the cost basis of the purchase. The difference between the premium and the amount received or paid on a closing purchase or sale transaction is also treated as a realized gain or loss. The cost of securities acquired through the exercise of call options is increased by premiums paid. The proceeds from securities sold through the exercise of put options are decreased by the premiums paid. Gain or loss on written options and purchased options is presented separately as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.

Options written by the Portfolio do not typically give rise to counterparty credit risk since options written obligate the Portfolio and not the counterparty to perform. Exchange traded purchased options have minimal counterparty credit risk to the Portfolio since the exchange’s clearinghouse, as counterparty to such instruments, guarantees against a possible default.

As of June 30, 2019, the Portfolio had outstanding purchased options and/or written options as listed on the Schedule of Investments.

23

Notes to Financial Statements (Unaudited)

As of June 30, 2019, the Portfolio had outstanding derivative contracts which are reflected on the Statement of Assets and Liabilities as follows:

 

ASSET DERIVATIVES

 

LIABILITY DERIVATIVES

 

Gross amounts at fair value:

Forward foreign currency contracts(1)

$

247

$

522

Purchased options(2)

111,881

Written options(3)

 

 

 

3,538

 

 

$

112,128

 

$

4,060

 

(1)Generally, the Statement of Assets and Liabilities location for Forward foreign currency contracts is Unrealized appreciation on forward foreign currency contracts for asset derivatives and Unrealized depreciation on forward foreign currency contracts for liability derivatives.

(2)Generally, the Statement of Assets and Liabilities location for Purchased options is Investments in securities, at value.

(3)Generally, the Statement of Assets and Liabilities location for “Written Options” is Options written, at value.

The following table presents the outstanding derivative contracts, organized by counterparty, that are subject to enforceable master netting agreements as of June 30, 2019:

GROSS AMOUNTS NOT OFFSET
IN THE STATEMENT OF ASSETS AND LIABILITIES

 

GROSS AMOUNTS PRESENTED IN THE
STATEMENT OF ASSETS AND LIABILITIES

COLLATERAL
PLEDGED

 

NET AMOUNT
RECEIVABLE
IN THE EVENT
OF DEFAULT

 

NET AMOUNT
PAYABLE IN
THE EVENT
OF DEFAULT

 

Counterparty

 

ASSETS

 

LIABILITIES

 

Northern Trust Company

ISDA

$

$

306

$

$

$

306

State Street Bank and Trust

ISDA

247

216

31

 

$

247

$

522

$

$

31

$

306

For the period endedJune 30, 2019, the volume of derivative activity for the Portfolio is reflected below:*

 

Volume

 

Forward foreign currency contracts

295,757

Purchased options

864

Written options

97

Note 6 – Securities Lending

The Portfolio may loan one or more of its securities to broker-dealers and banks. Any such loan must be secured by collateral in cash or cash equivalents maintained on a current basis in an amount at least equal to the value of the securities loaned by the Portfolio. The Portfolio continues to receive the equivalent of the interest or dividends paid by the issuer on the securities loaned and also receives an additional return that may be in the form of a fixed fee or a percentage of the collateral disclosed on a net basis as Securities lending income in the Statement of Operations. The additional return is disclosed on a net basis as Securities lending income in the Statement of Operations. Upon receipt of cash or cash equivalent collateral, the Portfolio’s securities lending agent invests the collateral into short term investments following investment guidelines approved by Calamos Advisors. The Portfolio records the investment of collateral as an asset (Investment in securities, at value or Restricted cash for collateral on securities loaned) and the value of the collateral as a liability (Collateral for securities loaned) on the Statement of Assets and Liabilities. If the value of the invested collateral declines below the value of the collateral deposited by the borrower, the Portfolio will record unrealized depreciation equal to the decline in value of the invested collateral. The Portfolio will pay reasonable fees to persons unaffiliated with the Portfolio for services in arranging these loans. The Portfolio has the right to call a loan and obtain the securities loaned at any time. The Portfolio does not have the right to vote the securities during the existence of the loan but could call the loan in an attempt to permit voting of the securities in certain circumstances. Upon return of the securities loaned, the cash or cash equivalent collateral will be returned to the borrower. In the event of bankruptcy or other default of the borrower, the Portfolio could experience both delays in liquidating the loan collateral or recovering the loaned securities and losses, including (a) possible decline in the value of the collateral or in the value of the securities loaned during the year while the Portfolio seeks to enforce its rights thereto, (b) possible subnormal levels of income and lack of access to income during this year, and (c) the expenses of enforcing its rights. In an effort to reduce these risks, the Portfolio’s security lending agent monitors and reports to Calamos Advisors on the creditworthiness of the firms to which the Portfolio lends securities.

24   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

Notes to Financial Statements (Unaudited)

At June 30, 2019, the Portfolio held securities valued at $1,842,826 that were on loan to broker-dealers and banks. The Portfolio also held collateral of $350,740 and $1,492,086 in equity and fixed income securities, respectively, and an additional $102,862 in excess of the amount due to the counterparty, which is reflected as a corresponding liability for such collateral of $1,739,964.

Repurchase agreements involve the Portfolio purchasing securities from a seller, subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. Collateral investments in repurchase agreements are collateralized by U.S. Treasury Bonds. The U.S. Treasury Bonds are held in a custody account at Citibank N.A., the Portfolio’s securities lending agent, on behalf of the Portfolio participating in the securities lending program. In the event the counterparty defaults on the repurchase agreement, the U.S. Treasury Bonds can either be maintained as part of the Portfolio or sold for cash. The Portfolio could suffer a loss to the extent that the proceeds from the sale of the underlying collateral held by the Portfolio is less than the repurchase price and the Portfolio’s costs associated with the delay and enforcement of the MRA. The Portfolio did not hold any repurchase agreements at June 30, 2019.

Note 7 – Fair Value Measurements

Various inputs are used to determine the value of the Portfolio’s investments. These inputs are categorized into three broad levels as follows:

Level 1 – Prices are determined using inputs from unadjusted quoted prices from active markets (including securities actively traded on a securities exchange) for identical assets.

Level 2 – Prices are determined using significant observable market inputs other than unadjusted quoted prices, including quoted prices of similar securities, fair value adjustments to quoted foreign securities, interest rates, credit risk, prepayment speeds, and other relevant data.

Level 3 – Prices reflect unobservable market inputs (including the Portfolio’s own judgments about assumptions market participants would use in determining fair value) when observable inputs are unavailable.

Debt securities are valued based upon evaluated prices received from an independent pricing service or from a dealer or broker who makes markets in such securities. Pricing services utilize various observable market data and as such, debt securities are generally categorized as Level 2. The levels are not necessarily an indication of the risk or liquidity of the Portfolio’s investments.

The following is a summary of the inputs used in valuing the Portfolio’s holdings at fair value:

 

LEVEL 1

 

LEVEL 2

 

LEVEL 3

 

TOTAL

 

Assets: 

Convertible Bonds

$

$

3,828,994

$

$

3,828,994

U.S. Government and Agency Securities

391,871

391,871

Synthetic Convertible Securities (Corporate Bonds)

717,403

717,403

Synthetic Convertible Securities (Purchased options)

86,786

86,786

Convertible Preferred Stocks

1,815,228

263,933

2,079,161

Common Stocks U.S.

18,781,360

18,781,360

Exchange-Traded Funds

306,977

306,977

Purchased options

25,095

25,095

Short Term Investments

546,593

546,593

Investment of Cash Collateral For Securities Loaned

1,739,964

1,739,964

Forward Foreign Currency Contracts

247

247

Total

$

21,562,039

$

6,942,412

$

$

28,504,451

Liabilities: 

Written option

$

3,538

$

$

$

3,538

Forward Foreign Currency Contracts

522

522

Total

$

3,538

$

522

$

$

4,060

25

Financial Highlights

Selected data for a share outstanding throughout each period were as follows:

 

(Unaudited)
Six Months
Ended
June 30,
2019

 

Year Ended December 31,

2018 

 

2017

 

2016

 

2015

 

2014

PER SHARE OPERATING PERFORMANCE

Net asset value, beginning of period

$14.01

$15.54

$14.24

$14.07

$14.87

$15.48

Income from investment operations:

Net investment income (loss)(a)

0.08

0.18

0.16

0.15

0.20

0.20

Net realized and unrealized gain (loss)

2.13

(0.85

)

2.03

0.74

(0.03

)

0.84

Total from investment operations

2.21

(0.67

)

2.19

0.89

0.17

1.04

Less distributions to common shareholders from:

Net investment income

(0.19

)

(0.21

)

(0.13

)

(0.35

)

(0.40

)

(0.15

)

Net realized gains

(0.65

)

(0.76

)

(0.37

)

(0.57

)

(1.50

)

Total distributions

(0.19

)

(0.86

)

(0.89

)

(0.72

)

(0.97

)

(1.65

)

Net asset value, end of period

$16.03

$14.01

$15.54

$14.24

$14.07

$14.87

TOTAL RETURN APPLICABLE TO COMMON SHAREHOLDERS

Total investment return based on:(d)

Net asset value(b)

15.82%

(4.39%

)

15.51%

6.32%

1.12%

6.84%

RATIOS TO AVERAGE NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS

Net expenses

1.43%

(c)

1.35%

1.48%

1.57%

1.46%

1.41%

Net investment income (loss)

1.11%

(c)

1.15%

1.05%

1.07%

1.36%

1.26%

SUPPLEMENTAL DATA

Net assets applicable to common shareholders,
end of period (000)

$26,746

$24,041

$26,887

$24,941

$26,283

$27,748

Portfolio turnover rate

7.5%

21.7%

32.0%

28.5%

21.4%

47.6%

(a)Net investment income allocated based on average shares method.

(b)Total return measures net investment income and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions.

(c)Annualized.

(d)Performance figures of the Portfolio do not reflect fees charged pursuant to the terms of variable life insurance policies and variable annuity contracts.

26   CALAMOS GROWTH AND INCOME PORTFOLIO SEMIANNUAL REPORT

Report of Independent Registered Public Accounting Firm

To the Shareholders and Board of Trustees of
Calamos Advisors Trust

Results of Review of Interim Financial Information

We have reviewed the accompanying statement of assets and liabilities, including the schedule of investments, of Calamos Growth and Income Portfolio (the “Portfolio”), the sole portfolio constituting the Calamos Advisors Trust (the “Trust”), as of June 30, 2019, and the related statements of operations, changes in net assets, and the financial highlights for the six-month period then ended. Based on our review, we are not aware of any material modifications that should be made to the accompanying interim financial statements and financial highlights for them to be in conformity with accounting principles generally accepted in the United States of America.

We have previously audited, in accordance with the standards of the Public Company Accounting Oversight Board (United States) (PCAOB), the statement of changes in net assets of the Portfolio for the year ended December 31, 2018 and the financial highlights for each of the five years then ended, and in our report dated February 5, 2019, we expressed an unqualified opinion on such statement of changes in net assets and financial highlights.

Basis for Review Results

This interim financial information is the responsibility of the Portfolio’s management. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our reviews in accordance with the standards of the PCAOB. A review of interim financial information consists principally of applying analytical procedures and making inquiries of persons responsible for financial and accounting matters. It is substantially less in scope than an audit conducted in accordance with the standards of the PCAOB, the objective of which is the expression of an opinion regarding the financial statements taken as a whole. Accordingly, we do not express such an opinion.

August 1, 2019

Chicago, Illinois

We have served as the auditor of one or more Calamos investment companies since 2003.

  

2020 Calamos Court

Naperville, IL 60563-2787

800.582.6959

www.calamos.com

© 2019 Calamos Investments LLC. All Rights Reserved.
Calamos
® and Calamos Investments® are registered trademarks of Calamos Investments LLC.

KCLSAN 2146 2019

This report, including the audited financial statements contained herein, is submitted for general information for the shareholders of the Portfolio. The report is not authorized for distribution to prospective investors in the Portfolio unless accompanied by a currently effective prospectus of the Portfolio.

A description of the Calamos Proxy Voting Policies and Procedures and the Portfolio’s proxy voting record for the 12-month period ended June 30 are available free of charge upon request by calling 800.582.6959, by visiting the Calamos Web site atwww.calamos.com, or by writing Calamos at: Calamos Investments, Attn: Client Services, 2020 Calamos Court, Naperville, IL 60563. The Portfolio’s proxy voting record is also available free of charge by visiting the SEC Web site at www.sec.gov.

The Portfolio files a complete list of their portfolio holdings with the SEC for the first and third quarters each fiscal year as an exhibit to its report on Form N-PORT. The Portfolio’s Form N-PORT reports are available on the commission’s website at www.sec.gov.

 

 

ITEM 2. CODE OF ETHICS.

The information required by this Item 2 is only required in an annual report on this Form N-CSR.

ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.

The information required by this Item 3 is only required in an annual report on this Form N-CSR.

ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.

The information required by this Item 4 is only required in an annual report on this Form N-CSR.

ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.

Not applicable.

ITEM 6. SCHEDULE OF INVESTMENTS

Included in the Report to Shareholders in Item 1.

ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS.

Not applicable.

ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.

No material changes.

ITEM 11. CONTROLS AND PROCEDURES.

a) The registrant’s principal executive officer and principal financial officer have evaluated the registrant’s disclosure controls and procedures within 90 days of this filing and have concluded that the registrant’s disclosure controls and procedures were effective, as of that date, in ensuring that information required to be disclosed by the registrant in this Form N-CSR was recorded, processed, summarized, and reported within the time periods specified in the Commission’s rules and forms.

b) There were no changes in the registrant’s internal controls over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting.

ITEM 12. DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES.

Not applicable.

ITEM 13. EXHIBITS.

(a)(1) Code of Ethics — Not applicable for this semiannual report.

(a)(2)(i) Certification of Principal Executive Officer.

(a)(2)(ii) Certification of Principal Financial Officer.

(b) Certifications pursuant to Section 906 of the Sarbanes Oxley Act of 2002.

 

 

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Calamos Advisors Trust

By:/s/ John P. Calamos, Sr.
Name:John P. Calamos, Sr.
Title:Principal Executive Officer
Date:August 5, 2019
  
By:/s/ Curtis Holloway
Name:     Curtis Holloway
Title:Principal Financial Officer
Date:August 5, 2019

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

Calamos Advisors Trust

By:/s/ John P. Calamos, Sr.
Name:John P. Calamos, Sr.
Title:Principal Executive Officer
Date:August 5, 2019
  
By:/s/ Curtis Holloway
Name:     Curtis Holloway
Title:Principal Financial Officer
Date:August 5, 2019