UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: | 811-05443 |
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: | Calamos Investment 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: | October 31, 2021 |
DATE OF REPORTING PERIOD: | November 1, 2020 through April 30, 2021 |
ITEM 1(a). REPORT TO SHAREHOLDERS.
TIMELY INFORMATION INSIDE
Visit www.calamos.com/paperless to enroll. You can view shareholder communications, including fund prospectuses, annual reports and other shareholder materials online long before the printed publications arrive by traditional mail.
Family of Funds
SEMIANNUAL REPORT APRIL 30, 2021
Alternative
Calamos Market Neutral Income Fund
Calamos Hedged Equity Fund
Calamos Phineus Long/Short Fund
Convertible
Calamos Convertible Fund
Calamos Global Convertible Fund
U.S. Equity
Calamos Timpani Small Cap Growth Fund
Calamos Timpani SMID Growth Fund
Calamos Growth Fund
Calamos Growth and Income Fund
Calamos Dividend Growth Fund
Calamos Select Fund
Global Equity
Calamos International Growth Fund
Calamos Evolving World Growth Fund
Calamos Global Equity Fund
Calamos Global Opportunities Fund (formerly,
Calamos Global Growth and Income Fund)
Fixed Income
Calamos Total Return Bond Fund
Calamos High Income Opportunities Fund
Calamos Short-Term Bond Fund
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 funds to suit a variety of asset allocation needs. Our 18 mutual funds include equity, fixed income, convertible 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, discipline and our conscientious research.
We believe an active, risk-conscious approach is essential for wealth creation. In our early years, we pioneered the use of convertible securities as a means to control 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 1990, 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. Since then, we have invested through the ebb and flow of multiple markets, each with its own set of challenges. Out of this experience comes our belief that the flipside of volatility is opportunity.
TABLE OF CONTENTS
Letter to Shareholders | 1 | ||||||
The Funds | |||||||
Calamos Market Neutral Income Fund | 5 | ||||||
Calamos Hedged Equity Fund | 9 | ||||||
Calamos Phineus Long/Short Fund | 12 | ||||||
Calamos Convertible Fund | 20 | ||||||
Calamos Global Convertible Fund | 24 | ||||||
Calamos Timpani Small Cap Growth Fund | 27 | ||||||
Calamos Timpani SMID Growth Fund | 31 | ||||||
Calamos Growth Fund | 35 | ||||||
Calamos Growth and Income Fund | 39 | ||||||
Calamos Dividend Growth Fund | 43 | ||||||
Calamos Select Fund | 46 | ||||||
Calamos International Growth Fund | 50 | ||||||
Calamos Evolving World Growth Fund | 54 | ||||||
Calamos Global Equity Fund | 58 | ||||||
Calamos Global Opportunities Fund (formerly, Calamos Global Growth and Income Fund) | 63 | ||||||
Calamos Total Return Bond Fund | 67 | ||||||
Calamos High Income Opportunities Fund | 71 | ||||||
Calamos Short-Term Bond Fund | 75 | ||||||
Expense Overview | 79 | ||||||
Schedules of Investments | 83 | ||||||
Statements of Assets and Liabilities | 171 | ||||||
Statements of Operations | 177 | ||||||
Statements of Changes In Net Assets | 181 | ||||||
Notes to Financial Statements | 187 | ||||||
Financial Highlights | 219 | ||||||
Report of Independent Registered Public Accounting Firm | 276 | ||||||
Liquidity Risk Management Program | 278 |
Letter to Shareholders
JOHN P. CALAMOS, SR.
Founder, Chairman and Global Chief Investment Officer
Dear Fellow Shareholder:
Welcome to your semiannual report for the six-month period ended April 30, 2021. In this report, you will find commentary from the Calamos portfolio management teams, as well as a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and positioning of the Calamos Funds.
Throughout history, the global economy and financial markets have navigated unprecedented challenges and uncertainty, guided by human ingenuity, innovation and forward-looking perspective. We saw this continue during the semiannual period, with many asset classes posting strong gains. Volatility has ramped up, but we believe there is additional upside for experienced, risk-conscious investors. As the global economy continues to make its way through an extraordinary period, individual security selection and active management will be extremely important, both for identifying opportunities and understanding potential risks. Our teams are confident that the Calamos Funds are well positioned to capitalize on the potential we see across the markets.
Market Review
The semiannual period spanned a period of significant change—including a new U.S. presidential administration and shifts in Congress, eagerly anticipated COVID-19 vaccine rollouts, and varying levels of economic re-opening around the world. The period also saw the emergence of long-dormant inflation pressures and rising interest rates, including a near doubling of the 10-year U.S. Treasury yield. Meanwhile, the Federal Reserve and other central banks affirmed their commitments to supportive policy and fiscal stimulus continued at record levels.
Stock and convertible markets advanced at a brisk clip during the reporting period, with vaccination progress, job gains and other positive economic data, corporate earnings, fiscal stimulus and accommodative monetary policy giving market participants reasons for optimism. However, as we noted, volatility was also formidable. While many growth-oriented securities continued to post very healthy returns in absolute terms, value-oriented and cyclical sectors came back into favor as investors contemplated the strength of the economy, rising interest rates and inflation pressures. Within the fixed-income markets, high-yield securities outpaced investment-grade issues.
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Letter to Shareholders
Outlook
We believe the global economic recovery will continue at a strong pace over the near term. Of course, the rate of growth will vary among regions, with the U.S. among the economies that are particularly well positioned, due to accommodative fiscal conditions and extraordinary levels of stimulus. We also see improving fundamentals in a number of other countries. There will be many investment opportunities through this phase of the cycle, including in the securities of companies positioned to benefit from reopening and recovery as well as innovative businesses at the forefront of established and emerging growth trends.
Capitalizing on this diverse opportunity set requires long-term perspective because short-term volatility is likely to remain elevated. We are prepared for continued market rotation as the economy accelerates before ultimately settling into a new post-pandemic "normal." We also expect fiscal policy uncertainty about the U.S. tax and regulatory environment will fuel market turbulence with the potential to also influence the longer-term course of the U.S. economic recovery.
Over recent years, investors have grown accustomed to historically low levels of inflation, and it is understandable that many are concerned about the emergence of inflationary pressures and recent spikes. All of our teams are closely monitoring inflation data and its drivers. Overall, what we have seen thus far is not surprising, given the combination of healthy consumer balance sheets, fiscal stimulus, pent-up demand and economic reopening. Also, while inflation has risen, it is still relatively low, with year-over-year changes coming off very low base effects. Indeed, today we are not witnessing the double-digit inflation increases that I remember from past decades.
Similarly, the increase in the yield of the 10-year Treasury has so far reflected a return to growth and more normal conditions. Although the yield of the 10-year Treasury has risen quickly, it is still low if we look back over decades.
Asset allocation in a changing world
From an asset allocation standpoint, we encourage investors to maintain broad diversification—by asset class, investment style, market capitalization, and geography. However, asset allocation is not static, and we encourage investors to consult with their investment professionals on an ongoing basis and especially during periods of rapid economic change. Your investment professional can help you determine if you should rebalance your asset allocation in response to market conditions or your unique personal circumstances.
In the current environment, many investors may be under-allocated to small-cap companies and emerging markets, areas that have tended to perform well during recovery periods. (For more on the opportunities we see in small and mid-sized companies, please see the investment team commentaries for Calamos Timpani
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Letter to Shareholders
Small Cap Growth Fund and Calamos Timpani SMID Growth Fund; for more on emerging markets, see the commentaries for our global and international strategies, including Calamos Evolving World Growth Fund.)
In this period of heightened disruption and rapid innovation, our teams are excited about the potential they see in many growth companies. Value stocks have enjoyed greater market favor in recent months, but we would caution investors from thinking of growth stocks and value stocks as an "either/or" proposition. Shifts between growth and value can happen quickly, and since it is impossible to predict the twists and turns, we believe actively managed growth equities are best thought of as a strategic portfolio cornerstone, providing the opportunity to share in the potential of innovative companies. Calamos Growth Fund, for example, is invested in a breadth of companies with sustainable and highly profitable business models, including those positioned to benefit from economic reopening as well as traditional secular growth opportunities.
As investors confront the prospect of rising interest rates and market volatility, Calamos funds that invest in convertible securities may be a compelling choice. Convertibles blend attributes of stocks and fixed-income securities. As a result, they may be less vulnerable to rising interest rates compared with traditional bonds. Convertibles have also offered the opportunity for upside stock market participation with potentially less exposure to stock market downside. Our actively managed convertible strategies include dedicated convertible offerings, such as Calamos Convertible Fund and Calamos Global Convertible Fund, as well as multi-asset class choices such as Calamos Global Opportunities Fund and Calamos Growth and Income Fund.
Well-diversified portfolios also include allocations to fixed-income funds. While traditional fixed-income investments—like long-dated Treasury bonds—typically face pressures in rising interest rate environments, it's important to remember it's a market of bonds, not a bond market. There's considerable variation and a breadth of opportunity in the fixed-income markets. For example, Calamos High Income Opportunities Fund invests in high-yield bonds, an area of the market that may provide compelling opportunities at this point of the cycle, as default rates decline from 2020 levels and economic recovery provides a wind in the sails for select issuers. Additionally, short-term bond funds such as Calamos Short-Term Bond Fund may provide a haven from short-term volatility in the equity markets, with relatively less duration risk versus longer-term bonds and more potential upside than cash.
Finally, investors may wish to consult with their investment professional about the potential benefits of including liquid alternative strategies in their asset allocations. Because they can utilize different strategies than traditional mutual funds, liquid alternatives have more tools for navigating market volatility and reducing exposure to certain risks. For example, Calamos Market Neutral Income Fund, a fixed-income alternative,
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Letter to Shareholders
seeks to provide consistent performance by employing strategies that are not dependent on interest rates to source income. For the equity side of an asset allocation, Calamos Hedged Equity Fund and Calamos Phineus Long/Short Fund employ time-tested strategies that can capitalize on equity market volatility, whether markets are moving up or down.
In closing
I encourage you to visit our website, www.calamos.com, for ongoing updates about the markets and asset allocation strategies for investors seeking income, capital appreciation or both. On behalf of all of us at Calamos Investments, I thank you for your trust. We are honored to serve you and help you achieve your asset allocation goals.
Sincerely,
John P. Calamos, Sr.
Founder, Chairman and Global Chief Investment Officer
Before investing, carefully consider a fund's investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information or call 800.582.6959. Please read the prospectus carefully. Performance data represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted.
Diversification and asset allocation do not guarantee a profit or protection against a loss. Investments in alternative strategies may not be suitable for all investors.
Returns for the six months ended April 30, 2021: The MSCI All Country World Index, a measure of global stock market performance, returned 28.56%. The S&P 500 Index, a measure of the U.S. stock market, returned 28.85%. The Russell 3000 Value Index, a measure of U.S. value stock performance, returned 37.64%. The Russell 3000 Growth Index, a measure of U.S. growth stock performance, returned 25.08%. The Russell 2000 Index, a measure of small-cap performance, returned 48.06%. The MSCI Emerging Market Index, a measure of emerging market equity performance, returned 23.09%. The ICE BofA All U.S. Convertibles Index, a measure of the U.S. convertible securities market, returned 27.33%. The Refinitiv Global Convertible Bond Index, a measure pf the global convertible bond market, returned 20.84%. The Bloomberg Barclays U.S. High Yield 2% Issuer Capped Index, a measure of the performance of high-yield corporate bonds with a maximum allocation of 2% to any one issuer, returned 7.98%. The Bloomberg Barclays U.S. Aggregate Bond Index, a measure of the U.S. investment-grade bond market, returned -1.52%.
Source: Lipper, Inc and Mellon Analytical Solutions, LLC. Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Returns are in U.S. dollar terms.
Investments in overseas markets pose special risks, including currency fluctuation and political risks. These risks are generally intensified for investments in emerging markets. Countries, regions, and sectors mentioned are presented to illustrate countries, regions, and sectors in which a fund may invest. Fund holdings are subject to change daily. The Funds are actively managed. The information contained herein is based on internal research derived from various sources and does not purport to be statements of all material facts relating to the securities mentioned.
The information contained herein, while not guaranteed as to accuracy or completeness, has been obtained from sources we believe to be reliable. There are certain risks involved with investing in convertible securities in addition to market risk, such as call risk, dividend risk, liquidity risk and default risk, which should be carefully considered prior to investing.
Opinions are as of the publication date, subject to change and may not come to pass.
This information is being provided for informational purposes only and should not be considered investment advice or an offer to buy or sell any security in the portfolio. Investments in alternative strategies may not be suitable for all investors.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
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Calamos Market Neutral Income Fund
CALAMOS MARKET NEUTRAL INCOME FUND
INVESTMENT TEAM DISCUSSION
Please discuss the Fund's strategy and role within an asset allocation.
Launched more than 30 years ago, Calamos Market Neutral Income Fund represents one of the first liquid alternative mutual funds and blends two main strategies—convertible arbitrage and covered call writing—with the aim of monetizing volatility. In addition to offering an attractive historical risk/reward profile, the Fund may enhance long-term portfolio diversification potential, especially in relation to fixed-income securities.
Recently, bouts of historically elevated equity volatility underscore the value of diversification.
Calamos Market Neutral Income Fund is designed to:
◼ Potentially enhance an investor's fixed-income allocation.
◼ Actively pursue equity market upside while hedging downside risk.
The end goal is consistent absolute total return over varying market cycles.
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Market Neutral Income Fund returned 4.55% (Class I Shares at net asset value) strongly outperforming a -2.06% loss for the Bloomberg Barclays U.S. Government/Credit Bond Index and 0.03% increase for the FTSE 30-Day U.S. Treasury Bill Index.
What factors influenced performance during the reporting period?
The equity market posted strong results in response to the COVID-19 vaccination rollouts, positive economic data, fiscal stimulus and accommodative monetary policies. The reporting period also saw periods of elevated volatility during the presidential election, the Georgia U.S. Senate run-off elections, the storming of the U.S. Capitol, stumbles during the early vaccine rollout, and commodity shortages. While realized volatility as measured by the Cboe Volatility Index (VIX) declined from 38.02 at the beginning of the period to 18.61 at the end; implied volatility levels were generally higher.
The hedged equity strategy within the Fund benefited from the strong S&P 500 Index performance, given that the strategy's equity basket was able to participate in some of the market's upside constrained by the strike price of the portfolio's use of written calls. The periods of volatility also provided attractive option rebalancing opportunities that benefited from the higher level of implied volatility seen in the options market. Additionally, the use of S&P 500 index options in the strategy provided premium capture in addition to the dividends received from the equity basket.
The convertible arbitrage portion benefited from the periods of volatility that occurred over the past six months and provided opportunities to profit from convertible hedge
OVERVIEW
The Fund combines two complementary strategies with different responses to volatility: convertible arbitrage seeks alpha and uncorrelated returns, while hedged equity provides income from options writing and upside participation.
KEY FEATURES
◼ Generates returns not dependent on interest rates, a key differentiator from traditional bond strategies.
◼ Employs an absolute-return strategy with historically lower beta to fixed-income and equity markets as well as lower volatility and limited drawdowns.
◼ As one of the first alternative mutual funds, capitalizes on more than four decades of experience in the convertible space.
PORTFOLIO FIT
The Fund may provide potential diversification, particularly in a low interest-rate environment.
FUND NASDAQ SYMBOLS
A Shares | CVSIX | ||||||
C Shares | CVSCX | ||||||
I Shares | CMNIX | ||||||
R6 Shares | CVSOX |
FUND CUSIP NUMBERS
A Shares | 128119203 | ||||||
C Shares | 128119849 | ||||||
I Shares | 128119880 | ||||||
R6 Shares | 128120342 |
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Calamos Market Neutral Income Fund
SECTOR WEIGHTINGS
Information Technology | 29.7 | % | |||||
Consumer Discretionary | 14.1 | ||||||
Communication Services | 12.0 | ||||||
Health Care | 10.2 | ||||||
Financials | 5.8 | ||||||
Industrials | 5.5 | ||||||
Other | 4.8 | ||||||
Consumer Staples | 3.1 | ||||||
Special Purpose Acquisition Companies | 2.6 | ||||||
Utilities | 2.6 | ||||||
Energy | 1.8 | ||||||
Real Estate | 1.7 | ||||||
Materials | 1.6 |
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.
A note concerning Morningstar Ratings for Calamos Market Neutral Income Fund Morningstar recently sought to refine its categorization of alternative funds, splitting large heterogeneous categories into smaller, more-focused peer sets. Calamos applauds Morningstar's continuous commitment to improving investor understanding of mutual fund offerings. As of April 30, 2021, Morningstar assigned the Fund to a new category, Relative Value Arbitrage, a group of only eight funds. With such a small set of data points, Morningstar has determined that funds in this category will not be assigned a star rating. The Fund's move to the Relative Value Arbitrage category has no bearing on the management of the fund itself, nor was it made in response to a change in the management of the Fund.
rebalancing. Additionally, the reporting period saw robust new U.S. convertible issuance of $62.1 billion according to ICE BofA. For perspective, the recent semiannual total was more than the full calendar year totals from 2007 through 2019. These new convertibles were attractive for convertible arbitrage as they fell within the balanced portion of the market and, when combined with elevated volatility, provided increased opportunities for trade rebalancing (gamma capture). Additionally, much of the new issuance was brought at a discount to the convertible's theoretical valuation, which provided an opportunity for pricing arbitrage.
A convertible bond may be thought of as the combination of a bond plus a call option. While the rising-interest-rate environment was an impediment to the convertible's bond component, narrowing credit spreads more than offset the impact from rising rates. The 3-year U.S. Treasury yield increased from 0.19% to 0.35%, the 5-year U.S. Treasury yield rose from 0.38% to 0.86%, and the 10-year U.S. Treasury yield jumped from 0.88% to 1.65%. According to Bloomberg Barclays, high-yield credit spreads narrowed by 203 basis points to 338 basis points over U.S. Treasuries. Near-zero overnight interest rates were a headwind to the carry on the cash received from short positions (our custodian rebates us the fed funds rate less our roughly 35 basis points of borrowing costs).
In summary, the Fund benefited from the strong equity market performance as the equity basket used in the hedged equity portion of the portfolio rose. Volatility provided attractive rebalancing opportunities for both hedged equity and convertible arbitrage. Robust convertible issuance and narrowing credit spreads provided attractive opportunities in convertible arbitrage. The above factors combined to create a favorable environment that allowed the Calamos Market Neutral Income Fund to post a consistent positive return while similar risk investments (like bonds) were challenged during a period of rising interest rates.
How is the Fund positioned?
At the end of the reporting period, the Fund had 54.1% in convertible arbitrage and 44.9% in covered call writing. The allocation to convertible arbitrage was trimmed from 57.7% at the beginning of the reporting period as we exited convertible positions that had become overly equity sensitive. Still, the allocation to convertible arbitrage remains at the higher end of the Fund's historical range, driven by bottom-up convertible arbitrage opportunity stemming from robust new convertible issuance. The strong issuance created ample opportunities for convertible arbitrage as a high percentage of these new convertibles traded well in the secondary market. Historically, there has been an embedded cheapness to a newly issued convertible, as issuers price the new convertible at a discount to fair value to facilitate bringing their paper to market. Through our selection process, we seek to avoid mispriced or aggressively priced convertibles and may benefit when the new convertibles trade closer to fair value in the secondary market.
Despite our active involvement in the new-issue market and a reduction in our allocation to in-the-money convertibles, the weighted average delta hedge of the convertible arbitrage strategy continues to hover at the high end of its historical range.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
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Calamos Market Neutral Income Fund
This is due to the appreciation of many convertible positions, including COVID-19 recovery names and several technology names.
Calamos Market Neutral Income Fund's hedged equity strategy has been positioned with a higher-than-typical hedge ratio. Throughout the reporting period, implied volatility levels were generally higher, especially relative to realized volatility. As a result, it has been difficult to create skew,† although we have continued to look for opportunities to add trades that improve the risk/reward profile. We have also opportunistically maintained a higher call-write percentage because of elevated implied volatility.
Do you have any closing thoughts for shareholders?
We believe that the Calamos Market Neutral Income Fund is well positioned for the current market environment. Fiscal policy uncertainties, including the potential for tax increases and more regulation, are likely to introduce market volatility. Additionally, the pandemic, potential for inflation, and political divides are likely to fuel volatility and market rotation.
As rising interest rates put pressure on traditional bond strategies, we believe the Fund can provide especially compelling benefits as a fixed-income alternative. The Fund employs two complementary strategies—convertible arbitrage and hedged equity—to pursue absolute returns and income that is not dependent on interest rates.
ANNUALIZED RETURN: SINCE INCEPTION (5/10/00) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A, Class C and Class R6 shares, the performance of which may vary. Source: State Street Corporation, Lipper, Inc., and Mellon Analytical Solutions, LLC.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
† Skew describes asymmetry from the normal distribution in a set of statistical data. Option Skew is the difference in implied volatility between out-of-the-money options, at-the-money options, and in-the-money options. Volatility skew, which is affected by sentiment and the supply-and-demand relationship, provides information that helps fund managers determine whether to write calls or puts. The Cboe SKEW Index ("SKEW") is an index derived from the price of S&P 500 tail risk. Similar to the VIX®, the price of S&P 500 tail risk is calculated from the prices of S&P 500 out-of-the-money options.
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Calamos Market Neutral Income Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS OR ^SINCE INCEPTION | ||||||||||||||||
Class A Shares – Inception 9/4/90 | |||||||||||||||||||
Without Sales Charge | 4.38 | % | 8.06 | % | 4.65 | % | 3.81 | % | |||||||||||
With Sales Charge | 2.01 | 5.60 | 3.64 | 3.31 | |||||||||||||||
Class C Shares – Inception 2/16/00 | |||||||||||||||||||
Without Sales Charge | 4.01 | 7.25 | 3.87 | 3.04 | |||||||||||||||
With Sales Charge | 3.01 | 6.25 | 3.87 | 3.04 | |||||||||||||||
Class I Shares – Inception 5/10/00 | 4.55 | 8.35 | 4.92 | 4.07 | |||||||||||||||
Class R6 Shares – Inception 6/23/20^ | 4.59 | 7.82 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.23%, Class C shares is 1.98%, Class I shares is 0.98% and Class R6 shares is 0.90%. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Performance shown reflects the effects of an expense reimbursement that improved results and was in effect until March 31, 2000. Load-adjusted returns are adjusted for the maximum front-end sales load of 2.75% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graphs do not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The Bloomberg Barclays U.S. Government/Credit Index is comprised of long-term government and investment-grade corporate debt securities and is generally considered representative of the performance of the broad U.S. bond market. The FTSE 30 Day Treasury Bill Index is an unmanaged index generally considered representative of the performance of short-term money instruments. U.S. Treasury Bills are backed by the full faith and credit of the U.S. government and offer a guarantee as to the repayment of principal and interest at maturity.
The Cboe Volatility Index (VIX) is a leading measure of market expectations of near-term volatility conveyed by S&P 500 Index (SPX) option prices.
The Morningstar Market Neutral Category represents funds that attempt to eliminate the risks of the market by holding 50% of assets in long positions in stocks and 50% of assets in short positions.
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.
The Fund's use of derivative instruments involves investment risks and transaction costs to which the Fund would not be subject absent the use of these instruments and, accordingly, may result in losses greater than if they had not been used. Derivative instruments can be illiquid, may disproportionately increase losses and may have a potentially large impact on Fund performance.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
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Calamos Hedged Equity Fund
CALAMOS HEDGED EQUITY FUND
INVESTMENT TEAM DISCUSSION
Funds Strategic Approach and Role in a Portfolio
The Fund's strategy blends a core long-equity portfolio with an actively managed options overlay. Tactical management creates opportunities to generate alpha via option market dynamics and equity market volatility. The Fund seeks to take advantage of these opportunities by being favorably positioned for as many outcomes as possible.
During the semiannual period, Calamos Hedged Equity Fund—positioned as an equity substitute—sought to provide better upside/downside asymmetry than long-only equities while dampening volatility within its equity sleeve. The team continued to utilize our 2020 approach that was highly responsive to volatile market conditions. The active approach to options strategy management serves as a critical differentiator versus peers who use less actively managed options-based strategies.
How has the Fund performed?
True to its risk-managed design, the Fund participated in the equity market's upside, approximately 53% upside capture of the S&P 500 Index, with significantly less risk based on a standard deviation of 7.6% versus long-only equities at 14.9%. Standard deviation is a measure of volatility. The Fund maintained a beta of 0.49, less than the historical beta of 0.52 versus the S&P 500 Index as of April 30, 2021. Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the market as a whole.
For the first half of 2021, Calamos Hedged Equity Fund gained 13.50% (Class I shares at net asset value) versus the S&P 500 Index gain of 28.85% and the Bloomberg Barclays U.S. Aggregate Bond Index decrease of 1.52%. Since its inception on December 31, 2014, the Fund gained 7.06% (Class I shares at net asset value) on an annualized basis versus 14.07% for the S&P 500 Index and 2.51% for the Bloomberg Barclays U.S. Aggregate Bond Index.
What factors influenced performance during the reporting period?
During the semiannual period, the domestic macro theme continued to move from "Recovery" to "Reopening." Now the Pfizer vaccine has been approved for use in children as young as 12; many Americans are upbeat about getting back to some new normal this summer. Surprisingly, the volatility markets, including the Cboe Volatility Index (VIX), have been cut in half. The VIX started the period at 38.02 and ended down at 18.61 as of April 30. The VIX futures curve is pricing mid to upper 20s through the end of 2021. The portfolio is prepared for a choppy and volatile atmosphere; however, we remain positive overall on the equity markets and believe that that risk-on asset returns could challenge further upside.
Market strength could continue in 2021 as long as there is an uptick in employment and a continuing downtick in COVID-19 deaths. We do not expect to see the starts and stops that marked the reopening phases prevalent in Q4 2020. Of course, this depends on how much critical support in the form of continued accommodative fiscal and monetary policies can be delivered by the Biden Administration and global central banks.
OVERVIEW
The Fund blends a core long-equity portfolio with an actively managed option overlay. Tactical management creates opportunities to add alpha from option market dynamics and equity market volatility.
KEY FEATURES
◼ Our investment approach is highly responsive to dynamic market conditions, unlike many less-active option-based strategies.
◼ The investment team seeks to take advantage of opportunities the market presents, with a focus on being favorably positioned for as many outcomes as possible.
PORTFOLIO FIT
The Fund's options-based risk-management strategy can provide upside participation in equity markets while limiting downside exposure, thereby improving the quality of the ride.
FUND NASDAQ SYMBOLS
A Shares | CAHEX | ||||||
C Shares | CCHEX | ||||||
I Shares | CIHEX |
FUND CUSIP NUMBERS
A Shares | 128120698 | ||||||
C Shares | 128120680 | ||||||
I Shares | 128120672 |
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Calamos Hedged Equity Fund
SECTOR WEIGHTINGS
Information Technology | 27.7 | % | |||||
Health Care | 13.3 | ||||||
Consumer Discretionary | 13.3 | ||||||
Financials | 12.0 | ||||||
Communication Services | 11.5 | ||||||
Industrials | 8.7 | ||||||
Consumer Staples | 6.1 | ||||||
Energy | 2.9 | ||||||
Materials | 2.7 | ||||||
Utilities | 2.6 | ||||||
Other | 2.5 | ||||||
Real Estate | 2.4 |
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.
How is the Fund positioned?
The Fund had less long-put exposure than we had in late 2020. The Fund has been positioned to the lower end of our guardrail long-put exposure of 40%. We took advantage of the volatility spikes in January and early March and hedged with expensive short calls. The higher call premiums meant we were being paid to sell the calls. This excess premium provided additional downside mitigation over our average 40% to 50% long-put notional minimum. To stay long leaning and keep the 'Fund's upside capture ratio close to 60% on the S&P 500 Index, the team used some of the excess premium budget to add upside long calls, improving our upside participation potential. As we noted, the current option implied volatility environment, and the strength in the equity market create added challenges in getting skew.* Option-implied volatility has been more normal going into the mid-year, and we expect that the 'VIX's actual volatility should stay at these levels. But there is one caveat, the VIX futures curve is pricing volatility in the second half of 2021 to be in the mid-20s. Considering that equities are near highs and realized volatility has been materially lower for a while, apart from some recent spurts, we expect to stay on the lower end of our beta budget, which is 48 – 49.
Should equity markets advance, the Fund's options positioning is poised to participate in upside while also providing an enhanced income stream from call spreads and equity dividends. Conversely, should the markets retreat, the dividend plus short-call income stream and the puts/put spreads used in the Fund will serve to provide potential downside mitigation.
We continue to use rallies to replace some of our put hedges with long-put spreads, which continue to appear more attractive. The Fund's net long put representation at the end of the period was 85%, with an average strike of 3707 (10.2% OTM). Our short-call positioning included a call write of -61%, gross short calls of -69%, and gross long calls of 7% at the end of the period.
At the end of the reporting period and relative to the S&P 500 Index, our sector positioning was slightly overweight to the consumer discretionary and information technology sectors. The portfolio had slight underweight to the materials, financials, consumer staples, real estate, and materials sectors. Relative to the S&P 500 Index, the Fund's market-cap positioning maintained a heavier relative weight to larger capitalization (>$25 billion) holdings and lighter weight to small and mid-capitalization ($1 to $25 billion).
What closing thoughts do you have for Fund shareholders?
The equity markets should continue to challenge all-time highs at the end of the second half of 2021. But we must be aware that markets can and do shift sentiments: growth-to-value or stay-at-home versus back-to-work plays. Sometimes these can enter correction territory (declines >10%), as we saw in Q1 of 2020, and more often, they are less frightening pullbacks (declines <10%). The most significant drop in 2021 has been less than 2%, within the expected intraday range of roughly +/-1.2%. We expect equity markets to stay volatile well into 2021, which gives us reason to be enthusiastic about our current positioning in the Fund. Should equity markets advance, the Fund is poised to participate in the upside while also providing an enhanced
* Skew describes asymmetry from the normal distribution in a set of statistical data. Option Skew is the difference in implied volatility between out-of-the-money options, at-the-money options, and in-the-money options. Volatility skew, which is affected by sentiment and the supply-and-demand relationship, provides information that helps fund managers determine whether to write calls or puts. The Cboe SKEW Index "("SKEW") is an index derived from the price of S&P 500 tail risk. Similar to the VIX®, the price of S&P 500 tail risk is calculated from the prices of S&P 500 out-of-the-money options.
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Calamos Hedged Equity Fund
income stream from well-positioned call spreads and our tracking portfolio's equity dividends. Conversely, should the markets retreat, the dividend income stream and the puts used in the Fund will serve to provide potential downside mitigation.
GROWTH OF $1,000,000: SINCE INCEPTION (12/31/14) THROUGH 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | SINCE INCEPTION | ||||||||||||||||
Class A Shares – Inception 12/31/2014 | |||||||||||||||||||
Without Sales Charge | 13.33 | % | 19.01 | % | 8.54 | % | 6.77 | % | |||||||||||
With Sales Charge | 7.91 | 13.35 | 7.49 | 5.95 | |||||||||||||||
Class C Shares – Inception 12/31/2014 | |||||||||||||||||||
Without Sales Charge | 12.91 | 18.07 | 7.77 | 6.00 | |||||||||||||||
With Sales Charge | 11.91 | 17.07 | 7.77 | 6.00 | |||||||||||||||
Class I Shares – Inception 12/31/2014 | 13.50 | 19.33 | 8.84 | 7.06 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.22%, Class C shares is 1.97% and Class I shares is 0.97%.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Performance shown includes the effects of an expense reimbursement that improved results. Load-adjusted returns are adjusted for the maximum front-end sales load of 4.75% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market.
The Bloomberg Barclays U.S. Aggregate Bond Index is considered generally representative of the investment-grade bond market.
The Cboe Volatility Index (VIX) is a leading measure of market expectations of near-term volatility conveyed by S&P 500 Index (SPX) option prices.
The Cboe SKEW Index essentially tracks the willingness of investors to pay up for downside protection on the S&P 500 Index.
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.
The Fund's use of derivative instruments involves investment risks and transaction costs to which the Fund would not be subject absent the use of these instruments and, accordingly, may result in losses greater than if they had not been used. Derivative instruments can be illiquid, may disproportionately increase losses and may have a potentially large impact on Fund performance.
www.calamos.com
11
Calamos Phineus Long/Short Fund
OVERVIEW
The Fund seeks strong risk-adjusted and absolute returns across the global equity universe. The Fund uses a global long/ short strategy to invest in publicly listed equity securities.
KEY FEATURES
◼ Fundamental global approach blends top-down and bottom-up considerations.
◼ Flexible asset allocation allows for all investment styles, market caps and geographic regions depending on the market environment.
◼ Comprehensive approach assesses stock, industry, style, country and market factors.
◼ Knowledge-based industry concentration includes technology, communications, media, financials and health care.
PORTFOLIO FIT
The Fund seeks to provide strong risk-adjusted returns via an alternative solution that complements and diversifies a global or U.S. equity allocation.
FUND NASDAQ SYMBOLS
A Shares | CPLSX | ||||||
C Shares | CPCLX | ||||||
I Shares | CPLIX |
FUND CUSIP NUMBERS
A Shares | 128120656 | ||||||
C Shares | 128120649 | ||||||
I Shares | 128120631 |
CALAMOS PHINEUS LONG/SHORT FUND
INVESTMENT TEAM DISCUSSION
What is the essence of the investment approach?
Through a global long/short structure, the Fund invests in publicly listed equity securities. Components of the strategy include:
◼ A fundamental global approach that blends top-down and bottom-up considerations. Company analysis is integrated with industry, thematic and macro research.
◼ An inclusive framework for identifying potential returns and associated risks. The framework accounts for company, industry, style, country and market factors.
◼ Flexible capital allocation allowing for all investment styles, market caps and geographic regions. The investment universe is global, liquid and scalable. Exposure levels and investment styles depend upon market conditions and the economic cycle.
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Phineus Long/Short Fund returned 44.72% (Class I Shares at net asset value). By comparison, the S&P 500 Index returned 28.85% and the MSCI World Index returned 29.39% over the same period.
Since its inception on May 1, 2002, the Fund has returned 11.32% on an annualized basis (Class I shares at net asset value) and, thus, markedly outperformed both the S&P 500 and MSCI World Indexes, which returned 9.53% and 8.63%, respectively, during that time.
While investors are persuaded that the world is heading back to normal, many are slow to understand the scale of the demand acceleration set in motion by the unprecedented circumstances. Shifts in the political and social landscape are equally portentous. Our general recognition of these dynamics in 2020 was critical, and we positioned the portfolio to optimize returns as the market rotated into sectors that offered value.
The adjustment in bond yields was significant in the period as well, but its impact was confined within the equity universe (limited to a rotation across sectors and styles) rather than at the index level. This ability of the market to absorb the rise in interest rates underscores the absence of fundamental risk for equities. Our ability to navigate within both sector and regional exposures was instrumental in our outperformance relative to general equity market indexes over the past six months.
What contributed to performance over the semiannual period under review?
The past six months were dominated by a material reassessment of the global economic outlook led by a "growth shock" in the U.S. This led to the outperformance of a range of cyclical recovery names that benefited the Fund's positioning. Industry performance was led by energy, industrials, and financials groups that dominated the Fund's long portfolio.
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Calamos Phineus Long/Short Fund
The Fund's largest contributors were from long investments in the industrials and financials sectors, while short (hedging) positions in U.S. equities hindered performance. Notable contributors during the period included long positions in Morgan Stanley 3.6%* (financials) as well as Air Lease Corp. 4.2%* (industrials).
Notable detractors included short positions in the SPDR S&P 500 ETF Trust -46.0%* (SPY) serving as a general market hedge, and a short position in Tesla, Inc. -1.6%* (consumer discretionary).
How is the Fund positioned in the context of the global economic cycle?
The broad themes have not changed: we prefer cyclicals over defensives, less mega-cap exposure and companies that can exhibit strong operating leverage in an ongoing recovery. We want to own stocks whose earnings over the coming year can rise more than the potential valuation compression in the major benchmarks.
Within the cyclical and recovery cohort, we focus on companies that should generate earnings in 2022 that are comfortably above 2019 levels. Many recovery stories will not meet this hurdle because of the lingering nature of the virus and due to capital raises that have diluted their earnings power. The Fund's largest industry biases include industrials and financials.
One corollary of this cyclical rotation is that fundamental risk for corporates is low. Expectations for S&P 500 earnings have risen by about 6% in Q1 2021, equivalent to the approximate rise in many benchmark indices. We see this trend persisting with positive estimate revisions led by industries near the epicenter of the downturn. For example, energy estimates have risen nearly 80% in Q1 2021.
The disturbance of rising interest rates—with the 10-year U.S. Treasury yield rising to as high as 1.74%—has been confined to its distributional impact across equity styles. The traditional view is that this turmoil is the consequence primarily of higher discount rates for future cash flows. But it is equally notable that investors are attaching lower risk to the corporate cash flows of cyclical, shorter-duration business models.
In the post-2008 era, the supremacy of the growth and quality styles has been so absolute and prolonged that it has dominated investor psychology and behavior everywhere. This trend of investment style is one reason to assume that the cyclical recovery stocks can continue to move higher if the coincident economic and corporate data remain robust.
Equally, we are reluctant to overlook the force of "managed markets" in amplifying the eventual move in the lower-quality, more-cyclical equity space. In a world of excess liquidity, repression of interest rates, speculation and leverage as well as the dominance of passive strategies, we have learned that financial markets discount fundamentals with relentless momentum.
This reflationary setting is producing competing bull markets in a range of risk assets, but considerable disruption as well. In the past quarter, bear markets emerged across various equity spaces such as Tesla, the solar franchise, and recent IPOs that had valued upstarts at levels disconnected from tangible fundamentals. This confluence of bull and bear moves reflects the unusual features of the recovery from the pandemic.
SECTOR WEIGHTINGS
Industrials | 33.6 | % | |||||
Financials | 17.1 | ||||||
Information Technology | 16.7 | ||||||
Communication Services | 10.6 | ||||||
Health Care | 8.8 | ||||||
Consumer Discretionary | 5.5 | ||||||
Consumer Staples | 4.8 | ||||||
Materials | 2.6 | ||||||
Energy | 1.4 | ||||||
Other | 0.6 |
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.
* 4/30/21 % of NAV
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Calamos Phineus Long/Short Fund
2020 will be remembered as the decisive end of a policy orthodoxy that favored fixed income over equities through the post-2008 era. The future direction of the 10-year U.S. Treasury yield is the barometer for this proposition. If more fact than fiction, 2020 will symbolize the climax for long-duration assets everywhere.
Our investment strategy prefers higher rather than lower interest rates. This is not only a forecast, but a judgment that equities will respond positively to higher rates. This implies markets are already sensing regime change. While central banks are pushing against rising yields, we think the Fed will become more comfortable with economic recovery and more tolerant of rising yields by late summer.
The gap between bond yields and inflation forward expectations—typically a very close relationship—remains wide. The 10-year U.S. Treasury yield can rise to the 2% level over the next six months as this gap closes with higher rates rather than inflation forwards rolling over. Even then, real interest rates (nominal interest rates less inflation forwards) would still be lower than most of the post-2008 era.
Real yields have been deeply negative through the pandemic. As the fear of deflation subsides, investors have little incentive to accept a negative real return on 10-year U.S. Treasury bonds. The current real yield of -90 bps is 140 bps below the post-2008 average despite a very different economic and policy setting. Put simply, interest rates can rise because deflation risk is subsiding.
The important insight is that investors rarely pre-empt the rise in bond yields, tending to favor cyclicals coincidentally as long as yields move higher, and earnings momentum remains superior to the more defensive parts of the market. The Fund therefore remains biased toward the consumer, industrial reopening trade and financials.
The rotation since November has been impressive and benefited the Fund's positioning, but it is premature to lean against cyclical recovery. Cyclical underperformance would require peaking economic data, weaker relative earnings, and an end to rising bond yields. We will consider fading this nearer to the autumn of 2021 or early 2022 when the acceleration in activity is largely understood and the tailwind from fiscal stimulus is complete.
A new but imbalanced global cycle
2021 has begun with U.S. equities in their familiar pole position. The pandemic has not altered the international hierarchy of corporate profit growth as U.S. profit leadership is undiminished. Europe and much of the EM world are following, but their fundamentals are lagging.
The uneven escape from COVID-19 and the climax of Chinese equities in February reinforces the message that this is not a typical synchronized upturn. 2020 witnessed the early recovery of China, but the main attraction of 2021 is the U.S. "growth shock" and its new "politics of stimulus." All of this is symptomatic of the emerging fragmentation of the world economy.
Another factor is how the service industries have been at the epicenter of the pandemic. Prior global revivals were led by recoveries in manufactured goods and commodities, which tends to disperse demand worldwide due to global supply chains. In contrast, the more-domestic service industry is taking on a larger role in this revival versus past ones.
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Calamos Phineus Long/Short Fund
This underlines a few but not all the structural forces at work. One of these is the dire outlook for European society and its Japanese-style stagnation. Another is that China is not following the West with its reflationary impulse. Finally, the consensus bearishness on the U.S. dollar has been completely wrong, which shifts the investment advantage from emerging markets to the developed economies.
The consensus has interpreted U.S. policies to reflate as the signal for U.S. dollar weakness. However, this confuses the external value of money with its internal value. The latter rather than the former is devalued as systematic asset price inflation leads to falling future expected returns. This does not produce a decline in the external value of money (the currency) because net capital outflows are reduced.
One example of this dynamic is how rising U.S. bond yields encourage capital inflows from foreign investors. This limits the rise in yields and, thus, adds momentum to the cyclical resurgence and asset price inflation. This climaxes when the reflation creates its own internal constraints upon economic growth, usually through higher nominal interest rates and tighter liquidity.
The housing market, which should be the first sector to succumb to higher rates, would be the first piece of the slowdown story of 2022. For now, investors are mistaken to conclude that a risk-on economic cycle should catalyze a weaker U.S. dollar, at least while the cycle is dominated by U.S. reflation.
Pandemic dynamics point to the end of the deflationary era
Our recent reviews have argued that the most lasting impact of the pandemic is how it has resuscitated the role of big government across many developed societies—which entails giving in to the impulse for higher public spending, higher debt levels and greater government interference in many walks of life.
The early months of the Biden administration have not underwhelmed in this respect. Its proposals amount to a radical policy discontinuity. Media and corporates have minimized their extreme nature, focusing instead on the immediate benefits of support for risk assets. For now, the proposed increases in taxation could be offset by the induced benefits upon employment and output.
But it is equally clear that the political establishment is gravitating to the ideology that "debt does not matter." While taxes will surely rise for everyone, this expansion of the public sector role in the economy will be financed largely by debt rather than taxes. Therefore, the pandemic marks the beginning of the end of the deflationary era that accelerated post-2008.
This "new politics of stimulus" is a reaction to the perception of failure of orthodox practices. By this, we refer to the disintegration of the neo-liberal economic agenda of globalization, structural austerity and central bank largesse. No one imagines that austerity or reform can be re-imposed upon Western populations, while the pandemic has encouraged interventionism as politicians respond to the demand for a protective state.
Today's policy revolution has only imperfect parallels from the past, but the common thread is the abandonment of any belief in financial discipline. The implications of this are not yet visible on the horizon. For the next year, much of this immoderate spending should be positive for risk assets because of the removal of any constraint upon
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Calamos Phineus Long/Short Fund
liquidity. And yet, the lesson of history is that this liberation of liquidity is an eventual precursor to economic and financial instability.
Regime change rarely happens in a straight line. It is debated for years before the full import of the transition becomes visible in the economic and social character of the times. But the direction of travel points to a less moderate decade ahead—one whose ingredients include the bankruptcy of the policies of the past, the deterioration of social cohesion and the unrestrained willingness of governments to embark on debt-financed expansion.
It is premature to position portfolios for a world whose outline is barely discernible, yet there are a few sources of instability worth pondering. The first is the absence of any intellectual conviction or framework for determining policy beyond expediency. This implies an unpredictability that investors may be unaccustomed to. This combined with the different capacities of countries to reflate implies that greater variability and volatility could characterize the next cycle.
The second source of instability is how central banks have used financial markets as the conduit for reflation. Once today's wave of policy support is absorbed by risk assets and the marginal impact of the policy levers is exhausted, one wonders if a soft landing can be engineered.
The past quarter provided a foretaste of this dilemma as the Fed was far less able to control bond yields than many had assumed. Investors are enjoying the initial fruits of these developments, but the shape of 2022 is looking far less investor friendly.
2021 Benchmark Forecast
Our base case S&P 500 price range is $4,000 to $4,400, with heightened risk beyond May. The equity backdrop could remain constructive in the second half, but there is debate regarding the robustness of the U.S. consumer's recovery through the second half of the calendar year.
S&P 500 earnings estimates for 2021 are rising steadily and we see this extending into 2022. By Q4, S&P 500 earnings could be annualizing near $210/share, with investors looking to $230/share by late 2022. In normal times, consensus estimates plateau early in the calendar year and move lower in subsequent quarters. However, this is less common during the initial stages of economic recovery.
We see earnings as strongly levered to the momentum of global activity, and corporate margins will follow. Into 2022, climaxing momentum and peak margins along with taxation and regulation will weigh on the outlook. But this concern is premature for now. The bulk of 2021 revisions have been concentrated in energy, materials and financials, which are all some distance from peak margins.
Rising but still moderate inflation expectations and the likelihood of an extended economic expansion have driven the equity risk premium lower—offsetting the rise in 10-year U.S. Treasury yields—which could rise to the 2% level over the next six months as the gap between bond yields and inflation forward expectations remains wide. Even then, real interest rates would still be lower than most of the post-2008 era.
The consensus has come around to our view that rates will rise, and one wonders whether that should be interpreted as a contrarian signal. However, the dominance of fixed income over equity flows over the past decade implies the opposite could be
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Calamos Phineus Long/Short Fund
true. With investor psychology toward bonds finally inflecting, the momentum for higher rates could be powerful.
Investors will anticipate a gradual shift in central bank forward guidance, probably into autumn. This implies the multiple expansion story is over, with further equity upside dependent on earnings potential. This lower macro influence upon style factors leaves stock selection as the larger driver of alpha. This was true in Q1 and we think it remains true until economic momentum climaxes.
What are your closing thoughts for the coming six months?
The period was comfortably rewarding for investors, especially those focused on the cyclical-recovery, shorter-duration spaces within equities. Despite the rotational turmoil, most styles and sectors delivered positive returns. The notable exception was the non-cyclical defensive names, which struggled to overcome the rise in bond yields.
The dominant theme of 2021—cyclical resurgence led by America—is not entirely discounted by investors. At the stock level, the real opportunity lies in those businesses with material operating leverage to the ongoing "reopening waves." The remarkable growth story of 2021 will eventually generate its own constraints, but the upswing may not crest before the early months of 2022.
The fault lines of the past decade are beginning to fade. We imagine a very different investment cycle ahead, one whose prevailing features include the growing interventionism of the public sector, the acceleration of technological change and the fragmentation of the global economy amidst rising international tensions. At minimum, investors should prepare for the sector and style turmoil that appears inevitable.
The real problem for equities will emerge when the pandemic era passes and the debate over how to withdraw stimulus programs begins. The world beyond the pandemic will not be a return to the prior status quo. All of this explains our growing apprehension for risk assets beyond 2021, when the exceptional conditions created by the pandemic begin to fade.
At that point, risk assets will face a formidable problem of "re-entry" into a new investment world. Even though "the worm will turn" to quote an old proverb, it does so slowly, so stay bullish for now.
www.calamos.com
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Calamos Phineus Long/Short Fund
ANNUALIZED RETURN: SINCE INCEPTION (5/1/02) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A and Class C shares, the performance of which may vary. Source: Morningstar, Inc.
The performance shown for periods prior to April 6, 2016 is the performance of a predecessor investment vehicle (the "Predecessor Fund"). The Predecessor Fund was reorganized into the Fund on April 6, 2016, the date upon which the Fund commenced operations. On October 1, 2015, the parent company of Calamos Advisors, purchased Phineus Partners LP, the prior investment adviser to the Predecessor Fund ("Phineus"), and Calamos Advisors served as the Predecessor Fund's investment adviser between October 1, 2015 until it was reorganized into the Fund. Phineus and Calamos Advisors managed the Predecessor Fund using investment policies, objectives, guidelines and restrictions that were in all material respects equivalent to those of the Fund. Phineus and Calamos Advisors managed the Predecessor Fund in this manner either directly or indirectly by investing all of the Predecessor Fund's assets in a master fund structure. The Predecessor Fund performance information has been adjusted to reflect Class A, Class C and Class I shares, expenses. However, the Predecessor Fund was not a registered mutual fund and thus was not subject to the same investment and tax restrictions as the Fund. If it had been, the Predecessor Fund's performance may have been lower.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
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Calamos Phineus Long/Short Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||||||||||
Class A Shares (With Predecessor) – Inception 5/1/2002 | |||||||||||||||||||
Without Sales Charge | 44.36 | % | 44.11 | % | 10.32 | % | 7.70 | % | |||||||||||
With Sales Charge | 37.48 | 37.24 | 9.25 | 7.18 | |||||||||||||||
Class C Shares (With Predecessor) – Inception 5/1/2002 | |||||||||||||||||||
Without Sales Charge | 43.98 | 43.19 | 9.50 | 6.91 | |||||||||||||||
With Sales Charge | 42.98 | 42.19 | 9.50 | 6.91 | |||||||||||||||
Class I Shares (With Predecessor) – Inception 5/1/2002 | 44.72 | 44.59 | 10.62 | 7.98 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 2.94%, Class C shares is 3.67% and Class I shares is 2.67%. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Performance shown reflects the effects of an expense reimbursement that improved results and was in effect until October 31, 2016. Load-adjusted returns are adjusted for the maximum front-end sales load of 4.75% for Class A shares. Returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graph does not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. Source: Lipper, Inc.
The MSCI World Index (U.S. Dollars) is a market-capitalization weighted index composed of companies representative of the market structure of developed market countries in North America, Europe and the Asia/Pacific region.
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.
The Fund's use of derivative instruments involves investment risks and transaction costs to which the Fund would not be subject absent the use of these instruments and, accordingly, may result in losses greater than if they had not been used. Derivative instruments can be illiquid, may disproportionately increase losses and may have a potentially large impact on Fund performance.
www.calamos.com
19
Calamos Convertible Fund
OVERVIEW
The Fund invests primarily in convertible securities of U.S. companies that are diversified across market sectors and credit quality.
KEY FEATURES
◼ Leverages more than four decades of research and experience in convertible security investing.
◼ Provides diversification across market sectors and credit quality, emphasizing midsize companies with higher-quality balance sheets.
◼ Seeks to provide upside participation in equity markets with less exposure to downside than an equity-only portfolio over a full market cycle.
◼ Takes environmental, social and governance (ESG) factors into account, evaluating whether they impact a company's cash flow, risk profile and long-term returns.
PORTFOLIO FIT
When used in conjunction with an equity allocation, the Fund offers a potential way to manage risk by employing securities that engage in upside equity movements with limited downside participation.
FUND NASDAQ SYMBOLS
A Shares | CCVIX | ||||||
C Shares | CCVCX | ||||||
I Shares | CICVX |
FUND CUSIP NUMBERS
A Shares | 128119401 | ||||||
C Shares | 128119823 | ||||||
I Shares | 128119864 |
CALAMOS CONVERTIBLE FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Convertible Fund had a positive return of 23.53% (Class I shares at net asset value) versus the ICE BofA All U.S. Convertibles Index (VXA0) increase of 27.33%. For the same period, the S&P 500 Index gained 28.85%.
Since Class I shares inception on June 25, 1997, the Fund returned 9.31% on an annualized basis compared with an annualized gain of 9.32% for the ICE BofA All U.S. Convertibles Index and an 8.73% annualized return for the S&P 500 Index.
What factors influenced performance during the reporting period?
The convertible market posted very strong results during the period, responding well to the COVID-19 vaccine rollouts, positive economic data, fiscal stimulus and accommodative monetary policies. The Fund's performance was driven in part by its exposure to technology issuers whose products facilitate working, playing, learning and shopping from home. In addition, the Fund had investments in the technology companies that make it all happen, including those in cloud computing and internet security. During the national quarantine, the adoption of these technologies accelerated at a rapid pace. Additionally, the portfolio benefited by including cyclical companies such as cruise lines, restaurants, airlines, retailers and live-event providers—well-poised to participate in the economic recovery as the end of the pandemic comes closer into view and expectations for "getting back to normal" seem tangible at last.
Along with strong performance, the convertible and equity markets did experience higher volatility as the last six months have included a high-stakes U.S. presidential election, a run-off election in Georgia that determined Congressional leadership, increasing interest rates, the storming of the U.S. Capitol, the vaccine rollout and commodity shortages. With the heightened risk related to the cumulation of events, our preference has been to focus on convertibles with balanced risk-reward attributes and to be underweight the most equity-sensitive convertibles—which generally lack favorable downside risk mitigation. This underweight position slightly held back returns as the most equity sensitive convertibles performed similarly to the overall equity market (+39.6% as measured by the ICE BofA Equity Alternative U.S. Convertible index (VEQU)). Convertibles with a more balanced risk/reward profile were up 25.4%, while those convertibles displaying more credit sensitivity were up 12.3% (as measured by the ICE BofA Total Return U.S. Convertible (VTOT) and ICE BofA Yield Alternative U.S. Convertible (VYLD) indices, respectively).
From an economic sector attribution perspective, the Fund benefited most from its underweight positioning and selection in the financials sector, overweight allocation to consumer discretionary, and an underweight allocation to the utilities sector. In financials, the portfolio benefited from strong selection in the asset management & custody banks and by avoiding the lagging mortgage REITs and consumer finance industries. Areas that detracted from performance principally related to selecting names that exhibited better risk-reward profiles—but underperformed the most equity-sensitive convertibles whose downside mitigation is deficient—specifically within information technology (application software and semiconductors) and consumer discretionary sector names (automobiles industry).
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
20
Calamos Convertible Fund
How is the Fund positioned?
We have placed an emphasis on optimizing the risk/reward profile in our positioning. We have actively positioned the portfolio to benefit from companies capitalizing on cyclical growth opportunities coming to fruition with the economy's reopening as the pandemic subsides. These opportunities span multiple industries in travel and entertainment, as noted previously, but also include typically more cyclical industries such as semiconductors, autos and housing. However, the Fund is maintaining significant exposure to secular growth areas, as we believe companies tied to long-term societal themes or multi-cycle trends enhance the prospects for success over time and can act as an enduring "wind in our sails."
New convertible issuance was robust during the semiannual period as $103.8 billion came to market globally and $62.1 billion was generated in the U.S. In terms of perspective, both those six-month amounts exceeded each of their respective annual (12-month) periods from 2007 through 2019. The new issuance expanded the convertible universe and provided an opportunity for us to rebalance the portfolio into convertibles displaying more attractive risk-reward profiles. The improved risk-reward, which provides more participation in an equity's upside move relative to a downside correction, benefits the portfolio in volatile periods. In actively managing the portfolio, we take advantage of these periods by repositioning the portfolio into structurally stronger risk-reward convertibles. For example, we may sell those convertibles that have moved up and exhibit pure equity-like characteristics (with greater downside risk) or sell those that have moved down and exhibit pure credit-like characteristics (with limited upside potential). We believe this continual portfolio restructuring provides for the best opportunity to achieve solid risk adjusted returns over the long-term.
Overall, the portfolio's largest absolute and relative overweight allocations remain within the information technology and consumer discretionary sectors. The portfolio's largest relative underweight exposures went toward more defensive areas such as the financials and utilities sectors where we believe convertible structures are less favorable.
What closing thoughts do you have for Fund shareholders?
Looking out over the next year, we maintain a favorable view of the convertible market for multiple reasons: companies have shifted from the 2020 focus of firming up balance sheets and accessing liquidity to promoting growth, expansion, capital spending, inventory rebuilding and M&A; convertibles remain an attractive, quickly accessible low cost of capital for issuers; many new issuers continue to come to the convertible market, providing interesting new opportunities; and finally, we're positive on the economy.
We expect a strong economic recovery to unfold through the year as significant fiscal stimulus, accommodative monetary policy, pent-up consumer demand and continued progress on COVID-19 vaccinations all combine to provide a powerful cyclical backdrop. However, the transition will likely be choppy with periods of uncertainty and market rotations, similar to what the markets experienced in the first calendar quarter of 2021. Fiscal stimulus and monetary policy have been key to stabilizing financial markets and driving recovery, but the potential for heightened volatility may increase as the markets await specific details of new fiscal spending and tax policies, regulatory changes and an eventual withdrawal of liquidity provided by monetary policy. Add to all this possibly higher inflation, rising interest rates, COVID-19 variants and other assorted geopolitical issues. Against this backdrop, we believe the strategic case for our actively managed convertible approach remains strong, as we position the Calamos Convertible Fund for further upside participation in higher market moves while managing downside risk.
SECTOR WEIGHTINGS
Information Technology | 30.0 | % | |||||
Consumer Discretionary | 22.4 | ||||||
Health Care | 16.5 | ||||||
Communication Services | 10.6 | ||||||
Industrials | 7.2 | ||||||
Utilities | 2.9 | ||||||
Financials | 1.7 | ||||||
Real Estate | 1.5 | ||||||
Materials | 1.1 | ||||||
Energy | 0.7 | ||||||
Consumer Staples | 0.5 |
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.
www.calamos.com
21
Calamos Convertible Fund
ANNUALIZED RETURN: SINCE INCEPTION (6/25/97) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A and Class C shares, the performance of which may vary. Source: State Street Corporation, Lipper, Inc., and Mellon Analytical Solutions, LLC.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
22
Calamos Convertible Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||||||||||
Class A Shares – Inception 6/21/85 | |||||||||||||||||||
Without Sales Charge | 23.40 | % | 55.49 | % | 17.76 | % | 9.73 | % | |||||||||||
With Sales Charge | 20.65 | 51.96 | 16.62 | 9.19 | |||||||||||||||
Class C Shares – Inception 7/5/96 | |||||||||||||||||||
Without Sales Charge | 22.95 | 54.41 | 16.89 | 8.91 | |||||||||||||||
With Sales Charge | 21.95 | 53.41 | 16.89 | 8.91 | |||||||||||||||
Class I Shares – Inception 6/25/97 | 23.53 | 55.87 | 18.05 | 10.01 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.14%, Class C shares is 1.89% and Class I shares is 0.89%. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Load-adjusted returns are adjusted for the maximum front-end sales load of 2.25% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graphs do not reflect the income of taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The ICE BofA All U.S. Convertibles Index is comprised of approximately 700 issues of only convertible bonds and preferreds of all qualities. Since inception data for the index is shown from 6/30/97, since data is only available for full monthly periods. Source: Lipper, Inc.
The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market.
Due to their structural complexities, the attributes of convertibles may vary. Therefore, they are typically categorized as Yield Alternatives represented by the U.S. CV Index (VYLD), Total Return Alternatives represented by the U.S. CV Index (VTOT), or Equity Alternatives represented by the U.S. CV Index (VEQU).
The ICE BofA Total Return U.S. Convertibles Index is a subset of ICE BofA All U.S. Convertibles Index including securities with a delta greater than or equal to 0.4 and less than 0.8 (VTOT).
The ICE BofA Yield Alternative U.S. Convertibles Index (VYLD) is a subset of ICE BofA All U.S. Convertibles Index including securities with a delta less than 0.4 (exhibiting bond-like characteristics).
The ICE BofA Equity Alternative U.S. Convertibles Index (VEQU) is a subset of ICE BofA All U.S. Convertibles Index including securities with a delta of 0.8 and greater (exhibiting stock-like characteristics).
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.
www.calamos.com
23
Calamos Global Convertible Fund
OVERVIEW
The Fund invests in global convertible securities, striving to balance risk/reward while providing growth and income.
KEY FEATURES
◼ Provides broadly diversified exposure to the global convertible bond universe.
◼ Leverages more than 40 years of research in convertible security investing.
◼ Seeks to provide upside participation in equity markets with less exposure to downside than an equity-only portfolio over a full market cycle.
◼ Blends global investment themes and fundamental research via active management.
◼ Takes environmental, social and governance (ESG) factors into account, evaluating whether they impact a company's cash flow, risk profile and long-term returns.
PORTFOLIO FIT
Consisting of convertible securities that can participate in upside equity movements with potentially limited downside exposure, the Fund can provide a means to manage risk in conjunction with an equity allocation. The Fund can also serve a role within a fixed-income allocation, as convertibles have performed well during periods of rising interest rates and inflation.
FUND NASDAQ SYMBOLS
A Shares | CAGCX | ||||||
C Shares | CCGCX | ||||||
I Shares | CXGCX |
FUND CUSIP NUMBERS
A Shares | 128120748 | ||||||
C Shares | 128120730 | ||||||
I Shares | 128120722 |
CALAMOS GLOBAL CONVERTIBLE FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Global Convertible Fund returned 17.98% (Class I shares at net asset value) versus the Refinitiv Global Convertible Bond Index return of 20.84%. We believe balanced convertibles offer the most attractive investment opportunity, given their combination of upside potential and downside resilience. This approach led us to underweight the most equity-sensitive and credit-sensitive convertibles in favor of those with balanced risk/reward attributes. Although equity-sensitive convertibles outperformed balanced convertibles during the period, we believe the Fund's longer-term performance affirms the wisdom of this strategy. Since its inception on December 31, 2014, the Fund increased 10.32% (Class I shares at net asset value) annualized versus a 9.69% gain for the Refinitiv Global Convertible Bond Index.
What factors influenced performance during the reporting period?
The global equity and convertible markets responded well to the COVID-19 vaccination rollouts, positive economic data, fiscal stimulus and accommodative monetary policies and posted very strong period results. Moreover, convertibles performed well—as they traditionally have—during a period of rising interest rates. The 10-year Treasury yield increased 75 basis points to 1.63% during the reporting period.
The Fund was well positioned in relation to COVID-19 related themes, as it had a heavy representation in service and technology companies that allowed people to work, learn, shop, entertain and receive medical attention at home. In addition, the portfolio included cyclical companies well-poised to participate in the recovery as the end of the pandemic draws near. During the period, the Fund was well ahead of the equity market until mid-February when the global equity markets rotated out of growth names that were also heavily represented in the global convertible market and the Fund.
New convertible issuance was robust during the period with $103.8 billion issued globally. The new issuance expanded the convertible universe and, as a result, provided an opportunity to rebalance convertibles that had become too equity sensitive with convertibles with more attractive risk-reward profiles. Our preference for these balanced convertibles led us to be relatively underweight to the most equity-sensitive convertibles in the market. Despite the Fund's strong overall period result, the underweight allocation to the most equity-sensitive convertibles held back the relative return. Within the Refinitiv Global Convertible Bond Index, convertibles with more than 80% equity sensitivity rose 37.5% and strongly outperformed convertibles with balanced risk-reward attributes (40% – 80% equity sensitivity; +20.5%) and convertibles with more credit sensitivity (<40% equity sensitivity; +10.1%).
From an economic sector attribution perspective, the Fund most benefited from its underweight allocation to the utilities sector. Strong security selection in the industrials sector also added value, as holdings in the airlines industry outperformed. Areas that most detracted from performance included materials and information technology. Within materials, an underweight allocation and security selection, notably in the steel industry, held back the relative return. In information technology, the relative return was hindered by an overweight allocation and security selection within the application software and data processing & outsourced services industries.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
24
Calamos Global Convertible Fund
From a geographic perspective, the Fund benefitted from favorable security selection in Japan and Emerging Asia. Similarly, an underweight allocation in Europe was beneficial to Fund performance. Security selection within the United States and Emerging Latin America held back the relative result.
How is the Fund positioned?
We actively rebalance the Fund with the goal of providing more exposure to global equity market upside than potential downside. As discussed, the increased amount of new convertible issuance has provided an opportunity to rebalance many of the portfolio's more equity-sensitive holdings. In fact, the Fund's overall level of equity sensitivity stands underweight relative to the global convertible market.
Much of the period rebalancing has focused on the technology sector. We also have been active in rebalancing COVID-19 recovery names such as cruise ships and airlines. We pared the Fund's overweight to COVID-19 recovery names in January as many companies had begun to price in a full recovery. Throughout the remainder of the period, we continued to reduce the Fund's COVID-19 recovery exposure to a roughly neutral weighting. Information technology represents the portfolio's largest overweight and absolute weight. Consumer discretionary is the second highest absolute weight, although it has a neutral weighting relative to the benchmark index. The communication services and utilities sectors represent the portfolio's significant relative underweights, while energy and consumer staples represent the smallest absolute weights.
From a regional standpoint, the Fund's largest weights fall within the United States and Europe. Conversely, Japan and Canada represent the smallest absolute weights. Relative to the Refinitiv Global Convertible Bond Index, the Fund has overweight allocations to Emerging Asia and Emerging Europe and South Africa with underweight allocations to Europe and Emerging Latin America. These regional allocations have been driven by bottom-up considerations rather than a macro call.
What closing thoughts do you have for Fund shareholders?
We maintain a positive outlook for the global convertible market, as the Federal Reserve's accommodative stance and vaccination progress provide powerful tailwinds. Headline inflation might increase over the near term, but we do not expect a sustained ramp-up.
Vaccine availability in the United States has shifted from scarce to abundant. As the vaccine rollout continues to move forward, the U.S. is making meaningful progress in its fight against the virus. Against this backdrop, we expect travel and leisure industries (airlines, cruise ships, tourist destinations) to see improvement, which in turn should drive economic growth and employment gains. These continued improvements combined with very loose fiscal and monetary policies should propel equities higher, offsetting the likely headwinds of rising taxes and more regulations.
We believe the fundamentals of the global convertible market remain strong and expect convertibles to continue providing a means of participating in the equity market's upside while also providing a measure of downside risk mitigation as the market climbs the wall of worry. While the Calamos Global Convertible Fund provides an opportunity to defensively participate in the equity market, it has also demonstrated strong relative performance during periods of rising interest rates, thereby providing an enhancement to fixed-income allocations.
SECTOR WEIGHTINGS
Information Technology | 29.7 | % | |||||
Consumer Discretionary | 16.9 | ||||||
Communication Services | 11.0 | ||||||
Health Care | 10.6 | ||||||
Financials | 7.5 | ||||||
Industrials | 5.6 | ||||||
Real Estate | 4.3 | ||||||
Utilities | 2.7 | ||||||
Materials | 2.1 | ||||||
Consumer Staples | 2.1 | ||||||
Energy | 2.0 |
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.
www.calamos.com
25
Calamos Global Convertible Fund
GROWTH OF $1,000,000: SINCE INCEPTION (12/31/14) THROUGH 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | SINCE INCEPTION | ||||||||||||||||
Class A Shares – Inception 12/31/2014 | |||||||||||||||||||
Without Sales Charge | 17.90 | % | 40.54 | % | 13.19 | % | 10.04 | % | |||||||||||
With Sales Charge | 15.25 | 37.39 | 12.10 | 9.19 | |||||||||||||||
Class C Shares – Inception 12/31/2014 | |||||||||||||||||||
Without Sales Charge | 17.46 | 39.62 | 12.37 | 9.23 | |||||||||||||||
With Sales Charge | 16.46 | 38.62 | 12.37 | 9.23 | |||||||||||||||
Class I Shares – Inception 12/31/2014 | 17.98 | 40.94 | 13.47 | 10.32 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.35%, Class C shares is 2.10% and Class I shares is 1.10%. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Performance shown includes the effects of an expense reimbursement that improved results and was in effect until October 31, 2017. Load-adjusted returns are adjusted for the maximum frontend sales load of 2.25% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The Refinitiv Global Convertible Bond Index (USD) is designed to represent the global convertible market.
Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
26
Calamos Timpani Small Cap Growth Fund
CALAMOS TIMPANI SMALL CAP
GROWTH FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Timpani Small Cap Growth Fund posted a strong return of 44.89% (Class I Shares at net asset value) outperforming the gain of 37.84% for the Russell 2000 Growth Index.
Since Class I shares inception on March 23, 2011, the Fund has returned 17.25% on an annualized basis, while the Russell 2000 Growth Index returned 13.64% over the same period. We believe this comparison demonstrates the Fund's ability to outdistance its benchmark over full market cycles.
What factors influenced performance during the reporting period?
U.S. equities enjoyed strong returns over the semiannual period, as markets continued to recover from the severe COVID-19-related downturn in February and March of 2020. Positive data on vaccine efficacy and hopes of an imminent vaccine rollout buoyed investor enthusiasm during the period. In the U.S., new COVID-19 cases peaked in early January 2021, the case for reopening the economy strengthened further, and cyclical growth businesses joined the market's move upward. The equity market largely shrugged off a near doubling of the 10-year U.S. Treasury yield as the move began from an extremely low base, and corporate earnings continued to impress. Accommodative monetary policy and massive stimulus further fueled strong economic growth.
Stocks at the smaller end of the market-capitalization spectrum led the way during the period. The Russell Microcap Index outperformed the Russell 2000 Index (as a measure for small-cap stocks), which in turn outperformed the Russell Midcap Index, while the Russell 1000 Index (as a measure for large-cap stocks) trailed overall.
Cyclical growth businesses joined in with robust performance. Many of these cyclical areas had previously lagged due to hindered mobility and restrictions on gatherings because of the pandemic. As the reopening phase gained momentum, the energy sector led the Russell 2000 Growth Index with a 108% gain during the semiannual period. The consumer discretionary sector, which has a mix of cyclical and secular opportunities, posted a 57% return. Industrials (+48%) and materials (+45%), or the more cyclically oriented sectors, saw a boost from improving macroeconomic trends. Communication services (+41%) and information technology (+40%) continued to post strong performance for the full period. Real estate (+36%), consumer staples (+32%), financials (+28%) and health care (+27%) had strong returns, though lagged the overall benchmark return. The more outright defensive utilities sector (+17%) delivered solid absolute returns but lagged the benchmark significantly.
For the full reporting period, the Fund was able to significantly outperform the Russell 2000 Growth Index through strong security selection, though sector allocations were notably additive as well. The biggest contributor to the Fund's relative performance was security selection and the underweight to the health care sector. Strong selection within the biotechnology space notably benefited returns during the period. Although the biotechnology industry was a laggard for the semiannual period,
OVERVIEW
The Fund invests in the equity securities of small-capitalization companies with high, sustainable growth potential, which may exceed market expectations.
KEY FEATURES
◼ Combines fundamental research with the analysis of market estimates to identify the underestimated growth differential between a company's business strength and market expectations of that strength.
◼ Pursues active management in a less-followed investment space.
◼ Analyzes secular trends to uncover exploitable investment opportunities specific to small-cap companies.
PORTFOLIO FIT
Investing in small-cap companies is an important component of a diversified investment strategy. Smaller companies tend to experience greater growth and outperform larger companies.
FUND NASDAQ SYMBOLS
A Shares | CTASX | ||||||
I Shares | CTSIX | ||||||
R6 Shares | CTSOX |
FUND CUSIP NUMBERS
A Shares | 128120417 | ||||||
I Shares | 128120391 | ||||||
R6 Shares | 128120383 |
www.calamos.com
27
Calamos Timpani Small Cap Growth Fund
SECTOR WEIGHTINGS
Consumer Discretionary | 25.3 | % | |||||
Health Care | 24.0 | ||||||
Information Technology | 18.9 | ||||||
Industrials | 16.1 | ||||||
Financials | 5.6 | ||||||
Communication Services | 4.7 | ||||||
Real Estate | 2.3 | ||||||
Consumer Staples | 2.1 | ||||||
Materials | 0.5 |
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.
Fund holdings strongly outperformed those of the index and the health care index. Additionally, the Fund's underweight to the biotechnology industry contributed to performance. Strong selection amongst health care technology stocks was also additive.
Over the period, security selection and an average underweight allocation within information technology hindered relative results, as holdings in application software and semiconductors underperformed. In many cases, relative performance lagged due to names not owned that performed strongly as investors rotated into many stocks that had trailed the sector previously. The Fund's weight in information technology had been reduced over the prior few quarters as we believed the strongest businesses in the space had more valuation risk. The relative weight to information technology names did increase during the beginning of 2021. Investments in communication services detracted slightly during the period.
How is the Fund positioned?
We continue to invest in both long-term secular growth stocks and certain cyclical growth stocks that we believe will directly benefit from an overall economic uptick. In the past few months, we have modestly increased exposure to cyclical sectors like industrials, materials and financials, while still maintaining a secular growth tilt within the overall portfolio. We believe this diversified positioning added value during the second half of the reporting period. Among secular growers, we have investments aligned with a variety of themes including e-commerce, cloud communications, and certain pockets of healthcare and consumer discretionary. We have also invested in several companies that are ESG-friendly, using substantial amounts of recycled materials within their manufacturing processes. On the cyclical growth side, we are tilted toward semiconductors and semiconductor capital equipment, auto retailers, transportation, outdoor leisure and certain stocks with exposure to residential real estate.
What closing thoughts do you have for Fund shareholders?
We continue to feel confident about the outlook for small-capitalization growth stocks. For the past several months, we have been on record predicting that the stars have aligned for sustained outperformance of these asset classes. Lately, the overall stock market has agreed. Recently, we have seen small-cap performance lead the overall stock market, especially the micro caps or the smallest of the small.
With a vaccine rollout outpacing those of global peers, a Federal Reserve fully committed to accommodative policies, and a White House willing to inject unprecedented amounts of stimulus, the U.S. is poised to lead the global recovery in 2021. Current projections by the International Monetary Fund show the U.S. economy expanding by 6.4% this year. If achieved, this would represent the country's highest real GDP annual percent change in nearly 40 years. This bodes well for small-cap stocks, which have historically performed well on both an absolute and relative basis during periods of strong and rising GDP growth. These rapidly improving economic conditions are contributing to a strong backdrop for corporate profits. Equally important, the reopening of the U.S. economy has significantly widened the opportunity set for the Fund beyond the traditional secular growth segments of the market.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
28
Calamos Timpani Small Cap Growth Fund
The small-cap leadership cycle began approximately eight months ago, but we think it has a long way to go. History has shown a typical small-cap cycle generates meaningful outperformance and lasts seven years on average, not eight months. This is a key factor behind our bullishness for the asset class. Due to our positive outlook for small caps, we have positioned the Fund to have disproportionately higher allocations to companies further down in the market-capitalization spectrum, especially micro caps.
ANNUALIZED RETURN: SINCE INCEPTION (3/23/11) THROUGH 04/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A and Class C shares, the performance of which may vary. Source: State Street Corporation and Lipper, Inc.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
www.calamos.com
29
Calamos Timpani Small Cap Growth Fund
GROWTH OF $1,000,000: SINCE INCEPTION (3/23/11) THROUGH 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS OR ^SINCE INCEPTION | ||||||||||||||||
Class A Shares (With Predecessor) – Inception 1/6/14^ | |||||||||||||||||||
Without Sales Charge | 44.69 | % | 103.45 | % | 26.68 | % | 15.74 | % | |||||||||||
With Sales Charge | 37.80 | 93.74 | 25.45 | 14.97 | |||||||||||||||
Class I Shares (With Predecessor) – Inception 3/23/11 | |||||||||||||||||||
Without Sales Charge | 44.89 | 103.98 | 27.12 | 16.28 | |||||||||||||||
Class R6 Shares – Inception 6/1/19^ | 44.98 | 104.12 | 43.18 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.40%, Class I shares is 1.16% and Class R6 shares is 1.09%. The Fund's investment adviser has contractually agreed to reimburse Fund expenses through March 1, 2023, to the extent necessary so that Total Annual Fund Operating Expenses of Class A shares and Class I shares are limited to 1.30% and 1.05% of average net assets, respectively. The Fund's investment adviser has contractually agreed to limit the Fund's annual ordinary operating expenses for Class R6 shares (as a percentage of average net assets) to 1.05% less the Fund's annual sub-transfer agency ratio (the aggregate subtransfer agency fees of the Fund's other share classes divided by the aggregate average annual net assets of the Fund's other share classes). For purposes of these expense limitations, operating expenses do not include taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any. Calamos Advisors may recapture previously waived expense amounts within the same fiscal year for any day where the respective share class's expense ratio falls below the contractual expense limit up to the expense limit for that day. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is not terminable by either party. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Load-adjusted returns are adjusted for the maximum front-end sales load of 4.75% for Class A shares.
NOTES:
Effective as of the close of business on May 31, 2019, the Fund acquired all of the assets, subject to the liabilities, of the Timpani Small Cap Growth Fund (the "Predecessor Fund") through a tax-free reorganization (the "Reorganization"). Pursuant to the Reorganization of the Predecessor Fund into the Fund, Class Y shareholders of the Predecessor Fund received Class A shares of the Fund, and Service Class and Institutional Class shareholders of the Predecessor Fund each received Class I shares of the Fund. As a result of the Reorganization, the Fund adopted the performance and financial history of the Predecessor Fund. Accordingly, the performance shown in the average annual total return table above for periods prior to the commencement of the Fund's operations on June 1, 2019 is the performance of the Predecessor Fund. The Fund has the same investment objective, strategy and portfolio manager as the Predecessor Fund. As a result, the performance of the Fund would have been substantially similar to that of the Predecessor Fund.
The graphs do not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The Russell 2000 Growth Index is a composite of small-cap companies located in the U.S. that also exhibit a growth probability.
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.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
30
Calamos Timpani SMID Growth Fund
CALAMOS TIMPANI SMID GROWTH FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Timpani SMID Growth Fund posted a strong return of 36.24% (Class I Shares at net asset value), outperforming the gain of 32.00% for the Russell 2500 Growth Index.
A combination of security selection and sector positioning helped drive the Fund's positive performance during a turbulent market.
What factors influenced performance during the reporting period?
U.S. equities enjoyed strong returns over the semiannual period, as markets continued to recover from the severe COVID-19-related downturn in February and March of 2020. Positive data on vaccine efficacy and hopes of an imminent vaccine rollout buoyed investor enthusiasm during the period. In the U.S., COVID-19 new cases peaked in early January 2021, the case for reopening the economy strengthened further, and cyclical growth businesses joined the market's move upward. The equity market largely shrugged off a near doubling of the 10-year U.S. Treasury yield as the move began from an extremely low base, and corporate earnings continued to impress. Accommodative monetary policy and massive stimulus further fueled strong economic growth.
Stocks at the smaller end of the market-capitalization spectrum led the way during the period. The Russell Microcap Index outperformed the Russell 2000 Index (as a measure for small-cap stocks), which in turn outperformed the Russell Midcap Index, while the Russell 1000 Index (as a measure for large-cap stocks) trailed overall.
Cyclical growth businesses joined in with robust performance. Many of these cyclical areas had previously lagged due to hindered mobility and restrictions on gatherings because of the pandemic. As the reopening phase gained momentum, the energy sector led the Russell 2500 Growth Index with a 93% gain during the semiannual period. The consumer discretionary sector, which has a mix of cyclical and secular opportunities, posted a 48% return. Industrials (+44%) and materials (+35%), more cyclically oriented sectors, saw a boost from improving macroeconomic trends. Real estate (+34%), communication services (+33%) and information technology (+32%) continued to post strong performance for the full period. Consumer staples (+24%), financials (+23%) and health care (+23%) had strong returns, though they lagged the overall benchmark return. The more outright defensive utilities sector (+17%) delivered solid absolute returns but lagged the benchmark significantly.
Quite a few sectors added significant value to the Fund's relative performance. The Fund's leading security selection and an average underweight allocation in health care positively contributed to relative performance. Strong selection within the biotechnology space notably benefited returns during the period. Although the biotechnology industry was a laggard for the semiannual period, Fund holdings
OVERVIEW
The Fund invests in the equity securities of small- and mid-capitalization (SMID) companies with high, sustainable growth potential, which may exceed market expectations.
KEY FEATURES
◼ Combines fundamental research with the analysis of market estimates to identify the underestimated growth differential between a company's business strength and market expectations of that strength.
◼ Pursues active management in a less-followed investment space.
◼ Analyzes secular trends to uncover exploitable investment opportunities specific to small- and mid-cap companies.
PORTFOLIO FIT
Investing in SMID companies is an important component of a diversified investment strategy. Small-to-midsize companies tend to experience greater growth and outperform larger companies, yet this greater potential also raises the potential for greater volatility—which is why we believe active management is crucial.
FUND NASDAQ SYMBOLS
A Shares | CTAGX | ||||||
I Shares | CTIGX | ||||||
R6 Shares | CTOGX |
FUND CUSIP NUMBERS
A Shares | 128120375 | ||||||
I Shares | 128120367 | ||||||
R6 Shares | 128120359 |
www.calamos.com
31
Calamos Timpani SMID Growth Fund
SECTOR WEIGHTINGS
Consumer Discretionary | 23.5 | % | |||||
Information Technology | 23.2 | ||||||
Industrials | 19.5 | ||||||
Health Care | 16.0 | ||||||
Financials | 6.4 | ||||||
Communication Services | 4.8 | ||||||
Consumer Staples | 3.1 | ||||||
Materials | 1.4 | ||||||
Real Estate | 1.4 |
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.
strongly outperformed those of the index and the health care index. Additionally, the Fund's underweight to biotechnology contributed to performance. Health care technology stocks were also additive. Security selection in financials contributed to performance. In fact, the performance of Fund holdings in the sector more than doubled those of the benchmark. Specifically, investment banking & brokerage holdings outperformed strongly, and our lack of representation in several lagging industries such as financial exchanges & data added to relative return.
Over the period, selection and an average underweight stance within information technology weakened relative returns, as holdings in application software and systems software hurt relative results. In many cases, relative performance lagged due to names not owned that performed strongly as investors rotated into many stocks that had trailed the sector previously. The Fund's weight in information technology had been reduced over the prior few quarters, as we believed the strongest businesses in the space had more valuation risk. Security selection within the oil & gas refining & marketing industry as well as the oil & gas equipment & services industry of the energy sector also lagged. While the energy sector is a very small weight within the benchmark (less than one half of one percent), the outsized returns from the space caused our underweight and selection to detract from performance relative to the Russell 2500 Growth Index.
How is the Fund positioned?
We continue to invest in both long-term secular growth stocks and certain cyclical growth stocks that we believe will directly benefit from an overall economic uptick. In the past few months, we have modestly increased exposure to cyclical sectors like industrials, materials and financials, while still maintaining a secular growth tilt within the overall portfolio. We believe this diversified positioning added value during the second half of the reporting period. Among secular growers, we have investments related to a variety of themes including e-commerce, cloud communications, and certain pockets of health care and consumer discretionary. We have also invested in several companies that are ESG-friendly, using substantial amounts of recycled materials within their manufacturing processes. On the cyclical growth side, we are tilted toward semiconductors and semiconductor capital equipment, auto retailers, transportation, outdoor leisure and certain stocks with exposure to residential real estate.
What closing thoughts do you have for Fund shareholders?
We continue to feel confident about the outlook for small-to-mid capitalization growth stocks. For the past several months, we have been on record predicting that the stars have aligned for sustained outperformance of these asset classes. Lately, the overall stock market has agreed. Recently, we have seen small to mid-cap performance lead the overall stock market, especially the microcaps or the smallest of the small.
With a vaccine rollout outpacing those of global peers, a Federal Reserve fully committed to accommodative policies, and a White House willing to inject unprecedented amounts of stimulus, the U.S. is poised to lead the global recovery in 2021. Current projections by the International Monetary Fund show the U.S. economy expanding by 6.4% this year. If achieved, this would represent the country's highest
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
32
Calamos Timpani SMID Growth Fund
real GDP annual percent change in nearly 40 years. These rapidly improving economic conditions are contributing to a very strong backdrop for corporate profits. Equally important, the reopening of the U.S. economy has significantly widened the opportunity set for the Fund beyond the traditional secular growth segments of the market. Smaller cap stocks have historically performed well on both an absolute and relative basis during periods of strong and rising GDP growth.
The small-cap leadership cycle began approximately eight months ago, but we think it has a long way to go. History has shown a typical small-cap cycle generates meaningful outperformance and lasts seven years on average, not eight months. This is a key factor behind our bullishness for the asset class. Due to our positive outlook for small caps, we have positioned the Fund to have disproportionately higher allocations to companies further down in the market-capitalization spectrum.
www.calamos.com
33
Calamos Timpani SMID Growth Fund
GROWTH OF $1,000,000: SINCE INCEPTION (7/31/19) THROUGH 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
Class A Shares – Inception 7/31/19 | |||||||||||||||
Without Sales Charge | 36.03 | % | 86.87 | % | 68.00 | % | |||||||||
With Sales Charge | 29.53 | 77.97 | 60.00 | ||||||||||||
Class I Shares – Inception 7/31/19 | |||||||||||||||
Without Sales Charge | 36.24 | 87.35 | 68.80 | ||||||||||||
Class R6 Shares – Inception 7/31/19 | 36.24 | 87.56 | 68.80 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 2.45%, Class I shares is 2.25% and Class R6 shares is 2.25%. The Fund's investment adviser has contractually agreed to reimburse Fund expenses through March 1, 2023 to the extent necessary so that Total Annual Fund Operating Expenses of Class A shares and Class I shares are limited to 1.35% and 1.10% of average net assets, respectively. The Fund's investment adviser has contractually agreed to limit the Fund's annual ordinary operating expenses for Class R6 shares (as a percentage of average net assets) to 1.10% less the Fund's annual sub-transfer agency ratio (the aggregate subtransfer agency fees of the Fund's other share classes divided by the aggregate average annual net assets of the Fund's other share classes). For purposes of these expense limitations, operating expenses do not include taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any. Calamos Advisors may recapture previously waived expense amounts within the same fiscal year for any day where the respective share class's expense ratio falls below the contractual expense limit up to the expense limit for that day. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is not terminable by either party. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Load-adjusted returns are adjusted for the maximum front-end sales load of 4.75% for Class A shares.
NOTES:
The graphs do not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The Russell 2500 Growth Index measures the performance of the small to mid-cap growth segment of the U.S. equity universe. It includes those Russell 2500 companies with higher growth earning potential. The Russell 2500 Growth Index is published and maintained by FTSE Russell.
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.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
34
Calamos Growth Fund
CALAMOS GROWTH FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Growth Fund returned 29.43% (Class I Shares at net asset value) versus the S&P 1500 Growth Index return of 25.65%. By way of comparison, the broad equity market, as measured by the S&P 500 Index, advanced with a return of 28.85% for the same period.
Since Class I shares inception on September 18, 1997, the Fund has returned 12.18% on an annualized basis. The S&P 1500 Growth Index, the primary benchmark, returned 9.36% over the same period, and the S&P 500 Index returned 8.35%. We believe these comparisons demonstrate the Fund's ability to outdistance the growth and broad indices over full market cycles.
What factors influenced performance during the reporting period?
U.S. equities enjoyed strong returns over the semiannual period, as markets continued to recover from the severe COVID-19-related downturn in February and March of 2020. Positive data on vaccine efficacy and hopes of an imminent vaccine rollout buoyed investor enthusiasm during the period. In the U.S., new COVID-19 cases peaked in early January 2021, the case for reopening the economy strengthened further, and cyclical growth businesses joined the market's move upward. The equity market largely shrugged off a near doubling of the 10-year U.S. Treasury yield as the move began from an extremely low base, and corporate earnings continued to impress. Accommodative monetary policy and massive stimulus further fueled strong economic growth.
Growth stocks saw cyclical growth businesses join in with strong performance. Many of those areas had previously lagged due to hindered mobility and restrictions on gatherings. As reopening gained momentum, the energy sector led the S&P 1500 Growth Index with an 82% gain during the semiannual period. Financial stocks also benefitted from renewed confidence and a steepening yield curve, delivering a 37% return. Communications services continued to perform well with a 34% return, while more cyclical growth sectors such as industrials (+34%) and materials (+27%) received a boost from improving macroeconomic trends. Information technology (+25%) had benchmark-like returns, while consumer discretionary (+23%), real estate (+20%) and health care (+18%) had strong gains. More outright defensive areas such as consumer staples (+11%) and utilities (+9%) delivered solid absolute returns but lagged the benchmark significantly.
The Fund benefited from strong stock selection within the financials sector. While financials represented the second-leading sector within the growth benchmark, the Fund's selection approximately doubled the performance of the sector overall. Our holdings in investment banking & brokerage and consumer finance notably aided relative returns. The Fund's weighting to financials was broadly neutral relative to the benchmark. Favorable security selection and an average overweight allocation in information technology also added to the Fund's performance, especially in the
OVERVIEW
A broad, flexible strategy enables the Fund to invest in the equities of U.S. companies across all market capitalizations and sectors in order to attain the best potential for long-term capital growth.
KEY FEATURES
◼ Seeks to provide attractive returns through an emphasis on higher-growth U.S. companies spanning the full range of market capitalizations and sectors. Draws on more than three decades of experience in growth investing.
◼ The portfolio reflects top-down, secular thematic views along with high-conviction, fundamentally researched stocks of companies with advantaged business models, high returns on capital, solid free-cash-flow generation, and stewardship-minded management.
◼ Combines secular and cyclical growth to help manage the dynamics of the economy.
PORTFOLIO FIT
May be an attractive option for investors seeking higher growth and diversification that spans all caps of U.S. companies across sectors and industries.
FUND NASDAQ SYMBOLS
A Shares | CVGRX | ||||||
C Shares | CVGCX | ||||||
I Shares | CGRIX |
FUND CUSIP NUMBERS
A Shares | 128119302 | ||||||
C Shares | 128119856 | ||||||
I Shares | 128119807 |
www.calamos.com
35
Calamos Growth Fund
SECTOR WEIGHTINGS
Information Technology | 40.1 | % | |||||
Consumer Discretionary | 18.5 | ||||||
Communication Services | 13.4 | ||||||
Industrials | 10.3 | ||||||
Health Care | 9.3 | ||||||
Financials | 4.5 | ||||||
Consumer Staples | 2.0 | ||||||
Materials | 1.6 | ||||||
Real Estate | 0.1 |
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.
semiconductor equipment and semiconductors industries, which can be thought of as more cyclical opportunities within the tech space.
Over the period, an average underweight stance and selection within the communication services sector dampened relative performance, as holdings in the interactive media & services and alternative carriers industries lagged. Security selection and an average underweight position in energy also lost ground on a relative basis. Nonparticipation in oil & gas refining & marketing hurt relative performance. Additionally, our lack of exposure to oil & gas exploration & production held back return. Energy is a very small portion of the growth market, yet the outsized gains for the sector during the quarter caused the portfolio's energy positioning to be a slight drag on relative performance.
How is the Fund positioned?
The portfolio remains broadly diversified with a focus on a mix of durable, secular themes and more cyclical growth opportunities. During the reporting period, the Fund increased its relative weights to the industrials and financials sectors. The Fund's holdings in industrials were already a slight overweight when the reporting period began, while financials went from a slight underweight to an overweight position over the semiannual period. Conversely, relative Fund weightings were reduced within the information technology and health care sectors in order to manage around valuation as well as source more cyclical growth opportunities. Information technology remains the Fund's and the benchmark's largest overall sector. As mentioned in previous commentaries, some of the key themes driving business before the pandemic, many of which reside within information technology, only accelerated during the pandemic. Connectivity, data storage, and online retail remain key themes, and there are many businesses in these spaces that offer strong growth prospects in a less-certain economic backdrop, yet need to be monitored for valuation and investor sentiment.
What closing thoughts do you have for Fund shareholders?
As the U.S. economy continues to reopen and rebound sharply, the current environment for growth investing is quite robust with ample opportunities across many industries and sectors. Calamos Growth Fund remains well positioned in longer-term secular growth themes, which include cloud computing, electric vehicles and digital payments. And the Fund is also well represented in cyclical growth themes that are particularly compelling in the consumer, industrials and financials sectors, given the accelerating recovery now underway.
With a vaccine rollout outpacing those of global peers, a Federal Reserve fully committed to accommodative policies, and a White House willing to inject unprecedented amounts of stimulus, the U.S. is poised to lead the global recovery in 2021. Current projections by the International Monetary Fund show the U.S. economy expanding by 6.4% this year. If achieved, this would represent the country's highest real GDP annual percent change in nearly 40 years. These rapidly improving economic conditions are contributing to a very strong backdrop for corporate profits. The recovery in earnings for U.S. companies has come faster than most expected, with S&P 500 EPS projected to cumulatively grow 25% this year and surpass 2019 levels by 9%. Most importantly, the reopening of the U.S. economy has significantly widened the opportunity set for the Fund beyond the traditional secular growth segments of the market.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
36
Calamos Growth Fund
With this as a backdrop, we have broadened our holdings to capture the pent-up demand of a global reopening. Our expanded portfolio includes exposure to companies poised to profit from a normalization in travel and leisure, casino gaming and on-premise food and beverage services. Many of these businesses offer high operating leverage that should fuel strong earnings growth as activity continues to pick up.
ANNUALIZED RETURN: SINCE INCEPTION (9/18/97) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A and Class C shares, the performance of which may vary. Source: State Street Corporation and Lipper, Inc.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
www.calamos.com
37
Calamos Growth Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||||||||||
Class A Shares – Inception 9/4/90 | |||||||||||||||||||
Without Sales Charge | 29.23 | % | 56.54 | % | 18.39 | % | 11.55 | % | |||||||||||
With Sales Charge | 23.10 | 49.10 | 17.24 | 11.00 | |||||||||||||||
Class C Shares – Inception 9/3/96 | |||||||||||||||||||
Without Sales Charge | 28.74 | 55.41 | 17.51 | 10.72 | |||||||||||||||
With Sales Charge | 27.74 | 54.41 | 17.51 | 10.72 | |||||||||||||||
Class I Shares – Inception 9/18/97 | 29.43 | 56.92 | 18.69 | 11.83 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.35%, Class C shares is 2.11% and Class I shares is 1.10%. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Performance shown reflects the effects of an expense reimbursement that improved results and was in effect until March 31, 2000. Load-adjusted returns are adjusted for the maximum front-end sales load of 4.75% for Class A shares and returns for Class C have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graphs do not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The S&P 1500 Growth Index consists of the growth segment of the securities found in the S&P 1500 Index. The S&P 1500 combines the S&P 500, S&P MidCap 400 and the S&P SmallCap 600.
The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market.
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.
The Fund's use of derivative instruments involves investment risks and transaction costs to which the Fund would not be subject absent the use of these instruments and, accordingly, may result in losses greater than if they had not been used. Derivative instruments can be illiquid, may disproportionately increase losses and may have a potentially large impact on Fund performance.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
38
Calamos Growth and Income Fund
CALAMOS GROWTH AND INCOME FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Growth and Income Fund posted strong returns with a gain of 26.82% (Class I Shares at net asset value) versus a return of 28.85% for the S&P 500 Index, which means the Fund captured 93% of the equity market's gain for the period. The ICE BofA All U.S. Convertibles ex Mandatory Index registered a gain of 29.00% for the period. We manage this Fund with the goal of achieving upside equity participation and potential downside risk mitigation over full market cycles. Since its Class I shares inception on September 18, 1997, the Fund returned 10.44% on an annualized basis versus an 8.51% gain for the S&P 500 Index and 9.53% return for the ICE BofA All U.S. Convertibles ex Mandatory Index.
Please discuss the Fund's lower-volatility characteristics.
We believe the Fund'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 fund's historic volatility versus the market, which is assigned a beta of 1.0. A fund with half the volatility of the market would have a beta of 0.5, while a fund with a beta of 2.0 would have been twice as volatile as the market. Since its inception, the Fund has had a beta of 0.75 (Class I shares) versus the S&P 500 Index. The Fund, therefore, outperformed the broader equity market—as measured by the S&P 500 Index—with less volatility. Please note that past performance does not indicate future results and that beta is one of many measures of risk.
What factors influenced performance during the reporting period?
U.S. equities enjoyed strong returns over the semiannual period, as markets continued to recover from the severe COVID-19-related downturn in February and March of 2020. Positive data on vaccine efficacy and hopes of an imminent vaccine rollout buoyed investor enthusiasm during the period. In the U.S., new COVID-19 cases peaked in early January 2021, the case for reopening the economy strengthened further, and cyclical growth businesses joined the market's move upward. The equity market largely shrugged off a near doubling of the 10-year U.S. Treasury yield as the move began from an extremely low base, and corporate earnings continued to impress. Accommodative monetary policy and massive stimulus further fueled strong economic growth.
Cyclical growth businesses captured investor attention and had strong performance during the period. Many of these cyclical areas had previously lagged due to hindered mobility and restrictions on gatherings because of the pandemic. As the reopening phase gained momentum, the energy sector led the S&P 500 Index with a 76% gain during the semiannual period. Financial stocks also benefitted from renewed confidence and a steepening yield curve, delivering a 54% return. Cyclical growth sectors industrials (+36%) and materials (+32%) saw a boost from improving macroeconomic trends. Communications services continued to perform well with a
OVERVIEW
The Fund invests primarily in U.S. equity and convertible securities in an attempt to balance risk/reward while providing growth and income.
KEY FEATURES
◼ Leverages more than four decades of research experience combining equities and convertible holdings to provide equity-like participation.
◼ Provides a core holding option that aims to maintain a consistent risk posture throughout the market cycle.
◼ Research-driven approach identifies opportunities by combining top-down analysis with a focus on key growth characteristics.
PORTFOLIO FIT
The Fund can provide a long-term core equity allocation, which exhibits potentially lower volatility and delivers attractive income.
FUND NASDAQ SYMBOLS
A Shares | CVTRX | ||||||
C Shares | CVTCX | ||||||
I Shares | CGIIX | ||||||
R6 Shares | CGIOX |
FUND CUSIP NUMBERS
A Shares | 128119104 | ||||||
C Shares | 128119831 | ||||||
I Shares | 128119872 | ||||||
R6 Shares | 128120326 |
www.calamos.com
39
Calamos Growth and Income Fund
SECTOR WEIGHTINGS
Information Technology | 24.1 | % | |||||
Consumer Discretionary | 15.1 | ||||||
Health Care | 12.2 | ||||||
Industrials | 11.5 | ||||||
Communication Services | 11.2 | ||||||
Financials | 10.0 | ||||||
Consumer Staples | 4.7 | ||||||
Energy | 2.8 | ||||||
Utilities | 2.8 | ||||||
Materials | 2.4 | ||||||
Real Estate | 1.7 | ||||||
Other | 0.6 |
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.
32% return during the period. Real estate (+28%) and information technology (+27%) had benchmark-like returns, while consumer discretionary (+24%) and health care (+21%) had strong returns. More outright defensive areas such as consumer staples (+13%) and utilities (+9%) delivered solid absolute returns but lagged the benchmark significantly.
For the full reporting period, the Fund was able to perform broadly in line with the all-equity S&P 500 Index, even while utilizing convertible securities and options to reduce overall equity risk. The biggest contributor to the Fund's relative performance was security selection within the materials sector. Specifically, equity holdings within copper and industrial gases were sources of strength. In addition, the Fund's underweight to the more defensive consumer staples sector was additive to relative performance, as we viewed cyclical and secular growth as more attractive considering economic conditions.
The Fund's security selection within the industrials sector dampened return, as holdings in the industrial machinery and electrical components & equipment industries lost ground on a relative basis. The Fund had increased the relative weight in industrials prior to the reporting period by utilizing convertible securities, which provided solid-yet-lagging returns during this semiannual period. Selection and an average underweight position in energy lost ground on a relative basis. Specifically, integrated oil & gas and our nonparticipation in oil & gas equipment & services held back return, while the energy sector was the index's leader for the period.
How is the Fund positioned?
We have positioned the Fund to include companies with improving cash flows that are driving intrinsic value growth to levels higher than current market values. We remain modestly concerned about rising commodity and labor costs having a negative impact on margins, so we seek companies that have some level of pricing power or other sources of operating leverage.
For cyclicals, we have focused on companies with positive earnings revisions, higher-than-average operating leverage, improved post-pandemic competitive positions, and service economy or discretionary consumer spending exposures. For growth companies, we have focused on companies with accelerating fundamentals in 2021 or businesses that can maintain high growth rates in 2022 and 2023, improving margins, and valuations that we can characterize as "growth at a reasonable price."
We remain underweight lower-beta areas—especially those with higher-equity valuations. Overweight sectors include consumer discretionary, technology and industrials. We continue to utilize convertible securities in many higher-risk areas of the market—including more-aggressive growth and deeper cyclical areas—seeking to provide positive asymmetric returns in lower-risk structures. As volatility has declined over the past several months, the Fund is selectively utilizing calls and puts as we seek to further manage downside risk and provide opportunity for upside.
What closing thoughts do you have for Fund shareholders?
The U.S. economy is entering a vaccination recovery period, and we agree with the consensus view for above-average GDP growth in 2021. The asset markets have priced in much of this economic improvement already, and we believe the level of future asset returns will be positive but at lower levels than we saw during the early phase
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
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Calamos Growth and Income Fund
of this recovery. Future asset returns are likely to be driven by the magnitude and duration of the economic recovery, changes in corporate cash flows and businesses' intrinsic values versus current market valuations.
The drivers of the magnitude and duration of this economic recovery include COVID-19 containment/social reopening, accommodative financial conditions/monetary policy, fiscal policy and productivity/margin improvement. Financial conditions should remain accommodative for an extended period, but the next move will be tightening. The current market environment already prices in economic improvement—but company fundamentals should outperform—pushing equity prices higher. These factors may continue to introduce periods of volatility, and the Fund's strategy may be well-suited for this environment.
ANNUALIZED RETURN: SINCE INCEPTION (9/18/97) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A, Class C and Class R6 shares, the performance of which may vary. Source: State Street Corporation and Lipper, Inc.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
www.calamos.com
41
Calamos Growth and Income Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS OR ^SINCE INCEPTION | ||||||||||||||||
Class A Shares – Inception 9/22/88 | |||||||||||||||||||
Without Sales Charge | 26.65 | % | 44.43 | % | 15.19 | % | 9.78 | % | |||||||||||
With Sales Charge | 20.63 | 37.57 | 14.08 | 9.25 | |||||||||||||||
Class C Shares – Inception 8/5/96 | |||||||||||||||||||
Without Sales Charge | 26.19 | 43.36 | 14.34 | 8.96 | |||||||||||||||
With Sales Charge | 25.19 | 42.36 | 14.34 | 8.96 | |||||||||||||||
Class I Shares – Inception 9/18/97 | 26.82 | 44.76 | 15.48 | 10.05 | |||||||||||||||
Class R6 Shares – Inception 6/23/20^ | 26.85 | 32.73 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.08%, Class C shares is 1.84%, Class I shares is 0.83% and Class R6 shares is 0.75%. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Load-adjusted returns are adjusted for the maximum front-end sales load of 4.75% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graphs do not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. Source: Lipper, Inc.
The ICE BofA All U.S. Convertibles Ex Mandatory Index represents the U.S. convertibles securities market excluding mandatory convertibles.
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.
The Fund's use of derivative instruments involves investment risks and transaction costs to which the Fund would not be subject absent the use of these instruments and, accordingly, may result in losses greater than if they had not been used. Derivative instruments can be illiquid, may disproportionately increase losses and may have a potentially large impact on Fund performance.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
42
Calamos Dividend Growth Fund
CALAMOS DIVIDEND GROWTH FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Dividend Growth Fund returned 29.33% (Class I shares at net asset value), outperforming the S&P 500 Index return of 28.85%.
What factors influenced performance during the reporting period?
U.S. equities enjoyed strong returns over the semiannual period, as markets continued to recover from the severe COVID-19-related downturn in February and March of 2020. Positive data on vaccine efficacy and hopes of an imminent vaccine rollout buoyed investor enthusiasm during the period. In the U.S., new COVID-19 cases peaked in early January 2021, the case for reopening the economy strengthened further, and cyclical growth businesses joined the market's move upward. The equity market largely shrugged off a near doubling of the 10-year U.S. Treasury yield as the move began from an extremely low base, and corporate earnings continued to impress. Accommodative monetary policy and massive stimulus further fueled strong economic growth.
Cyclical growth businesses captured investor attention and had strong performance during the period. Many of these cyclical areas had previously lagged due to hindered mobility and restrictions on gatherings because of the pandemic. As the reopening phase gained momentum, the energy sector led the S&P 500 Index with a 76% gain during the semiannual period. Financial stocks also benefitted from renewed confidence and a steepening yield curve, delivering a 54% return. Cyclical growth sectors industrials (+36%) and materials (+32%) saw a boost from improving macroeconomic trends. Communications services continued to perform well with a 32% return during the period. Real estate (+28%) and information technology (+27%) had benchmark-like returns, while consumer discretionary (+24%) and health care (+21%) had strong returns. More outright defensive areas such as consumer staples (+13%) and utilities (+9%) delivered solid absolute returns but lagged the benchmark significantly.
The Fund benefited from security selection and an average overweight position in financials. These decisions contributed strong absolute performance and helped drive relative results. Specifically, our holdings in investment banking & brokerage and diversified banks were leading contributors. A steepening yield curve as well as increased financial and investment activity bolstered those industries. Leading security selection in communication services also added to the Fund's results. The main contributors within this sector were integrated telecommunication services and movies & entertainment.
Over the period, selection and an average underweight position within the industrials sector detracted from return, as holdings in industrial machinery lagged. Missing out on the small-but-resurgent agricultural & farm machinery industry also detracted from relative performance. Security selection and an average underweight allocation in real
OVERVIEW
The Fund invests in companies that we believe have the ability to increase dividends over time, either through increasing profits or more efficient use of capital.
KEY FEATURES
◼ Employs bottom-up stock picking and a benchmark-agnostic approach.
◼ Focuses on good businesses with solid cash flows and value prices.
PORTFOLIO FIT
The Fund may be suitable for investors seeking a regular stream of income and dividend-paying equity investments that tend to be less volatile than non-dividend payers.
FUND NASDAQ SYMBOLS
A Shares | CADVX | ||||||
C Shares | CCDVX | ||||||
I Shares | CIDVX |
FUND CUSIP NUMBERS
A Shares | 128120839 | ||||||
C Shares | 128120821 | ||||||
I Shares | 128120813 |
www.calamos.com
43
Calamos Dividend Growth Fund
SECTOR WEIGHTINGS
Information Technology | 27.8 | % | |||||
Consumer Discretionary | 13.6 | ||||||
Financials | 12.4 | ||||||
Health Care | 10.1 | ||||||
Communication Services | 9.9 | ||||||
Industrials | 8.6 | ||||||
Consumer Staples | 5.6 | ||||||
Energy | 3.5 | ||||||
Materials | 3.2 | ||||||
Utilities | 2.0 | ||||||
Other | 1.7 | ||||||
Real Estate | 1.1 |
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.
estate dampened relative performance. Specifically, our lack of representation in retail REITs and residential REITs were sources of underperformance. Real estate is typically more of a defensive investment but saw pockets of strength during the semiannual period.
How is the Fund positioned?
We have positioned the Fund to include companies with improving cash flows that are driving intrinsic value growth to levels higher than current market values. We remain modestly concerned that rising commodity and labor costs are having a negative impact on margins, so we seek companies that have some level of pricing power or other sources of operating leverage.
For cyclicals, we have focused on companies with positive earnings revisions, higher-than-average operating leverage, improved post-pandemic competitive positions, and service-economy or discretionary-consumer spending exposures. For growth companies, we have focused on companies with accelerating fundamentals in 2021 or businesses that can maintain high growth rates in 2022 and 2023, improving margins, and valuations that we characterize as "growth at a reasonable price."
What closing thoughts do you have for Fund shareholders?
The U.S. economy is entering a vaccination recovery period, and we agree with the consensus view for above-average GDP growth in 2021. The asset markets have priced in much of this economic improvement already, and we believe the level of future asset returns will be positive but at lower levels than we saw during the early phase of this recovery. Future asset returns are likely to be driven by the magnitude and duration of the economic recovery, changes in corporate cash flows, and businesses' intrinsic values versus current market valuations.
The drivers of the magnitude and duration of this economic recovery include COVID containment/social reopening, accommodative financial conditions/monetary policy, fiscal policy, and productivity/margin improvement. Financial conditions should remain accommodative for an extended period, but the next move will be tightening. The current market environment already prices in economic improvement—but company fundamentals should outperform—pushing equity prices even higher.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
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Calamos Dividend Growth Fund
GROWTH OF $1,000,000: SINCE INCEPTION (8/05/13) THROUGH 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | SINCE INCEPTION | ||||||||||||||||
Class A Shares – Inception 8/5/2013 | |||||||||||||||||||
Without Sales Charge | 29.20 | % | 46.11 | % | 16.49 | % | 11.61 | % | |||||||||||
With Sales Charge | 23.06 | 39.12 | 15.37 | 10.91 | |||||||||||||||
Class C Shares – Inception 8/5/2013 | |||||||||||||||||||
Without Sales Charge | 28.77 | 45.02 | 15.63 | 10.78 | |||||||||||||||
With Sales Charge | 27.77 | 44.02 | 15.63 | 10.78 | |||||||||||||||
Class I Shares – Inception 8/5/2013 | 29.33 | 46.43 | 16.80 | 11.89 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 2.16%, Class C shares is 2.92% and Class I shares is 1.89%. The Fund's Investment Adviser has contractually agreed to reimburse Fund expenses through 3/1/23 to the extent necessary so that Total Annual Fund Operating Expenses (excluding taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses and extraordinary expenses, if any) of Class A, Class C and Class I shares are limited to 1.35%, 2.10%,1.10% of average net assets, respectively. Calamos Advisors may recapture previously waived expense amounts within the same fiscal year for any day where the respective Fund's expense ratio falls below the contractual expense limit up to the expense limit for that day. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is not terminable by either party. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Performance shown reflects the effects of an expense reimbursement that improved results. Load-adjusted returns are adjusted for the maximum frontend sales load of 4.75% for Class A shares. Returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graph does not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market.
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.
www.calamos.com
45
Calamos Select Fund
OVERVIEW
The Fund primarily invests in a concentrated portfolio of large-cap U.S. equities with broad representation across sectors and industries. In addition, the Fund can invest across investment styles in the U.S. equity market.
KEY FEATURES
◼ Security selection is based mainly on Calamos analysts' highest conviction ideas. We leverage the collective expertise of the firm's research analysts, who average 15+ years of experience in their areas of expertise.
◼ The investment process is driven by rigorous fundamental and sector-specific research. The goal is to maximize exposure to opportunities the team believes are compelling.
◼ Quantitative tools help minimize systematic risks across both sectors and factors. We use quantitative tools to minimize unintended bets and maximize the impact of security selection.
PORTFOLIO FIT
Because the Fund pairs a high-conviction approach with a broad investment universe, we believe it is an attractive choice for investors seeking a long-term core equity allocation to U.S. stocks.
FUND NASDAQ SYMBOLS
A Shares | CVAAX | ||||||
C Shares | CVACX | ||||||
I Shares | CVAIX |
FUND CUSIP NUMBERS
A Shares | 128119666 | ||||||
C Shares | 128119641 | ||||||
I Shares | 128119633 |
CALAMOS SELECT FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2020, Calamos Select Fund returned 30.50% (Class I shares at net asset value), outperforming the S&P 500 Index return of 28.85%.
What factors influenced performance during the reporting period?
U.S. equities enjoyed strong returns over the semiannual period, as markets continued to recover from the severe COVID-19-related downturn in February and March of 2020. Positive data on vaccine efficacy and hopes of an imminent vaccine rollout buoyed investor enthusiasm during the period. In the U.S., COVID-19 new cases peaked in early January 2021, the case for reopening the economy strengthened further, and cyclical growth businesses joined the market's move upward. The equity market largely shrugged off a near doubling of the 10-year U.S. Treasury yield as the move began from an extremely low base, and corporate earnings continued to impress. Accommodative monetary policy and massive stimulus further fueled strong economic growth.
Stock market performance broadened during the semiannual period, and cyclical businesses joined in with strong gains. Many of these cyclical areas had previously lagged due to hindered mobility and restrictions on gatherings. As reopening momentum gathered steam, the energy sector led the S&P 500 Index with a 76% gain during the semiannual period. Financial stocks also benefitted from renewed confidence and a steepening yield curve and delivered a 54% return. Cyclical growth sectors such as industrials (+36%) and materials (+32%) got a boost from improving macroeconomic trends. Communication services (+32%) continued to perform well, while real estate (+29%) and information technology (+27%) delivered benchmark-like returns. Consumer discretionary (+24%) and health care (+21%) also had strong returns, though trailed the S&P 500 Index. More outright defensive areas such as consumer staples (+13%) and utilities (+9%) delivered solid absolute returns but lagged the benchmark significantly.
The Fund benefited from strong stock selection within the financials sector. While financials represented the second-leading sector within the growth benchmark, the Fund's selection significantly outperformed those of the sector overall. Specifically, our holdings in investment banking & brokerage and consumer finance represented major contributors The Fund's slight overweight to financials was also additive relative to benchmark performance. Favorable security selection and an average underweight stance in information technology also added to the Fund's performance, especially in the semiconductor equipment and semiconductors industries, which can be thought of as a more cyclical opportunity within the tech space.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
46
Calamos Select Fund
Over the period, security selection within the consumer discretionary sector dampened relative performance, as holdings in the apparel, accessories & luxury goods and internet & direct marketing retail industries lost ground on a relative basis. Selection and an average underweight stance in real estate also trailed on a relative basis. Specifically, specialized REITs and our lack of exposure in retail REITs held back return. Real estate is a relatively small portion of the market, and we see fewer compelling fundamental opportunities in the space.
How is the Fund positioned?
The portfolio remains broadly diversified with a mix of durable, secular themes and more cyclical growth opportunities. During the reporting period, the Fund increased its relative weights to the consumer staples and consumer discretionary sectors. Within consumer staples, new names within the foods industries added value. Consumer discretionary names were added in autos, auto parts and casinos & gaming. Conversely, relative Fund weightings were reduced in the health care and real estate sectors in order to manage around valuation as well as source more cyclical growth opportunities. The Fund is broadly diversified by sector, favoring individual stock selection to significant sector over and underweights, and owns a mix of cyclical and secular growth opportunities.
What closing thoughts do you have for Fund shareholders?
As the U.S. economy continues to reopen and rebound sharply, the current environment for growth investing is quite robust, with ample opportunities across many industries and sectors. Calamos Select Fund remains well positioned in both longer-term secular growth themes—from cloud computing to electric vehicles to digital payments—and cyclical growth themes in the consumer, industrials, and financials sectors that are particularly compelling, given the accelerating recovery now underway.
With a vaccine rollout outpacing those of global peers, a Federal Reserve fully committed to accommodative policies, and a White House willing to inject unprecedented amounts of stimulus, the U.S. is poised to lead the global recovery in 2021. Current projections by the International Monetary Fund show the U.S. economy expanding by 6.4% this year. If achieved, this would represent the country's highest real GDP annual percent change in nearly 40 years. These rapidly improving economic conditions are contributing to a very strong backdrop for corporate profits. The recovery in earnings for U.S. companies has come faster than most expected, with S&P 500 EPS projected to cumulatively grow 25% this year and surpass 2019 levels by 9%. Most importantly, the reopening of the U.S. economy has significantly widened the opportunity set for the Fund beyond the traditional secular growth segments of the market.
SECTOR WEIGHTINGS
Information Technology | 25.0 | % | |||||
Consumer Discretionary | 12.8 | ||||||
Financials | 12.5 | ||||||
Health Care | 11.5 | ||||||
Industrials | 10.9 | ||||||
Communication Services | 10.0 | ||||||
Consumer Staples | 7.9 | ||||||
Energy | 2.6 | ||||||
Utilities | 2.5 | ||||||
Materials | 2.5 |
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.
www.calamos.com
47
Calamos Select Fund
ANNUALIZED RETURN: SINCE INCEPTION (3/1/02) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A and Class C shares, the performance of which may vary. Performance shown reflects an expense reimbursement that improved results. Source: State Street Corporation and Lipper, Inc.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
48
Calamos Select Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||||||||||
Class A Shares – Inception 1/2/02 | |||||||||||||||||||
Without Sales Charge | 30.30 | % | 49.53 | % | 14.41 | % | 9.84 | % | |||||||||||
With Sales Charge | 24.15 | 42.41 | 13.30 | 9.30 | |||||||||||||||
Class C Shares – Inception 1/2/02 | |||||||||||||||||||
Without Sales Charge | 29.95 | 48.52 | 13.59 | 9.03 | |||||||||||||||
With Sales Charge | 28.95 | 47.52 | 13.59 | 9.03 | |||||||||||||||
Class I Shares – Inception 3/1/02 | 30.50 | 49.81 | 14.70 | 10.12 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.64%, Class C shares is 2.40% and Class I shares is 1.39%. The Fund's investment adviser has contractually agreed to reimburse Fund expenses through March 1, 2023, to the extent necessary so that Total Annual Fund Operating Expenses (excluding taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any) of Class A, Class C, and Class I are limited to 1.15%, 1.90%, and 0.90% of average net assets, respectively. Calamos Advisors may recapture previously waived expense amounts within the same fiscal year for any day where the respective Fund's expense ratio falls below the contractual expense limit up to the expense limit for that day. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is not terminable by either party. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Performance shown reflects the effects of an expense reimbursement that improved results and was in effect until March 31, 2004. Load-adjusted returns are adjusted for the maximum front-end sales load of 4.75% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graphs do not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The S&P 1500 Value Index is designed to provide investors with a measure of the performance of U.S. value equities.
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.
www.calamos.com
49
Calamos International Growth Fund
OVERVIEW
The Fund offers a dynamic approach to accessing international growth opportunities. We apply our active investment approach to build a portfolio of companies with superior growth and quality attributes across developed and emerging market.
KEY FEATURES
◼ Identifies companies with compelling growth, competitive advantages and financial strength.
◼ Identifies durable secular themes that provide a tailwind for sustainable growth and a franchise premium.
◼ Investment universe spans geographies and market caps, providing a wide breadth of opportunities.
◼ Takes environmental, social and governance (ESG) factors into account, evaluating the effects on a company's risk profile, cash flow and long-term returns.
PORTFOLIO FIT
As an active, true growth offering with a differentiated return profile, the Fund can potentially help investors optimize capital appreciation within their international allocation.
FUND NASDAQ SYMBOLS
A Shares | CIGRX | ||||||
C Shares | CIGCX | ||||||
I Shares | CIGIX | ||||||
R6 Shares | CIGOX |
FUND CUSIP NUMBERS
A Shares | 128119575 | ||||||
C Shares | 128119559 | ||||||
I Shares | 128119542 | ||||||
R6 Shares | 128120425 |
CALAMOS INTERNATIONAL GROWTH FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos International Growth Fund returned 26.99% (Class I shares at net asset value), versus the 22.25% return for the MSCI EAFE Growth Index and 27.66% return for the MSCI ACWI ex U.S. Index for the period. The Fund's return landed within the 11th percentile of the Morningstar Foreign Large Growth category during this time period.*
Since its inception on March 17, 2005, the Fund has returned 9.44% on an annualized basis (Class I shares at net asset value) compared with a 7.00% return for the MSCI EAFE Growth Index and 6.22% increase for the MSCI ACWI ex U.S. Index. We believe this demonstrates the Fund's ability to generate long-term excess returns over complete market cycles.
What factors influenced performance during the reporting period?
International stocks rose significantly over the semiannual period as investors responded to the global economic recovery and progress against the pandemic, but also confronted the impacts of rising interest rates and intermittent spikes in volatility.
The Fund generated strong returns over the period owing to a combination of favorable sector positioning and an appropriate blend of fundamental attributes. Many of our holdings in international companies with advantaged business models performed well, as did our increased cyclical opportunities and companies positioned to benefit from COVID-19-recovery scenarios.
The Fund's leading security selection and an average underweight stance in health care helped relative results. Positions in the pharmaceuticals industry and names in the health care supplies industry notably added to relative performance.
An average overweight allocation and leading security selection in information technology also added to the Fund's performance, especially in the semiconductors and semiconductor equipment industries.
Over the period, selection within the consumer discretionary sector detracted from return, as holdings in the internet & direct marketing retail and apparel, accessories & luxury goods industries lagged on a relative basis. Security selection within the oil & gas refining & marketing and integrated oil & gas industries of the energy sector hurt relative returns.
From a regional standpoint, leading security selection in Europe helped drive relative returns. The Fund's securities outperformed—particularly those in the Netherlands and Germany.
By contrast, selection in Emerging Asia hampered relative results. In particular, our holdings in China and India rose over the period but lagged the stronger returns of the index for those two countries.
* Data is as of 4/30/21. Morningstar category percentile ranking is based on annualized total return for the 1-year, 3-year, 5-year and 10-year periods. Calamos International Growth Fund Class I Shares were in the 7th, 13th, 12th and 31st percentiles of 441, 383, 322 and 225 funds for the 1-year, 3-year, 5-year and 10-year periods, respectively, for the Morningstar Foreign Large Growth category.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
50
Calamos International Growth Fund
How is the Fund positioned?
The Fund's regional and country positioning reflects the combined inputs from our top-down global framework and our bottom-up security analysis. Our investment team evaluates macroeconomic factors and growth opportunities, actively integrating them into the investment decision-making process.
◼ We positioned the Fund with a combination of secular growth companies—and increased cyclical opportunities—as these economically sensitive businesses are positioned to benefit from a more-synchronized global recovery in the coming months.
◼ Information technology, consumer discretionary, industrials and financials are the largest sector weights in the Fund. Key positions include interactive media & services, semiconductors, diversified banks, internet retail, apparel & luxury goods and industrial machinery. We have an underweight stance in more defensive areas including utilities, real estate, consumer staples and traditional telecoms. We hold moderate weights in energy and materials, with holdings in companies positioned to benefit from higher commodity prices and a pickup in global demand.
◼ We own diversified holdings—with a blend of end markets and business types—in Europe. Positioning reflects a blend of secular demand areas and companies with more cyclical characteristics.
◼ We have significant weight in Japan and view the market favorably as the global recovery broadens out to more regions this year. Monetary and fiscal stimulus remains accommodative, and Japan stands to benefit from rising industrial production and export activity.
◼ We own a range of holdings in emerging markets—reflecting our positive view of opportunities ahead as the economic and pandemic recovery progresses. We own names in key demand areas including interactive media & services, e-commerce, semiconductors, and higher quality financials.
What closing thoughts do you have for Fund shareholders?
International stocks continue to navigate a range of crosscurrents. We are analyzing the economic recovery, alongside policy actions and the path of corporate earnings. Global monetary policy remains highly accommodative and fiscal authorities are implementing an array of programs to boost economic activity. We see many opportunities in international markets, reflective of abundant liquidity, rising earnings, and progress in vaccine deployment. Despite these potential tailwinds, we are mindful that markets will likely remain volatile, and we remain closely attuned to risks.
In terms of Fund positioning, we favor a blend of secular growth and more cyclical characteristics that are well-positioned for a pickup in economic activity. We favor investments in companies with advantaged business models, healthy balance sheets and the ability to compound growth over the medium to longer-term period. From a thematic and sector perspective, we see opportunities in technology, consumer discretionary, financials and industrials with competitive advantages while targeting critical demand areas. Our active investment approach and long-term perspective positions us to take advantage of the volatility and opportunities in international markets.
SECTOR WEIGHTINGS
Information Technology | 23.6 | % | |||||
Consumer Discretionary | 20.1 | ||||||
Industrials | 19.7 | ||||||
Financials | 13.4 | ||||||
Materials | 7.0 | ||||||
Health Care | 6.3 | ||||||
Communication Services | 5.8 | ||||||
Energy | 2.3 | ||||||
Real Estate | 0.6 | ||||||
Consumer Staples | 0.4 |
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.
www.calamos.com
51
Calamos International Growth Fund
ANNUALIZED RETURN: SINCE INCEPTION (3/16/05) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A, Class C and Class R6 shares, the performance of which may vary. Source: State Street Corporation and Lipper, Inc.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
52
Calamos International Growth Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS OR ^SINCE INCEPTION | ||||||||||||||||
Class A Shares – Inception 3/16/05 | |||||||||||||||||||
Without Sales Charge | 26.82 | % | 67.13 | % | 16.17 | % | 7.75 | % | |||||||||||
With Sales Charge | 20.77 | 59.18 | 15.05 | 7.23 | |||||||||||||||
Class C Shares – Inception 3/16/05 | |||||||||||||||||||
Without Sales Charge | 26.34 | 65.88 | 15.30 | 6.95 | |||||||||||||||
With Sales Charge | 25.34 | 64.88 | 15.30 | 6.95 | |||||||||||||||
Class I Shares – Inception 3/16/05 | 26.99 | 67.51 | 16.46 | 8.02 | |||||||||||||||
Class R6 Shares – Inception 9/17/18^ | 27.02 | 67.63 | 21.07 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.52%, Class C shares is 2.27%, Class I shares is 1.28% and Class R6 shares is 1.17%. The Fund's investment adviser has contractually agreed to reimburse Fund expenses through March 1, 2023 to the extent necessary so that Total Annual Fund Operating Expenses (excluding taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any) of Class A, Class C, and Class I are limited to 1.10%, 1.85%, and 0.85% of average net assets, respectively. The Fund's investment adviser has contractually agreed to limit the Fund's annual ordinary operating expenses for Class R6 shares (as a percentage of average net assets) to 0.85% less the annual sub-transfer agency ratio for the Fund. The annual sub-transfer agency ratio is equal to the aggregate sub-transfer agency expenses common to the other share classes of the Fund divided by the aggregate average annual net assets of the Fund's other share classes. For purposes of these expense limitations, operating expenses do not include taxes, interest, short interest, short dividend expenses, all commissions and other normal charges incident to the purchase and sale of portfolio securities, and extraordinary expenses, if any. Calamos Advisors may recapture previously waived expense amounts within the same fiscal year for any day where the respective Fund's expense ratio falls below the contractual expense limit up to the expense limit for that day. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is not terminable by either party. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Performance shown reflects the effects of an expense reimbursement that improved results and was in effect until March 31, 2005. Load-adjusted returns are adjusted for the maximum front-end sales load of 4.75% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graphs do not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The MSCI EAFE Growth Index measures developed market growth equity performance (excluding the U.S. and Canada). Source: Lipper, Inc.
The MSCI ACWI ex US Index represents the performance of large- and mid-cap stocks across developed and emerging markets excluding the United States. The MSCI ACWI ex US Index is provided to show how the Fund's performance compares with the returns of an index of securities similar to those in which the Fund invests.
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.
The Fund's use of derivative instruments involves investment risks and transaction costs to which the Fund would not be subject absent the use of these instruments and, accordingly, may result in losses greater than if they had not been used. Derivative instruments can be illiquid, may disproportionately increase losses and may have a potentially large impact on Fund performance.
www.calamos.com
53
Calamos Evolving World Growth Fund
OVERVIEW
The Fund offers an active, risk-managed strategy to access growth opportunities in emerging markets. The Fund invests in emerging market-domiciled and developed market-domiciled companies with significant revenue exposures attributable to emerging markets.
KEY FEATURES
◼ Focuses on higher-quality companies with compelling growth attributes.
◼ Conducts research across the capital structure and utilizes Calamos' experience in convertible securities to dynamically manage the risk profile.
◼ Emphasizes countries enacting structural reforms and improving economic freedoms, which we believe enhances growth prospects and mitigates risk.
◼ Identifies durable secular themes that provide a tailwind for sustainable growth and a franchise premium.
PORTFOLIO FIT
Because of its focus on risk management, the fund can serve as a long-term emerging-market allocation.
FUND NASDAQ SYMBOLS
A Shares | CNWGX | ||||||
C Shares | CNWDX | ||||||
I Shares | CNWIX |
FUND CUSIP NUMBERS
A Shares | 128119161 | ||||||
C Shares | 128119146 | ||||||
I Shares | 128119138 |
CALAMOS EVOLVING WORLD GROWTH FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Evolving World Growth Fund returned 19.63% (Class I shares at net asset value) versus a 23.09% return for the MSCI Emerging Market Index.
Since its inception on August 15, 2008, the Fund has returned 7.71% on an annualized basis (Class I shares at net asset value) compared with a 5.40% return for the MSCI EM Index. We believe this demonstrates the Fund's ability to access growth opportunities in emerging markets and deliver leading returns while pursuing our risk-managed investment approach over complete market cycles.
What factors influenced performance?
Emerging markets advanced over the semiannual period as investors welcomed the economic recovery globally, but also confronted mixed vaccine progress across countries, rising interest rates and spikes in market volatility.
Pursuant to our dynamic, risk-managed objective, the Fund captured most of the upside in emerging markets over the period while actively managing our exposure and widening the opportunity set. Many of our key holdings in companies with advantaged business models performed well, as did increased cyclical opportunities and companies positioned to benefit from COVID-recovery scenarios as the year progresses.
The Fund's security selection and an average overweight stance in materials, specifically construction materials and steel, helped buoy return. Favorable security selection and an average underweight allocation in consumer staples also contributed to performance. Our lack of participation in packaged foods & meats and personal products also proved beneficial.
Over the period, selection and an average underweight allocation within the financials sector weakened relative returns, as holdings in diversified banks and other diversified financial services lagged on a relative basis. Security selection and an average overweight allocation in real estate also underperformed, especially in the diversified real estate activities and real estate development industries.
From a regional standpoint, favorable security selection in Emerging Latin America added value to Fund performance—particularly our select holdings in Mexico and Panama represented major contributors. Additionally, the Fund benefitted from security selection in Europe where positions in the Netherlands and Germany were sources of strength.
In contrast, selection in Emerging Asia hindered relative results—as holdings in India and Korea trailed the index—and our lack of exposure in Saudi Arabia held back return. Moreover, security selection and an underweight allocation in EMEA weakened return, especially names in South Africa and Poland.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
54
Calamos Evolving World Growth Fund
How is the Fund positioned?
We maintain a positive view of the investment opportunities in emerging markets, reflective of our expectation of improving global growth and progress against the pandemic in the coming months.
◼ In terms of positioning, we favor a blend of investments in secular growth businesses, in addition to cyclical opportunities and select reopening plays that we believe are well-positioned for a pickup in economic growth.
◼ From a sector perspective, the largest allocations are in the technology, consumer discretionary, financials, communication services and materials sectors. We favor companies in semiconductors, internet retail, interactive media & services, higher-quality diversified banks and steel. Specifically, we look for businesses that offer attractive business models, large addressable markets, and leverage to improving global growth.
◼ We have an underweight stance in more defensive areas including utilities, consumer staples and traditional telecoms.
◼ We hold increased weight in materials and energy, favoring opportunities with sound capital management and an ability to leverage improved supply-demand fundamentals.
◼ From a geographic perspective, we own significant weight in Emerging Asia, though we also hold select investments in Latin America, Emerging Europe and South Africa.
What closing thoughts do you have for Fund shareholders?
Emerging market investors must continue to navigate a range of crosscurrents through different regions and countries. We are analyzing the economic and policy backdrop, progress against the pandemic, and the prospects for corporate earnings. Monetary policy is accommodative as central banks support liquidity, while fiscal authorities are implementing a wide range of programs to boost economic activity. We see an increased set of opportunities in emerging markets, reflective of a pickup in activity in key markets, increasing global trade and abundant liquidity.
We own a blend of investments in secular growth companies, in addition to more cyclical opportunities leveraged to benefit from a pickup in the global economy. We favor investments in companies with advantaged business models, flexible balance sheets and the ability to compound growth over the medium to longer-term period. From a thematic and sector perspective, we see opportunities in technology, communications services, consumer discretionary, higher-quality financials and industrials with competitive advantages that target in-demand areas. Our active investment approach and long-term perspective positions us to take advantage of the volatility and opportunities in emerging markets.
SECTOR WEIGHTINGS
Information Technology | 24.7 | % | |||||
Financials | 19.7 | ||||||
Consumer Discretionary | 17.0 | ||||||
Communication Services | 10.8 | ||||||
Materials | 9.5 | ||||||
Industrials | 5.9 | ||||||
Energy | 3.1 | ||||||
Health Care | 2.5 | ||||||
Real Estate | 2.2 | ||||||
Consumer Staples | 2.0 | ||||||
Airlines | 1.3 | ||||||
Other | 1.0 |
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.
www.calamos.com
55
Calamos Evolving World Growth Fund
ANNUALIZED RETURN: SINCE INCEPTION (8/15/08) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A and Class C shares, the performance of which may vary. Source: State Street Corporation and Lipper, Inc.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
56
Calamos Evolving World Growth Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||||||||||
Class A Shares – Inception 8/15/08 | |||||||||||||||||||
Without Sales Charge | 19.52 | % | 67.80 | % | 15.08 | % | 5.34 | % | |||||||||||
With Sales Charge | 13.83 | 59.79 | 13.98 | 4.83 | |||||||||||||||
Class C Shares – Inception 8/15/08 | |||||||||||||||||||
Without Sales Charge | 19.08 | 66.62 | 14.23 | 4.55 | |||||||||||||||
With Sales Charge | 18.08 | 65.62 | 14.23 | 4.55 | |||||||||||||||
Class I Shares – Inception 8/15/08 | 19.63 | 68.18 | 15.37 | 5.59 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.64%, Class C shares is 2.39% and Class I shares is 1.39%. The Fund's investment adviser has contractually agreed to reimburse Fund expenses through March 1, 2023 to the extent necessary so that Total Annual Fund Operating Expenses (excluding taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any) of Class A, Class C, and Class I are limited to 1.30%, 2.05%, and 1.05% of average net assets, respectively. Calamos Advisors may recapture previously waived expense amounts within the same fiscal year for any day where the respective Fund's expense ratio falls below the contractual expense limit up to the expense limit for that day. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is not terminable by either party. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Load-adjusted returns are adjusted for the maximum front-end sales load of 4.75% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graph does not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The MSCI Emerging Markets Index is a free float-adjusted market capitalization index considered broadly representative of emerging market equity performance. The index represents companies within the constituent emerging markets that are available to investors worldwide. The index is calculated on a total return basis, which includes reinvestment of gross dividends before deduction of withholding taxes.
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.
The Fund's use of derivative instruments involves investment risks and transaction costs to which the Fund would not be subject absent the use of these instruments and, accordingly, may result in losses greater than if they had not been used. Derivative instruments can be illiquid, may disproportionately increase losses and may have a potentially large impact on Fund performance.
www.calamos.com
57
Calamos Global Equity Fund
OVERVIEW
The Fund invests in equities of companies around the globe. We seek firms demonstrating what we believe to be key growth characteristics, including increasing profit margins and high returns on invested capital.
KEY FEATURES
◼ Flexibly seeks growth globally, searching for the best risk/reward opportunities across countries, market capitalizations and sectors.
◼ Seeks global growth companies that may benefit from long-term secular themes, including a burgeoning global middle class and increasing demand for information and entertainment.
PORTFOLIO FIT
The Fund can serve as a growth-oriented addition to a strategic global equity allocation and may complement or provide an alternative to value or blended styles.
FUND NASDAQ SYMBOLS
A Shares | CAGEX | ||||||
C Shares | CCGEX | ||||||
I Shares | CIGEX | ||||||
R6 Shares | CGEOX |
FUND CUSIP NUMBERS
A Shares | 128119484 | ||||||
C Shares | 128119468 | ||||||
I Shares | 128119450 | ||||||
R6 Shares | 128120334 |
CALAMOS GLOBAL EQUITY FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Global Equity Fund returned 28.67% (Class I shares at net asset value) versus the 29.39% gain for the MSCI World Index and 28.56% return of the MSCI ACWI Index for the same period. The Fund's return significantly outperformed its category peer average during the period, landing in the 18th percentile of the Morningstar World Large-Stock category.*
Since its inception on March 2, 2007, the Fund has returned 10.51% on an annualized basis (Class I shares at net asset value) compared with a 7.70% gain for the MSCI World Index and 7.45% return for the MSCI ACWI Index. We believe this compelling record demonstrates the Fund's ability to generate long-term excess returns over complete market cycles and varied investment environments.
What factors influenced performance during the reporting period?
Global stocks advanced in the semiannual period as investors responded to the global economic recovery and progress against the pandemic, but also confronted the impacts of rising interest rates and intermittent spikes in volatility. The Fund generated strong returns over the semiannual period due to a combination of favorable sector positioning and individual security selection. Many of our key Fund holdings in global companies with advantaged business models performed well, as did cyclical opportunities and companies positioned to benefit from Covid-19 reopening scenarios.
From a sector perspective, the Fund's leading security selection in information technology benefited relative results. Specifically, semiconductor equipment and data processing & outsourced services bolstered relative performance. Favorable security selection and an average underweight allocation in health care also added to performance. The main contributors within this sector were pharmaceuticals and health care equipment.
Over the period, security selection and an average overweight stance within the consumer discretionary sector hampered relative returns, as holdings in the internet & direct marketing retail and apparel, accessories & luxury goods industries lagged on a relative basis. Selection within the oil & gas refining & marketing and integrated oil & gas industries of the energy sector also trailed.
From a geographic standpoint, favorable security selection in the U.S. lifted results. Moreover, leading security selection in Emerging Latin America added value during the period. Specifically, Mexican selection and our lack of weight in Brazil benefited returns.
In contrast, security selection in Emerging Asia had a negative impact on the Fund's performance, as holdings in China and India trailed the index holdings. Additionally, relative security selection in Japan underperformed during the quarter.
* Data is as of 4/30/21. Morningstar category percentile ranking is based on annualized total return for the 1-year, 3-year, 5-year and 10-year periods. Calamos Global Equity Fund Class I Shares were in the 12th, 35th, 27th and 50th percentiles of 343, 302, 252 and 166 funds for the 1-year, 3-year, 5-year and 10-year periods, respectively, for the Morningstar World Large-Stock category.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
58
Calamos Global Equity Fund
How is the Fund positioned?
The Fund's regional and country positioning reflects the combined inputs from our top-down global framework and our bottom-up security analysis. Our investment team evaluates macroeconomic factors and growth opportunities and actively integrates these into the investment decision-making process.
◼ The Fund holds a combination of secular growth companies and cyclical opportunities in more economically sensitive areas.
◼ Technology, consumer discretionary, industrials, financials and communication services comprise the largest sector weights in the Fund. Key industries include semiconductors, diversified banks, internet retail, interactive media & services, systems software and industrial machinery.
◼ We have an underweight stance in more defensive areas including utilities, real estate, consumer staples and traditional telecoms.
◼ We hold moderate weights in energy and materials, with investments in companies positioned to benefit from higher commodity prices and a pickup in global demand.
◼ Through a geographic lens, we own a set of secular growth businesses and increased cyclicals in the U.S., given the encouraging economic backdrop and wider set of opportunities.
◼ We own diversified holdings, with a blend of end markets and business types, in Europe. Positioning is largely in global secular demand areas and in cyclical opportunities leveraged to the recovery.
◼ We have a relatively even-weight position in Japan. Fiscal stimulus and monetary policies are extremely accommodative, and the economy is benefiting from rising exports.
◼ We own a range of holdings in emerging markets within high-demand areas such as interactive media & services, semiconductors, e-commerce and higher-quality financials.
What closing thoughts do you have for Fund shareholders?
Global stocks continue to navigate a range of crosscurrents. We are analyzing the global recovery and many aspects of economic activity, alongside policy actions and the path of corporate earnings. Global monetary policy remains highly accommodative and fiscal authorities are implementing an array of programs to boost economic activity. We see many opportunities in global stocks, reflective of abundant liquidity, rising earnings, and progress in global vaccine deployment. Despite these potential tailwinds, we are mindful that markets will likely remain volatile, and we will continue to monitor potential risks.
In terms of Fund positioning, we favor a blend of investments in secular growth areas in addition to increased opportunities with more cyclical characteristics that are well-positioned for a pickup in economic activity. We favor investments in companies with advantaged business models, healthy balance sheets, and the ability to compound growth over the medium to longer-term period. From a thematic and sector perspective, we see opportunities in technology, consumer discretionary, financials, and industrials with competitive advantages that target critical demand areas. Our active investment approach and long-term perspective positions us to take advantage of the volatility and opportunities in global markets.
SECTOR WEIGHTINGS
Information Technology | 27.9 | % | |||||
Consumer Discretionary | 16.7 | ||||||
Financials | 13.9 | ||||||
Industrials | 12.5 | ||||||
Communication Services | 10.1 | ||||||
Health Care | 7.7 | ||||||
Materials | 5.7 | ||||||
Energy | 2.3 | ||||||
Real Estate | 2.1 | ||||||
Consumer Staples | 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.
www.calamos.com
59
Calamos Global Equity Fund
ANNUALIZED RETURN: SINCE INCEPTION (3/1/07) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A, Class C and Class R6 shares, the performance of which may vary. Source: State Street Corporation and Lipper, Inc.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
60
Calamos Global Equity Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS OR ^SINCE INCEPTION | ||||||||||||||||
Class A Shares – Inception 3/1/07 | |||||||||||||||||||
Without Sales Charge | 28.56 | % | 66.47 | % | 18.96 | % | 10.93 | % | |||||||||||
With Sales Charge | 22.46 | 58.58 | 17.82 | 10.38 | |||||||||||||||
Class C Shares – Inception 3/1/07 | |||||||||||||||||||
Without Sales Charge | 28.00 | 65.04 | 18.07 | 10.09 | |||||||||||||||
With Sales Charge | 27.00 | 64.04 | 18.07 | 10.09 | |||||||||||||||
Class I Shares – Inception 3/1/07 | 28.67 | 66.87 | 19.25 | 11.20 | |||||||||||||||
Class R6 Shares – Inception 6/23/20^ | 28.74 | 51.42 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.65%, Class C shares is 2.40%, Class I shares is 1.40% and Class R6 shares 1.34%. The Fund's investment adviser has contractually agreed to reimburse Fund expenses through March 1, 2023 to the extent necessary so that Total Annual Fund Operating Expenses (excluding taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any) of Class A, Class C, and Class I are limited to 1.40%, 2.15%, and 1.15% of average net assets, respectively. The Fund's investment advisor has contractually agreed to limit the Fund's annual ordinary operating expenses for Class R6 shares (as a percentage of average net assets) to 1.15% less the annual sub-transfer agency ratio for the Fund. The annual sub-transfer agency ratio is equal to the aggregate sub-transfer agency expenses common to the other share classes of the Fund divided by the aggregate average annual net assets of the Fund's other share classes. For purposes of this expense limitation, operating expenses do not include taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any. Calamos Advisors may recapture previously waived expense amounts within the same fiscal year for any day where the respective Fund's expense ratio falls below the contractual expense limit up to the expense limit for that day. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is not terminable by either party. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Load-adjusted returns are adjusted for the maximum front-end sales load of 4.75% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graph does not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
www.calamos.com
61
Calamos Global Equity Fund
The MSCI World Index (USD) is a free float-adjusted market-capitalization-weighted index composed of companies representative of the market structure of developed market countries in North America, Europe and the Asia/Pacific region.
The MSCI ACWI (USD) Index is a free float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of companies in developed and emerging markets. The MSCI ACWI (USD) Index is provided to show how the Fund's performance compares with the returns of an index of securities similar to those in which the Fund invests.
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.
The Fund's use of derivative instruments involves investment risks and transaction costs to which the Fund would not be subject absent the use of these instruments and, accordingly, may result in losses greater than if they had not been used. Derivative instruments can be illiquid, may disproportionately increase losses and may have a potentially large impact on Fund performance.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
62
Calamos Global Opportunities Fund
CALAMOS GLOBAL OPPORTUNITIES FUND
(formerly Calamos Global Growth and Income Fund)
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2021, Calamos Global Opportunities Fund returned 25.55% (Class I shares at net asset value) versus a 28.56% return for the MSCI ACWI Index and 29.39% gain for the MSCI World Index.
Since its inception on September 10, 1996, the Fund has returned 8.35% on an annualized basis (Class I shares at net asset value) compared with a 7.16% return for the MSCI ACWI Index and 7.44% increase for the MSCI World Index. We manage the Fund with the goal of achieving upside equity participation and potential downside mitigation over full market cycles. We believe these figures demonstrate the Fund's ability to generate attractive long-term returns while pursuing its risk-managed investment approach.
What factors influenced performance during the reporting period?
Global stocks and convertibles advanced in the semiannual period as investors responded to the global economic recovery and progress against the pandemic, but also confronted the impacts of rising interest rates and intermittent spikes in market volatility. Pursuant to our risk-managed equity objective, the Fund generated strong returns over the period while employing an active blend of common stocks, convertibles, and options. Many of our key Fund holdings in companies with advantaged business models performed well, as did increased cyclical opportunities and companies positioned to benefit from COVID-19-reopening scenarios.
The Fund's average underweight stance in consumer staples assisted relative performance as the sector lagged other areas during the period. Holdings in the packaged foods & meats industry helped relative performance, and our lack of participation in household products benefited return. Favorable security selection and an average underweight position in real estate also contributed to performance. Specifically, our investment in real estate services added value.
Over the period, security selection within the energy sector hindered return, as holdings in the oil & gas refining & marketing and oil & gas exploration & production industries curbed relative results. An average overweight allocation and relative selection in consumer discretionary detracted value, while our holdings generated positive absolute returns. Specifically, selection within the internet & direct marketing retail and apparel, accessories & luxury goods industries detracted from relative returns.
Favorable security selection and an overweight position in the United States added value. Moreover, leading security selection in Emerging Latin America also added value. Mexico was a leading contributor, and our lack of investment in Peru also benefited relative return.
In contrast, security selection in Emerging Asia lagged on a relative basis, as holdings in China and India curbed relative results. Additionally, security selection in Japan hampered relative returns.
OVERVIEW
The Fund invests primarily in global equity and convertible securities with an aim to balance risk/reward while providing growth and income.
KEY FEATURES
◼ Combines equity and convertible holdings in order to limit downside risk while potentially capturing upside equity participation.
◼ Provides a core holding option that strives to maintain a consistent risk posture throughout the market cycle.
◼ Seeks to participate in the upside movements of the global equity market while lessening the impact of down periods.
PORTFOLIO FIT
The Fund can provide a long-term core allocation to global equities with the potential for lower volatility over full market cycles.
FUND NASDAQ SYMBOLS
A Shares | CVLOX | ||||||
C Shares | CVLCX | ||||||
I Shares | CGCIX |
FUND CUSIP NUMBERS
A Shares | 128119500 | ||||||
C Shares | 128119708 | ||||||
I Shares | 128119609 |
www.calamos.com
63
Calamos Global Opportunities Fund
SECTOR WEIGHTINGS
Information Technology | 23.1 | % | |||||
Consumer Discretionary | 17.0 | ||||||
Industrials | 12.5 | ||||||
Financials | 12.1 | ||||||
Communication Services | 10.7 | ||||||
Health Care | 9.9 | ||||||
Materials | 5.1 | ||||||
Energy | 2.3 | ||||||
Consumer Staples | 2.1 | ||||||
Real Estate | 1.8 | ||||||
Utilities | 1.3 | ||||||
Other | 0.2 |
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.
How is the Fund positioned?
We positioned the Fund with a combination of secular growth companies, in addition to increased cyclical opportunities given our positive stance on the prospects for the global economy.
◼ Technology, consumer discretionary, industrials, communication services and financials are the largest sector weights in the Fund. We hold key industry positions in semiconductors, interactive media & services, internet retail, diversified banks, autos and industrial machinery.
◼ We have moderate weight in materials and energy, with holdings in companies positioned to benefit from higher commodity prices and the pickup in global demand.
◼ We have an underweight position in more defensive areas including utilities, real estate, consumer staples and traditional telecom services.
◼ Through a geographic lens, we own a set of leading secular growth businesses and cyclicals in the U.S., via equities and convertible securities, to actively manage the risk profile.
◼ We own diversified holdings in Europe, with a blend of end markets and business types. We are positioned largely in global secular demand areas and in certain economically sensitive businesses.
◼ We have a range of holdings in emerging markets within demand areas such as interactive media & services, e-commerce, semiconductors and higher-quality financials.
◼ We own select holdings in Japan where we believe the market is well-positioned as the global recovery takes hold this year. Monetary and fiscal stimulus remains highly accommodative, and the economy should benefit from rising manufacturing and industrial production.
What closing thoughts do you have for Fund shareholders?
Global markets continue to navigate a range of crosscurrents. We are analyzing the global recovery and many aspects of economic activity, alongside policy actions and the path of corporate earnings. Global monetary policy remains highly accommodative and fiscal authorities are implementing an array of programs to boost economic activity. We see many opportunities in global stocks and convertibles, reflecting abundant liquidity, rising earnings and progress in global vaccine deployment. Despite these potential tailwinds, we are mindful that markets will likely remain volatile, and we remain closely attuned to risks.
In terms of Fund positioning, we favor a blend of investments in secular growth areas in addition to increased opportunities with more cyclical characteristics that are well-positioned for a pickup in economic activity. We favor investments in companies with advantaged business models, healthy balance sheets and the ability to compound growth over the medium to longer-term period. From a thematic and sector perspective, we see opportunities in technology, consumer discretionary, financials and industrials with competitive advantages that target critical demand areas. Our active, risk-managed investment approach and long-term perspective positions us to take advantage of the volatility and opportunities in global markets.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
64
Calamos Global Opportunities Fund
ANNUALIZED RETURN: SINCE INCEPTION (9/18/97) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A and Class C shares, the performance of which may vary. Source: State Street Corporation and Lipper, Inc.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
www.calamos.com
65
Calamos Global Opportunities Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||||||||||
Class A Shares – Inception 9/9/96 | |||||||||||||||||||
Without Sales Charge | 25.28 | % | 53.15 | % | 13.20 | % | 7.50 | % | |||||||||||
With Sales Charge | 19.32 | 45.87 | 12.10 | 6.97 | |||||||||||||||
Class C Shares – Inception 9/24/96 | |||||||||||||||||||
Without Sales Charge | 24.82 | 52.06 | 12.35 | 6.70 | |||||||||||||||
With Sales Charge | 23.82 | 51.06 | 12.35 | 6.70 | |||||||||||||||
Class I Shares – Inception 9/18/97 | 25.55 | 53.62 | 13.49 | 7.77 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.53%, Class C shares is 2.28% and Class I shares is 1.28%. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlight section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Performance shown reflects the effects of an expense reimbursement that improved results and was in effect until March 31, 2003. Load-adjusted returns are adjusted for the maximum front-end sales load of 4.75% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graphs do not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The MSCI ACWI Index is a free float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed and emerging markets.
The MSCI World Index (U.S. Dollars) is a market-capitalization-weighted index composed of companies representative of the market structure of developed market countries in North America, Europe and the Asia/Pacific region. Since inception data for the index is shown from 9/30/97 since data is only available for full monthly periods. Source: Lipper, Inc.
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.
The Fund's use of derivative instruments involves investment risks and transaction costs to which the Fund would not be subject absent the use of these instruments and, accordingly, may result in losses greater than if they had not been used. Derivative instruments can be illiquid, may disproportionately increase losses and may have a potentially large impact on Fund performance.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
66
Calamos Total Return Bond Fund
CALAMOS TOTAL RETURN BOND FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2020, Calamos Total Return Bond Fund returned -0.94% (Class I shares at net asset value) finishing ahead of the -1.52% return for the Bloomberg Barclays U.S. Aggregate Bond Index.
Since its inception on June 27, 2007, the Fund gained 4.31% on an annualized basis (Class I share at net asset value) in line with the 4.29% return for the Bloomberg Barclays U.S. Aggregate Bond Index.
What factors influenced performance?
Several significant changes and developments occurred during the semiannual reporting period that helped propel risk markets to stronger valuations in both domestic equities and fixed income. As relates to COVID-19, the world made significantly quicker-than-expected progress developing, manufacturing and distributing vaccines to the general public. As of the end of April, over 100,000,000 Americans have been fully vaccinated, one of the quickest efforts in the world from the vantage of population percentage. To be clear, there have been challenges distributing and administering the vaccines domestically and abroad. Health care officials put a stop to administering the Johnson & Johnson shot for several days due to safety concerns. And when it comes to both vaccination progress and the recovery of economic fundamentals, other developed countries are lagging American progress by a quarter or two, while many emerging market countries are further behind.
Despite the challenges abroad, there is a high level of optimism related to the reopening of travel, leisure, restaurants and other service businesses that have been most severely impacted by the pandemic. Airlines are reporting, for instance, that domestic leisure flight bookings are strengthening quickly and approaching pre-pandemic levels. Cruise companies are planning for some form of reopening this summer. The NFIB Small Business Optimism Index improved for the third-straight month in April, and expectations are for continued improvement heading into the summer months.
Of course, there were also significant political changes in the United States during the reporting period. Within weeks of the Fund's fiscal year close, voters elected President Biden. Shortly thereafter, in early January, Democrats swept the run-off elections for both Senatorial seats in Georgia, pulling them into a 50/50 tie with Republicans in the highest chamber of Congress. As Vice President Kamala Harris casts the tie-breaking vote, the Democrats have effective control of both houses of Congress, and the executive branch. One of the most prominent policy efforts of President Biden in the early months of his presidency has been to disburse more fiscal stimulus: passing a $1.9 trillion package and proposing an additional $2+ trillion package.
Additionally, the Fed has continued to provide a historically high level of monetary policy by holding its federal funds rate near zero for the entirety of last year, and by purchasing $80 billion of Treasury securities and $40 billion of mortgage-backed securities per month. Liquidity conditions in the investment-grade and high-yield
OVERVIEW
Through its multi-sector fixed-income strategy, the Fund invests predominantly in U.S. issuers with the goal of generating a high level of both current income and total return in excess of the benchmark over full market cycles.
KEY FEATURES
◼ Employs bond-by-bond portfolio construction with a focus on being well compensated for risks taken. We believe a disciplined process, grounded in fundamental research, enables us to achieve higher total returns with less volatility.
◼ Draws on a broader investable universe to enhance portfolio construction and risk management. The inclusion of high-yield bonds, bank loans and preferreds provides additional opportunities.
◼ Utilizes robust, independent credit research. Our fixed-income investment process unites quantitative and qualitative analyses into historical and forward-looking models. The result is a credit rating reflective of where a company is heading.
◼ Applies a macro overlay to capitalize on misunderstood industries and sectors. The overlay acts as a risk control that also considers the business cycle, geopolitical factors, inflation and real-rate expectations.
PORTFOLIO FIT
The Fund may be suitable as the cornerstone of a fixed-income allocation, with investments diversified across the major sectors of the U.S. bond market. Allocations to specialized fixed-income strategies seek to enhance return potential and better manage risk.
FUND NASDAQ SYMBOLS
A Shares | CTRAX | ||||||
C Shares | CTRCX | ||||||
I Shares | CTRIX |
www.calamos.com
67
Calamos Total Return Bond Fund
FUND CUSIP NUMBERS
A Shares | 128119310 | ||||||
C Shares | 128119286 | ||||||
I Shares | 128119278 |
ASSET ALLOCATION
Corporate Bonds | 51.9 | % | |||||
U.S. Government and Agency Securities | 29.8 | ||||||
Bank Loans | 7.9 | ||||||
Asset Backed Securities | 4.5 | ||||||
Residential Mortgage Backed Securities | 1.9 | ||||||
Convertible Bonds | 0.4 |
Asset Allocation 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.
markets are very strong, and companies coming to market with new-issue securities are met with ample demand from investors.
Both investment-grade and high-yield credit spreads showed meaningful tightening during the reporting period. The option-adjusted spread on the Bloomberg Barclays U.S. Corporate Index tightened from 125 basis points to 88 basis points. In the high-yield market, option-adjusted spreads tightened impressively from 510 basis points to 292 basis points during the period. Each reflected a continuation of the strong tightening trend from the prior six months.
Treasury yields steepened sharply as concerns about impending inflationary pressure took shape in the market. Continued stimulus, pent-up demand from the stay-at-home measures in place during the pandemic, and the possibility that the Fed is too slow to remove accommodations are three of the more frequently cited concerns. While two-year yields were essentially flat, five-year yields increased by 46 basis points, with ten-year maturities increasing 75 basis points. Given the Treasury sell-off and spread tightening during the period, major sectors of the U.S. Aggregate market experienced varying performance. The securitized-products component of the Bloomberg Barclays U.S. Aggregate Bond Index led with a -0.2% return; corporate bonds returned -0.5%; and the government-related sector dipped -0.8%, while the Treasury sector trailed at -3.4%.
The Fund held an overweight in corporate debt over the semiannual period. As a result, the overweight allocation to corporate bonds across financial, industrial, and utility-related sectors contributed to performance, as did security selection in both the financial and industrial sectors. The overweight allocation to the asset-backed security sector also supported performance, while the team's security selection in Treasuries and the underweight position to mortgage-backed securities weighed down performance. Over the long term, we continue to favor an overweight to corporate bonds and asset-backed securities in the Total Return Bond Fund, as the additional yield has shown historically to generate superior long-term returns.
How is the Fund positioned?
The Fund has a duration of 6.0 years short to the 6.4 years option-adjusted duration of the Bloomberg Barclays U.S. Aggregate Bond Index.
The Fund continues to hold an overweight in corporate bonds in both the investment-grade and out-of-benchmark high-yield ratings categories. These overweights led to a lower overall credit quality of A- when compared to the AA- quality of the benchmark. The weakness in Treasury rates coupled with the tightening of spreads in risk assets resulted in negative returns during the reporting period, behind peer group averages, but ahead of the Bloomberg Barclays U.S. Aggregate Bond Index. The Fund remains overweight in corporate bonds and asset-backed securities, and the weighting of corporate bonds was increased during the semiannual period, in both industrial and financial names. These additions were funded by decreasing the Fund's position in mortgage-backed securities and available cash. The Fund continues to hold overweight positions in corporate and asset-backed securities and underweight positions in Treasuries and mortgages following the changes. Within the corporate bond allocation, our largest overweight allocations went toward the consumer non-cyclical and technology sectors.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
68
Calamos Total Return Bond Fund
What are your closing thoughts for Fund shareholders?
The United States is rapidly moving from a reopening phase to an open economy. If progress on the vaccination front continues at a good pace, our expectation is that the combination of increased economic activity in service-related sectors along with low-base effects from 2020 will drive inflation significantly higher for the next couple of quarters—though the long-term trend for inflation remains uncertain. We continue to fight unfavorable demographic trends, high-and-rising debt levels and the number of employed people in the country is well below its peak, each of which could mitigate a longer-term trend of high inflation.
Now that first quarter nominal GDP has reached roughly the output level of 2019, one question becomes whether 2022/2023 can be significantly better than 2019, when credit valuations were roughly equivalent to the current trading ranges. Financial conditions should remain accommodative, and the technical backdrop for both high-yield and investment-grade credit should remain supportive of spread markets as there has been ample demand to absorb supply.
Our base expectation for interest rates is that they will continue to move gradually higher leading to a steeper yield curve, which should be supportive of banks and finance companies. But rates will be highly dependent on the course of fiscal and monetary policy. If these policies moderate, yields should rise in a gentle manner. If the policies continue to grow, rates could surprise our expectations to the upside. As always, we continue to apply our disciplined approach—focused on being well compensated for the risks taken—while constructing our portfolio with a bond-by-bond philosophy.
ANNUALIZED RETURN: SINCE INCEPTION (6/27/07) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measure net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A and Class C shares, the performance of which may vary. Source: State Street Corporation and Mellon Analytical Solutions, LLC.
Duration is useful in measuring a bond fund's sensitivity to changes in interest rates. The longer the duration, the more a bond fund's price will fluctuate when interest rates change.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
www.calamos.com
69
Calamos Total Return Bond Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||||||||||
Class A Shares – Inception 6/27/07 | |||||||||||||||||||
Without Sales Charge | -0.97 | % | 1.20 | % | 2.83 | % | 2.72 | % | |||||||||||
With Sales Charge | -3.20 | -1.11 | 2.05 | 2.33 | |||||||||||||||
Class C Shares – Inception 6/27/07 | |||||||||||||||||||
Without Sales Charge | -1.43 | 0.35 | 2.07 | 1.95 | |||||||||||||||
With Sales Charge | -2.41 | -0.64 | 2.07 | 1.95 | |||||||||||||||
Class I Shares – Inception 6/27/07 | -0.94 | 1.45 | 3.11 | 2.98 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.04%, Class C shares is 1.78% and Class I shares is 0.78%. The Fund's investment adviser has contractually agreed to reimburse Fund expenses through March 1, 2023 to the extent necessary so that Total Annual Fund Operating Expenses (excluding taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any) of Class A, Class C, and Class I are limited to 0.90%, 1.65%, and 0.65% of average net assets, respectively. Calamos Advisors may recapture previously waived expense amounts within the same fiscal year for any day where the respective Fund's expense ratio falls below the contractual expense limit up to the expense limit for that day. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is not terminable by either party. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Load-adjusted returns are adjusted for the maximum front-end sales load of 2.25% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graph does not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The Bloomberg Barclays U.S. Aggregate Bond Index is considered generally representative of the investment-grade bond market. Source: Lipper, Inc.
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.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
70
Calamos High Income Opportunities Fund
CALAMOS HIGH INCOME
OPPORTUNITIES FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2020, Calamos High Income Opportunities Fund returned 10.44% (Class I shares at net asset value) outperforming the 7.98% increase for the Bloomberg Barclays U.S. High Yield 2% Issuer Capped Index.
Since its inception on March 1, 2002, the Fund gained 6.45% on an annualized basis (Class I share at net asset value) versus an 8.10% return for the Bloomberg Barclays U.S. High Yield 2% Issuer Capped Index.
What factors influenced performance during the reporting period?
Several significant changes and developments occurred during the semiannual reporting period that helped propel risk markets to stronger valuations in both domestic equities and fixed income. As relates to COVID-19, the world made significantly quicker-than-expected progress developing, manufacturing and distributing vaccines to the general public. As of the end of April, over 100,000,000 Americans have been fully vaccinated, one of the quickest efforts in the world from the vantage of population percentage. To be clear, there have been challenges distributing and administering the vaccines domestically and abroad. Health care officials put a stop to administering the Johnson & Johnson shot for several days due to safety concerns. And when it comes to both vaccination progress and the recovery of economic fundamentals, other developed countries are lagging American progress by a quarter or two, while many emerging market countries are further behind.
Despite the challenges abroad, there is a high level of optimism related to the reopening of travel, leisure, restaurants and other service businesses that have been most severely impacted by the pandemic. Airlines are reporting, for instance, that domestic leisure flight bookings are strengthening quickly and approaching pre-pandemic levels. Cruise companies are planning for some form of reopening this summer. The NFIB Small Business Optimism Index improved for the third-straight month in April, and expectations are for continued improvement heading into the summer months.
Of course, there were also significant political changes in the United States during the reporting period. Within weeks of the Fund's fiscal year close, voters elected President Biden. Shortly thereafter, in early January, Democrats swept the run-off elections for both Senatorial seats in Georgia, pulling them into a 50/50 tie with Republicans in the highest chamber of Congress. As Vice President Kamala Harris casts the tie-breaking vote, the Democrats have effective control of both houses of Congress, and the executive branch. One of the most prominent policy efforts of President Biden in the early months of his presidency has been to disburse more fiscal stimulus: passing a $1.9 trillion package and proposing an additional $2+ trillion package.
OVERVIEW
Through its multi-sector fixed-income strategy, the Fund invests mainly in high-yield securities from U.S. issuers with the goal of generating a high level of current income and total return in excess of the benchmark index over full market cycles.
KEY FEATURES
◼ Employs bond-by-bond portfolio construction with a focus on being well compensated for risks taken. We believe a disciplined process, grounded in fundamental research, enables us to achieve higher total returns with less volatility.
◼ Draws on broader investable universe to enhance portfolio construction and risk management. Expanding the universe to include bank loans and preferred securities provides additional opportunities.
◼ Utilizes robust, independent credit research. Our fixed-income investment process unites quantitative and qualitative analyses into historical and forward-looking models. The result is a credit rating that reflects where a company is heading.
◼ Applies a macro overlay to capitalize on opportunities in misunderstood industries and sectors. The overlay acts as a risk control that also considers the business cycle, geopolitics, inflation and real rate expectations.
PORTFOLIO FIT
The Fund can complement investment-grade credit exposure, providing attractive income and total return potential for more risk-tolerant investors.
FUND NASDAQ SYMBOLS
A Shares | CHYDX | ||||||
C Shares | CCHYX | ||||||
I Shares | CIHYX |
www.calamos.com
71
Calamos High Income Opportunities Fund
FUND CUSIP NUMBERS
A Shares | 128119815 | ||||||
C Shares | 128119799 | ||||||
I Shares | 128119781 |
SECTOR WEIGHTINGS
Consumer Discretionary | 16.6 | % | |||||
Financials | 14.8 | ||||||
Industrials | 14.8 | ||||||
Communication Services | 13.5 | ||||||
Health Care | 10.8 | ||||||
Energy | 10.7 | ||||||
Information Technology | 3.7 | ||||||
Materials | 3.5 | ||||||
Consumer Staples | 3.5 | ||||||
Airlines | 2.4 | ||||||
Real Estate | 1.3 | ||||||
Utilities | 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.
Additionally, the Fed has continued to provide a historically high level of monetary policy by holding its federal funds rate near zero for the entirety of last year, and by purchasing $80 billion of Treasury securities and $40 billion of mortgage-backed securities per month. Liquidity conditions in the high-yield and leveraged loan markets are very strong, and companies coming to market with new-issue securities are met with ample demand from investors. All these factors combined to deliver strong returns for both the equity and high-yield markets during the reporting period, with the latter returning 7.98% (as measured by the Bloomberg Barclays U.S. High Yield 2% Issuer Capped Index). The index closed the semiannual period with option adjusted spreads at 292 basis points over like maturity Treasuries, down from 510 basis points at fiscal year-end. Excluding energy, the yield on the index closed at 4.0%.
As a risk-on tone dominated the semiannual period, lower-quality, below-investment-grade bonds rated CCC delivered returns of 15.0%, whereas BB-rated issuers delivered a gain of 6.2%. At the beginning of the semiannual period, the trailing 12-month default rate was 6.3%, much of which was driven by energy-related defaults in both exploration and production and oil field services. By the end of the reporting period, default rates had declined to 3.2%, a reduction of nearly 50%, closing in on the long-term average of 3.1%. We expect the overall default rate, and that of energy, to continue declining as commodity prices have recovered strongly. Regarding our credit-quality positioning, our selection among BB-rated bonds boosted performance, while security selection among our CCC-rated holdings weighed on performance.
From a sector perspective, the team's security selection with the energy and consumer non-cyclical sectors contributed to return. Conversely, our underweight allocation to the energy sector and overweight to the insurance sector detracted from performance.
How is the Fund positioned?
The Fund is currently overweight the property and casualty insurance, pharmaceuticals and other REITs industries. The pharmaceutical overweight is a result of idiosyncratic opportunities in two companies. The property and casualty insurance overweight is related to favorable consolidation trends in the industry. Our largest underweights are in the consumer cyclical services, wireless and electric utility industries. The underweight to electric utilities is consistent from the beginning of the period, but further reductions to that allocation has made it one of our largest industry underweights.
From a credit-quality perspective, the Fund is positioned with a relative underweight in the BB category, and neutral B-rated and CCC-rated issuers. The balance of the BB-rated underweight is held in a barbell between investment-grade-rated companies and securities that do not carry a third-party rating. The Fund is positioned short (3.3 years) in comparison with the option-adjusted duration of the Bloomberg Barclays U.S. High Yield 2% Issuer Capped Index (3.8 years).
Over the semiannual period, the team has added to positions in the airlines, other REITs and media/entertainment industries. Also, we reduced the portfolio exposure to healthcare, finance companies and wireless credit. Health care and finance companies are less overweight than the beginning of the period, while airlines became a greater overweight with increased exposure.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
72
Calamos High Income Opportunities Fund
What are your closing thoughts for Fund shareholders?
The United States is rapidly moving from a reopening phase to an open economy. If progress on the vaccination front continues at a good pace, our expectation is that the combination of increased economic activity in service-related sectors along with low-base effects from 2020 will drive inflation significantly higher for several quarters—though the long-term trend for inflation remains uncertain. We continue to fight unfavorable demographic trends, high-and-rising debt levels and the number of employed people in the country is well below its peak, each of which could mitigate a longer-term trend of high inflation.
Now that first quarter nominal GDP has reached roughly the output level of 2019, one question becomes whether 2022/2023 can be significantly better than 2019, when credit valuations were roughly equivalent to the current trading ranges. Financial conditions should remain accommodative, and the technical backdrop for both high-yield and investment-grade credit should remain supportive of spread markets as there has been ample demand to absorb supply.
Our base expectation for interest rates is that they will continue to move gradually higher leading to a steeper yield curve, which should be supportive of banks and finance companies. But rates will be highly dependent on the course of fiscal and monetary policy. If these policies moderate, yields should rise in a gentle manner. If the policies continue to increase in scope, rates could surprise our expectations to the upside. As always, we continue to apply our disciplined approach—focused on being well compensated for the risks taken—while constructing our portfolio with a bond-by-bond philosophy.
ANNUALIZED RETURN: SINCE INCEPTION (3/1/02) THROUGH 4/30/21
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. You can obtain performance data current to the most recent month end by visiting www.calamos.com. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Performance is for the Fund's Class I shares at net asset value. The Fund also offers Class A and Class C shares, the performance of which may vary. Source: State Street Corporation and Mellon Analytical Solutions, LLC.
* Annual returns for Class I shares are provided because Class I shares represent the largest percentage of assets in the Calamos Family of Funds.
www.calamos.com
73
Calamos High Income Opportunities Fund
GROWTH OF $1,000,000: FOR THE 10-YEAR PERIOD ENDED 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | 5 YEARS | 10 YEARS | ||||||||||||||||
Class A Shares – Inception 8/2/99 | |||||||||||||||||||
Without Sales Charge | 10.30 | % | 23.06 | % | 6.23 | % | 4.70 | % | |||||||||||
With Sales Charge | 7.87 | 20.27 | 5.19 | 4.19 | |||||||||||||||
Class C Shares – Inception 12/21/00 | |||||||||||||||||||
Without Sales Charge | 9.88 | 22.07 | 5.43 | 3.90 | |||||||||||||||
With Sales Charge | 8.88 | 21.07 | 5.43 | 3.90 | |||||||||||||||
Class I Shares – Inception 3/1/02 | 10.44 | 23.36 | 6.49 | 4.96 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 1.37%, Class C shares is 2.11% and Class I shares is 1.12%. The Fund's investment adviser has contractually agreed to reimburse Fund expenses through March 1, 2023, to the extent necessary so that Total Annual Fund Operating Expenses (excluding taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any) of Class A, Class C, and Class I are limited to 1.00%, 1.75%, and 0.75% of average net assets, respectively. Calamos Advisors may recapture previously waived expense amounts within the same fiscal year for any day where the respective Fund's expense ratio falls below the contractual expenses limit up to the expense limit for that day. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is not terminable by either party. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Performance shown reflects the effects of an expense reimbursement that improved results and was in effect until March 31, 2003. Load-adjusted returns are adjusted for the maximum front-end sales load of 2.25% for Class A shares and returns for Class C shares have been adjusted for the contingent deferred sales charge (CDSC).
NOTES:
The graphs do not reflect the income taxes that you would pay on fund distributions or the redemption of fund shares. Fund performance includes reinvestment of dividends and adjustment for the maximum sales charge for Class A shares. The performance of other classes will vary from the performance of the class shown based on the difference in sales charges and fees paid by shareholders investing in different share classes.
The Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Index measures the performance of high-yield corporate bonds with a maximum allocation of 2% to any one issuer.
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.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
74
Calamos Short-Term Bond Fund
CALAMOS SHORT-TERM BOND FUND
INVESTMENT TEAM DISCUSSION
How has the Fund performed?
For the semiannual period ended April 30, 2020, Calamos Short-Term Bond Fund returned 1.04% (Class I shares at net asset value) outperforming the 0.23% return of the Bloomberg Barclays 1-3 Year Government/Credit Index and 0.56% increase for the Bloomberg Barclays U.S. 1-3 Year Credit Index.
Since its inception on September 19, 2018, the Fund has returned 3.74% on an annualized basis (Class I share at net asset value) versus a 3.32% return for the Bloomberg Barclays 1-3 Year Government/Credit Index and 3.77% gain for the Bloomberg Barclays U.S. 1-3 Year Credit Index.
What factors influenced performance during the reporting period?
Several significant changes and developments occurred during the semiannual reporting period that helped propel risk markets to stronger valuations in both domestic equities and fixed income. As relates to COVID-19, the world made significantly quicker-than-expected progress developing, manufacturing and distributing vaccines to the general public. As of the end of April, over 100,000,000 Americans have been fully vaccinated, one of the quickest efforts in the world from the vantage of population percentage. To be clear, there have been challenges distributing and administering the vaccines domestically and abroad. Health care officials put a stop to administering the Johnson & Johnson shot for several days due to safety concerns. And when it comes to both vaccination progress and the recovery of economic fundamentals, other developed countries are lagging American progress by a quarter or two, while many emerging market countries are further behind.
Despite the challenges abroad, there is a high level of optimism related to the reopening of travel, leisure, restaurants and other service businesses that have been most severely impacted by the pandemic. Airlines are reporting, for instance, that domestic leisure flight bookings are strengthening quickly and approaching pre-pandemic levels. Cruise companies are planning for some form of reopening this summer. The NFIB Small Business Optimism Index improved for the third-straight month in April, and expectations are for continued improvement heading into the summer months.
Of course, there were also significant political changes in the United States during the reporting period. Within weeks of the Fund's fiscal year close, voters elected President Biden. Shortly thereafter, in early January, Democrats swept the run-off elections for both Senatorial seats in Georgia, pulling them into a 50/50 tie with Republicans in the highest chamber of Congress. As Vice President Kamala Harris casts the tie-breaking vote, the Democrats have effective control of both houses of Congress, and the executive branch. One of the most prominent policy efforts of President Biden in the
OVERVIEW
Through its multi-sector fixed-income strategy, the fund invests predominantly in U.S. issuers with the goal of generating a high level of current income and total return in excess of the benchmark over full market cycles.
KEY FEATURES
◼ Employs bond-by-bond portfolio construction with a focus on being well compensated for risks taken. We believe a disciplined process, grounded in fundamental research, enables us to achieve higher total returns with less volatility.
◼ Draws on a broader investable universe to enhance portfolio construction and risk management. Expanding the universe to include high-yield bonds, bank loans and preferreds provides additional opportunities.
◼ Utilizes robust, independent credit research. Our fixed-income investment process unites quantitative and qualitative analyses into historical and forward-looking models. The result is a credit rating reflective of where a company is heading.
◼ Applies a macro overlay to capitalize on misunderstood industries and sectors. The overlay acts as a risk control that also considers the business cycle, geopolitics, inflation and real rate expectations.
PORTFOLIO FIT
The Fund may be suitable for investors seeking current income accompanied by lower volatility over a one-year to two-year time horizon.
FUND NASDAQ SYMBOLS
A Shares | CSTBX | ||||||
I Shares | CSTIX |
www.calamos.com
75
Calamos Short-Term Bond Fund
FUND CUSIP NUMBERS
A Shares | 128120441 | ||||||
I Shares | 128120433 |
ASSET ALLOCATION
Corporate Bonds | 65.2 | % | |||||
Asset Backed Securities | 14.7 | ||||||
Bank Loans | 7.3 | ||||||
Municipal Obligations | 5.0 | ||||||
U.S. Government and Agency Securities | 4.4 | ||||||
Residential Mortgage Backed Securities | 1.5 | ||||||
Convertible Bonds | 0.6 | ||||||
Sovereign Bonds | 0.3 |
Asset Allocation 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.
early months of his presidency has been to disburse more fiscal stimulus: passing a $1.9 trillion package and proposing an additional $2+ trillion package.
Additionally, the Fed has provided a historically high level of monetary policy by holding its federal funds rate near zero for the entirety of last year, and by purchasing $80 billion of Treasury securities and $40 billion of mortgage-backed securities per month. Liquidity conditions in the investment-grade and high-yield markets are very strong, and companies coming to market with new issue securities are met with ample demand from investors.
Both investment-grade and high-yield credit spreads showed meaningful tightening during the reporting period. At the period's open, the option adjusted spread on the Bloomberg Barclays U.S. Corporate 1-3 Year Index was 50 basis points before tightening to as low as 32 basis points before ending the period at 36 basis points over like maturity Treasuries.
Short-duration Treasury yields steepened with one-year maturities lower by 7 basis points, two-year maturities unchanged, and three-year maturities up 13 basis points. This largely represents changes in market expectations related to the timing of the Fed's liftoff from its current zero interest rate policy. Given the Treasury selloff and spread tightening during the period, major sectors of the short-duration market experienced slight differences in performance. The corporate component of the Bloomberg Barclays U.S. Corporate 1-3 Year Index led with a 0.2% return, with the Treasury sector trailing at 0.1%, and the government-related sector delivering flat returns. The Fund held an overweight in corporate debt over the semiannual period. As a result, the overweight allocation to corporate bonds across industrial and financial sectors contributed to performance, while security selection in each of these sectors also supported performance. The out-of-benchmark allocation to the asset-backed security sector also boosted performance. The overweight position to supranationals was a detractor (-2 basis points), as was our security selection within the Treasury sector (-2 basis points). Over the long-term, we continue to favor an overweight to corporate bonds and asset-backed securities in the Short-Term Bond Fund, as the additional yield in short-duration securities has historically generated superior long-term returns.
How is the Fund positioned?
The Fund has a duration of 1.9 years equal to the 1.9 years duration of the Bloomberg Barclays 1-3 Year Government/Credit Index.
The Fund continues to hold an overweight in corporate bonds in both the investment-grade and out-of-benchmark high-yield ratings categories. These overweights led to a lower overall credit quality of A- when compared with the AA quality of the benchmark. The muted returns in Treasury rates coupled with the tightening of spreads in risk assets led to positive returns during the reporting period. The Fund remains overweight corporate bonds and asset-backed securities, and the weighting of corporate bonds was quite stable during the semiannual period. Within corporate bonds, our largest overweight allocations went toward the consumer cyclical and consumer non-cyclical sectors.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
76
Calamos Short-Term Bond Fund
What are your closing thoughts for Fund shareholders?
The United States is rapidly moving from a reopening phase to an open economy. If progress on the vaccination front continues at a good pace, our expectation is that the combination of increased economic activity in service-related sectors along with low-base effects from 2020 will drive inflation significantly higher for the next couple of quarters—though the long-term trend for inflation remains uncertain. We continue to fight unfavorable demographic trends, high-and-rising debt levels and the number of employed people in the country is well below its peak, each of which could mitigate a longer-term trend of high inflation.
Now that first quarter nominal GDP has reached roughly the output level of 2019, one question becomes whether 2022/2023 can be significantly better than 2019, when credit valuations were roughly equivalent to the current trading ranges. Financial conditions should remain accommodative, and the technical backdrop for both high-yield and investment-grade credit should remain supportive of spread markets as there has been ample demand to absorb supply.
Our base expectation for interest rates is that they will continue to move gradually higher leading to a steeper yield curve, which should be supportive of banks and finance companies. But rates will be highly dependent on the course of fiscal and monetary policy. If these policies moderate, yield should rise in a gentle manner. If the policies continue to grow, rates could surprise our expectations to the upside. As always, we continue to apply our disciplined approach—focused on being well compensated for the risks taken—while constructing our portfolios with a bond-by-bond philosophy.
www.calamos.com
77
Calamos Short-Term Bond Fund
GROWTH OF $1,000,000: SINCE INCEPTION (9/18/18) THROUGH 4/30/21
AVERAGE ANNUAL TOTAL RETURN† AS OF 4/30/21
6 MONTHS | 1 YEAR | SINCE INCEPTION | |||||||||||||
Class A Shares – Inception 9/19/18 | |||||||||||||||
Without Sales Charge | 1.01 | % | 3.99 | % | 3.52 | % | |||||||||
With Sales Charge | -1.30 | 1.67 | 2.62 | ||||||||||||
Class I Shares – Inception 9/19/18 | 1.04 | 4.15 | 3.74 |
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.
As of the prospectus dated 3/1/21, the Fund's gross expense ratio for Class A shares is 0.68% and Class I shares is 0.42%. The Fund's investment adviser has contractually agreed to reimburse Fund expenses through 3/1/23 to the extent necessary so that Total Annual Fund Operating Expenses (excluding taxes, interest, short interest, short dividend expenses, brokerage commissions, acquired fund fees and expenses, and extraordinary expenses, if any) of Class A and Class I are limited to 0.65% and 0.40% of average net assets, respectively. Calamos Advisors may recapture previously waived expense amounts within the same fiscal year for any day where the respective Fund's expense ratio falls below the contractual expense limit up to the expense limit for that day. This undertaking is binding on Calamos Advisors and any of its successors and assigns. This agreement is not terminable by either party. The expense ratios shown above may differ from the more recent expense ratios reported in the Financial Highlights section of this report.
† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions. Performance shown reflects the effects of an expense reimbursement that improved results. Load-adjusted returns are adjusted for the maximum front-end sales load of 2.25% for Class A shares.
NOTES:
The Bloomberg Barclays Government/Credit 1-3 Year Index includes all medium and larger issues of U.S. government, investment-grade corporate, and investment-grade international dollar-denominated bonds that have maturities of between 1 and 3 years and are publicly issued.
The Bloomberg Barclays U.S. 1-3 Year Credit Index measures the investment-grade, U.S. dollar-denominated, fixed-rate, taxable corporate and government-related bond markets. It is composed of the U.S. Corporate Index and a non-corporate component that includes foreign agencies, sovereigns, supranationals and local authorities that have maturities of between 1 and 3 years.
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.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
78
Expense Overview
EXPENSE OVERVIEW
As a shareholder of a mutual fund, you incur two types of costs. You incur:
1) Transaction costs, including sales charges, or loads, on purchase payment and redemption fees.
2) Ongoing costs, including management fees, distribution and/or service (12b-1) fees and other fund expenses.
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 November 1, 2020 to April 30, 2021. It is intended to help you understand the ongoing costs associated with investing in each mutual fund and to compare these costs with the ongoing costs of investing in other mutual funds.
There are two parts of each Fund's chart:
Actual
In this part of the chart, 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 in each fund from November 1, 2020 to April 30, 2021, the period covered by this report. This chart also shows the actual returns, after expenses, you would have earned during that time. This chart can help you estimate your own expenses. For example, if you invested $8,600 in Class A shares of the fund, 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 times the figure.
Hypothetical
In this part of the chart, you'll see the hypothetical expenses you would have paid on a $1,000 investment from November 1, 2020 to April 30, 2021, 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 chart, including the assumed 5% annual rate of return before expenses, which is what you'll see in the chart. Note that this chart will not help you determine your own expenses, but will help you compare expenses of the fund you own to the expenses of another fund since the information for that fund should be calculated using the same assumptions.
Please note that the expenses shown in the chart 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 chart 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 transaction costs were included, your costs would have been higher.
www.calamos.com
79
Expense Example
The actual and hypothetical examples shown assume a $1,000 investment at the beginning of the period, November 1, 2020 and held through April 30, 2021.
CLASS A SHARES | CLASS C SHARES | CLASS I SHARES | CLASS R6 SHARES | ||||||||||||||||
CALAMOS MARKET NEUTRAL INCOME FUND | |||||||||||||||||||
Actual Expenses per $1,000* | $ | 5.73 | $ | 9.51 | $ | 4.46 | $ | 3.96 | |||||||||||
Actual – Ending Balance | $ | 1,043.80 | $ | 1,040.10 | $ | 1,045.50 | $ | 1,045.90 | |||||||||||
Hypothetical Expenses per $1,000* | $ | 5.66 | $ | 9.39 | $ | 4.41 | $ | 3.91 | |||||||||||
Hypothetical – Ending Value | $ | 1,019.19 | $ | 1,015.47 | $ | 1,020.43 | $ | 1,020.93 | |||||||||||
Annualized expense ratio(1),(2) | 1.13 | % | 1.88 | % | 0.88 | % | 0.78 | % | |||||||||||
CALAMOS HEDGED EQUITY FUND | |||||||||||||||||||
Actual Expenses per $1,000** | $ | 6.19 | $ | 10.14 | $ | 4.87 | $ | — | |||||||||||
Actual – Ending Balance | $ | 1,133.30 | $ | 1,129.10 | $ | 1,135.00 | $ | — | |||||||||||
Hypothetical Expenses per $1,000** | $ | 5.86 | $ | 9.59 | $ | 4.61 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,018.99 | $ | 1,015.27 | $ | 1,020.23 | $ | ||||||||||||
Annualized expense ratio | 1.17 | % | 1.92 | % | 0.92 | % | — | ||||||||||||
CALAMOS PHINEUS LONG/SHORT FUND | |||||||||||||||||||
Actual Expenses per $1,000** | $ | 14.36 | $ | 18.87 | $ | 12.86 | $ | — | |||||||||||
Actual – Ending Balance | $ | 1,443.60 | $ | 1,439.80 | $ | 1,447.20 | $ | — | |||||||||||
Hypothetical Expenses per $1,000** | $ | 11.83 | $ | 15.54 | $ | 10.59 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,013.04 | $ | 1,009.32 | $ | 1,014.28 | $ | ||||||||||||
Annualized expense ratio(2) | 2.37 | % | 3.12 | % | 2.12 | % | — | ||||||||||||
CALAMOS CONVERTIBLE FUND | |||||||||||||||||||
Actual Expenses per $1,000** | $ | 5.93 | $ | 10.06 | $ | 4.54 | $ | — | |||||||||||
Actual – Ending Balance | $ | 1,234.00 | $ | 1,229.50 | $ | 1,235.30 | $ | — | |||||||||||
Hypothetical Expenses per $1,000** | $ | 5.36 | $ | 9.10 | $ | 4.11 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,019.49 | $ | 1,015.77 | $ | 1,020.73 | $ | ||||||||||||
Annualized expense ratio | 1.07 | % | 1.82 | % | 0.82 | % | — | ||||||||||||
CALAMOS GLOBAL CONVERTIBLE FUND | |||||||||||||||||||
Actual Expenses per $1,000** | $ | 6.70 | $ | 10.73 | $ | 5.35 | $ | — | |||||||||||
Actual – Ending Balance | $ | 1,179.00 | $ | 1,174.60 | $ | 1,179.80 | $ | — | |||||||||||
Hypothetical Expenses per $1,000** | $ | 6.21 | $ | 9.94 | $ | 4.96 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,018.65 | $ | 1,014.93 | $ | 1,019.89 | $ | ||||||||||||
Annualized expense ratio | 1.24 | % | 1.99 | % | 0.99 | % | — | ||||||||||||
CALAMOS TIMPANI SMALL CAP GROWTH FUND | |||||||||||||||||||
Actual Expenses per $1,000*** | $ | 7.89 | $ | — | $ | 6.38 | $ | 5.95 | |||||||||||
Actual – Ending Balance | $ | 1,446.90 | $ | — | $ | 1,448.90 | $ | 1,449.80 | |||||||||||
Hypothetical Expenses per $1,000*** | $ | 6.51 | $ | — | $ | 5.26 | $ | 4.91 | |||||||||||
Hypothetical – Ending Value | $ | 1,018.35 | $ | — | $ | 1,019.59 | $ | 1,019.93 | |||||||||||
Annualized expense ratio(3) | 1.30 | % | — | 1.05 | % | 0.98 | % |
* Expenses for all Fund Classes A, C, I, and R6, are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365.
** Expenses for all Fund Classes A, C, and I are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365.
*** Expenses for all Fund Classes A, I, and R6 are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365.
(1) Annualized Expense Ratios for Market Neutral Income Fund are adjusted to reflect fee waiver related to the fund's investment in an affiliated fund.
(2) Includes 0.10% and 0.68% related to dividend expense on short positions for Market Neutral Income Fund and Phineus Long/Short Fund, respectively.
(3) Annualized Expense Ratios for Timpani Small Cap Growth Fund and Timpani SMID Growth Fund are adjusted to reflect an expense limitation agreement.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
80
Expense Example
The actual and hypothetical examples shown assume a $1,000 investment at the beginning of the period, November 1, 2020 and held through April 30, 2021.
CLASS A SHARES | CLASS C SHARES | CLASS I SHARES | CLASS R6 SHARES | ||||||||||||||||
CALAMOS TIMPANI SMID GROWTH | |||||||||||||||||||
Actual Expenses per $1,000*** | $ | 7.90 | $ | — | $ | 6.44 | $ | 6.33 | |||||||||||
Actual – Ending Balance | $ | 1,360.30 | $ | — | $ | 1,362.40 | $ | 1,362.40 | |||||||||||
Hypothetical Expenses per $1,000*** | $ | 6.76 | $ | — | $ | 5.51 | $ | 5.41 | |||||||||||
Hypothetical – Ending Value | $ | 1,018.10 | $ | — | $ | 1,019.34 | $ | 1,019.44 | |||||||||||
Annualized expense ratio(3) | 1.35 | % | — | 1.10 | % | 1.08 | % | ||||||||||||
CALAMOS GROWTH FUND | |||||||||||||||||||
Actual Expenses per $1,000* | $ | 7.39 | $ | 11.63 | $ | 5.97 | $ | — | |||||||||||
Actual – Ending Balance | $ | 1,292.30 | $ | 1,287.40 | $ | 1,294.30 | $ | — | |||||||||||
Hypothetical Expenses per $1,000* | $ | 6.51 | $ | 10.24 | $ | 5.26 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,018.35 | $ | 1,014.63 | $ | 1,019.59 | $ | ||||||||||||
Annualized expense ratio | 1.30 | % | 2.05 | % | 1.05 | % | — | ||||||||||||
CALAMOS GROWTH AND INCOME FUND | |||||||||||||||||||
Actual Expenses per $1,000** | $ | 5.96 | $ | 10.15 | $ | 4.56 | $ | 4.16 | |||||||||||
Actual – Ending Balance | $ | 1,266.50 | $ | 1,261.90 | $ | 1,268.20 | $ | 1,268.50 | |||||||||||
Hypothetical Expenses per $1,000** | $ | 5.31 | $ | 9.05 | $ | 4.06 | $ | 3.71 | |||||||||||
Hypothetical – Ending Value | $ | 1,019.54 | $ | 1,015.82 | $ | 1,020.78 | $ | 1,021.12 | |||||||||||
Annualized expense ratio | 1.06 | % | 1.81 | % | 0.81 | % | 0.74 | % | |||||||||||
CALAMOS DIVIDEND GROWTH FUND | |||||||||||||||||||
Actual Expenses per $1,000* | $ | 7.67 | $ | 11.91 | $ | 6.25 | $ | — | |||||||||||
Actual – Ending Balance | $ | 1,292.00 | $ | 1,287.70 | $ | 1,293.30 | $ | — | |||||||||||
Hypothetical Expenses per $1,000* | $ | 6.76 | $ | 10.49 | $ | 5.51 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,018.10 | $ | 1,014.38 | $ | 1,019.34 | $ | ||||||||||||
Annualized expense ratio(1) | 1.35 | % | 2.10 | % | 1.10 | % | — | ||||||||||||
CALAMOS SELECT FUND | |||||||||||||||||||
Actual Expenses per $1,000* | $ | 6.57 | $ | 10.83 | $ | 5.14 | $ | — | |||||||||||
Actual – Ending Balance | $ | 1,303.00 | $ | 1,299.50 | $ | 1,305.00 | $ | — | |||||||||||
Hypothetical Expenses per $1,000* | $ | 5.76 | $ | 9.49 | $ | 4.51 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,019.09 | $ | 1,015.37 | $ | 1,020.33 | $ | ||||||||||||
Annualized expense ratio(1) | 1.15 | % | 1.90 | % | 0.90 | % | — | ||||||||||||
CALAMOS INTERNATIONAL GROWTH FUND | |||||||||||||||||||
Actual Expenses per $1,000** | $ | 6.19 | $ | 10.38 | $ | 4.78 | $ | 4.33 | |||||||||||
Actual – Ending Balance | $ | 1,268.20 | $ | 1,263.40 | $ | 1,269.90 | $ | 1,270.20 | |||||||||||
Hypothetical Expenses per $1,000** | $ | 5.51 | $ | 9.25 | $ | 4.26 | $ | 3.86 | |||||||||||
Hypothetical – Ending Value | $ | 1,019.34 | $ | 1,015.62 | $ | 1,020.58 | $ | 1,020.98 | |||||||||||
Annualized expense ratio(1) | 1.10 | % | 1.85 | % | 0.85 | % | 0.77 | % |
* Expenses for all Fund Classes A, C, and I are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365.
** Expenses for all Fund Classes A, C, I, and R6, are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365.
*** Expenses for all Fund Classes A, I, and R6 are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365.
(1) Annualized Expense Ratios for Dividend Growth Fund, Select Fund, International Growth Fund, Evolving World Growth Fund and Global Equity Fund are adjusted to reflect an expense limitation agreement.
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81
Expense Example
The actual and hypothetical examples shown assume a $1,000 investment at the beginning of the period, November 1, 2020 and held through April 30, 2021.
CLASS A SHARES | CLASS C SHARES | CLASS I SHARES | CLASS R6 SHARES | ||||||||||||||||
CALAMOS EVOLVING WORLD GROWTH FUND | |||||||||||||||||||
Actual Expenses per $1,000* | $ | 7.08 | $ | 11.14 | $ | 5.72 | $ | — | |||||||||||
Actual – Ending Balance | $ | 1,195.20 | $ | 1,190.80 | $ | 1,196.30 | $ | — | |||||||||||
Hypothetical Expenses per $1,000* | $ | 6.51 | $ | 10.24 | $ | 5.26 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,018.35 | $ | 1,014.63 | $ | 1,019.59 | $ | ||||||||||||
Annualized expense ratio(1) | 1.30 | % | 2.05 | % | 1.05 | % | — | ||||||||||||
CALAMOS GLOBAL EQUITY FUND | |||||||||||||||||||
Actual Expenses per $1,000** | $ | 7.93 | $ | 12.15 | $ | 6.52 | $ | 6.30 | |||||||||||
Actual – Ending Balance | $ | 1,285.60 | $ | 1,280.00 | $ | 1,286.70 | $ | 1,287.40 | |||||||||||
Hypothetical Expenses per $1,000** | $ | 7.00 | $ | 10.74 | $ | 5.76 | $ | 5.56 | |||||||||||
Hypothetical – Ending Value | $ | 1,017.85 | $ | 1,014.13 | $ | 1,019.09 | $ | 1,019.29 | |||||||||||
Annualized expense ratio(1) | 1.40 | % | 2.15 | % | 1.15 | % | 1.11 | % | |||||||||||
CALAMOS GLOBAL OPPORTUNITIES FUND (formerly, Calamos Global Growth and Income Fund) | |||||||||||||||||||
Actual Expenses per $1,000* | $ | 7.82 | $ | 12.04 | $ | 6.38 | $ | — | |||||||||||
Actual – Ending Balance | $ | 1,252.80 | $ | 1,248.20 | $ | 1,255.50 | $ | — | |||||||||||
Hypothetical Expenses per $1,000* | $ | 7.00 | $ | 10.79 | $ | 5.71 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,017.85 | $ | 1,014.08 | $ | 1,019.14 | $ | ||||||||||||
Annualized expense ratio(1) | 1.40 | % | 2.16 | % | 1.14 | % | — | ||||||||||||
CALAMOS TOTAL RETURN BOND FUND | |||||||||||||||||||
Actual Expenses per $1,000* | $ | 4.44 | $ | 8.12 | $ | 3.21 | $ | — | |||||||||||
Actual – Ending Balance | $ | 990.30 | $ | 985.70 | $ | 990.60 | $ | — | |||||||||||
Hypothetical Expenses per $1,000* | $ | 4.51 | $ | 8.25 | $ | 3.26 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,020.33 | $ | 1,016.61 | $ | 1,021.57 | $ | ||||||||||||
Annualized expense ratio(1) | 0.90 | % | 1.65 | % | 0.65 | % | — | ||||||||||||
CALAMOS HIGH INCOME OPPORTUNITIES FUND | |||||||||||||||||||
Actual Expenses per $1,000* | $ | 5.21 | $ | 9.11 | $ | 3.91 | $ | — | |||||||||||
Actual – Ending Balance | $ | 1,103.00 | $ | 1,098.80 | $ | 1,104.40 | $ | — | |||||||||||
Hypothetical Expenses per $1,000* | $ | 5.01 | $ | 8.75 | $ | 3.76 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,019.84 | $ | 1,016.12 | $ | 1,021.08 | $ | ||||||||||||
Annualized expense ratio(1) | 1.00 | % | 1.75 | % | 0.75 | % | — | ||||||||||||
CALAMOS SHORT-TERM BOND FUND | |||||||||||||||||||
Actual Expenses per $1,000** | $ | 3.24 | $ | — | $ | 1.99 | $ | — | |||||||||||
Actual – Ending Balance | $ | 1,010.10 | $ | — | $ | 1,010.40 | $ | — | |||||||||||
Hypothetical Expenses per $1,000** | $ | 3.26 | $ | — | $ | 2.01 | $ | — | |||||||||||
Hypothetical – Ending Value | $ | 1,021.57 | $ | — | $ | 1,022.81 | $ | ||||||||||||
Annualized expense ratio(1) | 0.65 | % | — | 0.40 | % | — |
* Expenses for all Fund Classes A, C, and I are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365.
** Expenses for all Fund Classes A and I are equal to the Fund's annualized expense ratio, multiplied by the average account value over the period, multiplied by 181/365.
(1) Annualized Expense Ratios for Global Growth and Income Fund, Total Return Bond Fund, High Income Opportunities Fund and Short-Term Bond Fund are adjusted to reflect fee waiver.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
82
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
CONVERTIBLE BONDS (41.5%) | |||||||||||
Communication Services (6.4%) | |||||||||||
15,000,000 | Bandwidth, Inc. 0.250%, 03/01/26^ | $ | 23,630,850 | ||||||||
2,500,000 | 0.500%, 04/01/28* | 2,506,875 | |||||||||
12,000,000 | Bilibili, Inc.~ 1.375%, 04/01/26 | 53,737,080 | |||||||||
15,000,000 | EUR | Cellnex Telecom, SA 1.500%, 01/16/26 | 29,699,233 | ||||||||
1,000,000,000 | JPY | CyberAgent, Inc. 0.000%, 02/19/25 | 14,100,101 | ||||||||
2,500,000 | Eventbrite, Inc.* 5.000%, 12/01/25 | 5,181,125 | |||||||||
1,953,000 | 0.750%, 09/15/26 | 2,123,360 | |||||||||
20,000,000 | iQIYI, Inc. 2.000%, 04/01/25^~ | 18,553,200 | |||||||||
19,667,000 | 4.000%, 12/15/26^ | 19,302,570 | |||||||||
7,500,000 | 3.750%, 12/01/23 | 7,452,450 | |||||||||
10,000,000 | JOYY, Inc. 1.375%, 06/15/26 | 12,005,100 | |||||||||
10,000,000 | 0.750%, 06/15/25 | 12,196,400 | |||||||||
5,000,000 | Liberty Media Corp.* 2.250%, 12/01/48 | 6,438,100 | |||||||||
5,000,000 | Liberty Media Corp. / Liberty Formula One 1.000%, 01/30/23 | 6,756,500 | |||||||||
8,000,000 | Magnite, Inc.* 0.250%, 03/15/26 | 7,563,840 | |||||||||
5,000,000 | Match Group FinanceCo 3, Inc.* 2.000%, 01/15/30 | 9,885,700 | |||||||||
20,000,000 | Match Group FinanceCo, Inc.*~ 0.875%, 10/01/22 | 70,883,800 | |||||||||
12,500,000 | Momo, Inc. 1.250%, 07/01/25 | 11,031,750 | |||||||||
15,000,000 | Sea, Ltd.~ 2.375%, 12/01/25^* | 42,656,250 | |||||||||
12,500,000 | 1.000%, 12/01/24 | 62,859,375 | |||||||||
39,397,000 | Snap, Inc. 0.000%, 05/01/27* | 40,447,718 | |||||||||
24,970,000 | 0.750%, 08/01/26 | 68,357,123 | |||||||||
10,000,000 | 0.250%, 05/01/25* | 28,672,900 | |||||||||
40,000,000 | Spotify USA, Inc.^* 0.000%, 03/15/26 | 36,892,800 | |||||||||
7,500,000 | TechTarget, Inc.* 0.125%, 12/15/25 | 9,469,575 | |||||||||
10,000,000 | TripAdvisor, Inc.^* 0.250%, 04/01/26 | 9,887,000 | |||||||||
39,000,000 | Twitter, Inc. 0.250%, 06/15/24^~ | 47,897,460 | |||||||||
35,000,000 | 0.000%, 03/15/26*~ | 31,945,550 | |||||||||
22,500,000 | 1.000%, 09/15/21 | 22,646,250 | |||||||||
13,000,000 | World Wrestling Entertainment, Inc.~ 3.375%, 12/15/23 | 29,742,310 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
18,000,000 | Zillow Group, Inc. 0.750%, 09/01/24~ | $ | 53,958,600 | ||||||||
7,500,000 | 1.375%, 09/01/26 | 22,582,500 | |||||||||
27,500,000 | Zynga, Inc.~ 0.250%, 06/01/24 | 38,583,325 | |||||||||
859,646,770 | |||||||||||
Consumer Discretionary (9.2%) | |||||||||||
8,625,000 | 2U, Inc.* 2.250%, 05/01/25 | 13,623,619 | |||||||||
31,393,000 | Airbnb, Inc.* 0.000%, 03/15/26 | 31,140,600 | |||||||||
5,000,000 | American Eagle Outfitters, Inc.* 3.750%, 04/15/25 | 20,115,150 | |||||||||
15,000,000 | Carnival Corp.~ 5.750%, 04/01/23 | 44,221,050 | |||||||||
13,457,000 | Chegg, Inc.^~ 0.125%, 03/15/25 | 24,551,085 | |||||||||
15,000,000 | EUR | Delivery Hero, SE 1.000%, 01/23/27 | 27,083,258 | ||||||||
44,456,000 | DraftKings, Inc.* 0.000%, 03/15/28 | 42,503,937 | |||||||||
21,700,000 | Etsy, Inc.~ 0.125%, 10/01/26 | 50,977,640 | |||||||||
7,941,000 | Expedia Group, Inc.^* 0.000%, 02/15/26 | 8,672,525 | |||||||||
10,000,000 | Farfetch, Ltd.*~ 3.750%, 05/01/27 | 31,783,100 | |||||||||
15,000,000 | Fiverr International, Ltd.* 0.000%, 11/01/25 | 18,269,250 | |||||||||
3,000,000 | Groupon, Inc.* 1.125%, 03/15/26 | 3,007,080 | |||||||||
15,000,000 | Guess, Inc. 2.000%, 04/15/24 | 18,853,650 | |||||||||
7,000,000 | Marriott Vacations Worldwide Corp.* 0.000%, 01/15/26 | 8,319,010 | |||||||||
12,500,000 | MercadoLibre, Inc.~ 2.000%, 08/15/28 | 44,630,875 | |||||||||
7,500,000 | National Vision Holdings, Inc.* 2.500%, 05/15/25 | 13,103,625 | |||||||||
27,500,000 | NCL Corp., Ltd.*~ 6.000%, 05/15/24 | 67,403,325 | |||||||||
10,000,000 | NIO, Inc.* 0.000%, 02/01/26 | 8,612,300 | |||||||||
7,449,000 | 0.500%, 02/01/27^ | 6,231,982 | |||||||||
10,000,000 | GBP | Ocado Group, PLC 0.750%, 01/18/27 | 14,606,394 | ||||||||
32,500,000 | Peloton Interactive, Inc.* 0.000%, 02/15/26 | 29,514,875 | |||||||||
10,000,000 | Pinduoduo, Inc. 0.000%, 12/01/25 | 10,543,800 | |||||||||
6,750,000 | 0.000%, 10/01/24~ | 21,200,063 |
See accompanying Notes to Schedule of Investments
www.calamos.com
83
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
4,500,000 | Quotient Technology, Inc. 1.750%, 12/01/22 | $ | 5,225,625 | ||||||||
24,104,000 | Royal Caribbean Cruises, Ltd.* 4.250%, 06/15/23^~ | 33,940,842 | |||||||||
5,000,000 | 2.875%, 11/15/23 | 6,480,800 | |||||||||
5,245,000 | Shake Shack, Inc.^* 0.000%, 03/01/28 | 4,986,946 | |||||||||
10,833,000 | Stride, Inc.* 1.125%, 09/01/27 | 9,728,901 | |||||||||
20,000,000 | Tesla, Inc.~ 2.375%, 03/15/22 | 216,884,000 | |||||||||
15,822,000 | 2.000%, 05/15/24^ | 180,781,064 | |||||||||
27,500,000 | Under Armour, Inc.*~ 1.500%, 06/01/24 | 57,438,700 | |||||||||
5,264,000 | Vail Resorts, Inc.* 0.000%, 01/01/26 | 5,607,792 | |||||||||
29,821,000 | Wayfair, Inc. 1.125%, 11/01/24~ | 76,984,999 | |||||||||
25,000,000 | 1.000%, 08/15/26~ | 52,700,000 | |||||||||
12,590,000 | 0.625%, 10/01/25* | 13,051,172 | |||||||||
1,222,779,034 | |||||||||||
Consumer Staples (0.5%) | |||||||||||
36,755,000 | Beyond Meat, Inc.^* 0.000%, 03/15/27 | 35,098,452 | |||||||||
15,000,000 | Herbalife Nutrition, Ltd. 2.625%, 03/15/24 | 15,633,000 | |||||||||
4,000,000 | Turning Point Brands, Inc. 2.500%, 07/15/24 | 4,657,360 | |||||||||
610,000,000 | JPY | Yaoko Company, Ltd. 0.000%, 06/20/24 | 6,733,387 | ||||||||
62,122,199 | |||||||||||
Energy (0.6%) | |||||||||||
15,000,000 | Chesapeake Energy Corp. 5.500%, 09/15/26 | 951,600 | |||||||||
47,500,000 | Pioneer Natural Resources Company^*~ 0.250%, 05/15/25 | 72,266,500 | |||||||||
4,000,000 | SEACOR Holdings, Inc. 3.250%, 05/15/30 | 3,960,920 | |||||||||
77,179,020 | |||||||||||
Financials (0.7%) | |||||||||||
21,120,000 | AXA, SA*~ 7.250%, 05/15/21 | 31,202,688 | |||||||||
8,052,000 | GSK Finance No 3, PLC^* 0.000%, 06/22/23 | 8,697,046 | |||||||||
5,000,000 | Heritage Insurance Holdings, Inc. 5.875%, 08/01/37 | 4,838,350 | |||||||||
5,000,000 | Hope Bancorp, Inc. 2.000%, 05/15/38 | 4,918,650 | |||||||||
10,467,000 | JPMorgan Chase Financial Company, LLC (Voya Financial, Inc.)§ 0.250%, 05/01/23 | 11,633,861 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
15,000,000 | LendingTree, Inc. 0.500%, 07/15/25* | $ | 13,421,850 | ||||||||
12,500,000 | 0.625%, 06/01/22~ | 14,732,125 | |||||||||
89,444,570 | |||||||||||
Health Care (4.0%) | |||||||||||
5,000,000 | Accolade, Inc.* 0.500%, 04/01/26 | 6,061,500 | |||||||||
7,500,000 | Allscripts Healthcare Solutions, Inc. 0.875%, 01/01/27 | 10,221,300 | |||||||||
10,000,000 | Bridgebio Pharma, Inc. 2.250%, 02/01/29* | 9,227,900 | |||||||||
6,000,000 | 2.500%, 03/15/27 | 9,280,380 | |||||||||
3,759,000 | Coherus Biosciences, Inc. 1.500%, 04/15/26 | 4,010,326 | |||||||||
3,500,000 | Collegium Pharmaceutical, Inc. 2.625%, 02/15/26 | 3,694,495 | |||||||||
10,000,000 | CONMED Corp. 2.625%, 02/01/24 | 16,499,000 | |||||||||
15,000,000 | DexCom, Inc.~ 0.750%, 12/01/23 | 35,563,200 | |||||||||
5,000,000 | Evolent Health, Inc. 1.500%, 10/15/25 | 4,874,550 | |||||||||
5,000,000 | Guardant Health, Inc.* 0.000%, 11/15/27 | 6,579,700 | |||||||||
16,966,000 | Halozyme Therapeutics, Inc. 0.250%, 03/01/27* | 16,428,687 | |||||||||
10,000,000 | 1.250%, 12/01/24 | 21,416,100 | |||||||||
5,000,000 | Illumina, Inc.^ 0.500%, 06/15/21 | 7,704,150 | |||||||||
17,000,000 | Innoviva, Inc.~ 2.500%, 08/15/25 | 17,748,850 | |||||||||
13,500,000 | Insmed, Inc.^~ 1.750%, 01/15/25 | 15,079,905 | |||||||||
5,000,000 | Intercept Pharmaceuticals, Inc. 3.250%, 07/01/23 | 4,297,900 | |||||||||
5,000,000 | 2.000%, 05/15/26 | 3,313,750 | |||||||||
21,243,000 | Ionis Pharmaceuticals, Inc.^ 0.125%, 12/15/24 | 19,798,901 | |||||||||
9,500,000 | Ironwood Pharmaceuticals, Inc. 1.500%, 06/15/26 | 10,633,445 | |||||||||
7,500,000 | 0.750%, 06/15/24 | 8,306,100 | |||||||||
2,423,000 | 2.250%, 06/15/22 | 2,616,210 | |||||||||
22,500,000 | Jazz Investments I, Ltd.*~ 2.000%, 06/15/26 | 29,085,975 | |||||||||
10,000,000 | Livongo Health, Inc.* 0.875%, 06/01/25 | 16,148,700 | |||||||||
5,000,000 | Mesa Laboratories, Inc. 1.375%, 08/15/25 | 5,498,550 | |||||||||
5,000,000 | Natera, Inc.^ 2.250%, 05/01/27 | 14,741,950 | |||||||||
3,000,000 | NeoGenomics, Inc. 0.250%, 01/15/28 | 3,040,320 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
84
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
7,500,000 | Neurocrine Biosciences, Inc.^~ 2.250%, 05/15/24 | $ | 9,990,150 | ||||||||
25,000,000 | Novocure, Ltd.* 0.000%, 11/01/25 | 35,673,500 | |||||||||
10,000,000 | NuVasive, Inc.^ 0.375%, 03/15/25 | 10,441,000 | |||||||||
17,500,000 | Oak Street Health, Inc.* 0.000%, 03/15/26 | 18,317,600 | |||||||||
12,500,000 | Omnicell, Inc.* 0.250%, 09/15/25 | 19,466,625 | |||||||||
5,000,000 | OPKO Health, Inc. 4.500%, 02/15/25 | 6,547,700 | |||||||||
8,633,000 | Pacira BioSciences, Inc.* 0.750%, 08/01/25 | 9,611,378 | |||||||||
5,000,000 | Radius Health, Inc. 3.000%, 09/01/24 | 4,871,000 | |||||||||
4,000,000 | Revance Therapeutics, Inc. 1.750%, 02/15/27 | 4,631,800 | |||||||||
20,000,000 | Sarepta Therapeutics, Inc.~ 1.500%, 11/15/24 | 25,203,600 | |||||||||
12,500,000 | SmileDirectClub, Inc.* 0.000%, 02/01/26 | 11,023,625 | |||||||||
10,000,000 | Supernus Pharmaceuticals, Inc. 0.625%, 04/01/23 | 9,846,700 | |||||||||
5,000,000 | Tabula Rasa HealthCare, Inc.^ 1.750%, 02/15/26 | 5,027,050 | |||||||||
16,500,000 | Teladoc Health, Inc.~ 1.375%, 05/15/25 | 53,055,915 | |||||||||
7,400,000 | Tilray, Inc. 5.000%, 10/01/23 | 7,144,552 | |||||||||
5,000,000 | Travere Therapeutics, Inc. 2.500%, 09/15/25 | 5,080,900 | |||||||||
2,000,000 | Vocera Communications, Inc.* 0.500%, 09/15/26 | 1,835,480 | |||||||||
539,640,419 | |||||||||||
Industrials (1.1%) | |||||||||||
4,750,000 | Aerojet Rocketdyne Holdings, Inc. 2.250%, 12/15/23 | 8,511,383 | |||||||||
10,285,000 | Air Canada* 4.000%, 07/01/25 | 15,830,055 | |||||||||
10,000,000 | American Airlines Group, Inc. 6.500%, 07/01/25 | 15,873,900 | |||||||||
11,250,000 | FTI Consulting, Inc. 2.000%, 08/15/23 | 16,270,537 | |||||||||
6,600,000 | Greenbrier Companies, Inc.^* 2.875%, 04/15/28 | 7,199,940 | |||||||||
7,126,000 | JetBlue Airways Corp.^* 0.500%, 04/01/26 | 7,817,792 | |||||||||
15,500,000 | Lyft, Inc.*~ 1.500%, 05/15/25 | 24,913,925 | |||||||||
8,467,000 | Middleby Corp.* 1.000%, 09/01/25 | 12,717,011 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
15,000,000 | Southwest Airlines Company~ 1.250%, 05/01/25 | $ | 26,090,250 | ||||||||
10,000,000 | Spirit Airlines, Inc. 4.750%, 05/15/26 | 10,267,000 | |||||||||
145,491,793 | |||||||||||
Information Technology (17.9%) | |||||||||||
3,058,000 | 21Vianet Group, Inc.* 0.000%, 02/01/26 | 2,661,989 | |||||||||
7,500,000 | 8x8, Inc. 0.500%, 02/01/24 | 10,504,275 | |||||||||
21,500,000 | Akamai Technologies, Inc. 0.375%, 09/01/27^ | 24,155,250 | |||||||||
20,000,000 | 0.125%, 05/01/25 | 25,172,200 | |||||||||
10,000,000 | Altair Engineering, Inc.~ 0.250%, 06/01/24 | 14,797,800 | |||||||||
10,000,000 | Alteryx, Inc. 1.000%, 08/01/26^ | 9,043,600 | |||||||||
10,000,000 | 0.500%, 08/01/24 | 9,404,400 | |||||||||
54,000,000 | Atlassian, Inc.^~ 0.625%, 05/01/23 | 157,185,900 | |||||||||
5,000,000 | Avaya Holdings Corp.^ 2.250%, 06/15/23 | 6,234,650 | |||||||||
7,500,000 | Benefitfocus, Inc. 1.250%, 12/15/23 | 6,966,750 | |||||||||
6,398,000 | Bentley Systems, Inc.* 0.125%, 01/15/26 | 6,801,458 | |||||||||
20,000,000 | Bill.com Holdings, Inc.* 0.000%, 12/01/25 | 24,351,200 | |||||||||
24,000,000 | Blackline, Inc. 0.125%, 08/01/24~ | 39,899,520 | |||||||||
15,000,000 | 0.000%, 03/15/26* | 14,837,100 | |||||||||
10,000,000 | Box, Inc.^* 0.000%, 01/15/26 | 10,922,700 | |||||||||
3,000,000 | CalAmp Corp. 2.000%, 08/01/25 | 2,798,910 | |||||||||
12,500,000 | Ceridian HCM Holding, Inc.* 0.250%, 03/15/26 | 12,517,000 | |||||||||
15,000,000 | Cloudflare, Inc.^*~ 0.750%, 05/15/25 | 34,825,350 | |||||||||
22,876,000 | Coupa Software, Inc.~ 0.125%, 06/15/25^ | 40,570,128 | |||||||||
18,000,000 | 0.375%, 06/15/26* | 20,880,180 | |||||||||
10,000,000 | Cree, Inc.^*~ 1.750%, 05/01/26 | 21,919,700 | |||||||||
11,000,000 | CSG Systems International, Inc.~ 4.250%, 03/15/36 | 11,573,760 | |||||||||
10,000,000 | CyberArk Software, Ltd. 0.000%, 11/15/24 | 11,276,100 | |||||||||
2,500,000 | Cypress Semiconductor Corp. 4.500%, 01/15/22 | 4,542,200 | |||||||||
10,000,000 | Datadog, Inc.* 0.125%, 06/15/25 | 11,987,200 |
See accompanying Notes to Schedule of Investments
www.calamos.com
85
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
27,750,000 | Dropbox, Inc.* 0.000%, 03/01/28 | $ | 27,512,460 | ||||||||
21,000,000 | 0.000%, 03/01/26 | 20,834,730 | |||||||||
11,000,000 | Enphase Energy, Inc.* 0.000%, 03/01/28 | 9,693,860 | |||||||||
10,000,000 | 0.000%, 03/01/26 | 9,133,600 | |||||||||
9,072,000 | Envestnet, Inc.* 0.750%, 08/15/25 | 9,044,512 | |||||||||
8,000,000 | Everbridge, Inc.* 0.000%, 03/15/26 | 8,159,600 | |||||||||
24,834,000 | Fastly, Inc.* 0.000%, 03/15/26 | 24,133,433 | |||||||||
12,500,000 | FireEye, Inc. 0.875%, 06/01/24 | 14,167,750 | |||||||||
5,000,000 | 1.625%, 06/01/35^ | 4,970,100 | |||||||||
5,000,000 | fuboTV, Inc.* 3.250%, 02/15/26 | 4,240,450 | |||||||||
8,500,000 | GDS Holdings, Ltd. 2.000%, 06/01/25 | 14,549,110 | |||||||||
20,000,000 | Guidewire Software, Inc.~ 1.250%, 03/15/25 | 22,851,400 | |||||||||
2,500,000 | i3 Verticals, LLC* 1.000%, 02/15/25 | 2,663,600 | |||||||||
6,500,000 | II-VI, Inc. 0.250%, 09/01/22 | 9,713,145 | |||||||||
15,000,000 | Infinera Corp.~ 2.125%, 09/01/24 | 17,414,850 | |||||||||
10,000,000 | Insight Enterprises, Inc. 0.750%, 02/15/25 | 15,334,200 | |||||||||
15,000,000 | Itron, Inc.* 0.000%, 03/15/26 | 14,863,650 | |||||||||
10,000,000 | LivePerson, Inc.* 0.000%, 12/15/26 | 10,028,000 | |||||||||
7,500,000 | Liveperson, Inc. 0.750%, 03/01/24 | 11,877,300 | |||||||||
18,000,000 | Lumentum Holdings, Inc. 0.500%, 12/15/26^ | 20,018,520 | |||||||||
10,000,000 | 0.250%, 03/15/24 | 15,074,200 | |||||||||
15,000,000 | Medallia, Inc.* 0.125%, 09/15/25 | 15,669,600 | |||||||||
17,475,000 | Micron Technology, Inc.~ 3.125%, 05/01/32 | 150,464,643 | |||||||||
29,523,000 | MicroStrategy, Inc.* 0.000%, 02/15/27 | 24,229,231 | |||||||||
9,601,000 | 0.750%, 12/15/25^ | 17,882,247 | |||||||||
32,500,000 | MongoDB, Inc.~ 0.250%, 01/15/26 | 50,567,725 | |||||||||
15,000,000 | New Relic, Inc.^~ 0.500%, 05/01/23 | 14,660,250 | |||||||||
20,000,000 | Nice Systems, Inc.~ 1.250%, 01/15/24 | 57,906,800 | |||||||||
10,000,000 | Nova Measuring Instruments, Ltd.* 0.000%, 10/15/25 | 13,623,200 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
25,229,000 | Nuance Communications, Inc. 1.000%, 12/15/35~ | $ | 55,452,333 | ||||||||
6,831,000 | 1.500%, 11/01/35 | 17,578,212 | |||||||||
3,000,000 | 1.250%, 04/01/25 | 8,135,340 | |||||||||
10,000,000 | Nutanix, Inc.^~ 0.000%, 01/15/23 | 9,905,500 | |||||||||
23,500,000 | Okta, Inc. 0.375%, 06/15/26*~ | 30,906,495 | |||||||||
17,500,000 | 0.125%, 09/01/25 | 27,010,725 | |||||||||
15,000,000 | ON Semiconductor Corp.~ 1.625%, 10/15/23 | 29,372,400 | |||||||||
10,000,000 | OSI Systems, Inc.~ 1.250%, 09/01/22 | 10,813,600 | |||||||||
42,925,000 | Palo Alto Networks, Inc.~ 0.750%, 07/01/23 | 60,479,608 | |||||||||
15,000,000 | 0.375%, 06/01/25* | 19,579,050 | |||||||||
4,500,000 | PAR Technology Corp. 2.875%, 04/15/26 | 9,422,325 | |||||||||
25,000,000 | Pegasystems, Inc.^ 0.750%, 03/01/25 | 28,733,500 | |||||||||
15,000,000 | Pluralsight, Inc. 0.375%, 03/01/24 | 14,991,000 | |||||||||
10,000,000 | Progress Software Corp.* 1.000%, 04/15/26 | 9,825,500 | |||||||||
17,000,000 | Proofpoint, Inc. 0.250%, 08/15/24 | 21,179,620 | |||||||||
5,000,000 | PROS Holdings, Inc. 1.000%, 05/15/24 | 5,015,550 | |||||||||
2,000,000 | 2.250%, 09/15/27* | 2,521,020 | |||||||||
20,000,000 | Q2 Holdings, Inc. 0.125%, 11/15/25* | 20,303,000 | |||||||||
5,625,000 | 0.750%, 06/01/26 | 7,472,475 | |||||||||
10,000,000 | Rapid7, Inc. 0.250%, 03/15/27* | 10,342,100 | |||||||||
5,000,000 | 1.250%, 08/01/23 | 9,879,750 | |||||||||
20,000,000 | RealPage, Inc.~ 1.500%, 11/15/22 | 42,464,000 | |||||||||
3,201,000 | Repay Holdings Corp.* 0.000%, 02/01/26 | 3,098,888 | |||||||||
24,500,000 | RingCentral, Inc.* 0.000%, 03/15/26 | 25,477,795 | |||||||||
17,500,000 | SailPoint Technologies Holdings, Inc.~ 0.125%, 09/15/24 | 31,716,300 | |||||||||
10,426,000 | Shopify, Inc.^ 0.125%, 11/01/25 | 12,181,009 | |||||||||
12,926,000 | Silicon Laboratories, Inc.* 0.625%, 06/15/25 | 16,955,163 | |||||||||
3,000,000 | SMART Global Holdings, Inc. 2.250%, 02/15/26 | 4,010,190 | |||||||||
35,000,000 | Splunk, Inc.~ 0.500%, 09/15/23 | 38,893,050 | |||||||||
32,500,000 | 1.125%, 09/15/25^ | 36,735,725 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
86
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
35,000,000 | Square, Inc. 0.500%, 05/15/23~ | $ | 109,861,150 | ||||||||
20,000,000 | 0.125%, 03/01/25 | 41,489,600 | |||||||||
10,000,000 | 0.000%, 05/01/26^* | 11,585,900 | |||||||||
5,000,000 | STMicroelectronics, NV 0.250%, 07/03/24 | 9,110,000 | |||||||||
12,500,000 | Synaptics, Inc.~ 0.500%, 06/15/22 | 23,869,875 | |||||||||
7,500,000 | EUR | Talend, SA 1.750%, 09/01/24 | 10,883,726 | ||||||||
15,000,000 | Teradyne, Inc.~ 1.250%, 12/15/23 | 59,590,350 | |||||||||
25,000,000 | Twilio, Inc.^~ 0.250%, 06/01/23 | 129,573,000 | |||||||||
14,500,000 | Tyler Technologies, Inc.* 0.250%, 03/15/26 | 15,388,270 | |||||||||
10,000,000 | Verint Systems, Inc.* 0.250%, 04/15/26 | 10,097,600 | |||||||||
6,000,000 | Viavi Solutions, Inc.^~ 1.000%, 03/01/24 | 8,141,820 | |||||||||
10,000,000 | Vishay Intertechnology, Inc. 2.250%, 06/15/25 | 10,880,300 | |||||||||
10,000,000 | Weibo Corp.^ 1.250%, 11/15/22 | 9,826,400 | |||||||||
4,217,000 | Wix.com, Ltd.^ 0.000%, 07/01/23 | 9,497,949 | |||||||||
40,000,000 | Workday, Inc.^~ 0.250%, 10/01/22 | 68,201,600 | |||||||||
12,500,000 | Workiva, Inc. 1.125%, 08/15/26 | 17,011,750 | |||||||||
15,000,000 | Zendesk, Inc.~ 0.625%, 06/15/25* | 22,062,000 | |||||||||
10,000,000 | 0.250%, 03/15/23 | 23,238,300 | |||||||||
7,500,000 | Zscaler, Inc.* 0.125%, 07/01/25 | 10,533,300 | |||||||||
2,388,405,599 | |||||||||||
Materials (0.4%) | |||||||||||
10,000,000 | Allegheny Technologies, Inc.* 3.500%, 06/15/25 | 16,837,000 | |||||||||
20,000,000 | CHF | Sika, AG 0.150%, 06/05/25 | 32,287,106 | ||||||||
5,000,000 | EUR | Symrise, AG 0.238%, 06/20/24 | 7,476,911 | ||||||||
56,601,017 | |||||||||||
Real Estate (0.7%) | |||||||||||
10,000,000 | EUR | Deutsche Wohnen, SE 0.325%, 07/26/24 | 13,495,253 | ||||||||
17,700,000 | IH Merger Sub, LLC~ 3.500%, 01/15/22 | 27,423,318 | |||||||||
10,500,000 | EUR | IMMOFINANZ, AG 1.500%, 01/24/24 | 13,308,705 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
7,500,000 | iStar, Inc. 3.125%, 09/15/22 | $ | 10,180,725 | ||||||||
10,000,000 | Redfin Corp.* 0.500%, 04/01/27 | 10,475,400 | |||||||||
10,000,000 | 0.000%, 10/15/25 | 12,126,500 | |||||||||
87,009,901 | |||||||||||
TOTAL CONVERTIBLE BONDS (Cost $4,006,468,818) | 5,528,320,322 | ||||||||||
CORPORATE BOND (0.0%) | |||||||||||
Communication Services (0.0%) | |||||||||||
3,000,000 | Sirius XM Radio, Inc.* 3.875%, 08/01/22 (Cost $2,864,111) | 3,016,620 | |||||||||
NUMBER OF SHARES | VALUE | ||||||||||
CONVERTIBLE PREFERRED STOCKS (3.3%) | |||||||||||
Communication Services (0.2%) | |||||||||||
21,292 | 2020 Cash Mandatory Exchangeable Trust*~ 5.250%, 06/01/23 | 25,053,381 | |||||||||
Consumer Discretionary (0.1%) | |||||||||||
116,491 | Aptiv, PLC 5.500%, 06/15/23 | 19,022,980 | |||||||||
Consumer Staples (0.1%) | |||||||||||
100,000 | Energizer Holdings, Inc.^ 7.500%, 01/15/22 | 9,950,000 | |||||||||
Financials (0.2%) | |||||||||||
15,000 | 2020 Mandatory Exchangeable Trust*~ 6.500%, 05/16/23 | 27,498,930 | |||||||||
Health Care (0.5%) | |||||||||||
590,000 | Avantor, Inc.~ 6.250%, 05/15/22 | 58,315,600 | |||||||||
3,500 | Danaher Corp. 4.750%, 04/15/22 | 5,997,285 | |||||||||
64,312,885 | |||||||||||
Industrials (0.6%) | |||||||||||
230,000 | Colfax Corp.~ 5.750%, 01/15/22 | 42,269,400 | |||||||||
25,500 | Fortive Corp.~ 5.000%, 07/01/21 | 25,334,250 | |||||||||
104,200 | Stanley Black & Decker, Inc.^~ 5.250%, 11/15/22 | 12,713,442 | |||||||||
80,317,092 | |||||||||||
Information Technology (0.1%) | |||||||||||
50,000 | II-VI, Inc. 6.000%, 07/01/23 | 13,950,000 |
See accompanying Notes to Schedule of Investments
www.calamos.com
87
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Materials (0.1%) | |||||||||||
242,647 | International Flavors & Fragrances, Inc. 6.000%, 09/15/21 | $ | 12,023,159 | ||||||||
Utilities (1.4%) | |||||||||||
400,000 | American Electric Power Company, Inc. 6.125%, 08/15/23~ | 20,472,000 | |||||||||
99,780 | 6.125%, 03/15/22 | 5,007,958 | |||||||||
400,000 | CenterPoint Energy, Inc.~ 7.000%, 09/01/21 | 17,804,000 | |||||||||
300,000 | DTE Energy Company 6.250%, 11/01/22 | 15,222,000 | |||||||||
308,881 | Essential Utilities, Inc.~ 6.000%, 04/30/22 | 18,257,956 | |||||||||
650,000 | NextEra Energy, Inc. 4.872%, 09/01/22~ | 37,921,000 | |||||||||
300,000 | 6.219%, 09/01/23 | 15,141,000 | |||||||||
205,000 | 5.279%, 03/01/23 | 10,325,850 | |||||||||
150,000 | PG&E Corp. 5.500%, 08/16/23 | 16,558,500 | |||||||||
135,000 | Sempra Energy^ 6.750%, 07/15/21 | 14,166,900 | |||||||||
400,000 | Southern Company~ 6.750%, 08/01/22 | 20,960,000 | |||||||||
191,837,164 | |||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $367,580,021) | 443,965,591 | ||||||||||
COMMON STOCKS (45.7%) | |||||||||||
Communication Services (5.4%) | |||||||||||
109,144 | Activision Blizzard, Inc. | 9,952,841 | |||||||||
41,554 | Alphabet, Inc. - Class A~# | 97,797,339 | |||||||||
48,097 | Alphabet, Inc. - Class C~# | 115,919,542 | |||||||||
1,172,152 | AT&T, Inc.~ | 36,817,294 | |||||||||
31,408 | Charter Communications, Inc. - Class A# | 21,151,718 | |||||||||
774,830 | Comcast Corp. - Class A~ | 43,506,704 | |||||||||
466,664 | Facebook, Inc. - Class A~# | 151,703,133 | |||||||||
133,900 | Fox Corp. - Class A^ | 5,010,538 | |||||||||
79,544 | Netflix, Inc.# | 40,843,458 | |||||||||
1,371,773 | Snap, Inc. - Class A# | 84,803,007 | |||||||||
128,033 | Twitter, Inc.# | 7,069,982 | |||||||||
689,535 | Verizon Communications, Inc.~ | 39,848,228 | |||||||||
312,920 | Walt Disney Company~# | 58,209,378 | |||||||||
712,633,162 | |||||||||||
Consumer Discretionary (4.8%) | |||||||||||
68,627 | Amazon.com, Inc.~# | 237,958,632 | |||||||||
108,371 | Aptiv, PLC# | 15,593,503 |
NUMBER OF SHARES | VALUE | ||||||||||
6,205 | Booking Holdings, Inc.~# | $ | 15,302,026 | ||||||||
6,664 | Chipotle Mexican Grill, Inc.# | 9,942,888 | |||||||||
143,800 | D.R. Horton, Inc.~ | 14,134,102 | |||||||||
47,336 | Darden Restaurants, Inc.~ | 6,945,138 | |||||||||
41,059 | Dollar General Corp.~ | 8,817,420 | |||||||||
165,533 | eBay, Inc. | 9,235,086 | |||||||||
44,204 | Expedia Group, Inc. | 7,790,071 | |||||||||
475,102 | Ford Motor Company~# | 5,482,677 | |||||||||
171,255 | General Motors Company# | 9,799,211 | |||||||||
73,000 | GrubHub, Inc.# | 4,966,920 | |||||||||
191,249 | Home Depot, Inc.~ | 61,901,564 | |||||||||
97,097 | Leggett & Platt, Inc. | 4,822,808 | |||||||||
162,737 | Lowe's Companies, Inc.~ | 31,937,136 | |||||||||
141,769 | McDonald's Corp. | 33,468,826 | |||||||||
157,066 | MGM Resorts International | 6,395,728 | |||||||||
39,211 | Mohawk Industries, Inc.~# | 8,057,861 | |||||||||
214,020 | NIKE, Inc. - Class B~ | 28,383,333 | |||||||||
19,464 | O'Reilly Automotive, Inc.# | 10,761,256 | |||||||||
39,123 | PVH Corp.~# | 4,427,941 | |||||||||
81,739 | Ross Stores, Inc.~ | 10,702,905 | |||||||||
101,974 | Royal Caribbean Cruises, Ltd.^# | 8,866,639 | |||||||||
198,518 | Starbucks Corp.~ | 22,728,326 | |||||||||
122,774 | Target Corp.~ | 25,446,139 | |||||||||
255,511 | TJX Companies, Inc.~ | 18,141,281 | |||||||||
14,974 | Ulta Beauty, Inc.# | 4,931,687 | |||||||||
86,241 | VF Corp. | 7,559,886 | |||||||||
34,596 | Wynn Resorts, Ltd.# | 4,442,126 | |||||||||
638,943,116 | |||||||||||
Consumer Staples (2.5%) | |||||||||||
332,761 | Altria Group, Inc.~ | 15,889,338 | |||||||||
135,351 | Archer-Daniels-Midland Company~ | 8,544,709 | |||||||||
86,985 | Church & Dwight Company, Inc. | 7,458,094 | |||||||||
678,064 | Coca-Cola Company | 36,601,895 | |||||||||
134,120 | Colgate-Palmolive Company~ | 10,823,484 | |||||||||
67,230 | Constellation Brands, Inc. - Class A | 16,156,714 | |||||||||
53,266 | Costco Wholesale Corp.~ | 19,819,746 | |||||||||
146,700 | General Mills, Inc. | 8,928,162 | |||||||||
108,125 | Kellogg Company~ | 6,749,162 | |||||||||
80,586 | Kimberly-Clark Corp. | 10,743,725 | |||||||||
186,369 | Kraft Heinz Company | 7,695,176 | |||||||||
193,163 | Kroger Company | 7,058,176 | |||||||||
311,250 | Mondelez International, Inc. - Class A | 18,927,112 | |||||||||
83,738 | Monster Beverage Corp.# | 8,126,773 | |||||||||
224,626 | PepsiCo, Inc.~ | 32,382,084 | |||||||||
178,596 | Philip Morris International, Inc.~ | 16,966,620 | |||||||||
332,322 | Procter & Gamble Company | 44,338,401 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
88
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
145,126 | Sysco Corp. | $ | 12,296,526 | ||||||||
136,088 | Walgreens Boots Alliance, Inc. | 7,226,273 | |||||||||
295,316 | Walmart, Inc.~ | 41,317,662 | |||||||||
338,049,832 | |||||||||||
Energy (1.2%) | |||||||||||
5,867 | Chesapeake Energy Corp.# | 267,359 | |||||||||
366,371 | Chevron Corp.~ | 37,761,859 | |||||||||
221,601 | ConocoPhillips~ | 11,332,675 | |||||||||
66,325 | EOG Resources, Inc.~ | 4,884,173 | |||||||||
406,943 | Exxon Mobil Corp.~ | 23,293,417 | |||||||||
154,961 | Hess Corp. | 11,546,144 | |||||||||
459,026 | Kinder Morgan, Inc. | 7,826,393 | |||||||||
343,653 | Marathon Petroleum Corp. | 19,124,290 | |||||||||
142,466 | Occidental Petroleum Corp. | 3,612,938 | |||||||||
92,015 | ONEOK, Inc. | 4,816,065 | |||||||||
64,584 | Phillips 66~ | 5,225,491 | |||||||||
82,767 | Pioneer Natural Resources Company | 12,732,048 | |||||||||
204,739 | Schlumberger, Ltd. | 5,538,190 | |||||||||
62,482 | Valero Energy Corp.~ | 4,621,169 | |||||||||
231,607 | Williams Companies, Inc. | 5,641,947 | |||||||||
158,224,158 | |||||||||||
Financials (4.9%) | |||||||||||
114,092 | Aflac, Inc.~ | 6,130,163 | |||||||||
89,012 | Allstate Corp.~ | 11,286,722 | |||||||||
102,857 | American Express Company~ | 15,773,121 | |||||||||
325,460 | American International Group, Inc.~ | 15,768,537 | |||||||||
44,600 | Ameriprise Financial, Inc. | 11,524,640 | |||||||||
79,569 | Arthur J. Gallagher & Company | 11,533,527 | |||||||||
66,899 | Assurant, Inc. | 10,409,484 | |||||||||
1,808,909 | Bank of America Corp.~ | 73,315,082 | |||||||||
166,106 | Bank of New York Mellon Corp. | 8,285,367 | |||||||||
294,189 | Berkshire Hathaway, Inc. - Class B~# | 80,887,265 | |||||||||
17,234 | BlackRock, Inc.~ | 14,119,816 | |||||||||
192,346 | Capital One Financial Corp.~ | 28,674,942 | |||||||||
114,478 | Cboe Global Markets, Inc. | 11,948,069 | |||||||||
125,774 | Charles Schwab Corp.~ | 8,854,490 | |||||||||
74,292 | Chubb, Ltd.~ | 12,747,764 | |||||||||
342,183 | Citigroup, Inc.~ | 24,377,117 | |||||||||
35,844 | CME Group, Inc. | 7,240,130 | |||||||||
62,812 | Discover Financial Services | 7,160,568 | |||||||||
72,494 | First Republic Bank | 13,283,801 | |||||||||
96,619 | Goldman Sachs Group, Inc.~ | 33,666,890 | |||||||||
591,072 | JPMorgan Chase & Company~ | 90,912,784 | |||||||||
44,337 | M&T Bank Corp. | 6,991,501 | |||||||||
123,001 | Marsh & McLennan Companies, Inc. | 16,691,236 | |||||||||
134,017 | MetLife, Inc.~ | 8,527,502 |
NUMBER OF SHARES | VALUE | ||||||||||
322,801 | Morgan Stanley~ | $ | 26,647,223 | ||||||||
71,014 | Northern Trust Corp. | 8,081,393 | |||||||||
53,369 | Prudential Financial, Inc.~ | 5,356,113 | |||||||||
46,326 | S&P Global, Inc. | 18,085,207 | |||||||||
67,069 | State Street Corp.~ | 5,630,443 | |||||||||
59,486 | Travelers Companies, Inc.~ | 9,200,105 | |||||||||
119,869 | Truist Financial Corp. | 7,109,430 | |||||||||
135,635 | US Bancorp | 8,049,937 | |||||||||
590,577 | Wells Fargo & Company~ | 26,605,494 | |||||||||
214,063 | Zions Bancorporation, N.A. | 11,944,715 | |||||||||
656,820,578 | |||||||||||
Health Care (5.7%) | |||||||||||
230,788 | Abbott Laboratories~ | 27,713,023 | |||||||||
289,501 | AbbVie, Inc.~ | 32,279,362 | |||||||||
195,837 | Agilent Technologies, Inc. | 26,171,657 | |||||||||
149,680 | Alexion Pharmaceuticals, Inc.~# | 25,248,022 | |||||||||
15,987 | Align Technology, Inc.# | 9,520,738 | |||||||||
64,895 | Amgen, Inc.~ | 15,551,438 | |||||||||
209,057 | Baxter International, Inc. | 17,914,094 | |||||||||
55,468 | Becton Dickinson and Company | 13,800,993 | |||||||||
33,778 | Biogen, Inc.~# | 9,029,873 | |||||||||
520,137 | Boston Scientific Corp.# | 22,677,973 | |||||||||
424,727 | Bristol-Myers Squibb Company~ | 26,511,459 | |||||||||
105,084 | Centene Corp.# | 6,487,886 | |||||||||
369,000 | Change Healthcare, Inc.# | 8,468,550 | |||||||||
44,718 | Cigna Corp. | 11,135,229 | |||||||||
197,536 | CVS Health Corp.~ | 15,091,750 | |||||||||
84,934 | Danaher Corp. | 21,568,140 | |||||||||
99,383 | Edwards Lifesciences Corp.~# | 9,493,064 | |||||||||
155,942 | Eli Lilly & Company | 28,501,519 | |||||||||
209,813 | Gilead Sciences, Inc. | 13,316,831 | |||||||||
45,187 | HCA Healthcare, Inc. | 9,085,298 | |||||||||
41,965 | Humana, Inc. | 18,684,497 | |||||||||
24,919 | Illumina, Inc.# | 9,789,180 | |||||||||
25,185 | Intuitive Surgical, Inc.# | 21,785,025 | |||||||||
424,732 | Johnson & Johnson~ | 69,116,638 | |||||||||
57,372 | Laboratory Corp. of America Holdings~# | 15,253,494 | |||||||||
41,663 | McKesson Corp. | 7,814,312 | |||||||||
256,132 | Medtronic, PLC | 33,532,802 | |||||||||
426,218 | Merck & Company, Inc. | 31,753,241 | |||||||||
924,545 | Pfizer, Inc.~ | 35,733,664 | |||||||||
26,500 | PRA Health Sciences, Inc.# | 4,422,585 | |||||||||
54,230 | Quest Diagnostics, Inc.^~ | 7,151,852 | |||||||||
11,015 | Regeneron Pharmaceuticals, Inc.~# | 5,301,520 | |||||||||
39,290 | Stryker Corp.~ | 10,318,733 | |||||||||
49,937 | Thermo Fisher Scientific, Inc.~ | 23,481,876 |
See accompanying Notes to Schedule of Investments
www.calamos.com
89
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
189,901 | UnitedHealth Group, Inc.~ | $ | 75,732,519 | ||||||||
84,953 | Vertex Pharmaceuticals, Inc.# | 18,536,745 | |||||||||
42,482 | Zimmer Biomet Holdings, Inc. | 7,526,111 | |||||||||
54,775 | Zoetis, Inc. | 9,477,718 | |||||||||
754,979,411 | |||||||||||
Industrials (3.8%) | |||||||||||
89,544 | 3M Company | 17,652,704 | |||||||||
46,942 | Allegion, PLC | 6,308,066 | |||||||||
86,757 | Boeing Company~# | 20,328,033 | |||||||||
192,154 | Carrier Global Corp. | 8,374,071 | |||||||||
136,823 | Caterpillar, Inc.~ | 31,210,695 | |||||||||
225,023 | CSX Corp.~ | 22,671,067 | |||||||||
46,381 | Deere & Company | 17,200,394 | |||||||||
203,432 | Delta Air Lines, Inc.~# | 9,545,029 | |||||||||
68,296 | Eaton Corp., PLC | 9,761,547 | |||||||||
181,018 | Emerson Electric Company~ | 16,380,319 | |||||||||
34,223 | FedEx Corp. | 9,935,279 | |||||||||
98,662 | Fortune Brands Home & Security, Inc. | 10,357,537 | |||||||||
39,785 | General Dynamics Corp. | 7,568,301 | |||||||||
1,374,840 | General Electric Company | 18,037,901 | |||||||||
141,553 | Honeywell International, Inc. | 31,571,981 | |||||||||
28,000 | IHS Markit, Ltd. | 3,012,240 | |||||||||
56,760 | Illinois Tool Works, Inc.~ | 13,080,910 | |||||||||
155,845 | Johnson Controls International, PLC | 9,715,377 | |||||||||
10,117 | Kansas City Southern | 2,956,289 | |||||||||
52,796 | L3Harris Technologies, Inc. | 11,046,507 | |||||||||
32,527 | Lockheed Martin Corp. | 12,378,475 | |||||||||
134,047 | Masco Corp. | 8,562,922 | |||||||||
35,707 | Norfolk Southern Corp. | 9,970,823 | |||||||||
60,380 | Northrop Grumman Corp. | 21,401,087 | |||||||||
59,903 | OTIS Worldwide Corp. | 4,664,647 | |||||||||
94,247 | PACCAR, Inc. | 8,470,920 | |||||||||
111,362 | Pentair, PLC | 7,183,963 | |||||||||
216,187 | Raytheon Technologies Corp.~ | 17,995,406 | |||||||||
150,334 | Southwest Airlines Company~# | 9,437,968 | |||||||||
721,569 | Spirit Airlines, Inc.# | 25,846,602 | |||||||||
66,047 | Stanley Black & Decker, Inc. | 13,656,538 | |||||||||
170,366 | Union Pacific Corp.~ | 37,836,585 | |||||||||
108,057 | United Parcel Service, Inc. - Class B | 22,028,500 | |||||||||
52,842 | Verisk Analytics, Inc. | 9,944,864 | |||||||||
100,962 | Waste Management, Inc. | 13,929,727 | |||||||||
74,340 | Xylem, Inc. | 8,225,721 | |||||||||
508,248,995 | |||||||||||
Information Technology (11.6%) | |||||||||||
96,122 | Accenture, PLC - Class A~ | 27,872,496 | |||||||||
77,317 | Adobe, Inc.# | 39,303,324 |
NUMBER OF SHARES | VALUE | ||||||||||
236,235 | Advanced Micro Devices, Inc.# | $ | 19,281,501 | ||||||||
137,619 | Amphenol Corp. - Class A~ | 9,267,263 | |||||||||
2,467,185 | Apple, Inc.~ | 324,336,140 | |||||||||
386,182 | Applied Materials, Inc.~ | 51,250,213 | |||||||||
45,356 | Autodesk, Inc.# | 13,239,870 | |||||||||
89,515 | Automatic Data Processing, Inc. | 16,738,410 | |||||||||
70,963 | Broadcom, Inc. | 32,373,321 | |||||||||
884,345 | Cisco Systems, Inc.~ | 45,022,004 | |||||||||
58,714 | Citrix Systems, Inc. | 7,271,729 | |||||||||
116,407 | Cognizant Technology Solutions Corp. - Class A~ | 9,359,123 | |||||||||
62,454 | Fidelity National Information Services, Inc. | 9,549,217 | |||||||||
105,747 | Fiserv, Inc.# | 12,702,330 | |||||||||
147,456 | FLIR Systems, Inc. | 8,842,936 | |||||||||
39,311 | Gartner, Inc.# | 7,700,239 | |||||||||
59,938 | Global Payments, Inc. | 12,864,493 | |||||||||
226,529 | HP, Inc. | 7,726,904 | |||||||||
652,120 | Intel Corp.~ | 37,516,464 | |||||||||
107,607 | International Business Machines Corp. | 15,267,281 | |||||||||
45,071 | Intuit, Inc. | 18,576,463 | |||||||||
39,958 | Jack Henry & Associates, Inc. | 6,506,361 | |||||||||
17,019 | Lam Research Corp. | 10,559,439 | |||||||||
162,608 | Marvell Technology, Inc. | 7,717,351 | |||||||||
145,257 | MasterCard, Inc. - Class A | 55,496,889 | |||||||||
60,000 | Maxim Integrated Products, Inc. | 5,640,000 | |||||||||
295,048 | Micron Technology, Inc.~# | 25,394,781 | |||||||||
1,234,943 | Microsoft Corp.~ | 311,427,926 | |||||||||
64,629 | NetApp, Inc. | 4,827,140 | |||||||||
117,405 | NVIDIA Corp. | 70,487,614 | |||||||||
308,133 | Oracle Corp. | 23,353,400 | |||||||||
84,014 | Paychex, Inc. | 8,190,525 | |||||||||
33,527 | Paycom Software, Inc.# | 12,888,114 | |||||||||
168,235 | PayPal Holdings, Inc.# | 44,126,358 | |||||||||
17,500 | Proofpoint, Inc.# | 3,011,925 | |||||||||
193,790 | QUALCOMM, Inc. | 26,898,052 | |||||||||
177,886 | salesforce.com, Inc.# | 40,970,703 | |||||||||
28,421 | ServiceNow, Inc.# | 14,391,542 | |||||||||
253,600 | Slack Technologies, Inc. - Class A# | 10,752,640 | |||||||||
58,335 | TE Connectivity, Ltd. | 7,844,307 | |||||||||
104,828 | Texas Instruments, Inc.~ | 18,922,502 | |||||||||
324,926 | Visa, Inc. - Class A^~ | 75,889,717 | |||||||||
58,870 | Western Digital Corp.# | 4,157,988 | |||||||||
269,961 | Western Union Company | 6,954,195 | |||||||||
209,349 | Xilinx, Inc. | 26,788,298 | |||||||||
1,549,259,488 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
90
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Materials (1.1%) | |||||||||||
53,373 | Air Products & Chemicals, Inc.~ | $ | 15,397,043 | ||||||||
43,515 | Avery Dennison Corp. | 9,319,608 | |||||||||
120,738 | Ball Corp. | 11,305,906 | |||||||||
151,682 | Corteva, Inc. | 7,396,014 | |||||||||
151,682 | Dow, Inc. | 9,480,125 | |||||||||
136,589 | DuPont de Nemours, Inc. | 10,532,378 | |||||||||
65,000 | Forterra, Inc.# | 1,524,900 | |||||||||
415,633 | Freeport-McMoRan, Inc. | 15,673,520 | |||||||||
10,836 | International Flavors & Fragrances, Inc. | 1,540,554 | |||||||||
116,599 | Linde, PLC | 33,328,658 | |||||||||
136,199 | Newmont Corp. | 8,500,180 | |||||||||
65,538 | PPG Industries, Inc. | 11,222,727 | |||||||||
39,257 | Sherwin-Williams Company | 10,751,315 | |||||||||
145,972,928 | |||||||||||
Real Estate (1.0%) | |||||||||||
45,258 | Alexandria Real Estate Equities, Inc. | 8,196,224 | |||||||||
62,447 | American Tower Corp.~ | 15,909,622 | |||||||||
41,635 | AvalonBay Communities, Inc.~ | 7,993,920 | |||||||||
57,692 | Crown Castle International Corp. | 10,907,249 | |||||||||
49,398 | Digital Realty Trust, Inc. | 7,622,605 | |||||||||
11,962 | Equinix, Inc. | 8,621,731 | |||||||||
40,195 | Federal Realty Investment Trust | 4,535,604 | |||||||||
53,954 | Mid-America Apartment Communities, Inc. | 8,488,583 | |||||||||
84,796 | Prologis, Inc.~ | 9,881,278 | |||||||||
29,712 | Public Storage~ | 8,353,826 | |||||||||
103,005 | Realty Income Corp. | 7,122,796 | |||||||||
84,015 | Regency Centers Corp. | 5,348,395 | |||||||||
68,150 | Simon Property Group, Inc. | 8,296,581 | |||||||||
130,706 | UDR, Inc. | 6,071,294 | |||||||||
105,708 | Welltower, Inc. | 7,931,271 | |||||||||
201,890 | Weyerhaeuser Company | 7,827,275 | |||||||||
133,108,254 | |||||||||||
Special Purpose Acquisition Companies (2.6%)# | |||||||||||
65,000 | ABG Acquisition Corp. I - Class A | 661,750 | |||||||||
500,000 | Accelerate Acquisition Corp. | 4,994,735 | |||||||||
50,000 | Advanced Merger Partners, Inc. | 500,000 | |||||||||
750,000 | AF Acquisition Corp. | 7,438,000 | |||||||||
500,000 | African Gold Acquisition Corp. | 5,007,500 | |||||||||
550,000 | Agile Growth Corp. | 5,510,000 | |||||||||
250,000 | Alkuri Global Acquisition Corp. | 2,500,000 | |||||||||
10,000 | Alpha Capital Acquisition Company | 100,000 | |||||||||
50,000 | Altimar Acquisition Corp. II | 500,000 | |||||||||
10,000 | Altimar Acquisition Corp. III | 100,000 | |||||||||
300,000 | Anzu Special Acquisition Corp. I | 3,006,540 |
NUMBER OF SHARES | VALUE | ||||||||||
10,000 | Apollo Strategic Growth Capital II | $ | 100,000 | ||||||||
25,100 | Arctos NorthStar Acquisition Corp. | 251,024 | |||||||||
100,000 | Ares Acquisition Corp. | 1,000,000 | |||||||||
100,000 | Arrowroot Acquisition Corp. | 1,001,000 | |||||||||
511,397 | Astrea Acquisition Corp. | 5,132,551 | |||||||||
500,000 | Athena Technology Acquisition Corp. | 5,000,000 | |||||||||
240,000 | Atlantic Coastal Acquisition Corp. | 2,398,750 | |||||||||
25,000 | Atlas Crest Investment Corp. II | 250,000 | |||||||||
150,000 | Austerlitz Acquisition Corp. I | 1,500,000 | |||||||||
300,000 | Austerlitz Acquisition Corp. II | 3,015,500 | |||||||||
119,900 | Big Sky Growth Partners, Inc. | 1,198,702 | |||||||||
100,000 | Blueriver Acquisition Corp. | 1,000,000 | |||||||||
30,000 | Broadscale Acquisition Corp. | 300,000 | |||||||||
500,000 | Build Acquisition Corp. | 4,992,000 | |||||||||
500,000 | BYTE Acquisition Corp. | 4,993,000 | |||||||||
210,000 | Cartesian Growth Corp. | 2,139,000 | |||||||||
75,000 | Catcha Investment Corp. | 750,000 | |||||||||
50,000 | CC Neuberger Principal Holdings III | 500,000 | |||||||||
100,000 | Centricus Acquisition Corp. | 1,000,000 | |||||||||
50,000 | CF Acquisition Corp. | 500,000 | |||||||||
25,000 | CF Acquisition Corp. | 250,000 | |||||||||
200,000 | Clarim Acquisition Corp. | 2,019,500 | |||||||||
10,000 | Climate Real Impact Solutions II Acquisition Corp. | 100,000 | |||||||||
20,000 | Colicity, Inc. | 200,000 | |||||||||
150,000 | Compute Health Acquisition Corp. | 1,500,000 | |||||||||
20,000 | Constellation Acquisition Corp. I | 200,000 | |||||||||
250,000 | Corazon Capital V838 Monoceros Corp. | 2,456,250 | |||||||||
50,000 | COVA Acquisition Corp. | 500,000 | |||||||||
250,000 | Crown PropTech Acquisitions | 2,494,865 | |||||||||
200,000 | D & Z Media Acquisition Corp. | 2,023,480 | |||||||||
100,000 | Decarbonization Plus Acquisition Corp. II | 1,000,000 | |||||||||
94,474 | Decarbonization Plus Acquisition Corp. III | 932,155 | |||||||||
175,000 | DHB Capital Corp. | 1,750,500 | |||||||||
500,000 | DHC Acquisition Corp. | 4,996,211 | |||||||||
100,000 | DiamondHead Holdings Corp. | 1,000,000 | |||||||||
625,000 | Digital Transformation Opportunities Corp. | 6,259,525 | |||||||||
500,000 | Disruptive Acquisition Corp. I | 4,934,700 | |||||||||
50,000 | dMY Technology Group, Inc. - Class A | 500,000 | |||||||||
46,820 | DouYu International Holdings, Ltd. | 426,895 | |||||||||
20,000 | ECP Environmental Growth Opportunities Corp. | 200,000 | |||||||||
100,000 | Edify Acquisition Corp. | 1,021,565 | |||||||||
325,000 | EJF Acquisition Corp. | 3,277,960 |
See accompanying Notes to Schedule of Investments
www.calamos.com
91
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
26,400 | Empowerment & Inclusion Capital I Corp. | $ | 269,325 | ||||||||
300,700 | EQ Health Acquisition Corp. | 3,020,339 | |||||||||
40,000 | EUR | ESG Core Investments, BV | 480,900 | ||||||||
400,000 | ESM Acquisition Corp. | 4,006,860 | |||||||||
100,000 | European Biotech Acquisition Corp. | 1,000,000 | |||||||||
40,000 | FAST Acquisition Corp. II | 400,000 | |||||||||
40,000 | Figure Acquisition Corp. I | 400,000 | |||||||||
15,000 | FinServ Acquisition Corp. II | 150,000 | |||||||||
75,000 | Fintech Evolution Acquisition Group | 750,000 | |||||||||
50,000 | First Reserve Sustainable Growth Corp. | 500,000 | |||||||||
400,000 | Flame Acquisition Corp. | 4,017,940 | |||||||||
20,000 | Forest Road Acquisition Corp. II | 200,000 | |||||||||
100,000 | Fortistar Sustainable Solutions Corp. | 1,000,000 | |||||||||
200,000 | Fortress Value Acquisition Corp. IV | 2,000,000 | |||||||||
500,000 | Forum Merger IV Corp. | 4,982,889 | |||||||||
170,000 | Freedom Acquisition I Corp. | 1,713,500 | |||||||||
100,000 | Frontier Acquisition Corp. | 1,000,000 | |||||||||
10,000 | FS Development Corp. II | 100,000 | |||||||||
10,000 | FTAC Athena Acquisition Corp. | 100,000 | |||||||||
500,000 | FTAC Hera Acquisition Corp. | 4,998,484 | |||||||||
425,000 | Fusion Acquisition Corp. II | 4,253,647 | |||||||||
25,000 | G Squared Ascend I, Inc. | 250,000 | |||||||||
700,000 | G&P Acquisition Corp. | 7,000,000 | |||||||||
250,000 | Glenfarne Merger Corp. | 2,487,200 | |||||||||
380,000 | Golden Arrow Merger Corp. | 3,800,000 | |||||||||
200,000 | Gores Guggenheim, Inc. | 2,002,980 | |||||||||
40,000 | Gores Holdings VII, Inc. | 400,000 | |||||||||
20,000 | Gores Holdings VIII, Inc. | 200,000 | |||||||||
40,000 | Gores Technology Partners II, Inc. | 400,000 | |||||||||
20,000 | Gores Technology Partners, Inc. | 200,000 | |||||||||
100,000 | Group Nine Acquisition Corp. | 996,591 | |||||||||
401,201 | Growth Capital Acquisition Corp. | 4,024,254 | |||||||||
533,506 | GX Acquisition Corp. II | 5,328,681 | |||||||||
150,000 | Hamilton Lane Alliance Holdings I, Inc. | 1,500,000 | |||||||||
18,326 | Haymaker Acquisition Corp. III | 182,888 | |||||||||
100,000 | HCA Healthcare, Inc. | 1,021,447 | |||||||||
5,000 | HealthCor Catalio Acquisition Corp. | 50,000 | |||||||||
35,000 | Hudson Executive Investment Corp. II | 350,000 | |||||||||
150,000 | Hudson Executive Investment Corp. III | 1,523,500 | |||||||||
250,000 | Ibere Pharmaceuticals | 2,506,000 | |||||||||
100,000 | Independence Holdings Corp. | 1,000,000 | |||||||||
20,000 | ION Acquisition Corp. 2, Ltd. | 200,000 | |||||||||
200,000 | Isos Acquisition Corp. | 2,000,000 |
NUMBER OF SHARES | VALUE | ||||||||||
441,806 | ITHAX Acquisition Corp. | $ | 4,453,048 | ||||||||
220,000 | Itiquira Acquisition Corp. | 2,184,295 | |||||||||
50,000 | Jack Creek Investment Corp. | 500,000 | |||||||||
175,000 | Jaws Mustang Acquisition Corp. | 1,750,000 | |||||||||
100,000 | JOFF Fintech Acquisition Corp. | 1,000,000 | |||||||||
50,120 | Kernel Group Holdings, Inc. | 501,188 | |||||||||
20,000 | Khosla Ventures Acquisition Company | 200,000 | |||||||||
500,000 | Kismet Acquisition Three Corp. | 5,071,590 | |||||||||
500,000 | Kismet Acquisition Two Corp. | 5,048,252 | |||||||||
150,000 | KKR Acquisition Holdings I Corp. | 1,500,000 | |||||||||
100,000 | L Catterton Asia Acquisition Corp. | 1,000,000 | |||||||||
6,000 | EUR | Lakestar Spac I, SE | 72,135 | ||||||||
500,000 | Landcadia Holdings IV, Inc. | 4,927,565 | |||||||||
5,000 | LDH Growth Corp. I | 50,000 | |||||||||
150,000 | Levere Holdings Corp. | 1,500,000 | |||||||||
20,000 | Liberty Media Acquisition Corp. | 200,000 | |||||||||
100,000 | Live Oak Mobility Acquisition Corp. | 1,000,000 | |||||||||
75,000 | Longview Acquisition Corp. II | 750,000 | |||||||||
150,000 | M3-Brigade Acquisition II Corp. | 1,501,994 | |||||||||
500,000 | Magnum Opus Acquisition, Ltd. | 4,920,276 | |||||||||
400,000 | Mason Industrial Technology, Inc. | 4,043,100 | |||||||||
225,000 | Mission Advancement Corp. | 2,251,991 | |||||||||
100,000 | Monument Circle Acquisition Corp. | 1,020,000 | |||||||||
50,000 | Music Acquisition Corp. | 500,000 | |||||||||
5,000 | New Vista Acquisition Corp. | 50,000 | |||||||||
600,000 | NextGen Acquisition Corp. II | 5,907,000 | |||||||||
50,000 | Northern Genesis Acquisition Corp. II | 500,000 | |||||||||
18,129 | Northern Genesis Acquisition Corp. III | 178,921 | |||||||||
20,000 | Northern Star Investment Corp. III | 200,000 | |||||||||
20,000 | Northern Star Investment Corp. IV | 200,000 | |||||||||
100,000 | One Equity Partners Open Water I Corp. | 1,000,000 | |||||||||
300,000 | Orion Acquisition Corp. | 2,995,350 | |||||||||
302,300 | Oyster Enterprises Acquisition Corp. | 3,027,030 | |||||||||
10,000 | Pathfinder Acquisition Corp. | 100,000 | |||||||||
500,000 | Peridot Acquisition Corp. II | 4,996,221 | |||||||||
710,000 | Pine Technology Acquisition Corp. | 7,084,000 | |||||||||
15,000 | Pivotal Investment Corp. III | 150,000 | |||||||||
100,000 | Plum Acquisition Corp. I | 1,000,000 | |||||||||
20,000 | Power & Digital Infrastructure Acquisition Corp. | 200,000 | |||||||||
70,000 | Primavera Capital Acquisition Corp. | 700,000 | |||||||||
250,000 | Priveterra Acquisition Corp. | 2,498,043 | |||||||||
250,000 | Property Solutions Acquisition Corp. II | 2,497,834 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
92
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
500,000 | PWP Forward Acquisition Corp. I | $ | 5,011,010 | ||||||||
100,000 | Quantum FinTech Acquisition Corp. | 1,023,346 | |||||||||
10,000 | Queen's Gambit Growth Capital | 100,000 | |||||||||
40,000 | Reinvent Technology Partners Y | 400,000 | |||||||||
10,000 | Revolution Healthcare Acquisition Corp. | 100,000 | |||||||||
200,000 | RMG Acquisition Corp. III | 2,000,000 | |||||||||
144,578 | Rosecliff Acquisition Corp. I | 1,470,358 | |||||||||
400,000 | Ross Acquisition Corp. II | 3,995,816 | |||||||||
450,000 | RXR Acquisition Corp. | 4,490,515 | |||||||||
75,000 | Sandbridge X2 Corp. | 750,000 | |||||||||
100,000 | Science Strategic Acquisition Corp. Alpha | 1,000,000 | |||||||||
100,000 | ScION Tech Growth II | 1,000,000 | |||||||||
208,021 | Silver Spike Acquisition Corp. II | 2,053,745 | |||||||||
300,000 | SilverBox Engaged Merger Corp. I | 3,017,000 | |||||||||
50,000 | Simon Property Group Acquisition Holdings, Inc. | 500,000 | |||||||||
30,000 | Slam Corp. | 300,000 | |||||||||
50,000 | Soaring Eagle Acquisition Corp. | 500,000 | |||||||||
10,000 | Social Leverage Acquisition Corp. | 100,000 | |||||||||
100,000 | Spartan Acquisition Corp. III | 1,000,000 | |||||||||
500,000 | Stratim Cloud Acquisition Corp. | 5,001,615 | |||||||||
70,000 | Supernova Partners Acquisition Company II, Ltd. | 700,000 | |||||||||
100,000 | Supernova Partners Acquisition Company III, Ltd. | 992,000 | |||||||||
25,000 | Sustainable Development Acquisition I Corp. | 250,000 | |||||||||
5,000 | SVF Investment Corp.^ | 50,000 | |||||||||
5,000 | SVF Investment Corp. | 50,000 | |||||||||
250,000 | Tailwind International Acquisition Corp. | 2,500,000 | |||||||||
350,000 | Tailwind Two Acquisition Corp. | 3,497,618 | |||||||||
700,000 | TB, SA Acquisition Corp. | 6,908,087 | |||||||||
200,000 | TCW Special Purpose Acquisition Corp. | 2,000,000 | |||||||||
500,000 | Tech and Energy Transition Corp. | 5,000,000 | |||||||||
35,000 | Thimble Point Acquisition Corp. | 350,000 | |||||||||
49,700 | Thoma Bravo Advantage - Class A^ | 497,000 | |||||||||
100,000 | Thunder Bridge Capital Partners III, Inc. | 1,000,000 | |||||||||
20,000 | Tishman Speyer Innovation Corp. II | 200,000 | |||||||||
100,000 | TLG Acquisition One Corp. | 1,015,940 | |||||||||
25,000 | Tribe Capital Growth Corp. I | 250,000 | |||||||||
500,000 | Tuatara Capital Acquisition Corp. | 4,992,973 | |||||||||
537,329 | Twelve Seas Investment Company II | 5,366,785 | |||||||||
250,000 | Twin Ridge Capital Acquisition Corp. | 2,495,540 | |||||||||
100,000 | TZP Strategies Acquisition Corp. | 1,000,000 |
NUMBER OF SHARES | VALUE | ||||||||||
20,000 | USHG Acquisition Corp. | $ | 200,000 | ||||||||
200,000 | Vector Acquisition Corp. II | 2,000,000 | |||||||||
210,000 | Velocity Acquisition Corp. | 2,140,091 | |||||||||
100,000 | Virgin Group Acquisition Corp. II | 1,000,000 | |||||||||
100,000 | VPC Impact Acquisition Holdings II | 1,000,000 | |||||||||
200,000 | VPC Impact Acquisition Holdings III, Inc. | 1,997,000 | |||||||||
100,000 | Waldencast Acquisition Corp. | 1,000,000 | |||||||||
5,000 | Warburg Pincus Capital Corp. I-A | 50,000 | |||||||||
20,000 | Warburg Pincus Capital Corp. I-B | 200,000 | |||||||||
370,548 | Warrior Technologies Acquisition Company | 3,694,264 | |||||||||
100,000 | Z-Work Acquisition Corp. | 1,000,000 | |||||||||
344,591,619 | |||||||||||
Utilities (1.1%) | |||||||||||
323,000 | AES Corp.~ | 8,985,860 | |||||||||
126,312 | American Electric Power Company, Inc.~ | 11,205,137 | |||||||||
117,274 | CMS Energy Corp.~ | 7,551,273 | |||||||||
98,190 | Consolidated Edison, Inc. | 7,600,888 | |||||||||
116,061 | Dominion Energy, Inc.~ | 9,273,274 | |||||||||
160,381 | Duke Energy Corp.~ | 16,148,763 | |||||||||
77,089 | Edison International | 4,582,941 | |||||||||
71,799 | Entergy Corp. | 7,846,913 | |||||||||
107,932 | Exelon Corp.~ | 4,850,464 | |||||||||
162,533 | FirstEnergy Corp.~ | 6,163,251 | |||||||||
265,046 | NextEra Energy, Inc. | 20,543,715 | |||||||||
198,933 | NiSource, Inc.^ | 5,176,237 | |||||||||
162,000 | PNM Resources, Inc. | 7,996,320 | |||||||||
124,879 | Public Service Enterprise Group, Inc.~ | 7,887,358 | |||||||||
178,510 | Southern Company | 11,812,007 | |||||||||
142,881 | Xcel Energy, Inc. | 10,187,415 | |||||||||
147,811,816 | |||||||||||
TOTAL COMMON STOCKS (Cost $4,448,106,403) | 6,088,643,357 | ||||||||||
EXCHANGE-TRADED FUND (3.5%) | |||||||||||
Other (3.5%) | |||||||||||
1,106,487 | SPDR S&P 500 ETF Trust (Cost $427,722,875) | 461,737,025 | |||||||||
INVESTMENT IN AFFILIATED FUND (1.1%) | |||||||||||
Other (1.1%) | |||||||||||
14,938,002 | Calamos Short-Term Bond Fund - Class I (Cost $150,000,000) | 149,081,256 |
See accompanying Notes to Schedule of Investments
www.calamos.com
93
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
WARRANTS (0.0%)# | |||||||||||
Energy (0.0%) | |||||||||||
11,071 | Chesapeake Energy Corp.^ 02/09/26, Strike $36.18 | $ | 215,109 | ||||||||
Financials (0.0%) | |||||||||||
5,000 | EUR | ESG Core Investments, BV 12/31/27, Strike 11.50 | 0 | ||||||||
2,000 | EUR | Lakestar Spac I, SE 12/31/25, Strike 11.50 | 0 | ||||||||
0 | |||||||||||
TOTAL WARRANTS (Cost $3,290,859) | 215,109 | ||||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
PURCHASED OPTIONS (0.3%)# | |||||||||||
Communication Services (0.0%) | |||||||||||
CyberAgent, Inc. | |||||||||||
70 | JPY | ||||||||||
1,020,712,000 | Call, 02/17/23, Strike 95.44 | 2,112,998 | |||||||||
30 | JPY | ||||||||||
300,000,000 | Call, 02/19/25, Strike 93.40 | 1,086,751 | |||||||||
10 | JPY | ||||||||||
100,000,000 | Call, 02/17/23, Strike 95.84 | 305,214 | |||||||||
50 | JPY | Zenrin Company, Ltd. | |||||||||
500,000,000 | Call, 03/31/23, Strike 96.21 | — | |||||||||
3,504,963 | |||||||||||
Consumer Discretionary (0.0%) | |||||||||||
EDION Corp. | |||||||||||
60 | JPY | ||||||||||
600,000,000 | Call, 06/19/25, Strike 99.51 | 693,934 | |||||||||
50 | JPY | ||||||||||
547,415,000 | Call, 06/19/25, Strike 94.30 | 586,907 | |||||||||
50 | JPY | ||||||||||
500,000,000 | Call, 06/19/25, Strike 95.45 | 586,907 | |||||||||
100 | JPY | HIS Company, Ltd. | |||||||||
1,000,000,000 | Call, 11/15/24, Strike 96.54 | — | |||||||||
Takashimaya Company, Ltd. | |||||||||||
100 | JPY | ||||||||||
1,008,680,000 | Call, 12/06/23, Strike 97.28 | 233,937 | |||||||||
50 | JPY | ||||||||||
504,340,000 | Call, 12/06/23, Strike 97.29 | 116,968 | |||||||||
50 | JPY | ||||||||||
504,340,000 | Call, 12/06/23, Strike 97.18 | 116,968 | |||||||||
2,335,621 | |||||||||||
Consumer Staples (0.0%) | |||||||||||
Ezaki Glico Company, Ltd. | |||||||||||
100 | JPY | ||||||||||
997,170,000 | Call, 01/30/24, Strike 97.57 | 106,540 | |||||||||
50 | JPY | ||||||||||
498,585,000 | Call, 01/30/24, Strike 96.89 | 59,695 |
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
50 | JPY | Nippn Corp. | |||||||||
500,000,000 | Call, 06/20/25, Strike 98.27 | $ | 123,024 | ||||||||
289,259 | |||||||||||
Health Care (0.0%) | |||||||||||
100 | JPY | Medipal Holdings Corp. | |||||||||
1,000,000,000 | Call, 10/07/22, Strike 98.52 | 495,652 | |||||||||
Ship Healthcare Holdings, Inc. | |||||||||||
72 | JPY | ||||||||||
720,000,000 | Call, 12/13/23, Strike 97.95 | 1,243,854 | |||||||||
50 | JPY | ||||||||||
500,000,000 | Call, 12/13/23, Strike 97.68 | 863,787 | |||||||||
100 | JPY | Toho Holdings Company, Ltd. | |||||||||
1,000,000,000 | Call, 06/23/23, Strike 98.43 | 48,680 | |||||||||
2,651,973 | |||||||||||
Industrials (0.1%) | |||||||||||
100 | JPY | ANA Holdings, Inc. | |||||||||
959,590,000 | Call, 09/19/24, Strike 96.53 | — | |||||||||
100 | Asashi Refining US, Inc. | ||||||||||
10,000,000 | Call, 03/16/26, Strike $88.78 | 1,869,000 | |||||||||
45 | JPY | Maeda Kosen Company, Ltd. | |||||||||
450,000,000 | Call, 04/18/22, Strike 97.72 | 41 | |||||||||
Nagoya Railroad Company, Ltd. | |||||||||||
100 | JPY |
| |||||||||
1,046,420,000 | Call, 12/09/22, Strike 97.53 | 497,795 | |||||||||
100 | JPY |
| |||||||||
1,000,000,000 | Call, 12/09/22, Strike 98.92 | 546,464 | |||||||||
50 | JPY |
| |||||||||
523,210,000 | Call, 12/09/22, Strike 98.07 | 241,400 | |||||||||
28 | JPY |
| |||||||||
280,000,000 | Call, 12/09/22, Strike 98.77 | 157,748 | |||||||||
22 | JPY |
| |||||||||
220,000,000 | Call, 12/09/22, Strike 98.94 | 120,222 | |||||||||
54 | JPY | Senko Company, Ltd. | |||||||||
540,000,000 | Call, 03/28/22, Strike 98.82 | 604,282 | |||||||||
4,036,952 | |||||||||||
Information Technology (0.0%) | |||||||||||
Digital Garage, Inc. | |||||||||||
150 | JPY |
| |||||||||
1,618,005,000 | Call, 09/14/23, Strike 94.68 | 1,421,572 | |||||||||
50 | JPY |
| |||||||||
539,335,000 | Call, 09/14/23, Strike 94.80 | 473,858 | |||||||||
1,895,430 | |||||||||||
Materials (0.0%) | |||||||||||
50 | JPY | Kansai Paint Company, Ltd. | |||||||||
500,000,000 | Call, 06/17/22, Strike 98.95 | 183,085 | |||||||||
100 | JPY | Mitsubishi Chemical Holdings Corp. | |||||||||
1,000,000,000 | Call, 03/30/22, Strike 98.83 | 51,570 | |||||||||
Teijin, Ltd. | |||||||||||
100 | JPY |
| |||||||||
1,000,000,000 | Call, 12/10/21, Strike 99.18 | 340,217 | |||||||||
100 | JPY |
| |||||||||
1,000,000,000 | Call, 12/10/21, Strike 99.19 | 352,274 | |||||||||
927,146 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
94
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
Other (0.2%) | |||||||||||
S&P 500 Index | |||||||||||
4,000 |
| ||||||||||
1,672,468,000 | Put, 05/28/21, Strike $3,900.00 | $ | 6,900,000 | ||||||||
150 | JPY | Lxil Corp. | |||||||||
1,500,000,000 | Call, 03/04/22, Strike 99.52 | 258,029 | |||||||||
S&P 500 Index | |||||||||||
1,500 |
| ||||||||||
627,175,500 | Put, 06/30/21, Strike $4,000.00 | 8,962,500 | |||||||||
1,000 |
| ||||||||||
418,117,000 | Call, 05/03/21, Strike $4,200.00 | 845,000 | |||||||||
1,000 |
| ||||||||||
418,117,000 | Put, 05/28/21, Strike $3,700.00 | 745,000 | |||||||||
1,000 |
| ||||||||||
418,117,000 | Put, 05/28/21, Strike $3,500.00 | 380,000 | |||||||||
1,000 |
| ||||||||||
418,117,000 | Put, 06/30/21, Strike $3,700.00 | 2,525,000 | |||||||||
500 |
| ||||||||||
209,058,500 | Put, 06/30/21, Strike $3,900.00 | 2,227,500 | |||||||||
500 |
| ||||||||||
209,058,500 | Put, 06/30/21, Strike $3,400.00 | 567,500 | |||||||||
500 |
| ||||||||||
209,058,500 | Call, 03/31/22, Strike $5,000.00 | 1,207,500 | |||||||||
24,618,029 | |||||||||||
Utilities (0.0%) | |||||||||||
Chugoku Electric Power Company, Inc. | |||||||||||
100 | JPY |
| |||||||||
1,000,000,000 | Call, 01/25/22, Strike 98.54 | 101,547 | |||||||||
100 | JPY |
| |||||||||
1,000,000,000 | Call, 01/25/22, Strike 98.97 | 101,548 | |||||||||
50 | JPY |
| |||||||||
502,885,000 | Call, 01/25/22, Strike 98.22 | 50,774 | |||||||||
100 | JPY | Kyushu Electric Power Company, Inc. | |||||||||
998,660,000 | Call, 03/31/22, Strike 98.05 | 82,522 | |||||||||
336,391 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost $58,994,800) | 40,595,764 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (1.3%) | |||||||||||
142,066,451 | JPMorgan Prime Money Market Fund - Capital Class, 0.090%***† | 142,066,451 |
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
32,426,934 | State Street Navigator Securities Lending Government Money Market Portfolio† | $ | 32,426,934 | ||||||||
TOTAL INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (Cost $174,493,385) | 174,493,385 | ||||||||||
TOTAL INVESTMENTS (96.7%) (Cost $9,639,521,272) | 12,890,068,429 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-1.3%) | (174,493,385 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (4.6%) | 614,715,639 | ||||||||||
NET ASSETS (100.0%) | $ | 13,330,290,683 | |||||||||
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS SOLD SHORT (-33.6%)# | |||||||||||
Communication Services (-5.5%) | |||||||||||
(161,200 | ) | Bandwidth, Inc. - Class A | (21,310,640 | ) | |||||||
(484,848 | ) | Bilibili, Inc. | (53,750,249 | ) | |||||||
(416,000 | ) EUR | Cellnex Telecom, SA* | (23,526,391 | ) | |||||||
(828,800 | ) JPY | CyberAgent, Inc. | (17,047,693 | ) | |||||||
(228,600 | ) | Eventbrite, Inc. - Class A | (5,388,102 | ) | |||||||
(1,021,357 | ) | iQIYI, Inc. | (15,024,162 | ) | |||||||
(175,800 | ) | JOYY, Inc. | (16,711,548 | ) | |||||||
(88,000 | ) | Liberty Media Corp. / Liberty Formula One - Class C | (4,130,720) | ||||||||
(57,500 | ) | Live Nation Entertainment, Inc. | (4,708,100 | ) | |||||||
(57,600 | ) | Magnite, Inc. | (2,306,880 | ) | |||||||
(498,843 | ) | Match Group, Inc. | (77,634,936 | ) | |||||||
(410,238 | ) | Sea, Ltd. | (103,601,505 | ) | |||||||
(2,954,600 | ) | Snap, Inc. - Class A | (182,653,372 | ) | |||||||
(37,500 | ) | Spotify Technology, SA | (9,454,500 | ) | |||||||
(158,500 | ) | T-Mobile US, Inc. | (20,942,605 | ) | |||||||
(82,092 | ) | TechTarget, Inc. | (6,296,456 | ) | |||||||
(81,470 | ) | TripAdvisor, Inc. | (3,839,681 | ) | |||||||
(603,700 | ) | Twitter, Inc. | (33,336,314 | ) | |||||||
(494,500 | ) | World Wrestling Entertainment, Inc. - Class A | (27,251,895) | ||||||||
(577,000 | ) | Zillow Group, Inc. - Class C | (75,079,240 | ) | |||||||
(2,651,200 | ) | Zynga, Inc. - Class A | (28,685,984 | ) | |||||||
(732,680,973 | ) | ||||||||||
Consumer Discretionary (-7.2%) | |||||||||||
(261,900 | ) | 2U, Inc. | (10,279,575 | ) | |||||||
(56,000 | ) | Airbnb, Inc. - Class A | (9,671,760 | ) | |||||||
(572,500 | ) | American Eagle Outfitters, Inc. | (19,791,325 | ) | |||||||
(118,000 | ) | Aptiv, PLC | (16,979,020 | ) | |||||||
(726,331 | ) | Carnival Corp. | (20,308,215 | ) |
See accompanying Notes to Schedule of Investments
www.calamos.com
95
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
(231,798 | ) | Chegg, Inc. | $ | (20,938,313 | ) | ||||||
(300,000 | ) | Chewy, Inc. - Class A | (23,916,000 | ) | |||||||
(128,400 | ) EUR | Delivery Hero, SE* | (20,384,407 | ) | |||||||
(285,300 | ) | DraftKings, Inc. - Class A | (16,165,098 | ) | |||||||
(725,100 | ) JPY | EDION Corp. | (7,702,819 | ) | |||||||
(229,959 | ) | Etsy, Inc. | (45,713,550 | ) | |||||||
(16,900 | ) | Expedia Group, Inc. | (2,978,287 | ) | |||||||
(600,333 | ) | Farfetch, Ltd. - Class A | (29,410,314 | ) | |||||||
(53,600 | ) | Fiverr International, Ltd. | (11,152,552 | ) | |||||||
(26,000 | ) | Groupon, Inc. | (1,316,380 | ) | |||||||
(369,080 | ) | Guess, Inc. | (9,979,923 | ) | |||||||
(48,983 | ) EUR | Just Eat Takeaway.com, NV* | (5,061,084 | ) | |||||||
(29,000 | ) | Marriott Vacations Worldwide Corp. | (5,151,270 | ) | |||||||
(27,254 | ) | MercadoLibre, Inc. | (42,815,489 | ) | |||||||
(211,700 | ) | National Vision Holdings, Inc. | (10,671,797 | ) | |||||||
(90,878 | ) | NIO, Inc. | (3,620,580 | ) | |||||||
(1,912,500 | ) | Norwegian Cruise Line Holdings, Ltd. | (59,383,125) | ||||||||
(272,636 | ) GBP | Ocado Group, PLC | (7,895,704 | ) | |||||||
(59,600 | ) | Peloton Interactive, Inc. - Class A | (5,861,660 | ) | |||||||
(183,300 | ) | Pinduoduo, Inc. | (24,549,369 | ) | |||||||
(148,500 | ) | Quotient Technology, Inc. | (2,426,490 | ) | |||||||
(300,300 | ) | Royal Caribbean Cruises, Ltd. | (26,111,085 | ) | |||||||
(19,000 | ) | Shake Shack, Inc. - Class A | (2,066,250 | ) | |||||||
(140,355 | ) | Stride, Inc. | (4,018,364 | ) | |||||||
(40,000 | ) JPY | Takashimaya Company, Ltd. | (440,662 | ) | |||||||
(443,294 | ) | Tesla, Inc. | (314,490,495 | ) | |||||||
(2,550,728 | ) | Under Armour, Inc. - Class C | (50,784,994 | ) | |||||||
(7,500 | ) | Vail Resorts, Inc. | (2,438,700 | ) | |||||||
(422,202 | ) | Wayfair, Inc. - Class A | (124,790,245 | ) | |||||||
(959,264,901 | ) | ||||||||||
Consumer Staples (-0.3%) | |||||||||||
(109,500 | ) | Beyond Meat, Inc. | (14,418,960 | ) | |||||||
(170,108 | ) | Energizer Holdings, Inc. | (8,386,324 | ) | |||||||
(33,800 | ) JPY | Ezaki Glico Company, Ltd. | (1,263,364 | ) | |||||||
(135,100 | ) | Herbalife Nutrition, Ltd. | (6,183,527 | ) | |||||||
(47,000 | ) JPY | Nippn Corp. | (670,876 | ) | |||||||
(49,561 | ) | Turning Point Brands, Inc. | (2,419,568 | ) | |||||||
(69,400 | ) JPY | Yaoko Company, Ltd. | (4,426,004 | ) | |||||||
(37,768,623 | ) | ||||||||||
Energy (-0.4%) | |||||||||||
(327,500 | ) | Pioneer Natural Resources Company | (50,379,325) | ||||||||
(50,379,325 | ) | ||||||||||
Financials (-0.4%) | |||||||||||
(908,582 | ) | Equitable Holdings, Inc. | (31,100,762 | ) | |||||||
(161,100 | ) | Heritage Insurance Holdings, Inc. | (1,467,621 | ) |
NUMBER OF SHARES | VALUE | ||||||||||
(34,000 | ) | Hope Bancorp, Inc. | $ | (510,340 | ) | ||||||
(64,229 | ) | LendingTree, Inc. | (13,262,646 | ) | |||||||
(7,946 | ) | S&P Global, Inc. | (3,102,039 | ) | |||||||
(88,500 | ) | Voya Financial, Inc. | (6,002,070 | ) | |||||||
(55,445,478 | ) | ||||||||||
Health Care (-3.1%) | |||||||||||
(65,000 | ) | Accolade, Inc. | (3,259,750 | ) | |||||||
(452,949 | ) | Allscripts Healthcare Solutions, Inc. | (7,047,886 | ) | |||||||
(90,280 | ) | AstraZeneca, PLC | (4,791,160 | ) | |||||||
(1,715,900 | ) | Avantor, Inc. | (54,977,436 | ) | |||||||
(197,666 | ) | Bridgebio Pharma, Inc. | (11,053,483 | ) | |||||||
(147,790 | ) | Coherus Biosciences, Inc. | (2,187,292 | ) | |||||||
(84,000 | ) | Collegium Pharmaceutical, Inc. | (1,873,200 | ) | |||||||
(101,500 | ) | CONMED Corp. | (14,306,425 | ) | |||||||
(22,800 | ) | Danaher Corp. | (5,789,832 | ) | |||||||
(87,900 | ) | DexCom, Inc. | (33,938,190 | ) | |||||||
(75,000 | ) | Evolent Health, Inc. - Class A | (1,624,500 | ) | |||||||
(29,650 | ) | Guardant Health, Inc. | (4,713,757 | ) | |||||||
(461,325 | ) | Halozyme Therapeutics, Inc. | (23,043,184 | ) | |||||||
(10,930 | ) | ICON, PLC | (2,371,263 | ) | |||||||
(19,659 | ) | Illumina, Inc. | (7,722,842 | ) | |||||||
(101,500 | ) | Innoviva, Inc. | (2,003,610 | ) | |||||||
(743,600 | ) | Innoviva, Inc. | (8,514,220 | ) | |||||||
(225,631 | ) | Insmed, Inc. | (7,610,534 | ) | |||||||
(22,000 | ) | Intercept Pharmaceuticals, Inc. | (435,160 | ) | |||||||
(125,400 | ) | Ionis Pharmaceuticals, Inc. | (5,369,628 | ) | |||||||
(1,005,487 | ) | Ironwood Pharmaceuticals, Inc. | (11,100,576 | ) | |||||||
(102,000 | ) | Jazz Pharmaceuticals, PLC | (16,768,800 | ) | |||||||
(189,900 | ) JPY | Medipal Holdings Corp. | (3,489,058 | ) | |||||||
(13,300 | ) | Mesa Laboratories, Inc. | (3,307,045 | ) | |||||||
(124,200 | ) | Natera, Inc. | (13,664,484 | ) | |||||||
(27,433 | ) | NeoGenomics, Inc. | (1,343,943 | ) | |||||||
(59,521 | ) | Neurocrine Biosciences, Inc. | (5,624,139 | ) | |||||||
(120,800 | ) | Novocure, Ltd. | (24,655,280 | ) | |||||||
(58,048 | ) | NuVasive, Inc. | (4,147,530 | ) | |||||||
(96,600 | ) | Oak Street Health, Inc. | (5,953,458 | ) | |||||||
(105,000 | ) | Omnicell, Inc. | (15,227,100 | ) | |||||||
(792,000 | ) | OPKO Health, Inc. | (3,247,200 | ) | |||||||
(77,900 | ) | Pacira BioSciences, Inc. | (4,921,722 | ) | |||||||
(92,000 | ) | Revance Therapeutics, Inc. | (2,679,040 | ) | |||||||
(200,000 | ) | Sarepta Therapeutics, Inc. | (14,168,000 | ) | |||||||
(288,000 | ) JPY | Ship Healthcare Holdings, Inc. | (7,547,186 | ) | |||||||
(386,100 | ) | SmileDirectClub, Inc. | (4,106,173 | ) | |||||||
(36,000 | ) | Supernus Pharmaceuticals, Inc. | (1,096,200 | ) | |||||||
(40,000 | ) | Tabula Rasa HealthCare, Inc. | (1,902,400 | ) | |||||||
(372,283 | ) | Teladoc Health, Inc. | (64,162,975 | ) | |||||||
(33,900 | ) JPY | Toho Holdings Company, Ltd. | (571,979 | ) |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
96
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
(68,137 | ) | Travere Therapeutics, Inc. | $ | (1,684,347 | ) | ||||||
(23,800 | ) | Vocera Communications, Inc. | (860,846 | ) | |||||||
(414,862,833 | ) | ||||||||||
Industrials (-1.4%) | |||||||||||
(580,000 | ) CAD | Air Canada | (11,688,240 | ) | |||||||
(524,000 | ) | American Airlines Group, Inc. | (11,381,280 | ) | |||||||
(2,000 | ) | Canadian National Railway Company | (215,300) | ||||||||
(1,979 | ) | Canadian Pacific Railway, Ltd. | (738,424 | ) | |||||||
(920,000 | ) | Colfax Corp. | (41,574,800 | ) | |||||||
(284,232 | ) | Fortive Corp. | (20,129,310 | ) | |||||||
(96,050 | ) | FTI Consulting, Inc. | (13,336,543 | ) | |||||||
(74,380 | ) | Greenbrier Companies, Inc. | (3,513,711 | ) | |||||||
(170,000 | ) | JetBlue Airways Corp. | (3,461,200 | ) | |||||||
(99,700 | ) JPY | Lixil Corp. | (2,701,178 | ) | |||||||
(351,100 | ) | Lyft, Inc. - Class A | (19,542,226 | ) | |||||||
(55,500 | ) | Middleby Corp. | (10,063,260 | ) | |||||||
(423,600 | ) JPY | Nagoya Railroad Company, Ltd. | (9,713,072 | ) | |||||||
(267,300 | ) JPY | Senko Group Holdings Company, Ltd. | (2,458,015) | ||||||||
(125,900 | ) | Southwest Airlines Company | (7,904,002 | ) | |||||||
(638,683 | ) | Spirit Airlines, Inc. | (22,877,625 | ) | |||||||
(48,992 | ) | Stanley Black & Decker, Inc. | (10,130,076 | ) | |||||||
(1,976 | ) | Teledyne Technologies, Inc. | (884,754 | ) | |||||||
(192,313,016 | ) | ||||||||||
Information Technology (-13.2%) | |||||||||||
(31,000 | ) | 21Vianet Group, Inc. | (865,210 | ) | |||||||
(231,000 | ) | 8x8, Inc. | (7,597,590 | ) | |||||||
(156,394 | ) | Advanced Micro Devices, Inc. | (12,764,878 | ) | |||||||
(287,200 | ) | Akamai Technologies, Inc. | (31,218,640 | ) | |||||||
(176,395 | ) | Altair Engineering, Inc. - Class A | (11,465,675 | ) | |||||||
(38,835 | ) | Alteryx, Inc. - Class A | (3,174,761 | ) | |||||||
(37,800 | ) | Analog Devices, Inc. | (5,789,448 | ) | |||||||
(658,630 | ) | Atlassian Corp., PLC - Class A | (156,464,143 | ) | |||||||
(110,000 | ) | Avaya Holdings Corp. | (3,164,700 | ) | |||||||
(55,000 | ) | Bentley Systems, Inc. - Class B | (2,816,000 | ) | |||||||
(90,000 | ) | Bill.com Holdings, Inc. | (13,916,700 | ) | |||||||
(331,841 | ) | Blackline, Inc. | (38,513,466 | ) | |||||||
(257,500 | ) | Box, Inc. - Class A | (5,484,750 | ) | |||||||
(50,700 | ) | Ceridian HCM Holding, Inc. | (4,790,136 | ) | |||||||
(371,200 | ) | Cloudflare, Inc. - Class A | (31,455,488 | ) | |||||||
(171,160 | ) | Coupa Software, Inc. | (46,048,886 | ) | |||||||
(200,000 | ) | Cree, Inc. | (19,884,000 | ) | |||||||
(65,000 | ) | CSG Systems International, Inc. | (2,989,350 | ) | |||||||
(42,000 | ) | CyberArk Software, Ltd. | (5,901,000 | ) | |||||||
(80,600 | ) | Datadog, Inc. - Class A | (6,913,062 | ) | |||||||
(139,800 | ) JPY | Digital Garage, Inc. | (5,762,641 | ) |
NUMBER OF SHARES | VALUE | ||||||||||
(770,800 | ) | Dropbox, Inc. - Class A | $ | (19,809,560 | ) | ||||||
(40,034 | ) | Enphase Energy, Inc. | (5,574,735 | ) | |||||||
(46,000 | ) | Envestnet, Inc. | (3,396,180 | ) | |||||||
(27,000 | ) | Everbridge, Inc. | (3,583,170 | ) | |||||||
(132,000 | ) | Fastly, Inc. | (8,430,840 | ) | |||||||
(294,000 | ) | FireEye, Inc. | (5,843,250 | ) | |||||||
(21,000 | ) | fuboTV, Inc. | (423,360 | ) | |||||||
(149,550 | ) | GDS Holdings, Ltd. | (12,408,164 | ) | |||||||
(102,333 | ) | Guidewire Software, Inc. | (10,797,155 | ) | |||||||
(35,000 | ) | i3 Verticals, Inc. - Class A | (1,162,700 | ) | |||||||
(295,100 | ) | II-VI, Inc. | (19,813,014 | ) | |||||||
(1,088,000 | ) | Infinera Corp. | (10,031,360 | ) | |||||||
(115,100 | ) | Insight Enterprises, Inc. | (11,552,587 | ) | |||||||
(70,400 | ) | Itron, Inc. | (6,331,776 | ) | |||||||
(236,900 | ) | LivePerson, Inc. | (12,946,585 | ) | |||||||
(271,100 | ) | Lumentum Holdings, Inc. | (23,057,055 | ) | |||||||
(162,607 | ) | Marvell Technology, Inc. | (7,351,462 | ) | |||||||
(250,000 | ) | Medallia, Inc. | (7,372,500 | ) | |||||||
(1,750,650 | ) | Micron Technology, Inc. | (150,678,446 | ) | |||||||
(31,949 | ) | MicroStrategy Inc - Class A | (20,995,605 | ) | |||||||
(127,129 | ) | MongoDB, Inc. | (37,815,792 | ) | |||||||
(47,000 | ) | New Relic, Inc. | (3,022,100 | ) | |||||||
(237,100 | ) | Nice, Ltd. | (57,195,633 | ) | |||||||
(108,350 | ) | Nova Measuring Instruments, Ltd. | (10,224,990 | ) | |||||||
(1,335,086 | ) | Nuance Communications, Inc. | (70,986,523 | ) | |||||||
(49,500 | ) | Nutanix, Inc. - Class A | (1,338,480 | ) | |||||||
(151,962 | ) | Okta, Inc. | (40,984,151 | ) | |||||||
(663,000 | ) | ON Semiconductor Corp. | (25,857,000 | ) | |||||||
(50,100 | ) | OSI Systems, Inc. | (4,838,157 | ) | |||||||
(169,991 | ) | Palo Alto Networks, Inc. | (60,073,119 | ) | |||||||
(93,900 | ) | PAR Technology Corp. | (7,712,946 | ) | |||||||
(110,800 | ) | Pegasystems, Inc. | (14,064,952 | ) | |||||||
(67,692 | ) | Proofpoint, Inc. | (11,650,470 | ) | |||||||
(56,500 | ) | PROS Holdings, Inc. | (2,428,370 | ) | |||||||
(133,730 | ) | Q2 Holdings, Inc. | (13,910,595 | ) | |||||||
(177,900 | ) | Rapid7, Inc. | (14,454,375 | ) | |||||||
(59,000 | ) | Repay Holdings Corp. | (1,348,150 | ) | |||||||
(38,111 | ) | RingCentral, Inc. - Class A | (12,155,503 | ) | |||||||
(561,000 | ) | SailPoint Technologies Holdings, Inc. | (27,393,630 | ) | |||||||
(19,679 | ) | Salesforce.com, Inc. | (4,532,467 | ) | |||||||
(4,600 | ) | Shopify, Inc. - Class A | (5,439,546 | ) | |||||||
(83,600 | ) | Silicon Laboratories, Inc. | (11,783,420 | ) | |||||||
(63,800 | ) | SMART Global Holdings, Inc. | (2,944,370 | ) | |||||||
(287,500 | ) | Splunk, Inc. | (36,345,750 | ) | |||||||
(601,600 | ) | Square, Inc. - Class A | (147,283,712 | ) | |||||||
(219,000 | ) EUR | STMicroelectronics, NV | (8,200,250 | ) | |||||||
(171,183 | ) | Synaptics, Inc. | (23,943,366 | ) |
See accompanying Notes to Schedule of Investments
www.calamos.com
97
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
(79,750 | ) | Talend, SA | $ | (5,136,698 | ) | ||||||
(473,975 | ) | Teradyne, Inc. | (59,284,793 | ) | |||||||
(351,980 | ) | Twilio, Inc. - Class A | (129,458,244 | ) | |||||||
(20,000 | ) | Tyler Technologies, Inc. | (8,497,200 | ) | |||||||
(362,400 | ) | Viavi Solutions, Inc. | (5,928,864 | ) | |||||||
(146,000 | ) | Vishay Intertechnology, Inc. | (3,587,220 | ) | |||||||
(28,600 | ) | Wix.com, Ltd. | (9,091,368 | ) | |||||||
(245,712 | ) | Workday, Inc. - Class A | (60,690,864 | ) | |||||||
(124,675 | ) | Workiva, Inc. | (11,719,450 | ) | |||||||
(268,950 | ) | Zendesk, Inc. | (39,307,043 | ) | |||||||
(43,000 | ) | Zscaler, Inc. | (8,068,520 | ) | |||||||
(1,757,238,109 | ) | ||||||||||
Materials (-0.6%) | |||||||||||
(577,021 | ) | Allegheny Technologies, Inc. | (13,421,508 | ) | |||||||
(256,100 | ) JPY | Asahi Holdings, Inc. | (5,197,454 | ) | |||||||
(71,000 | ) | International Flavors & Fragrances, Inc. | (10,094,070) | ||||||||
(75,200 | ) JPY | Kansai Paint Company, Ltd. | (1,894,278 | ) | |||||||
(67,200 | ) JPY | Maeda Kosen Company, Ltd. | (2,075,213 | ) | |||||||
(87,961 | ) CHF | Sika, AG | (26,236,602 | ) | |||||||
(34,000 | ) EUR | Symrise, AG | (4,390,135 | ) | |||||||
(637,100 | ) JPY | Teijin, Ltd. | (10,481,341 | ) | |||||||
(73,790,601 | ) | ||||||||||
Real Estate (-0.4%) | |||||||||||
(85,560 | ) EUR | Deutsche Wohnen, SE | (4,628,902 | ) | |||||||
(89,189 | ) EUR | IMMOFINANZ, AG | (1,856,107 | ) | |||||||
(697,359 | ) | Invitation Homes, Inc. | (24,449,406 | ) | |||||||
(307,100 | ) | iStar, Inc. | (5,684,421 | ) | |||||||
(174,300 | ) | Redfin Corp. | (12,336,954 | ) | |||||||
(48,955,790 | ) | ||||||||||
Utilities (-1.1%) | |||||||||||
(223,600 | ) | American Electric Power Company, Inc. | (19,835,556) | ||||||||
(575,000 | ) | CenterPoint Energy, Inc. | (14,081,750 | ) | |||||||
(596,800 | ) JPY | Chugoku Electric Power Company, Inc. | (6,662,055) | ||||||||
(84,100 | ) | DTE Energy Company | (11,775,682 | ) | |||||||
(330,733 | ) | Essential Utilities, Inc. | (15,587,446 | ) | |||||||
(629,300 | ) | NextEra Energy, Inc. | (48,777,043 | ) | |||||||
(950,000 | ) | PG&E Corp. | (10,754,000 | ) | |||||||
(60,403 | ) | Sempra Energy | (8,309,641 | ) | |||||||
(262,500 | ) | Southern Company | (17,369,625 | ) | |||||||
(153,152,798 | ) | ||||||||||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $2,875,988,284) | (4,475,852,447 | ) | |||||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $2,875,988,284) | (4,475,852,447 | ) |
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
WRITTEN OPTIONS (-3.9%)# | |||||||||||
Communication Services (0.0%) | |||||||||||
Snap, Inc. | |||||||||||
1,000 |
| ||||||||||
6,182,000 | Put, 06/18/21, Strike $55.00 | $ | (186,500 | ) | |||||||
1,000 |
| ||||||||||
6,182,000 | Call, 06/18/21, Strike $55.00 | (867,500 | ) | ||||||||
(1,054,000 | ) | ||||||||||
Consumer Discretionary (-0.1%) | |||||||||||
7,499 | Carnival Corp. | ||||||||||
20,967,204 | Call, 01/21/22, Strike $10.00 | (13,498,200 | ) | ||||||||
Industrials (-0.1%) | |||||||||||
2,490 | Southwest Airlines Company | ||||||||||
15,632,220 | Call, 01/21/22, Strike $30.00 | (8,279,250 | ) | ||||||||
2,151 | Spirit Airlines, Inc. | ||||||||||
7,704,882 | Call, 01/21/22, Strike $10.00 | (5,603,355 | ) | ||||||||
(13,882,605 | ) | ||||||||||
Other (-3.7%) | |||||||||||
S&P 500 Index | |||||||||||
3,000 | |||||||||||
1,254,351,000 | Call, 05/28/21, Strike $3,600.00 | (176,430,000 | ) | ||||||||
3,000 | |||||||||||
1,254,351,000 | Put, 06/30/21, Strike $3,200.00 | (2,115,000 | ) | ||||||||
2,750 |
| ||||||||||
1,149,821,750 | Call, 06/30/21, Strike $3,700.00 | (138,985,000 | ) | ||||||||
2,000 |
| ||||||||||
836,234,000 | Call, 06/30/21, Strike $3,800.00 | (82,740,000 | ) | ||||||||
1,550 |
| ||||||||||
648,081,350 | Call, 06/30/21, Strike $3,850.00 | (57,164,000 | ) | ||||||||
1,450 |
| ||||||||||
606,269,650 | Call, 06/30/21, Strike $4,000.00 | (34,814,500 | ) | ||||||||
500 |
| ||||||||||
209,058,500 | Call, 06/30/21, Strike $4,225.00 | (4,027,500 | ) | ||||||||
500 |
| ||||||||||
209,058,500 | Put, 06/30/21, Strike $3,500.00 | (732,500 | ) | ||||||||
�� | (497,008,500 | ) | |||||||||
TOTAL WRITTEN OPTIONS (Premium $312,047,918) | $ | (525,443,305 | ) |
NOTES TO SCHEDULE OF INVESTMENTS
^ Security, or portion of security, is on loan.
* 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.
~ Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options and securities sold short. The aggregate value of such securities is $2,613,530,577.
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
98
Market Neutral Income Fund Schedule of Investments April 30, 2021 (Unaudited)
§ Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
# Non-income producing security.
*** The rate disclosed is the 7 day net yield as of April 30, 2021.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
FOREIGN CURRENCY ABBREVIATION
CAD Canadian Dollar
CHF Swiss Franc
EUR European Monetary Unit
GBP British Pound Sterling
JPY Japanese Yen
TOTAL RETURN SWAPS
COUNTERPARTY | UNDERLYING REFERENCE INSTRUMENT | FIXED RATE (FUND PAYS) | FLOATING RATE (FUND RECEIVES) | TERMINATION DATE | PERIODIC PAYMENT FREQUENCY | NOTIONAL AMOUNT | UPFRONT PAYMENTS (PAID)/ RECEIVED | MARKET VALUE | UNREALIZED APPRECIATION/ (DEPRECIATION) | ||||||||||||||||||||||||||||||
Goldman Sachs & Co. | Snap, Inc. - Class A | Equity returns on 80,700 shares of Snap, Inc. - Class A | OBFR Flat | 06/01/21 | Monthly | $ | 4,883,157 | $ | — | $ | (105,709 | ) | $ | (105,709 | ) | ||||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Verint Systems, Inc. | Equity returns on 98,300 shares of Verint Systems, Inc. | 1 mo. LIBOR Flat | 05/10/21 | Monthly | 4,605,355 | — | (168,759) | (168,759) | ||||||||||||||||||||||||||||||
JPMorgan Chase Bank N.A. | Progress Software Corp. | Equity returns on 85,700 shartes of Progress Software Corp. | 1 mo. LIBOR Flat | 05/27/21 | Monthly | 3,851,358 | — | 109,910 | 109,910 | ||||||||||||||||||||||||||||||
$ | — | $ | (164,558 | ) | $ | (164,558 | ) |
FORWARD FOREIGN CURRENCY CONTRACTS
COUNTERPARTY | SHORT CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/(LOSS) | ||||||||||||||||||
Bank of New York | European Monetary Unit | 07/29/21 | 5,140,000 | $ | 6,190,516 | $ | (17,073 | ) | |||||||||||||||
State Street Bank and Trust | British Pound Sterling | 07/29/21 | 10,101,000 | 13,953,203 | (18,968 | ) | |||||||||||||||||
Bank of New York | Swiss Franc | 07/29/21 | 13,387,000 | 14,692,183 | (84,539 | ) | |||||||||||||||||
State Street Bank and Trust | Swiss Franc | 07/29/21 | 13,926,000 | 15,283,733 | (169,043 | ) | |||||||||||||||||
State Street Bank and Trust | Japanese Yen | 07/29/21 | 4,025,064,000 | 36,855,392 | 175,579 | ||||||||||||||||||
State Street Bank and Trust | European Monetary Unit | 07/29/21 | 66,911,000 | 80,586,311 | (358,182) | ||||||||||||||||||
$ | (472,226 | ) |
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. For purchased options denominated in JPY, the strike price shown is a percentage of the par value of the underlying.
See accompanying Notes to Schedule of Investments
www.calamos.com
99
Hedged Equity Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
CONVERTIBLE BOND (1.6%) | |||||||||||
Consumer Discretionary (1.6%) | |||||||||||
616,000 | Tesla, Inc. 2.000%, 05/15/24 (Cost $6,587,300) | $ | 7,038,373 | ||||||||
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS (101.6%) | |||||||||||
Communication Services (11.5%) | |||||||||||
8,998 | Activision Blizzard, Inc. | 820,528 | |||||||||
3,532 | Alphabet, Inc. - Class A#~ | 8,312,562 | |||||||||
3,963 | Alphabet, Inc. - Class C#~ | 9,551,305 | |||||||||
96,608 | AT&T, Inc.~ | 3,034,457 | |||||||||
2,582 | Charter Communications, Inc. - Class A#~ | 1,738,848 | |||||||||
64,224 | Comcast Corp. - Class A~ | 3,606,178 | |||||||||
38,870 | Facebook, Inc. - Class A#~ | 12,635,859 | |||||||||
11,309 | Fox Corp. - Class A | 423,183 | |||||||||
6,264 | Netflix, Inc.#~ | 3,216,376 | |||||||||
10,832 | Twitter, Inc.# | 598,143 | |||||||||
58,378 | Verizon Communications, Inc.~ | 3,373,665 | |||||||||
26,476 | Walt Disney Company#~ | 4,925,065 | |||||||||
52,236,169 | |||||||||||
Consumer Discretionary (11.7%) | |||||||||||
5,794 | Amazon.com, Inc.#~ | 20,090,232 | |||||||||
8,911 | Aptiv, PLC# | 1,282,204 | |||||||||
504 | Booking Holdings, Inc.#~ | 1,242,904 | |||||||||
491 | Chipotle Mexican Grill, Inc.# | 732,587 | |||||||||
12,158 | D.R. Horton, Inc. | 1,195,010 | |||||||||
3,913 | Darden Restaurants, Inc. | 574,115 | |||||||||
3,535 | Dollar General Corp. | 759,141 | |||||||||
13,656 | eBay, Inc. | 761,868 | |||||||||
3,901 | Expedia Group, Inc. | 687,473 | |||||||||
39,140 | Ford Motor Company# | 451,676 | |||||||||
14,139 | General Motors Company# | 809,034 | |||||||||
15,823 | Home Depot, Inc.~ | 5,121,430 | |||||||||
8,248 | Leggett & Platt, Inc. | 409,678 | |||||||||
13,780 | Lowe's Companies, Inc.~ | 2,704,325 | |||||||||
11,957 | McDonald's Corp.~ | 2,822,809 | |||||||||
13,582 | MGM Resorts International | 553,059 | |||||||||
3,330 | Mohawk Industries, Inc.# | 684,315 | |||||||||
17,620 | NIKE, Inc. - Class B~ | 2,336,764 | |||||||||
1,601 | O'Reilly Automotive, Inc.# | 885,161 | |||||||||
3,246 | PVH Corp.# | 367,382 | |||||||||
6,745 | Ross Stores, Inc. | 883,190 | |||||||||
7,684 | Royal Caribbean Cruises, Ltd.# | 668,124 | |||||||||
16,347 | Starbucks Corp.~ | 1,871,568 |
NUMBER OF SHARES | VALUE | ||||||||||
10,401 | Target Corp.~ | $ | 2,155,711 | ||||||||
21,070 | TJX Companies, Inc.~ | 1,495,970 | |||||||||
1,240 | Ulta Beauty, Inc.# | 408,394 | |||||||||
7,306 | VF Corp. | 640,444 | |||||||||
1,529 | Wynn Resorts, Ltd.# | 196,324 | |||||||||
52,790,892 | |||||||||||
Consumer Staples (6.1%) | |||||||||||
25,980 | Altria Group, Inc.~ | 1,240,545 | |||||||||
11,453 | Archer-Daniels-Midland Company | 723,028 | |||||||||
7,347 | Church & Dwight Company, Inc. | 629,932 | |||||||||
55,934 | Coca-Cola Company~ | 3,019,317 | |||||||||
11,066 | Colgate-Palmolive Company | 893,026 | |||||||||
5,222 | Constellation Brands, Inc. - Class A | 1,254,951 | |||||||||
4,517 | Costco Wholesale Corp.~ | 1,680,731 | |||||||||
12,083 | General Mills, Inc. | 735,371 | |||||||||
9,167 | Kellogg Company | 572,204 | |||||||||
6,832 | Kimberly-Clark Corp. | 910,842 | |||||||||
15,786 | Kraft Heinz Company | 651,804 | |||||||||
15,902 | Kroger Company | 581,059 | |||||||||
26,389 | Mondelez International, Inc. - Class A~ | 1,604,715 | |||||||||
6,900 | Monster Beverage Corp.# | 669,645 | |||||||||
18,500 | PepsiCo, Inc.~ | 2,666,960 | |||||||||
14,824 | Philip Morris International, Inc.~ | 1,408,280 | |||||||||
27,666 | Procter & Gamble Company~ | 3,691,198 | |||||||||
11,902 | Sysco Corp. | 1,008,457 | |||||||||
11,213 | Walgreens Boots Alliance, Inc.~ | 595,410 | |||||||||
22,472 | Walmart, Inc.~ | 3,144,058 | |||||||||
27,681,533 | |||||||||||
Energy (2.9%) | |||||||||||
31,103 | Chevron Corp.~ | 3,205,786 | |||||||||
19,962 | ConocoPhillips~ | 1,020,857 | |||||||||
5,629 | EOG Resources, Inc. | 414,520 | |||||||||
34,242 | Exxon Mobil Corp.~ | 1,960,012 | |||||||||
12,958 | Hess Corp. | 965,501 | |||||||||
37,868 | Kinder Morgan, Inc. | 645,649 | |||||||||
27,058 | Marathon Petroleum Corp.~ | 1,505,778 | |||||||||
11,244 | Occidental Petroleum Corp. | 285,148 | |||||||||
7,590 | ONEOK, Inc. | 397,261 | |||||||||
5,318 | Phillips 66 | 430,279 | |||||||||
6,828 | Pioneer Natural Resources Company | 1,050,351 | |||||||||
16,019 | Schlumberger, Ltd. | 433,314 | |||||||||
5,291 | Valero Energy Corp.~ | 391,322 | |||||||||
19,112 | Williams Companies, Inc. | 465,568 | |||||||||
13,171,346 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
100
Hedged Equity Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Financials (12.0%) | |||||||||||
7,850 | Aflac, Inc. | $ | 421,780 | ||||||||
6,029 | Allstate Corp. | 764,477 | |||||||||
8,683 | American Express Company~ | 1,331,538 | |||||||||
26,837 | American International Group, Inc.~ | 1,300,253 | |||||||||
3,693 | Ameriprise Financial, Inc. | 954,271 | |||||||||
6,723 | Arthur J. Gallagher & Company | 974,499 | |||||||||
5,545 | Assurant, Inc.~ | 862,802 | |||||||||
149,086 | Bank of America Corp.~ | 6,042,455 | |||||||||
13,681 | Bank of New York Mellon Corp. | 682,408 | |||||||||
24,847 | Berkshire Hathaway, Inc. - Class B#~ | 6,831,683 | |||||||||
1,419 | BlackRock, Inc. | 1,162,587 | |||||||||
16,116 | Capital One Financial Corp.~ | 2,402,573 | |||||||||
9,433 | Cboe Global Markets, Inc.~ | 984,522 | |||||||||
10,609 | Charles Schwab Corp. | 746,874 | |||||||||
6,117 | Chubb, Ltd. | 1,049,616 | |||||||||
28,964 | Citigroup, Inc.~ | 2,063,395 | |||||||||
2,954 | CME Group, Inc. | 596,678 | |||||||||
4,753 | Discover Financial Services | 541,842 | |||||||||
6,320 | First Republic Bank | 1,158,077 | |||||||||
7,964 | Goldman Sachs Group, Inc.~ | 2,775,056 | |||||||||
49,005 | JPMorgan Chase & Company~ | 7,537,459 | |||||||||
3,670 | M&T Bank Corp. | 578,722 | |||||||||
10,428 | Marsh & McLennan Companies, Inc.~ | 1,415,080 | |||||||||
11,370 | MetLife, Inc. | 723,473 | |||||||||
26,718 | Morgan Stanley~ | 2,205,571 | |||||||||
5,879 | Northern Trust Corp. | 669,030 | |||||||||
4,403 | Prudential Financial, Inc. | 441,885 | |||||||||
3,820 | S&P Global, Inc.~ | 1,491,290 | |||||||||
5,181 | State Street Corp. | 434,945 | |||||||||
4,907 | Travelers Companies, Inc. | 758,917 | |||||||||
9,318 | Truist Financial Corp. | 552,651 | |||||||||
13,572 | US Bancorp~ | 805,498 | |||||||||
48,635 | Wells Fargo & Company~ | 2,191,007 | |||||||||
17,622 | Zions Bancorporation, N.A. | 983,308 | |||||||||
54,436,222 | |||||||||||
Health Care (13.3%) | |||||||||||
19,483 | Abbott Laboratories~ | 2,339,519 | |||||||||
24,200 | AbbVie, Inc.~ | 2,698,300 | |||||||||
16,227 | Agilent Technologies, Inc.~ | 2,168,576 | |||||||||
7,900 | Alexion Pharmaceuticals, Inc.#~ | 1,332,572 | |||||||||
1,229 | Align Technology, Inc.# | 731,906 | |||||||||
5,479 | Amgen, Inc.~ | 1,312,988 | |||||||||
17,235 | Baxter International, Inc.~ | 1,476,867 | |||||||||
4,576 | Becton Dickinson and Company~ | 1,138,555 | |||||||||
2,849 | Biogen, Inc.#~ | 761,623 | |||||||||
40,352 | Boston Scientific Corp.# | 1,759,347 |
NUMBER OF SHARES | VALUE | ||||||||||
35,076 | Bristol-Myers Squibb Company~ | $ | 2,189,444 | ||||||||
8,899 | Centene Corp.# | 549,424 | |||||||||
3,780 | Cigna Corp. | 941,258 | |||||||||
16,720 | CVS Health Corp.~ | 1,277,408 | |||||||||
6,683 | Danaher Corp.~ | 1,697,081 | |||||||||
8,083 | Edwards Lifesciences Corp.#~ | 772,088 | |||||||||
12,258 | Eli Lilly & Company~ | 2,240,395 | |||||||||
17,811 | Gilead Sciences, Inc.~ | 1,130,464 | |||||||||
3,729 | HCA Healthcare, Inc. | 749,753 | |||||||||
3,592 | Humana, Inc.~ | 1,599,302 | |||||||||
2,053 | Illumina, Inc.# | 806,500 | |||||||||
2,127 | Intuitive Surgical, Inc.#~ | 1,839,855 | |||||||||
35,972 | Johnson & Johnson~ | 5,853,724 | |||||||||
4,860 | Laboratory Corp. of America Holdings# | 1,292,128 | |||||||||
3,433 | McKesson Corp. | 643,893 | |||||||||
18,891 | Medtronic, PLC | 2,473,210 | |||||||||
35,122 | Merck & Company, Inc.~ | 2,616,589 | |||||||||
78,228 | Pfizer, Inc.~ | 3,023,512 | |||||||||
4,261 | Quest Diagnostics, Inc. | 561,941 | |||||||||
908 | Regeneron Pharmaceuticals, Inc.# | 437,020 | |||||||||
3,327 | Stryker Corp. | 873,770 | |||||||||
4,118 | Thermo Fisher Scientific, Inc.~ | 1,936,407 | |||||||||
15,747 | UnitedHealth Group, Inc.~ | 6,279,904 | |||||||||
6,670 | Vertex Pharmaceuticals, Inc.#~ | 1,455,394 | |||||||||
3,310 | Zimmer Biomet Holdings, Inc. | 586,400 | |||||||||
4,502 | Zoetis, Inc. | 778,981 | |||||||||
60,326,098 | |||||||||||
Industrials (8.7%) | |||||||||||
7,568 | 3M Company~ | 1,491,955 | |||||||||
3,968 | Allegion, PLC | 533,220 | |||||||||
7,134 | Boeing Company#~ | 1,671,567 | |||||||||
15,214 | Carrier Global Corp. | 663,026 | |||||||||
11,278 | Caterpillar, Inc.~ | 2,572,625 | |||||||||
18,644 | CSX Corp.~ | 1,878,383 | |||||||||
3,802 | Deere & Company~ | 1,409,972 | |||||||||
16,895 | Delta Air Lines, Inc.#~ | 792,713 | |||||||||
5,219 | Eaton Corp., PLC | 745,952 | |||||||||
14,928 | Emerson Electric Company~ | 1,350,835 | |||||||||
2,842 | FedEx Corp. | 825,061 | |||||||||
8,107 | Fortune Brands Home & Security, Inc. | 851,073 | |||||||||
3,301 | General Dynamics Corp. | 627,949 | |||||||||
112,549 | General Electric Company~ | 1,476,643 | |||||||||
11,992 | Honeywell International, Inc.~ | 2,674,696 | |||||||||
4,703 | Illinois Tool Works, Inc. | 1,083,853 | |||||||||
12,133 | Johnson Controls International, PLC | 756,371 | |||||||||
4,459 | L3Harris Technologies, Inc. | 932,957 | |||||||||
2,649 | Lockheed Martin Corp.~ | 1,008,103 |
See accompanying Notes to Schedule of Investments
www.calamos.com
101
Hedged Equity Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
11,099 | Masco Corp. | $ | 709,004 | ||||||||
3,016 | Norfolk Southern Corp. | 842,188 | |||||||||
5,049 | Northrop Grumman Corp.~ | 1,789,568 | |||||||||
4,968 | OTIS Worldwide Corp. | 386,858 | |||||||||
7,764 | PACCAR, Inc. | 697,828 | |||||||||
9,411 | Pentair, PLC | 607,104 | |||||||||
18,273 | Raytheon Technologies Corp.~ | 1,521,044 | |||||||||
11,778 | Southwest Airlines Company# | 739,423 | |||||||||
5,452 | Stanley Black & Decker, Inc. | 1,127,310 | |||||||||
13,957 | Union Pacific Corp.~ | 3,099,710 | |||||||||
8,900 | United Parcel Service, Inc. - Class B~ | 1,814,354 | |||||||||
4,466 | Verisk Analytics, Inc. | 840,501 | |||||||||
8,548 | Waste Management, Inc.~ | 1,179,368 | |||||||||
6,143 | Xylem, Inc.~ | 679,723 | |||||||||
39,380,937 | |||||||||||
Information Technology (27.7%) | |||||||||||
8,115 | Accenture, PLC - Class A | 2,353,107 | |||||||||
6,390 | Adobe, Inc.#~ | 3,248,293 | |||||||||
20,918 | Advanced Micro Devices, Inc.#~ | 1,707,327 | |||||||||
11,604 | Amphenol Corp. - Class A | 781,413 | |||||||||
200,526 | Apple, Inc.~ | 26,361,148 | |||||||||
31,809 | Applied Materials, Inc.~ | 4,221,372 | |||||||||
3,765 | Autodesk, Inc.# | 1,099,041 | |||||||||
7,560 | Automatic Data Processing, Inc.~ | 1,413,644 | |||||||||
5,966 | Broadcom, Inc.~ | 2,721,689 | |||||||||
73,325 | Cisco Systems, Inc.~ | 3,732,976 | |||||||||
4,972 | Citrix Systems, Inc. | 615,782 | |||||||||
9,061 | Cognizant Technology Solutions Corp. - Class A | 728,504 | |||||||||
4,723 | Fidelity National Information Services, Inc. | 722,147 | |||||||||
8,961 | Fiserv, Inc.#~ | 1,076,395 | |||||||||
10,049 | FLIR Systems, Inc. | 602,639 | |||||||||
3,339 | Gartner, Inc.# | 654,043 | |||||||||
4,963 | Global Payments, Inc. | 1,065,209 | |||||||||
18,623 | HP, Inc. | 635,231 | |||||||||
55,244 | Intel Corp.~ | 3,178,187 | |||||||||
9,112 | International Business Machines Corp.~ | 1,292,811 | |||||||||
3,816 | Intuit, Inc.~ | 1,572,803 | |||||||||
3,386 | Jack Henry & Associates, Inc. | 551,342 | |||||||||
1,696 | Lam Research Corp.~ | 1,052,283 | |||||||||
11,963 | MasterCard, Inc. - Class A~ | 4,570,584 | |||||||||
24,290 | Micron Technology, Inc.#~ | 2,090,640 | |||||||||
103,902 | Microsoft Corp.~ | 26,202,006 | |||||||||
5,017 | NetApp, Inc. | 374,720 | |||||||||
9,669 | NVIDIA Corp.~ | 5,805,074 | |||||||||
26,077 | Oracle Corp.~ | 1,976,376 | |||||||||
7,107 | Paychex, Inc. | 692,861 |
NUMBER OF SHARES | VALUE | ||||||||||
2,550 | Paycom Software, Inc.# | $ | 980,246 | ||||||||
13,766 | PayPal Holdings, Inc.#~ | 3,610,684 | |||||||||
15,954 | QUALCOMM, Inc.~ | 2,214,415 | |||||||||
14,661 | Salesforce.com, Inc.#~ | 3,376,722 | |||||||||
2,173 | ServiceNow, Inc.# | 1,100,342 | |||||||||
4,844 | TE Connectivity, Ltd. | $ | 651,373 | ||||||||
8,883 | Texas Instruments, Inc.~ | 1,603,470 | |||||||||
26,925 | Visa, Inc. - Class A~ | 6,288,603 | |||||||||
4,918 | Western Digital Corp.# | 347,358 | |||||||||
22,789 | Western Union Company | 587,045 | |||||||||
9,847 | Xilinx, Inc.~ | 1,260,022 | |||||||||
125,119,927 | |||||||||||
Materials (2.7%) | |||||||||||
4,385 | Air Products & Chemicals, Inc.~ | 1,264,985 | |||||||||
3,582 | Avery Dennison Corp. | 767,157 | |||||||||
10,193 | Ball Corp. | 954,473 | |||||||||
12,497 | Corteva, Inc. | 609,354 | |||||||||
12,495 | Dow, Inc. | 780,938 | |||||||||
11,231 | DuPont de Nemours, Inc. | 866,022 | |||||||||
35,226 | Freeport-McMoRan, Inc. | 1,328,372 | |||||||||
905 | International Flavors & Fragrances, Inc. | 128,664 | |||||||||
9,798 | Linde, PLC | 2,800,660 | |||||||||
11,379 | Newmont Corp. | 710,163 | |||||||||
5,554 | PPG Industries, Inc. | 951,067 | |||||||||
3,399 | Sherwin-Williams Company | 930,884 | |||||||||
12,092,739 | |||||||||||
Real Estate (2.4%) | |||||||||||
3,820 | Alexandria Real Estate Equities, Inc. | 691,802 | |||||||||
4,800 | American Tower Corp. | 1,222,896 | |||||||||
3,511 | AvalonBay Communities, Inc. | 674,112 | |||||||||
4,764 | Crown Castle International Corp. | 900,682 | |||||||||
3,799 | Digital Realty Trust, Inc. | 586,224 | |||||||||
879 | Equinix, Inc. | 633,548 | |||||||||
3,399 | Federal Realty Investment Trust | 383,543 | |||||||||
4,570 | Mid-America Apartment Communities, Inc. | 718,998 | |||||||||
6,582 | Prologis, Inc. | 767,000 | |||||||||
2,515 | Public Storage | 707,117 | |||||||||
8,741 | Realty Income Corp. | 604,440 | |||||||||
7,124 | Regency Centers Corp. | 453,514 | |||||||||
5,277 | Simon Property Group, Inc. | 642,422 | |||||||||
11,062 | UDR, Inc. | 513,830 | |||||||||
8,949 | Welltower, Inc. | 671,444 | |||||||||
16,656 | Weyerhaeuser Company | 645,753 | |||||||||
10,817,325 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
102
Hedged Equity Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Utilities (2.6%) | |||||||||||
27,257 | AES Corp. | $ | 758,290 | ||||||||
10,673 | American Electric Power Company, Inc.~ | 946,802 | |||||||||
9,929 | CMS Energy Corp. | 639,328 | |||||||||
8,313 | Consolidated Edison, Inc. | 643,509 | |||||||||
9,830 | Dominion Energy, Inc. | 785,417 | |||||||||
13,593 | Duke Energy Corp.~ | 1,368,679 | |||||||||
6,015 | Edison International | 357,592 | |||||||||
6,086 | Entergy Corp. | 665,139 | |||||||||
8,383 | Exelon Corp. | 376,732 | |||||||||
13,766 | FirstEnergy Corp. | 522,007 | |||||||||
21,866 | NextEra Energy, Inc.~ | 1,694,834 | |||||||||
16,820 | NiSource, Inc. | 437,656 | |||||||||
10,570 | Public Service Enterprise Group, Inc. | 667,601 | |||||||||
15,092 | Southern Company | 998,638 | |||||||||
12,114 | Xcel Energy, Inc. | 863,728 | |||||||||
11,725,952 | |||||||||||
TOTAL COMMON STOCKS (Cost $318,736,948) | 459,779,140 | ||||||||||
EXCHANGE-TRADED FUND (2.2%) | |||||||||||
Other (2.2%) | |||||||||||
24,436 | SPDR S&P 500 ETF Trust (Cost $10,106,228) | 10,197,143 | |||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
PURCHASED OPTIONS (0.3%)# | |||||||||||
Other (0.3%) | |||||||||||
S&P 500 Index | |||||||||||
250 | |||||||||||
104,529,250 | Put, 06/30/21, Strike $3,600.00 | 478,750 | |||||||||
200 | |||||||||||
83,623,400 | Put, 05/28/21, Strike $3,800.00 | 223,000 | |||||||||
175 | |||||||||||
73,170,475 | Put, 05/28/21, Strike $3,900.00 | 301,875 |
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
100 41,811,700 | Put, 05/28/21, Strike $3,700.00 | $ | 74,500 | ||||||||
80 | |||||||||||
33,449,360 | Call, 05/03/21, Strike $4,200.00 | 67,600 | |||||||||
50 | |||||||||||
20,905,850 | Put, 06/30/21, Strike $4,000.00 | 298,750 | |||||||||
50 | |||||||||||
20,905,850 | Put, 06/30/21, Strike $3,400.00 | 56,750 | |||||||||
TOTAL PURCHASED OPTIONS (Cost $2,704,718) | 1,501,225 | ||||||||||
TOTAL INVESTMENTS (105.7%) (Cost $338,135,194) | 478,515,881 | ||||||||||
LIABILITIES, LESS OTHER ASSETS (-5.7%) | (25,842,985 | ) | |||||||||
NET ASSETS (100.0%) | $ | 452,672,896 | |||||||||
WRITTEN OPTIONS (-6.0%)# | |||||||||||
Other (-6.0%) | |||||||||||
S&P 500 Index | |||||||||||
350 | |||||||||||
146,340,950 | Put, 06/30/21, Strike $3,200.00 | (246,750 | ) | ||||||||
310 | |||||||||||
129,616,270 | Call, 06/30/21, Strike $3,800.00 | (12,824,700 | ) | ||||||||
300 | |||||||||||
125,435,100 | Call, 06/30/21, Strike $3,850.00 | (11,064,000 | ) | ||||||||
150 | |||||||||||
62,717,550 | Call, 06/30/21, Strike $4,075.00 | (2,709,000 | ) | ||||||||
10 | |||||||||||
4,181,170 | Call, 06/30/21, Strike $4,000.00 | (240,100 | ) | ||||||||
TOTAL WRITTEN OPTIONS (Premium $13,385,706) | $ | (27,084,550 | ) |
NOTES TO SCHEDULE OF INVESTMENTS
# 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 $149,736,922.
Note: 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.
See accompanying Notes to Schedule of Investments
www.calamos.com
103
Phineus Long/Short Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS (99.8%) | |||||||||||
Communication Services (10.6%) | |||||||||||
12,291 | Alphabet, Inc. - Class A#~ | $ | 28,926,868 | ||||||||
91,500 | Facebook, Inc. - Class A#~ | 29,744,820 | |||||||||
58,671,688 | |||||||||||
Consumer Discretionary (5.3%) | |||||||||||
135,500 | Caesars Entertainment, Inc.# | 13,257,320 | |||||||||
177,500 | Las Vegas Sands Corp.#~ | 10,873,650 | |||||||||
58,500 | Royal Caribbean Cruises, Ltd.# | 5,086,575 | |||||||||
29,217,545 | |||||||||||
Consumer Staples (4.7%) | |||||||||||
218,000 | Coca-Cola Company~ | 11,767,640 | |||||||||
164,000 | Sysco Corp. | 13,895,720 | |||||||||
25,663,360 | |||||||||||
Energy (1.0%) | |||||||||||
94,000 | Exxon Mobil Corp. | 5,380,560 | |||||||||
Financials (17.1%) | |||||||||||
321,500 | Bank of America Corp.~ | 13,030,395 | |||||||||
77,400 | JPMorgan Chase & Company~ | 11,904,894 | |||||||||
32,100,000 | GBP | Lloyds Banking Group, PLC | 20,129,247 | ||||||||
243,500 | Morgan Stanley~ | 20,100,925 | |||||||||
8,500,000 | GBP | Natwest Group, PLC | 23,067,402 | ||||||||
99,500 | Truist Financial Corp. | 5,901,345 | |||||||||
94,134,208 | |||||||||||
Health Care (8.8%) | |||||||||||
170,000 | Baxter International, Inc.~ | 14,567,300 | |||||||||
348,000 | Boston Scientific Corp.#~ | 15,172,800 | |||||||||
26,900 | UnitedHealth Group, Inc.~ | 10,727,720 | |||||||||
36,000 | Vertex Pharmaceuticals, Inc.# | 7,855,200 | |||||||||
48,323,020 | |||||||||||
Industrials (33.2%) | |||||||||||
185,000 | AerCap Holdings, NV# | 10,776,250 | |||||||||
497,000 | Air Lease Corp. - Class A~ | 23,214,870 | |||||||||
64,500 | Boeing Company# | 15,112,995 | |||||||||
303,000 | Delta Air Lines, Inc.#~ | 14,216,760 | |||||||||
74,500 | Honeywell International, Inc.~ | 16,616,480 | |||||||||
77,300 | L3Harris Technologies, Inc.~ | 16,173,479 | |||||||||
272,000 | Raytheon Technologies Corp.~ | 22,641,280 | |||||||||
103,600 | Republic Services, Inc. - Class A~ | 11,012,680 | |||||||||
300,000 | Southwest Airlines Company#~ | 18,834,000 | |||||||||
146,700 | TransUnion~ | 15,343,353 | |||||||||
90,000 | Uber Technologies, Inc.# | 4,929,300 | |||||||||
63,700 | Union Pacific Corp.~ | 14,147,133 | |||||||||
183,018,580 |
NUMBER OF SHARES | VALUE | ||||||||||
Information Technology (16.5%) | |||||||||||
75,200 | Fidelity National Information Services, Inc.~ | $ | 11,498,080 | ||||||||
53,200 | FleetCor Technologies, Inc.#~ | 15,306,704 | |||||||||
76,300 | Global Payments, Inc.~ | 16,376,269 | |||||||||
46,700 | Paycom Software, Inc.#~ | 17,951,947 | |||||||||
46,500 | Salesforce.com, Inc.# | 10,709,880 | |||||||||
49,000 | Visa, Inc. - Class A | 11,444,440 | |||||||||
31,500 | Workday, Inc. - Class A# | 7,780,500 | |||||||||
91,067,820 | |||||||||||
Materials (2.6%) | |||||||||||
50,700 | Linde, PLC | 14,492,088 | |||||||||
TOTAL COMMON STOCKS (Cost $435,137,444) | 549,968,869 | ||||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
PURCHASED OPTIONS (1.9%)# | |||||||||||
Consumer Discretionary (0.2%) | |||||||||||
2,600 | Las Vegas Sands Corp. | ||||||||||
15,927,600 | Put, 05/21/21, Strike $60.00 | 399,100 | |||||||||
1,740 | Royal Caribbean Cruises, Ltd. | ||||||||||
15,129,300 | Call, 06/18/21, Strike $100.00 | 275,790 | |||||||||
515 | Target Corp. | ||||||||||
10,673,890 | Call, 05/21/21, Strike $215.00 | 173,813 | |||||||||
122 | Tesla, Inc. | ||||||||||
8,655,168 | Put, 05/21/21, Strike $640.00 | 139,080 | |||||||||
987,783 | |||||||||||
Consumer Staples (0.1%) | |||||||||||
1,360 | Sysco Corp. | ||||||||||
11,523,280 | Call, 05/21/21, Strike $85.00 | 336,600 | |||||||||
Energy (0.4%) | |||||||||||
Energy Select Sector SPDR Fund | |||||||||||
8,850 |
| ||||||||||
43,710,150 | Call, 06/18/21, Strike $50.00 | 1,659,375 | |||||||||
5,420 |
| ||||||||||
26,769,380 | Call, 05/21/21, Strike $50.00 | 661,240 | |||||||||
2,320,615 | |||||||||||
Industrials (0.4%) | |||||||||||
2,160 | Air Lease Corp. | ||||||||||
10,089,360 | Put, 05/21/21, Strike $45.00 | 280,800 | |||||||||
480 | Honeywell International, Inc. | ||||||||||
10,705,920 | Call, 05/21/21, Strike $230.00 | 53,040 | |||||||||
1,800 | GBP | International Consolidated Air | |||||||||
5,899,046 | Call, 06/18/21, Strike 1.60 | 1,832,846 | |||||||||
2,000 | Uber Technologies, Inc. | ||||||||||
10,954,000 | Call, 06/18/21, Strike $60.00 | 398,000 | |||||||||
2,564,686 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
104
Phineus Long/Short Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
Information Technology (0.2%) | |||||||||||
360 10,357,920 | FleetCor Technologies, Inc. Call, 05/21/21, Strike $300.00 | $ | 181,800 | ||||||||
500 | Salesforce.com, Inc. | ||||||||||
11,516,000 | Call, 06/18/21, Strike $220.00 | 832,500 | |||||||||
1,500 | Workday, Inc. | ||||||||||
37,050,000 | Call, 05/28/21, Strike $280.00 | 195,750 | |||||||||
1,210,050 | |||||||||||
Other (0.6%) | |||||||||||
3,600 | Consumer Staples Select Sector | ||||||||||
25,048,800 | Put, 06/18/21, Strike $68.00 | 192,600 | |||||||||
16,600 | iShares MSCI United Kingdom ETF | ||||||||||
53,999,800 | Call, 07/16/21, Strike $32.00 | 1,867,500 | |||||||||
2,675 | SPDR S&P 500 ETF Trust | ||||||||||
111,627,750 | Put, 05/21/21, Strike $415.00 | 1,270,625 | |||||||||
3,330,725 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost $10,216,806) | 10,750,459 | ||||||||||
TOTAL INVESTMENTS (101.7%) (Cost $445,354,250) | 560,719,328 | ||||||||||
LIABILITIES, LESS OTHER ASSETS (-1.7%) | (9,554,550 | ) | |||||||||
NET ASSETS (100.0%) | $ | 551,164,778 | |||||||||
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS SOLD SHORT (-3.1%)# | |||||||||||
Consumer Discretionary (-3.1%) | |||||||||||
(101,000 | ) | eBay, Inc. | (5,634,790 | ) | |||||||
(12,200 | ) | Tesla, Inc. | (8,655,168 | ) | |||||||
(17,000 | ) | Williams-Sonoma, Inc. | (2,902,750 | ) | |||||||
(17,192,708 | ) | ||||||||||
TOTAL COMMON STOCKS SOLD SHORT (Proceeds $13,809,636) | (17,192,708 | ) | |||||||||
EXCHANGE-TRADED FUNDS SOLD SHORT (-52.6%)# | |||||||||||
Other (-52.6%) | |||||||||||
(92,947 | ) | ARK Innovation ETF | (11,225,209 | ) | |||||||
(360,000 | ) | Consumer Staples Select Sector SPDR Fund | (25,048,800) | ||||||||
(607,000 | ) | SPDR S&P 500 ETF Trust | (253,301,100 | ) | |||||||
TOTAL EXCHANGE-TRADED FUNDS SOLD SHORT (Proceeds $259,184,478) | (289,575,109 | ) | |||||||||
TOTAL SECURITIES SOLD SHORT (Proceeds $272,994,114) | (306,767,817 | ) |
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
WRITTEN OPTIONS (-1.5%)# | |||||||||||
Communication Services (0.0%) | |||||||||||
122 | Alphabet, Inc. | ||||||||||
28,712,700 | Call, 06/18/21, Strike $2,600.00 | $ | (115,290 | ) | |||||||
Consumer Discretionary (-0.6%) | |||||||||||
2,600 | Las Vegas Sands Corp. | ||||||||||
15,927,600 | Put, 06/18/21, Strike $70.00 | (2,509,000 | ) | ||||||||
745 | Peloton Interactive, Inc. | ||||||||||
7,327,075 | Call, 05/07/21, Strike $150.00 | (1,490 | ) | ||||||||
Royal Caribbean Cruises, Ltd. | |||||||||||
290 |
| ||||||||||
2,521,550 | Put, 06/18/21, Strike $90.00 | (212,425 | ) | ||||||||
290 |
| ||||||||||
2,521,550 | Call, 06/18/21, Strike $85.00 | (196,475 | ) | ||||||||
Target Corp. | |||||||||||
515 |
| ||||||||||
10,673,890 | Call, 05/14/21, Strike $210.00 | (96,820 | ) | ||||||||
515 |
| ||||||||||
10,673,890 | Call, 05/21/21, Strike $225.00 | (73,645 | ) | ||||||||
Tesla, Inc. | |||||||||||
122 |
| ||||||||||
8,655,168 | Put, 05/21/21, Strike $575.00 | (49,715 | ) | ||||||||
122 |
| ||||||||||
8,655,168 | Put, 06/18/21, Strike $540.00 | (102,175 | ) | ||||||||
170 | Williams-Sonoma, Inc. | ||||||||||
2,902,750 | Call, 05/21/21, Strike $175.00 | (71,400 | ) | ||||||||
(3,313,145 | ) | ||||||||||
Consumer Staples (-0.1%) | |||||||||||
340 | Sysco Corp. | ||||||||||
2,880,820 | Put, 05/21/21, Strike $80.00 | (34,000 | ) | ||||||||
770 | Walmart, Inc. | ||||||||||
10,773,070 | Call, 05/21/21, Strike $140.00 | (226,380 | ) | ||||||||
(260,380 | ) | ||||||||||
Financials (0.0%) | |||||||||||
Lloyds Banking Group, PLC | |||||||||||
42,800 |
| ||||||||||
26,878,400 | GBP | Call, 05/21/21, Strike 0.48 | (206,881 | ) | |||||||
30,200 |
| ||||||||||
18,965,600 | GBP | Put, 05/21/21, Strike 0.30 | (4,171 | ) | |||||||
(211,052 | ) | ||||||||||
Industrials (-0.4%) | |||||||||||
910 | AerCap Holdings, NV | ||||||||||
5,300,750 | Put, 05/21/21, Strike $60.00 | (275,275 | ) | ||||||||
2,160 | Air Lease Corp. | ||||||||||
10,089,360 | Put, 07/16/21, Strike $55.00 | (1,976,400 | ) | ||||||||
2,700 | Embraer, SA | ||||||||||
2,983,500 | Put, 05/21/21, Strike $10.00 | (54,000 | ) | ||||||||
120 | Honeywell International, Inc. | ||||||||||
2,676,480 | Put, 05/21/21, Strike $230.00 | (106,800 | ) | ||||||||
(2,412,475 | ) |
See accompanying Notes to Schedule of Investments
www.calamos.com
105
Phineus Long/Short Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
Information Technology (-0.1%) | |||||||||||
315 | Workday, Inc. | ||||||||||
7,780,500 | Put, 05/21/21, Strike $260.00 | $ | (502,425 | ) | |||||||
Other (-0.3%) | |||||||||||
3,600 | Consumer Staples Select Sector | ||||||||||
25,048,800 | Put, 09/17/21, Strike $63.00 | (453,600 | ) | ||||||||
2,675 | SPDR S&P 500 ETF Trust | ||||||||||
111,627,750 | Put, 06/30/21, Strike $380.00 | (932,237 | ) | ||||||||
(1,385,837 | ) | ||||||||||
TOTAL WRITTEN OPTIONS (Premium $8,028,121) | $ | (8,200,604 | ) |
NOTES TO SCHEDULE OF INVESTMENTS
# Non-income producing security.
~ Security, or portion of security, is segregated as collateral (or collateral for potential future transactions) for written options and securities sold short. The aggregate value of such securities is $217,809,686.
FOREIGN CURRENCY ABBREVIATIONS
GBP British Pound Sterling
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. 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.
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
106
Convertible Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
CONVERTIBLE BONDS (83.3%) | |||||||||||
Communication Services (9.9%) | |||||||||||
4,873,000 | Eventbrite, Inc.* 0.750%, 09/15/26 | $ | 5,298,072 | ||||||||
12,500,000 | Liberty Media Corp. 0.500%, 12/01/50* | 13,989,375 | |||||||||
10,750,000 | 1.375%, 10/15/23 | 14,068,847 | |||||||||
8,000,000 | Liberty Media Corp. / Liberty Formula One~ 1.000%, 01/30/23 | 10,810,400 | |||||||||
6,537,000 | Magnite, Inc.* 0.250%, 03/15/26 | 6,180,603 | |||||||||
7,750,000 | Match Group FinanceCo 3, Inc.* 2.000%, 01/15/30 | 15,322,835 | |||||||||
6,000,000 | Sea, Ltd.* 2.375%, 12/01/25 | 17,062,500 | |||||||||
32,000,000 | Snap, Inc.* 0.000%, 05/01/27 | 32,853,440 | |||||||||
3,273,000 | 0.250%, 05/01/25 | 9,384,640 | |||||||||
15,250,000 | Twitter, Inc. 0.000%, 03/15/26* | 13,919,133 | |||||||||
5,500,000 | 0.250%, 06/15/24 | 6,754,770 | |||||||||
7,600,000 | Zynga, Inc. 0.250%, 06/01/24 | 10,663,028 | |||||||||
156,307,643 | |||||||||||
Consumer Discretionary (21.4%) | |||||||||||
7,750,000 | Airbnb, Inc.* 0.000%, 03/15/26 | 7,687,690 | |||||||||
15,419,000 | Booking Holdings, Inc.*^ 0.750%, 05/01/25 | 23,389,852 | |||||||||
6,750,000 | Burlington Stores, Inc.* 2.250%, 04/15/25 | 10,805,670 | |||||||||
3,435,000 | Carnival Corp.^ 5.750%, 04/01/23 | 10,126,620 | |||||||||
11,000,000 | Chegg, Inc.* 0.000%, 09/01/26 | 12,084,160 | |||||||||
3,250,000 | Dick's Sporting Goods, Inc. 3.250%, 04/15/25 | 7,983,625 | |||||||||
7,250,000 | DISH Network Corp.* 0.000%, 12/15/25 | 8,877,553 | |||||||||
15,250,000 | DraftKings, Inc.* 0.000%, 03/15/28 | 14,580,372 | |||||||||
16,750,000 | Etsy, Inc.*^ 0.125%, 09/01/27 | 21,804,815 | |||||||||
5,570,000 | Expedia Group, Inc.*^ 0.000%, 02/15/26 | 6,083,108 | |||||||||
15,250,000 | Ford Motor Company* 0.000%, 03/15/26 | 15,069,592 | |||||||||
1,435,000 | Guess, Inc. 2.000%, 04/15/24 | 1,803,666 | |||||||||
5,517,000 | MakeMyTrip, Ltd.* 0.000%, 02/15/28 | 5,484,064 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
14,750,000 | Marriott Vacations Worldwide Corp.* 0.000%, 01/15/26 | $ | 17,529,342 | ||||||||
5,285,000 | NCL Corp., Ltd.* 5.375%, 08/01/25 | 10,057,514 | |||||||||
3,750,000 | 6.000%, 05/15/24 | 9,191,363 | |||||||||
3,750,000 | RH 0.000%, 09/15/24 | 12,177,563 | |||||||||
3,250,000 | 0.000%, 06/15/23 | 11,512,833 | |||||||||
20,500,000 | Royal Caribbean Cruises, Ltd.* 4.250%, 06/15/23 | 28,866,050 | |||||||||
7,750,000 | Shake Shack, Inc.* 0.000%, 03/01/28 | 7,368,700 | |||||||||
2,700,000 | Tesla, Inc. 2.000%, 05/15/24 | 30,850,011 | |||||||||
4,000,000 | Under Armour, Inc.* 1.500%, 06/01/24 | 8,354,720 | |||||||||
20,750,000 | Vail Resorts, Inc.*~ 0.000%, 01/01/26 | 22,105,182 | |||||||||
20,000,000 | Wayfair, Inc.* 0.625%, 10/01/25 | 20,732,600 | |||||||||
8,000,000 | Winnebago Industries, Inc. 1.500%, 04/01/25 | 11,430,240 | |||||||||
335,956,905 | |||||||||||
Consumer Staples (0.5%) | |||||||||||
7,750,000 | Beyond Meat, Inc.* 0.000%, 03/15/27 | 7,400,707 | |||||||||
Energy (0.7%) | |||||||||||
7,750,000 | Pioneer Natural Resources Company*~ 0.250%, 05/15/25 | 11,790,850 | |||||||||
Health Care (13.6%) | |||||||||||
7,500,000 | Bridgebio Pharma, Inc.* 2.250%, 02/01/29 | 6,920,925 | |||||||||
4,630,000 | CONMED Corp. 2.625%, 02/01/24 | 7,639,037 | |||||||||
20,500,000 | DexCom, Inc.* 0.250%, 11/15/25 | 20,554,530 | |||||||||
2,772,000 | Envista Holdings Corp.*^ 2.375%, 06/01/25 | 5,947,492 | |||||||||
8,750,000 | Exact Sciences Corp. 0.375%, 03/15/27 | 11,971,750 | |||||||||
12,500,000 | Guardant Health, Inc.* 0.000%, 11/15/27 | 16,449,250 | |||||||||
7,750,000 | Halozyme Therapeutics, Inc.* 0.250%, 03/01/27 | 7,504,558 | |||||||||
16,975,000 | Insulet Corp. 0.375%, 09/01/26 | 24,480,836 | |||||||||
13,500,000 | Integra LifeSciences Holdings Corp. 0.500%, 08/15/25 | 15,686,190 | |||||||||
10,000,000 | Jazz Investments I, Ltd.* 2.000%, 06/15/26 | 12,927,100 | |||||||||
14,000,000 | NeoGenomics, Inc. 0.250%, 01/15/28 | 14,188,160 |
See accompanying Notes to Schedule of Investments
www.calamos.com
107
Convertible Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
5,600,000 | NuVasive, Inc.^ 0.375%, 03/15/25 | $ | 5,846,960 | ||||||||
7,500,000 | Oak Street Health, Inc.* 0.000%, 03/15/26 | 7,850,400 | |||||||||
11,250,000 | Omnicell, Inc.* 0.250%, 09/15/25 | 17,519,962 | |||||||||
10,000,000 | Pacira BioSciences, Inc.* 0.750%, 08/01/25 | 11,133,300 | |||||||||
6,805,000 | Repligen Corp. 0.375%, 07/15/24 | 12,853,624 | |||||||||
2,000,000 | Sarepta Therapeutics, Inc. 1.500%, 11/15/24 | 2,520,360 | |||||||||
10,000,000 | Teladoc Health, Inc.*^ 1.250%, 06/01/27 | 11,225,600 | |||||||||
213,220,034 | |||||||||||
Industrials (6.2%) | |||||||||||
4,500,000 | Air Canada*~ 4.000%, 07/01/25 | 6,926,130 | |||||||||
7,000,000 | Air Transport Services Group, Inc.~ 1.125%, 10/15/24 | 7,465,640 | |||||||||
15,000,000 | JetBlue Airways Corp.*^ 0.500%, 04/01/26 | 16,456,200 | |||||||||
5,500,000 | Middleby Corp.* 1.000%, 09/01/25 | 8,260,725 | |||||||||
13,250,000 | Southwest Airlines Company~ 1.250%, 05/01/25 | 23,046,387 | |||||||||
7,500,000 | Sunrun, Inc.* 0.000%, 02/01/26 | 6,200,250 | |||||||||
27,500,000 | Uber Technologies, Inc.*^ 0.000%, 12/15/25 | 28,854,100 | |||||||||
97,209,432 | |||||||||||
Information Technology (28.4%) | |||||||||||
9,500,000 | Akamai Technologies, Inc. 0.125%, 05/01/25 | 11,956,795 | |||||||||
14,750,000 | Bentley Systems, Inc.* 0.125%, 01/15/26 | 15,680,135 | |||||||||
7,125,000 | Bill.com Holdings, Inc.* 0.000%, 12/01/25 | 8,675,115 | |||||||||
19,000,000 | Coupa Software, Inc.* 0.375%, 06/15/26 | 22,040,190 | |||||||||
8,500,000 | Datadog, Inc.* 0.125%, 06/15/25 | 10,189,120 | |||||||||
7,750,000 | Enphase Energy, Inc.* 0.000%, 03/01/26 | 7,078,540 | |||||||||
7,750,000 | 0.000%, 03/01/28 | 6,829,765 | |||||||||
2,750,000 | Everbridge, Inc. 0.125%, 12/15/24 | 3,703,260 | |||||||||
7,750,000 | Fastly, Inc.* 0.000%, 03/15/26 | 7,531,373 | |||||||||
8,000,000 | Five9, Inc.* 0.500%, 06/01/25 | 12,101,200 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
6,500,000 | LivePerson, Inc.* 0.000%, 12/15/26 | $ | 6,518,200 | ||||||||
7,750,000 | Lumentum Holdings, Inc. 0.500%, 12/15/26 | 8,619,085 | |||||||||
28,525,000 | Microchip Technology, Inc.^ 0.125%, 11/15/24 | 32,758,110 | |||||||||
7,750,000 | MicroStrategy, Inc.* 0.000%, 02/15/27 | 6,360,348 | |||||||||
7,500,000 | MongoDB, Inc. 0.250%, 01/15/26 | 11,669,475 | |||||||||
7,575,000 | Nova Measuring Instruments, Ltd.* 0.000%, 10/15/25 | 10,319,574 | |||||||||
8,000,000 | Okta, Inc. 0.125%, 09/01/25 | 12,347,760 | |||||||||
4,750,000 | 0.375%, 06/15/26* | 6,247,058 | |||||||||
4,250,000 | ON Semiconductor Corp. 1.625%, 10/15/23 | 8,322,180 | |||||||||
9,500,000 | Palo Alto Networks, Inc.~ 0.750%, 07/01/23 | 13,385,120 | |||||||||
7,500,000 | Proofpoint, Inc. 0.250%, 08/15/24 | 9,343,950 | |||||||||
3,500,000 | Q2 Holdings, Inc. 0.750%, 06/01/26 | 4,649,540 | |||||||||
14,500,000 | Repay Holdings Corp.* 0.000%, 02/01/26 | 14,037,450 | |||||||||
25,250,000 | RingCentral, Inc. 0.000%, 03/01/25 | 28,570,122 | |||||||||
18,750,000 | Shift4 Payments, Inc.* 0.000%, 12/15/25 | 26,403,375 | |||||||||
8,898,000 | Shopify, Inc.^ 0.125%, 11/01/25 | 10,395,800 | |||||||||
10,750,000 | Silicon Laboratories, Inc.* 0.625%, 06/15/25 | 14,100,882 | |||||||||
20,000,000 | Splunk, Inc.* 1.125%, 06/15/27 | 18,464,200 | |||||||||
12,500,000 | Square, Inc.*^ 0.250%, 11/01/27 | 14,756,375 | |||||||||
12,500,000 | 0.000%, 05/01/26 | 14,482,375 | |||||||||
1,500,000 | Twilio, Inc.^ 0.250%, 06/01/23 | 7,774,380 | |||||||||
7,500,000 | Tyler Technologies, Inc.* 0.250%, 03/15/26 | 7,959,450 | |||||||||
3,250,000 | Viavi Solutions, Inc.^ 1.000%, 03/01/24 | 4,410,153 | |||||||||
10,500,000 | Wix.com, Ltd.* 0.000%, 08/15/25 | 11,593,575 | |||||||||
7,000,000 | Workday, Inc. 0.250%, 10/01/22 | 11,935,280 | |||||||||
9,250,000 | Zendesk, Inc.* 0.625%, 06/15/25 | 13,604,900 | |||||||||
8,653,000 | Zscaler, Inc.* 0.125%, 07/01/25 | 12,152,619 | |||||||||
446,966,829 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
108
Convertible Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
Materials (1.1%) | |||||||||||
7,500,000 | Ivanhoe Mines, Ltd.* 2.500%, 04/15/26 | $ | 8,999,175 | ||||||||
8,241,000 | MP Materials Corp.* 0.250%, 04/01/26 | 7,886,555 | |||||||||
16,885,730 | |||||||||||
Real Estate (1.5%) | |||||||||||
6,000,000 | IH Merger Sub, LLC 3.500%, 01/15/22 | 9,296,040 | |||||||||
12,000,000 | Redfin Corp.* 0.000%, 10/15/25 | 14,551,800 | |||||||||
23,847,840 | |||||||||||
TOTAL CONVERTIBLE BONDS (Cost $1,079,127,438) | 1,309,585,970 | ||||||||||
NUMBER OF SHARES | VALUE | ||||||||||
CONVERTIBLE PREFERRED STOCKS (11.5%) | |||||||||||
Communication Services (0.7%) | |||||||||||
9,250 | 2020 Cash Mandatory Exchangeable Trust* 5.250%, 06/01/23 | 10,884,077 | |||||||||
Consumer Discretionary (1.0%) | |||||||||||
92,520 | Aptiv, PLC 5.500%, 06/15/23 | 15,108,516 | |||||||||
Financials (1.5%) | |||||||||||
10,300 | Bank of America Corp.~‡‡ 7.250% | 14,584,594 | |||||||||
107,870 | KKR & Company, Inc.^ 6.000%, 09/15/23 | 8,088,093 | |||||||||
22,672,687 | |||||||||||
Health Care (2.9%) | |||||||||||
157,130 | Avantor, Inc. 6.250%, 05/15/22 | 15,530,729 | |||||||||
80,360 | Boston Scientific Corp. 5.500%, 06/01/23 | 9,448,729 | |||||||||
12,375 | Danaher Corp. 4.750%, 04/15/22 | 21,204,687 | |||||||||
46,184,145 | |||||||||||
Industrials (1.0%) | |||||||||||
129,110 | Stanley Black & Decker, Inc.^ 5.250%, 11/15/22 | 15,752,711 | |||||||||
Information Technology (1.5%) | |||||||||||
16,605 | Broadcom, Inc. 8.000%, 09/30/22 | 24,068,117 | |||||||||
Utilities (2.9%) | |||||||||||
74,990 | AES Corp. 6.875%, 02/15/24 | 8,173,160 |
NUMBER OF SHARES | VALUE | ||||||||||
152,490 | Dominion Energy, Inc. 7.250%, 06/01/22 | $ | 15,729,344 | ||||||||
174,515 | NextEra Energy, Inc. 6.219%, 09/01/23 | 8,807,772 | |||||||||
149,730 | 4.872%, 09/01/22^ | 8,735,248 | |||||||||
86,590 | 5.279%, 03/01/23^ | 4,361,538 | |||||||||
45,807,062 | |||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $148,556,174) | 180,477,315 | ||||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
PURCHASED OPTIONS (0.3%)# | |||||||||||
Financials (0.2%) | |||||||||||
3,910 15,847,230 | Bank of America Corp. Call, 01/21/22, Strike $35.00 | 2,717,450 | |||||||||
Information Technology (0.1%) | |||||||||||
1,300 11,189,100 | Micron Technology, Inc. Call, 06/18/21, Strike $75.00 | 1,608,750 | |||||||||
TOTAL PURCHASED OPTIONS (Cost $2,241,545) | 4,326,200 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (4.3%) | |||||||||||
33,059,905 | JPMorgan Prime Money Market Fund - Capital Class, 0.090%***† | 33,059,905 | |||||||||
35,616,790 | State Street Navigator Securities Lending Government Money Market Portfolio† | 35,616,790 | |||||||||
TOTAL INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (Cost $68,676,695) | 68,676,695 | ||||||||||
TOTAL INVESTMENTS (99.4%) (Cost $1,298,601,852) | 1,563,066,180 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-4.4%) | (68,676,695 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (5.0%) | 78,191,036 | ||||||||||
NET ASSETS (100.0%) | $ | 1,572,580,521 |
See accompanying Notes to Schedule of Investments
www.calamos.com
109
Convertible Fund Schedule of Investments April 30, 2021 (Unaudited)
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.
~ 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 $57,297,496.
^ Security, or portion of security, is on loan.
# Non-income producing security.
‡‡ Perpetual maturity.
*** The rate disclosed is the 7 day net yield as of April 30, 2021.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
FORWARD FOREIGN CURRENCY CONTRACTS
COUNTERPARTY | LONG CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/(LOSS) | ||||||||||||||||||
Bank of New York | Canadian Dollar | 07/29/21 | 873,000 | $ | 710,365 | $ | 12,044 | ||||||||||||||||
$ | 12,044 | ||||||||||||||||||||||
COUNTERPARTY | SHORT CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/(LOSS) | ||||||||||||||||||
State Street Bank and Trust | Canadian Dollar | 07/29/21 | 1,201,000 | $ | 977,261 | $ | (200 | ) | |||||||||||||||
State Street Bank and Trust | Canadian Dollar | 07/29/21 | 7,266,000 | 5,912,387 | (98,530 | ) | |||||||||||||||||
Northern Trust Company | Canadian Dollar | 07/29/21 | 8,420,000 | 6,851,403 | (116,885 | ) | |||||||||||||||||
$ | (215,615 | ) |
Note: 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.
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
110
Global Convertible Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
CONVERTIBLE BONDS (85.7%) | |||||||||||
Communication Services (10.6%) | |||||||||||
1,363,000 | Bharti Airtel, Ltd.* 1.500%, 02/17/25 | $ | 1,616,055 | ||||||||
600,000 | EUR | Cellnex Telecom, SA 1.500%, 01/16/26 | 1,187,969 | ||||||||
50,000,000 | JPY | CyberAgent, Inc. 0.000%, 02/17/23 | 667,870 | ||||||||
50,000,000 | JPY | 0.000%, 02/19/25 | 705,005 | ||||||||
1,205,000 | iQIYI, Inc. 4.000%, 12/15/26 | 1,182,671 | |||||||||
760,000 | 2.000%, 04/01/25 | 705,022 | |||||||||
1,000,000 | Kakao Corp. 0.000%, 04/28/23 | 1,276,860 | |||||||||
710,000 | Liberty Media Corp. 1.375%, 10/15/23 | 929,198 | |||||||||
665,000 | Liberty Media Corp. (Sirius XM Holdings, Inc.)*§ 2.125%, 03/31/48 | 688,714 | |||||||||
660,000 | Liberty Media Corp. / Liberty Formula One 1.000%, 01/30/23 | 891,858 | |||||||||
750,000 | Momo, Inc. 1.250%, 07/01/25 | 661,905 | |||||||||
1,174,000 | Sea, Ltd.* 2.375%, 12/01/25 | 3,338,563 | |||||||||
4,133,000 | Snap, Inc. 0.000%, 05/01/27* | 4,243,227 | |||||||||
1,032,000 | 0.750%, 08/01/26 | 2,825,172 | |||||||||
2,711,000 | Twitter, Inc. 0.000%, 03/15/26* | 2,474,411 | |||||||||
2,090,000 | 0.250%, 06/15/24^ | 2,566,813 | |||||||||
1,000,000 | Xiaomi Best Time International, Ltd. 0.000%, 12/17/27 | 1,029,290 | |||||||||
1,442,000 | Zynga, Inc. 0.250%, 06/01/24 | 2,023,169 | |||||||||
29,013,772 | |||||||||||
Consumer Discretionary (16.8%) | |||||||||||
1,366,000 | Airbnb, Inc.* 0.000%, 03/15/26 | 1,355,017 | |||||||||
613,000 | Baozun, Inc. 1.625%, 05/01/24 | 620,472 | |||||||||
957,000 | Booking Holdings, Inc.*^ 0.750%, 05/01/25 | 1,451,721 | |||||||||
5,000,000 | HKD | China Yuhua Education Corp., Ltd. 0.900%, 12/27/24 | 770,275 | ||||||||
600,000 | Cie Generale des Etablissements Michelin, SCA 0.000%, 01/10/22 | 621,984 | |||||||||
900,000 | EUR | Delivery Hero, SE 0.250%, 01/23/24 | 1,559,858 | ||||||||
2,719,000 | DraftKings, Inc.* 0.000%, 03/15/28 | 2,599,609 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
1,200,000 | CHF | Dufry One, BV 0.750%, 03/30/26 | $ | 1,343,212 | |||||||
958,000 | Etsy, Inc.*^ 0.125%, 09/01/27 | 1,247,105 | |||||||||
993,000 | Expedia Group, Inc.*^ 0.000%, 02/15/26 | 1,084,475 | |||||||||
521,000 | Fiverr International, Ltd.* 0.000%, 11/01/25 | 634,552 | |||||||||
1,100,000 | EUR | Global Fashion Group, SA 1.250%, 03/15/28 | 1,367,002 | ||||||||
600,000 | EUR | HelloFresh, SE 0.750%, 05/13/25 | 1,110,951 | ||||||||
969,000 | Liberty Broadband Corp.* 2.750%, 09/30/50 | 1,001,181 | |||||||||
1,958,000 | MakeMyTrip, Ltd.* 0.000%, 02/15/28 | 1,946,311 | |||||||||
1,303,000 | Marriott Vacations Worldwide Corp.* 0.000%, 01/15/26 | 1,548,524 | |||||||||
2,700,000 | Meituan 0.000%, 04/27/28 | 2,787,291 | |||||||||
1,822,000 | NCL Corp., Ltd.* 5.375%, 08/01/25 | 3,467,321 | |||||||||
900,000 | GBP | Ocado Group, PLC 0.750%, 01/18/27 | 1,314,575 | ||||||||
948,000 | Peloton Interactive, Inc.* 0.000%, 02/15/26 | 860,926 | |||||||||
2,243,000 | Pinduoduo, Inc. 0.000%, 12/01/25 | 2,364,974 | |||||||||
3,427,000 | Royal Caribbean Cruises, Ltd.* 4.250%, 06/15/23 | 4,825,559 | |||||||||
416,000 | EUR | SEB, SA 0.000%, 11/17/21 | 923,136 | ||||||||
1,355,000 | Shake Shack, Inc.* 0.000%, 03/01/28 | 1,288,334 | |||||||||
1,000,000 | EUR | Shop Apotheke Europe, NV 0.000%, 01/21/28 | 1,351,605 | ||||||||
980,000 | Stride, Inc.* 1.125%, 09/01/27 | 880,118 | |||||||||
116,000 | Tesla, Inc. 2.000%, 05/15/24 | 1,325,408 | |||||||||
1,863,000 | Wayfair, Inc.* 0.625%, 10/01/25 | 1,931,242 | |||||||||
1,500,000 | EUR | Zalando, SE 0.050%, 08/06/25 | 2,198,818 | ||||||||
45,781,556 | |||||||||||
Consumer Staples (2.1%) | |||||||||||
3,800,000 | Carrefour, SA 0.000%, 03/27/24 | 3,868,552 | |||||||||
100,000,000 | JPY | Nippn Corp. 0.000%, 06/20/25 | 927,450 | ||||||||
729,000 | Turning Point Brands, Inc. 2.500%, 07/15/24 | 848,804 | |||||||||
5,644,806 |
See accompanying Notes to Schedule of Investments
www.calamos.com
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Global Convertible Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
Energy (2.0%) | |||||||||||
2,141,000 | Pioneer Natural Resources Company* | ||||||||||
0.250%, 05/15/25 | $ | 3,257,317 | |||||||||
2,000,000 | TOTAL, SE 0.500%, 12/02/22 | 2,072,980 | |||||||||
5,330,297 | |||||||||||
Financials (4.1%) | |||||||||||
2,700,000 | EUR | Corestate Capital Holding, SA 1.375%, 11/28/22 | 2,766,272 | ||||||||
1,000,000 | GBP | Cornwall Jersey, Ltd. 0.750%, 04/16/26 | 1,370,291 | ||||||||
1,670,000 | GSK Finance No 3, PLC* 0.000%, 06/22/23 | 1,803,784 | |||||||||
1,200,000 | JPMorgan Chase Bank, N.A. 0.000%, 08/07/22 | 1,712,304 | |||||||||
900,000 | EUR | LEG Immobilien, SE^ 0.875%, 09/01/25 | 1,312,918 | ||||||||
1,700,000 | EUR | Oliver Capital Sarl 0.000%, 12/29/23 | 2,240,992 | ||||||||
11,206,561 | |||||||||||
Health Care (9.6%) | |||||||||||
1,312,000 | Bridgebio Pharma, Inc.* 2.250%, 02/01/29 | 1,210,701 | |||||||||
650,000 | Coherus Biosciences, Inc. 1.500%, 04/15/26 | 693,459 | |||||||||
1,140,000 | DexCom, Inc.* 0.250%, 11/15/25 | 1,143,032 | |||||||||
600,000 | EUR | GN Store Nord, A/S 0.000%, 05/21/24 | 927,057 | ||||||||
1,113,000 | Guardant Health, Inc.* 0.000%, 11/15/27 | 1,464,641 | |||||||||
1,372,000 | Haemonetics Corp.* 0.000%, 03/01/26 | 1,137,333 | |||||||||
1,372,000 | Halozyme Therapeutics, Inc.* 0.250%, 03/01/27 | 1,328,549 | |||||||||
702,000 | Innoviva, Inc. 2.500%, 08/15/25 | 732,923 | |||||||||
970,000 | Insulet Corp. 0.375%, 09/01/26 | 1,398,905 | |||||||||
1,088,000 | Integra LifeSciences Holdings Corp. 0.500%, 08/15/25 | 1,264,191 | |||||||||
1,295,000 | Jazz Investments I, Ltd.* 2.000%, 06/15/26 | 1,674,059 | |||||||||
240,000,000 | JPY | Menicon Company, Ltd. 0.000%, 01/29/25 | 2,452,660 | ||||||||
1,241,000 | NeoGenomics, Inc. 0.250%, 01/15/28 | 1,257,679 | |||||||||
926,000 | Novocure, Ltd.* 0.000%, 11/01/25 | 1,321,346 | |||||||||
710,000 | NuVasive, Inc. 0.375%, 03/15/25 | 741,311 | |||||||||
1,331,000 | Oak Street Health, Inc.* 0.000%, 03/15/26 | 1,393,184 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
950,000 | Omnicell, Inc.* 0.250%, 09/15/25 | $ | 1,479,464 | ||||||||
1,045,000 | Pacira BioSciences, Inc. 0.750%, 08/01/25* | 1,163,430 | |||||||||
113,000 | 2.375%, 04/01/22 | 127,994 | |||||||||
130,000,000 | JPY | Ship Healthcare Holdings, Inc. 0.000%, 12/13/23 | 1,395,410 | ||||||||
630,000 | Tabula Rasa HealthCare, Inc. 1.750%, 02/15/26 | 633,408 | |||||||||
1,085,000 | Teladoc Health, Inc.*^ 1.250%, 06/01/27 | 1,217,978 | |||||||||
26,158,714 | |||||||||||
Industrials (5.4%) | |||||||||||
1,676,000 | Air Canada* 4.000%, 07/01/25 | 2,579,599 | |||||||||
900,000 | EUR | Duerr, AG 0.750%, 01/15/26 | 1,319,973 | ||||||||
5,000,000 | HKD | Harvest International Company 0.000%, 11/21/22 | 1,147,778 | ||||||||
952,000 | Middleby Corp.* 1.000%, 09/01/25 | 1,429,856 | |||||||||
1,173,000 | Southwest Airlines Company 1.250%, 05/01/25 | 2,040,257 | |||||||||
2,624,000 | Sunrun, Inc.* 0.000%, 02/01/26 | 2,169,261 | |||||||||
2,378,000 | Uber Technologies, Inc.* 0.000%, 12/15/25 | 2,495,093 | |||||||||
1,400,000 | Vinci, SA^ 0.375%, 02/16/22 | 1,649,382 | |||||||||
14,831,199 | |||||||||||
Information Technology (28.7%) | |||||||||||
1,307,000 | 21Vianet Group, Inc.* 0.000%, 02/01/26 | 1,137,743 | |||||||||
2,800,000 | AUD | Afterpay, Ltd. 0.000%, 03/12/26 | 1,988,865 | ||||||||
1,310,000 | Akamai Technologies, Inc. 0.125%, 05/01/25 | 1,648,779 | |||||||||
664,000 | Alteryx, Inc. 0.500%, 08/01/24 | 624,452 | |||||||||
655,000 | 1.000%, 08/01/26 | 592,356 | |||||||||
1,247,000 | Bill.com Holdings, Inc.* 0.000%, 12/01/25 | 1,518,297 | |||||||||
2,690,000 | Coupa Software, Inc.* 0.375%, 06/15/26 | 3,120,427 | |||||||||
1,573,000 | CyberArk Software, Ltd. 0.000%, 11/15/24 | 1,773,730 | |||||||||
130,000,000 | JPY | Dainippon Screen Manufacturing Company 0.000%, 06/11/25 | 1,378,554 | ||||||||
746,000 | Datadog, Inc.* 0.125%, 06/15/25 | 894,245 | |||||||||
1,374,000 | Dropbox, Inc.* 0.000%, 03/01/28 | 1,362,238 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
112
Global Convertible Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
3,348,000 | CAD | Dye & Durham, Ltd.* 3.750%, 03/01/26 | $ | 2,782,396 | |||||||
1,372,000 | Enphase Energy, Inc.* 0.000%, 03/01/28 | 1,209,089 | |||||||||
2,744,000 | Fastly, Inc.* 0.000%, 03/15/26 | 2,666,592 | |||||||||
330,000 | FireEye, Inc. 1.625%, 06/01/35 | 328,027 | |||||||||
1,126,000 | Five9, Inc.* 0.500%, 06/01/25 | 1,703,244 | |||||||||
1,163,000 | LivePerson, Inc.* 0.000%, 12/15/26 | 1,166,256 | |||||||||
1,761,000 | Lumentum Holdings, Inc. 0.500%, 12/15/26 | 1,958,478 | |||||||||
2,967,000 | Microchip Technology, Inc. 0.125%, 11/15/24 | 3,407,303 | |||||||||
2,764,000 | MicroStrategy, Inc.* 0.000%, 02/15/27 | 2,268,387 | |||||||||
1,362,000 | New Relic, Inc. 0.500%, 05/01/23 | 1,331,151 | |||||||||
2,300,000 | EUR | Nexi S.p.A 0.000%, 02/24/28 | 2,665,158 | ||||||||
1,400,000 | EUR | 1.750%, 04/24/27 | 1,972,348 | ||||||||
969,000 | Nice, Ltd.*^ 0.000%, 09/15/25 | 1,024,359 | |||||||||
1,325,000 | Okta, Inc. 0.125%, 09/01/25 | 2,045,098 | |||||||||
1,488,000 | ON Semiconductor Corp. 1.625%, 10/15/23 | 2,913,742 | |||||||||
770,000 | Palo Alto Networks, Inc. 0.375%, 06/01/25* | 1,005,058 | |||||||||
650,000 | 0.750%, 07/01/23 | 915,824 | |||||||||
729,000 | Pegasystems, Inc. 0.750%, 03/01/25 | 837,869 | |||||||||
305,000 | Pluralsight, Inc. 0.375%, 03/01/24 | 304,817 | |||||||||
1,110,000 | Proofpoint, Inc. 0.250%, 08/15/24 | 1,382,905 | |||||||||
1,930,000 | Repay Holdings Corp.* 0.000%, 02/01/26 | 1,868,433 | |||||||||
1,960,000 | RingCentral, Inc.* 0.000%, 03/15/26 | 2,038,224 | |||||||||
929,000 | Shift4 Payments, Inc.* 0.000%, 12/15/25 | 1,308,199 | |||||||||
417,000 | Shopify, Inc.^ 0.125%, 11/01/25 | 487,194 | |||||||||
742,000 | Silicon Laboratories, Inc.* 0.625%, 06/15/25 | 973,289 | |||||||||
983,200 | EUR | Silicon On Insulator Tec 0.000%, 10/01/25 | 2,515,785 | ||||||||
1,430,000 | Splunk, Inc. 1.125%, 09/15/25 | 1,616,372 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
2,190,000 Square, Inc.*^ | 0.250%, 11/01/27 | $ | 2,585,317 | ||||||||
1,346,000 | Tyler Technologies, Inc.* 0.250%, 03/15/26 | 1,428,456 | |||||||||
1,200,000 | Win Semiconductors Corp. 0.000%, 01/14/26 | 1,275,900 | |||||||||
1,862,000 | Wix.com, Ltd.* 0.000%, 08/15/25 | 2,055,927 | |||||||||
1,870,000 | Workday, Inc. 0.250%, 10/01/22 | 3,188,425 | |||||||||
1,146,000 | Workiva, Inc. 1.125%, 08/15/26 | 1,559,637 | |||||||||
1,735,000 | Xero Investments, Ltd. 0.000%, 12/02/25 | 1,786,755 | |||||||||
1,649,000 | Zendesk, Inc.* 0.625%, 06/15/25 | 2,425,349 | |||||||||
790,000 | Zscaler, Inc.* 0.125%, 07/01/25 | 1,109,508 | |||||||||
78,150,557 | |||||||||||
Materials (2.1%) | |||||||||||
4,000,000 | BASF, SE 0.925%, 03/09/23 | 4,027,560 | |||||||||
50,000,000 | JPY | Mitsubishi Chemical Holdings Corp. 0.000%, 03/29/24 | 471,182 | ||||||||
400,000 | EUR | Symrise, AG 0.238%, 06/20/24 | 598,153 | ||||||||
60,000,000 | JPY | Teijin, Ltd. 0.000%, 12/10/21 | 568,427 | ||||||||
5,665,322 | |||||||||||
Real Estate (4.3%) | |||||||||||
700,000 | EUR | ANLLIAN Capital, Ltd. 0.000%, 02/05/25 | 1,128,829 | ||||||||
1,990,000 | ESR Cayman, Ltd. 1.500%, 09/30/25 | 2,189,478 | |||||||||
1,900,000 | EUR | Grand City Properties, SA 0.250%, 03/02/22 | 2,339,668 | ||||||||
525,000 | IH Merger Sub, LLC 3.500%, 01/15/22 | 813,403 | |||||||||
2,135,000 | Redfin Corp.* 0.000%, 10/15/25 | 2,589,008 | |||||||||
140,000,000 | JPY | Relo Group, Inc. 0.000%, 12/17/27 | 1,300,031 | ||||||||
1,400,000 | Vingroup JSC 3.000%, 04/20/26 | 1,453,802 | |||||||||
11,814,219 | |||||||||||
TOTAL CONVERTIBLE BONDS (Cost $209,774,441) | 233,597,003 |
See accompanying Notes to Schedule of Investments
www.calamos.com
113
Global Convertible Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
BANK LOAN (0.2%)¡ | |||||||||||
Financials (0.2%) | |||||||||||
1,110,096 | EUR | Steenbok Lux Finco 2 Sarl‡ 10.000%, 12/31/21 6 mo. EURIBOR + 10.00% (Cost $624,334) | $ | 673,980 | |||||||
NUMBER OF SHARES | VALUE | ||||||||||
CONVERTIBLE PREFERRED STOCKS (8.3%) | |||||||||||
Communication Services (0.4%) | |||||||||||
845 | 2020 Cash Mandatory Exchangeable Trust* 5.250%, 06/01/23 | 994,275 | |||||||||
Financials (3.1%) | |||||||||||
2,487 | Bank of America Corp.‡‡ 7.250% | 3,521,542 | |||||||||
18,628 | KKR & Company, Inc.^ 6.000%, 09/15/23 | 1,396,727 | |||||||||
2,530 | Wells Fargo & Company‡‡ 7.500% | 3,627,565 | |||||||||
8,545,834 | |||||||||||
Health Care (1.0%) | |||||||||||
13,930 | Avantor, Inc. 6.250%, 05/15/22 | 1,376,841 | |||||||||
772 | Danaher Corp. 4.750%, 04/15/22 | 1,322,830 | |||||||||
2,699,671 | |||||||||||
Information Technology (1.1%) | |||||||||||
1,995 | Broadcom, Inc. 8.000%, 09/30/22 | 2,891,653 | |||||||||
Utilities (2.7%) | |||||||||||
13,463 | AES Corp. 6.875%, 02/15/24 | 1,467,332 | |||||||||
12,955 | American Electric Power Company, Inc. 6.125%, 03/15/22 | 650,212 | |||||||||
13,250 | DTE Energy Company 6.250%, 11/01/22 | 672,305 | |||||||||
28,565 | Essential Utilities, Inc. 6.000%, 04/30/22 | 1,688,477 | |||||||||
31,000 | NextEra Energy, Inc. 6.219%, 09/01/23 | 1,564,570 | |||||||||
12,818 | Sempra Energy 6.750%, 07/15/21 | 1,345,121 | |||||||||
7,388,017 | |||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $19,017,502) | 22,519,450 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
U.S. GOVERNMENT AND AGENCY SECURITIES (1.9%) | |||||||||||
United States Treasury Note | |||||||||||
2,693,000 | 1.875%, 05/31/22 | $ | 2,745,124 | ||||||||
2,297,000 | 1.750%, 07/15/22 | 2,342,940 | |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $5,028,466) | 5,088,064 | ||||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
PURCHASED OPTIONS (0.2%)# | |||||||||||
Consumer Discretionary (0.1%) | |||||||||||
167 3,856,865 | Alibaba Group Holding, Ltd. Call, 11/19/21, Strike $250.00 | 278,890 | |||||||||
Industrials (0.1%) | |||||||||||
348 5,573,290 | EUR | Schneider Electric, SE Call, 12/17/21, Strike 130.00 | 416,291 | ||||||||
TOTAL PURCHASED OPTIONS (Cost $773,336) | 695,181 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (5.4%) | |||||||||||
14,687,238 | State Street Navigator Securities Lending Government Money Market Portfolio† (Cost $14,687,238) | 14,687,238 | |||||||||
TOTAL INVESTMENTS (101.7%) (Cost $249,905,317) | 277,260,916 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-5.4%) | (14,687,238 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (3.7%) | 10,126,171 | ||||||||||
NET ASSETS (100.0%) | $ | 272,699,849 |
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.
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
114
Global Convertible Fund Schedule of Investments April 30, 2021 (Unaudited)
¡ Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown.
‡ Variable rate security. The rate shown is the rate in effect at April 30, 2021.
# Non-income producing security.
‡‡ Perpetual maturity.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
FOREIGN CURRENCY ABBREVIATIONS
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR European Monetary Unit
GBP British Pound Sterling
HKD Hong Kong Dollar
JPY Japanese Yen
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.
CURRENCY EXPOSURE
APRIL 30, 2021
VALUE | % OF TOTAL INVESTMENTS | ||||||||||
US Dollar | $ | 226,100,172 | 81.5 | % | |||||||
European Monetary Unit | 30,576,763 | 11.0 | % | ||||||||
Japanese Yen | 9,866,589 | 3.6 | % | ||||||||
Canadian Dollar | 2,782,396 | 1.0 | % | ||||||||
British Pound Sterling | 2,684,866 | 1.0 | % | ||||||||
Australian Dollar | 1,988,865 | 0.7 | % | ||||||||
Hong Kong Dollar | 1,918,053 | 0.7 | % | ||||||||
Swiss Franc | 1,343,212 | 0.5 | % | ||||||||
Total Investments | $ | 277,260,916 | 100.0 | % |
Currency exposure may vary over time.
See accompanying Notes to Schedule of Investments
www.calamos.com
115
Timpani Small Cap Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS (99.5%) | |||||||||||
Communication Services (4.7%) | |||||||||||
19,340 | Cardlytics, Inc.# | $ | 2,659,830 | ||||||||
18,513 | Endeavor Group Holdings, Inc. - Class A# | 510,218 | |||||||||
186,315 | iClick Interactive Asia Group, Ltd.# | 2,403,464 | |||||||||
171,570 | Magnite, Inc.# | 6,871,379 | |||||||||
62,833 | MediaAlpha, Inc. - Class A# | 2,780,360 | |||||||||
15,225,251 | |||||||||||
Consumer Discretionary (25.3%) | |||||||||||
20,537 | Asbury Automotive Group, Inc.# | 4,078,854 | |||||||||
32,607 | At Home Group, Inc.# | 1,029,729 | |||||||||
46,645 | Boot Barn Holdings, Inc.# | 3,290,338 | |||||||||
143,715 | CarParts.com, Inc.# | 2,483,395 | |||||||||
45,827 | Chegg, Inc.# | 4,139,553 | |||||||||
15,386 | Crocs, Inc.# | 1,540,446 | |||||||||
8,533 | Deckers Outdoor Corp.# | 2,885,861 | |||||||||
289,066 | Full House Resorts, Inc.# | 2,821,284 | |||||||||
83,077 | GrowGeneration Corp.# | 3,622,157 | |||||||||
242,996 | Kirkland's, Inc.# | 7,192,682 | |||||||||
36,153 | Lindblad Expeditions Holdings, Inc.# | 592,548 | |||||||||
33,889 | Lithia Motors, Inc. - Class A | 13,026,254 | |||||||||
88,316 | Lovesac Company# | 6,470,913 | |||||||||
46,159 | Malibu Boats, Inc. - Class A# | 3,847,814 | |||||||||
85,398 | OneWater Marine, Inc. - Class A# | 4,374,940 | |||||||||
13,906 | Penn National Gaming, Inc.# | 1,239,303 | |||||||||
25,246 | Polaris, Inc. | 3,535,197 | |||||||||
56,348 | Purple Innovation, Inc. - Class A# | 1,920,340 | |||||||||
162,351 | Quotient Technology, Inc.# | 2,652,815 | |||||||||
46,490 | RealReal, Inc.# | 1,151,557 | |||||||||
31,414 | TopBuild Corp.# | 6,985,845 | |||||||||
39,085 | YETI Holdings, Inc.# | 3,338,641 | |||||||||
82,220,466 | |||||||||||
Consumer Staples (2.1%) | |||||||||||
2,675 | Boston Beer Company, Inc. - Class A# | 3,254,111 | |||||||||
61,678 | Celsius Holdings, Inc.# | 3,534,149 | |||||||||
6,788,260 | |||||||||||
Financials (5.6%) | |||||||||||
32,826 | BRP Group, Inc. - Class A# | 952,611 | |||||||||
70,476 | LPL Financial Holdings, Inc. | 11,043,589 | |||||||||
169,381 | Selectquote, Inc.# | 5,272,831 | |||||||||
7,761 | Silvergate Capital Corp. - Class A# | 832,134 | |||||||||
18,101,165 | |||||||||||
Health Care (24.0%) | |||||||||||
8,047 | Addus HomeCare Corp.# | 851,373 | |||||||||
111,392 | Aldeyra Therapeutics, Inc.# | 1,400,197 | |||||||||
176,654 | Alphatec Holdings, Inc.# | 2,824,697 |
NUMBER OF SHARES | VALUE | ||||||||||
2,410 | Amedisys, Inc.# | $ | 650,339 | ||||||||
100,696 | Apyx Medical Corp.# | 1,020,050 | |||||||||
125,013 | Avid Bioservices, Inc.# | 2,675,903 | |||||||||
91,990 | Axonics, Inc.# | 5,788,931 | |||||||||
27,948 | BioLife Solutions, Inc.# | 975,385 | |||||||||
30,463 | CareDx, Inc.# | 2,408,709 | |||||||||
69,702 | Castle Biosciences, Inc.# | 4,811,529 | |||||||||
67,491 | Cutera, Inc.# | 2,026,755 | |||||||||
26,440 | DarioHealth Corp.# | 573,219 | |||||||||
22,925 | Eargo, Inc.# | 1,312,227 | |||||||||
50,116 | Establishment Labs Holdings, Inc.# | 3,640,426 | |||||||||
61,131 | Exagen, Inc.# | 1,030,669 | |||||||||
44,589 | Halozyme Therapeutics, Inc.# | 2,227,221 | |||||||||
150,789 | iCAD, Inc.# | 2,720,234 | |||||||||
110,025 | InfuSystem Holdings, Inc.# | 2,488,765 | |||||||||
120,813 | Inotiv, Inc.# | 2,853,603 | |||||||||
25,577 | Inspire Medical Systems, Inc.# | 6,057,145 | |||||||||
127,423 | Itamar Medical, Ltd.# | 3,051,781 | |||||||||
13,441 | Natera, Inc.# | 1,478,779 | |||||||||
245,615 | Neuronetics, Inc.# | 2,578,957 | |||||||||
79,031 | OptimizeRx Corp.# | 3,987,904 | |||||||||
46,446 | Organogenesis Holdings, Inc.# | 1,038,533 | |||||||||
30,905 | Phreesia, Inc.# | 1,599,334 | |||||||||
7,560 | Repligen Corp.# | 1,600,528 | |||||||||
48,922 | SI-BONE, Inc.# | 1,736,731 | |||||||||
132,883 | Stereotaxis, Inc.# | 956,758 | |||||||||
68,022 | Surgery Partners, Inc.# | 3,278,660 | |||||||||
25,985 | Veracyte, Inc.# | 1,292,754 | |||||||||
110,202 | Vericel Corp.# | 6,878,809 | |||||||||
77,816,905 | |||||||||||
Industrials (16.1%) | |||||||||||
50,845 | Advanced Drainage Systems, Inc. | 5,677,353 | |||||||||
134,711 | Agrify Corp.# | 1,454,879 | |||||||||
23,279 | Allegiant Travel Company# | 5,487,559 | |||||||||
64,839 | AZEK Company, Inc. - Class A# | 3,130,427 | |||||||||
18,459 | Generac Holdings, Inc.# | 5,979,793 | |||||||||
51,840 | H&E Equipment Services, Inc. | 2,016,576 | |||||||||
17,757 | Hydrofarm Holdings Group, Inc.# | 1,166,635 | |||||||||
155,520 | Montrose Environmental Group, Inc.# | 8,430,739 | |||||||||
14,509 | NV5 Global, Inc.# | 1,307,696 | |||||||||
92,848 | RADA Electronic Industries, Ltd.# | 1,224,665 | |||||||||
27,854 | Saia, Inc.# | 6,531,763 | |||||||||
146,678 | Shyft Group, Inc. | 5,195,335 | |||||||||
28,893 | Trex Company, Inc.# | 3,120,155 | |||||||||
33,757 | Upwork, Inc.# | 1,554,847 | |||||||||
52,278,422 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
116
Timpani Small Cap Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Information Technology (18.9%) | |||||||||||
24,965 | ACM Research, Inc. - Class A# | $ | 1,970,987 | ||||||||
35,967 | Advanced Energy Industries, Inc. | 3,967,520 | |||||||||
53,211 | Asana, Inc. - Class A# | 1,772,991 | |||||||||
45,053 | Brooks Automation, Inc. | 4,565,220 | |||||||||
63,380 | Diodes, Inc.# | 4,868,218 | |||||||||
11,252 | DoubleVerify Holdings, Inc.# | 396,183 | |||||||||
24,892 | Five9, Inc.# | 4,678,949 | |||||||||
13,662 | GDS Holdings, Ltd.# | 1,133,536 | |||||||||
211,384 | Genasys, Inc.# | 1,321,150 | |||||||||
69,061 | Ichor Holdings, Ltd.# | 3,851,532 | |||||||||
5,585 | Privia Health Group, Inc.# | 2,018,847 | |||||||||
176,720 | Quantum Corp.# | 1,505,654 | |||||||||
9,108 | RingCentral, Inc. - Class A# | 2,904,997 | |||||||||
42,224 | Shift4 Payments, Inc. - Class A# | 4,175,531 | |||||||||
60,108 | Silicon Motion Technology Corp. | 4,316,957 | |||||||||
62,120 | SiTime Corp.# | 5,749,206 | |||||||||
112,081 | SkyWater Technology, Inc.# | 2,331,285 | |||||||||
104,432 | Sprout Social, Inc. - Class A# | 6,922,797 | |||||||||
23,797 | Telos Corp.# | 789,584 | |||||||||
38,765 | Varonis Systems, Inc.# | 2,052,607 | |||||||||
61,293,751 |
NUMBER OF SHARES | VALUE | ||||||||||
Materials (0.5%) | |||||||||||
56,460 | Summit Materials Inc - Class A# | $ | 1,625,483 | ||||||||
Real Estate (2.3%) | |||||||||||
55,803 | eXp World Holdings, Inc.# | 1,917,391 | |||||||||
51,569 | Fathom Holdings, Inc.# | 1,768,817 | |||||||||
53,056 | Redfin Corp.# | 3,755,303 | |||||||||
7,441,511 | |||||||||||
TOTAL COMMON STOCKS (Cost $221,053,441) | 322,791,214 | ||||||||||
TOTAL INVESTMENTS (99.5%) (Cost $221,053,441) | 322,791,214 | ||||||||||
OTHER ASSETS, LESS LIABILITIES (0.5%) | 1,726,858 | ||||||||||
NET ASSETS (100.0%) | $ | 324,518,072 |
NOTES TO SCHEDULE OF INVESTMENTS
# Non-income producing security.
See accompanying Notes to Schedule of Investments
www.calamos.com
117
Timpani SMID Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS (99.3%) | |||||||||||
Communication Services (4.8%) | |||||||||||
1,275 | Cardlytics, Inc.# | $ | 175,351 | ||||||||
2,239 | Endeavor Group Holdings, Inc. - Class A# | 61,707 | |||||||||
10,282 | Magnite, Inc.# | 411,794 | |||||||||
3,467 | MediaAlpha, Inc. - Class A# | 153,415 | |||||||||
2,834 | Zillow Group, Inc. - Class C# | 368,760 | |||||||||
1,171,027 | |||||||||||
Consumer Discretionary (23.5%) | |||||||||||
1,381 | Asbury Automotive Group, Inc.# | 274,280 | |||||||||
2,059 | At Home Group, Inc.# | 65,023 | |||||||||
2,822 | Boot Barn Holdings, Inc.# | 199,064 | |||||||||
7,931 | CarParts.com, Inc.# | 137,048 | |||||||||
6,918 | Chegg, Inc.# | 624,903 | |||||||||
692 | Chewy, Inc. - Class A# | 55,166 | |||||||||
1,012 | Crocs, Inc.# | 101,321 | |||||||||
404 | Deckers Outdoor Corp.# | 136,633 | |||||||||
6,001 | DraftKings, Inc. - Class A# | 340,017 | |||||||||
679 | Etsy, Inc.# | 134,978 | |||||||||
1,165 | Five Below, Inc.# | 234,480 | |||||||||
1,798 | Floor & Decor Holdings, Inc. - Class A# | 199,434 | |||||||||
5,216 | GrowGeneration Corp.# | 227,418 | |||||||||
14,896 | Kirkland's, Inc.# | 440,922 | |||||||||
2,435 | Lithia Motors, Inc. - Class A | 935,965 | |||||||||
1,796 | Lovesac Company# | 131,593 | |||||||||
2,933 | Malibu Boats, Inc. - Class A# | 244,495 | |||||||||
601 | Penn National Gaming, Inc.# | 53,561 | |||||||||
1,881 | Polaris, Inc. | 263,396 | |||||||||
3,500 | Purple Innovation, Inc. - Class A# | 119,280 | |||||||||
6,178 | Quotient Technology, Inc.# | 100,948 | |||||||||
2,135 | RealReal, Inc.# | 52,884 | |||||||||
1,974 | TopBuild Corp.# | 438,978 | |||||||||
2,637 | YETI Holdings, Inc.# | 225,253 | |||||||||
5,737,040 | |||||||||||
Consumer Staples (3.1%) | |||||||||||
471 | Boston Beer Company, Inc. - Class A# | 572,967 | |||||||||
3,177 | Celsius Holdings, Inc.# | 182,042 | |||||||||
755,009 | |||||||||||
Financials (6.4%) | |||||||||||
1,662 | BRP Group, Inc. - Class A# | 48,231 | |||||||||
6,898 | LPL Financial Holdings, Inc. | 1,080,917 | |||||||||
11,329 | Selectquote, Inc.# | 352,672 | |||||||||
596 | Silvergate Capital Corp. - Class A# | 63,903 | |||||||||
1,545,723 |
NUMBER OF SHARES | VALUE | ||||||||||
Health Care (16.0%) | |||||||||||
8,311 | Aldeyra Therapeutics, Inc.# | $ | 104,469 | ||||||||
8,640 | Alphatec Holdings, Inc.# | 138,154 | |||||||||
231 | Amedisys, Inc.# | 62,335 | |||||||||
7,532 | Avid Bioservices, Inc.# | 161,222 | |||||||||
5,690 | Axonics, Inc.# | 358,072 | |||||||||
1,805 | BioLife Solutions, Inc.# | 62,994 | |||||||||
1,722 | CareDx, Inc.# | 136,159 | |||||||||
4,230 | Castle Biosciences, Inc.# | 291,997 | |||||||||
1,677 | Cutera, Inc.# | 50,360 | |||||||||
1,219 | Eargo, Inc.# | 69,776 | |||||||||
2,390 | Establishment Labs Holdings, Inc.# | 173,610 | |||||||||
2,242 | Halozyme Therapeutics, Inc.# | 111,988 | |||||||||
1,150 | Horizon Therapeutics, PLC# | 108,813 | |||||||||
9,381 | iCAD, Inc.# | 169,233 | |||||||||
1,805 | Inspire Medical Systems, Inc.# | 427,460 | |||||||||
565 | Natera, Inc.# | 62,161 | |||||||||
5,869 | Neuronetics, Inc.# | 61,625 | |||||||||
2,295 | Oak Street Health, Inc.# | 141,441 | |||||||||
1,898 | OptimizeRx Corp.# | 95,773 | |||||||||
2,623 | Organogenesis Holdings, Inc.# | 58,650 | |||||||||
1,124 | Repligen Corp.# | 237,962 | |||||||||
2,849 | SI-BONE, Inc.# | 101,139 | |||||||||
3,814 | Surgery Partners, Inc.# | 183,835 | |||||||||
1,453 | Veracyte, Inc.# | 72,287 | |||||||||
5,948 | Vericel Corp.# | 371,274 | |||||||||
529 | Zai Lab, Ltd.# | 87,925 | |||||||||
3,900,714 | |||||||||||
Industrials (19.5%) | |||||||||||
3,347 | Advanced Drainage Systems, Inc. | 373,726 | |||||||||
1,800 | Allegiant Travel Company# | 424,314 | |||||||||
1,893 | Axon Enterprise, Inc.# | 286,998 | |||||||||
6,213 | AZEK Company, Inc. - Class A# | 299,964 | |||||||||
2,341 | Generac Holdings, Inc.# | 758,367 | |||||||||
3,134 | H&E Equipment Services, Inc. | 121,913 | |||||||||
1,383 | Hydrofarm Holdings Group, Inc.# | 90,863 | |||||||||
10,780 | Montrose Environmental Group, Inc.# | 584,384 | |||||||||
811 | NV5 Global, Inc.# | 73,095 | |||||||||
1,488 | Old Dominion Freight Line, Inc. | 383,621 | |||||||||
6,168 | RADA Electronic Industries, Ltd.# | 81,356 | |||||||||
1,611 | Saia, Inc.# | 377,779 | |||||||||
8,475 | Shyft Group, Inc. | 300,184 | |||||||||
2,546 | Trex Company, Inc.# | 274,943 | |||||||||
2,357 | XPO Logistics, Inc.# | 327,906 | |||||||||
4,759,413 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
118
Timpani SMID Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Information Technology (23.2%) | |||||||||||
1,988 | Advanced Energy Industries, Inc. | $ | 219,296 | ||||||||
3,993 | Asana, Inc. - Class A# | 133,047 | |||||||||
2,560 | Brooks Automation, Inc. | 259,405 | |||||||||
1,019 | Cloudflare, Inc. - Class A# | 86,350 | |||||||||
3,394 | Diodes, Inc.# | 260,693 | |||||||||
852 | DoubleVerify Holdings, Inc.# | 29,999 | |||||||||
5,027 | Dynatrace, Inc.# | 261,605 | |||||||||
1,927 | Elastic, NV# | 232,435 | |||||||||
1,957 | Five9, Inc.# | 367,857 | |||||||||
2,331 | GDS Holdings, Ltd.# | 193,403 | |||||||||
64 | HubSpot, Inc.# | 33,693 | |||||||||
4,244 | Ichor Holdings, Ltd.# | 236,688 | |||||||||
1,679 | Kingsoft Cloud Holdings, Ltd.# | 73,742 | |||||||||
807 | MongoDB, Inc.# | 240,050 | |||||||||
499 | Monolithic Power Systems, Inc. | 180,329 | |||||||||
5,024 | ON Semiconductor Corp.# | 195,936 | |||||||||
1,035 | Pegasystems, Inc. | 131,383 | |||||||||
4,164 | Privia Health Group, Inc.# | 151,236 | |||||||||
10,362 | Quantum Corp.# | 88,284 | |||||||||
1,321 | RingCentral, Inc. - Class A# | 421,333 | |||||||||
2,782 | Shift4 Payments, Inc. - Class A# | 275,112 | |||||||||
3,770 | Silicon Motion Technology Corp. | 270,761 | |||||||||
4,166 | SiTime Corp.# | 385,563 | |||||||||
8,496 | SkyWater Technology, Inc.# | 176,717 | |||||||||
6,503 | Sprout Social, Inc. - Class A# | 431,084 | |||||||||
1,448 | Telos Corp.# | 48,045 | |||||||||
178 | Trade Desk, Inc. - Class A# | 129,817 | |||||||||
2,662 | Varonis Systems, Inc.# | 140,953 | |||||||||
5,654,816 | |||||||||||
Materials (1.4%) | |||||||||||
1,509 | Scotts Miracle-Gro Company | 348,820 |
NUMBER OF SHARES | VALUE | ||||||||||
Real Estate (1.4%) | |||||||||||
3,340 | eXp World Holdings, Inc.# | $ | 114,763 | ||||||||
3,277 | Redfin Corp.# | 231,946 | |||||||||
346,709 | |||||||||||
TOTAL COMMON STOCKS (Cost $15,125,477) | 24,219,271 | ||||||||||
TOTAL INVESTMENTS (99.3%) (Cost $15,125,477) | 24,219,271 | ||||||||||
OTHER ASSETS, LESS LIABILITIES (0.7%) | 162,998 | ||||||||||
NET ASSETS (100.0%) | $ | 24,382,269 |
NOTES TO SCHEDULE OF INVESTMENTS
# Non-income producing security.
See accompanying Notes to Schedule of Investments
www.calamos.com
119
Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS (99.8%) | |||||||||||
Communication Services (13.4%) | |||||||||||
41,040 | Alphabet, Inc. - Class A#~ | $ | 96,587,639 | ||||||||
109,000 | Bumble, Inc. - Class A# | 6,566,160 | |||||||||
9,057 | Cardlytics, Inc.#^ | 1,245,609 | |||||||||
15,834 | Endeavor Group Holdings, Inc. - Class A# | 436,385 | |||||||||
255,300 | Facebook, Inc. - Class A#~ | 82,992,924 | |||||||||
73,050 | Magnite, Inc.#^ | 2,925,652 | |||||||||
24,623 | MediaAlpha, Inc. - Class A# | 1,089,568 | |||||||||
30,900 | Netflix, Inc.# | 15,866,223 | |||||||||
6,700 | Roku, Inc.# | 2,297,899 | |||||||||
90,700 | Walt Disney Company# | 16,872,014 | |||||||||
20,241 | Zillow Group, Inc. - Class C#^ | 2,633,759 | |||||||||
229,513,832 | |||||||||||
Consumer Discretionary (18.5%) | |||||||||||
4,650 | Airbnb, Inc. - Class A#^ | 803,102 | |||||||||
11,320 | Alibaba Group Holding, Ltd.# | 2,614,354 | |||||||||
38,120 | Amazon.com, Inc.#~ | 132,178,050 | |||||||||
9,810 | Asbury Automotive Group, Inc.# | 1,948,364 | |||||||||
14,622 | At Home Group, Inc.# | 461,763 | |||||||||
20,046 | Boot Barn Holdings, Inc.# | 1,414,045 | |||||||||
162,200 | Caesars Entertainment, Inc.# | 15,869,648 | |||||||||
56,350 | CarParts.com, Inc.#^ | 973,728 | |||||||||
49,147 | Chegg, Inc.#^ | 4,439,449 | |||||||||
4,917 | Chewy, Inc. - Class A#^ | 391,983 | |||||||||
5,770 | Chipotle Mexican Grill, Inc.# | 8,609,013 | |||||||||
7,211 | Crocs, Inc.# | 721,965 | |||||||||
2,873 | Deckers Outdoor Corp.# | 971,649 | |||||||||
42,637 | DraftKings, Inc. - Class A#^ | 2,415,813 | |||||||||
4,826 | Etsy, Inc.# | 959,361 | |||||||||
8,276 | Five Below, Inc.# | 1,665,711 | |||||||||
12,773 | Floor & Decor Holdings, Inc. - Class A# | 1,416,781 | |||||||||
37,054 | GrowGeneration Corp.# | 1,615,554 | |||||||||
105,827 | Kirkland's, Inc.#^ | 3,132,479 | |||||||||
145,700 | Las Vegas Sands Corp.# | 8,925,582 | |||||||||
17,301 | Lithia Motors, Inc. - Class A | 6,650,158 | |||||||||
12,760 | Lovesac Company# | 934,925 | |||||||||
31,000 | Lululemon Athletica, Inc.# | 10,393,370 | |||||||||
20,837 | Malibu Boats, Inc. - Class A# | 1,736,972 | |||||||||
161,000 | NIKE, Inc. - Class B~ | 21,351,820 | |||||||||
4,268 | Penn National Gaming, Inc.#^ | 380,364 | |||||||||
13,367 | Polaris, Inc. | 1,871,781 | |||||||||
24,980 | Purple Innovation, Inc. - Class A# | 851,318 | |||||||||
43,891 | Quotient Technology, Inc.# | 717,179 | |||||||||
15,238 | RealReal, Inc.#^ | 377,445 |
NUMBER OF SHARES | �� | VALUE | |||||||||
131,300 | Royal Caribbean Cruises, Ltd.# | $ | 11,416,535 | ||||||||
76,050 | Tesla, Inc.# | 53,952,912 | |||||||||
14,027 | TopBuild Corp.# | 3,119,324 | |||||||||
31,500 | Ulta Beauty, Inc.# | 10,374,525 | |||||||||
18,737 | YETI Holdings, Inc.# | 1,600,515 | |||||||||
317,257,537 | |||||||||||
Consumer Staples (2.0%) | |||||||||||
3,347 | Boston Beer Company, Inc. - Class A# | 4,071,592 | |||||||||
22,568 | Celsius Holdings, Inc.# | 1,293,146 | |||||||||
135,500 | Coca-Cola Company | 7,314,290 | |||||||||
60,100 | Constellation Brands, Inc. - Class A | 14,443,232 | |||||||||
25,000 | Estee Lauder Companies, Inc. - Class A | 7,845,000 | |||||||||
34,967,260 | |||||||||||
Financials (4.5%) | |||||||||||
62,500 | American Express Company | 9,584,375 | |||||||||
11,840 | BRP Group, Inc. - Class A# | 343,597 | |||||||||
175,100 | Charles Schwab Corp. | 12,327,040 | |||||||||
1,160 | Coinbase Global, Inc. - Class A# | 345,263 | |||||||||
32,100 | Goldman Sachs Group, Inc. | 11,185,245 | |||||||||
49,010 | LPL Financial Holdings, Inc. | 7,679,867 | |||||||||
55,400 | Marsh & McLennan Companies, Inc. | 7,517,780 | |||||||||
80,486 | Selectquote, Inc.# | 2,505,529 | |||||||||
4,246 | Silvergate Capital Corp. - Class A# | 455,256 | |||||||||
736,000 | SLM Corp. | 14,469,760 | |||||||||
251,900 | Wells Fargo & Company | 11,348,095 | |||||||||
77,761,807 | |||||||||||
Health Care (9.3%) | |||||||||||
59,316 | Aldeyra Therapeutics, Inc.# | 745,602 | |||||||||
19,000 | Align Technology, Inc.# | 11,315,070 | |||||||||
61,384 | Alphatec Holdings, Inc.# | 981,530 | |||||||||
1,638 | Amedisys, Inc.# | 442,014 | |||||||||
53,511 | Avid Bioservices, Inc.#^ | 1,145,403 | |||||||||
40,235 | Axonics, Inc.#^ | 2,531,989 | |||||||||
12,822 | BioLife Solutions, Inc.# | 447,488 | |||||||||
245,400 | Boston Scientific Corp.# | 10,699,440 | |||||||||
129,900 | Bristol-Myers Squibb Company | 8,108,358 | |||||||||
12,233 | CareDx, Inc.# | 967,263 | |||||||||
30,053 | Castle Biosciences, Inc.#^ | 2,074,559 | |||||||||
11,968 | Cutera, Inc.#^ | 359,399 | |||||||||
67,000 | Danaher Corp. | 17,013,980 | |||||||||
45,200 | DexCom, Inc.# | 17,451,720 | |||||||||
8,704 | Eargo, Inc.# | 498,217 | |||||||||
81,500 | Edwards Lifesciences Corp.# | 7,784,880 | |||||||||
83,200 | Eli Lilly & Company | 15,206,464 | |||||||||
17,020 | Establishment Labs Holdings, Inc.# | 1,236,333 | |||||||||
15,926 | Halozyme Therapeutics, Inc.#^ | 795,504 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
120
Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
8,192 | Horizon Therapeutics, PLC# | $ | 775,127 | ||||||||
66,649 | iCAD, Inc.# | 1,202,348 | |||||||||
12,824 | Inspire Medical Systems, Inc.# | 3,036,980 | |||||||||
4,017 | Natera, Inc.# | 441,950 | |||||||||
41,982 | Neuronetics, Inc.#^ | 440,811 | |||||||||
16,305 | Oak Street Health, Inc.#^ | 1,004,877 | |||||||||
13,484 | OptimizeRx Corp.#^ | 680,403 | |||||||||
18,632 | Organogenesis Holdings, Inc.# | 416,612 | |||||||||
7,988 | Repligen Corp.# | 1,691,139 | |||||||||
20,346 | SI-BONE, Inc.# | 722,283 | |||||||||
26,177 | Surgery Partners, Inc.# | 1,261,731 | |||||||||
12,100 | Teladoc Health, Inc.#^ | 2,085,435 | |||||||||
23,900 | Thermo Fisher Scientific, Inc. | 11,238,497 | |||||||||
40,600 | UnitedHealth Group, Inc.~ | 16,191,280 | |||||||||
10,367 | Veracyte, Inc.# | 515,758 | |||||||||
42,257 | Vericel Corp.#^ | 2,637,682 | |||||||||
64,600 | Vertex Pharmaceuticals, Inc.# | 14,095,720 | |||||||||
3,761 | Zai Lab, Ltd.# | 625,116 | |||||||||
158,868,962 | |||||||||||
Industrials (10.3%) | |||||||||||
23,903 | Advanced Drainage Systems, Inc. | 2,669,009 | |||||||||
350,000 | Air Lease Corp. - Class A | 16,348,500 | |||||||||
12,815 | Allegiant Travel Company# | 3,020,880 | |||||||||
13,447 | Axon Enterprise, Inc.# | 2,038,700 | |||||||||
44,138 | AZEK Company, Inc. - Class A# | 2,130,983 | |||||||||
171,600 | CSX Corp. | 17,288,700 | |||||||||
16,633 | Generac Holdings, Inc.# | 5,388,260 | |||||||||
22,265 | H&E Equipment Services, Inc. | 866,108 | |||||||||
76,100 | Honeywell International, Inc. | 16,973,344 | |||||||||
9,834 | Hydrofarm Holdings Group, Inc.# | 646,094 | |||||||||
53,600 | L3Harris Technologies, Inc. | 11,214,728 | |||||||||
404,700 | Lyft, Inc. - Class A# | 22,525,602 | |||||||||
76,584 | Montrose Environmental Group, Inc.# | 4,151,619 | |||||||||
5,789 | NV5 Global, Inc.# | 521,762 | |||||||||
10,571 | Old Dominion Freight Line, Inc. | 2,725,309 | |||||||||
43,819 | RADA Electronic Industries, Ltd.# | 577,973 | |||||||||
211,200 | Raytheon Technologies Corp. | 17,580,288 | |||||||||
11,442 | Saia, Inc.# | 2,683,149 | |||||||||
60,214 | Shyft Group, Inc. | 2,132,780 | |||||||||
18,091 | Trex Company, Inc.# | 1,953,647 | |||||||||
323,750 | Uber Technologies, Inc.# | 17,731,787 | |||||||||
83,900 | Union Pacific Corp. | 18,633,351 | |||||||||
29,600 | Waste Management, Inc. | 4,083,912 | |||||||||
16,739 | XPO Logistics, Inc.# | 2,328,730 | |||||||||
176,215,215 |
NUMBER OF SHARES | VALUE | ||||||||||
Information Technology (40.1%) | |||||||||||
14,124 | Advanced Energy Industries, Inc. | $ | 1,558,018 | ||||||||
774,400 | Apple, Inc. | 101,802,624 | |||||||||
255,300 | Applied Materials, Inc. | 33,880,863 | |||||||||
28,437 | Asana, Inc. - Class A#^ | 947,521 | |||||||||
6,400 | ASML Holding, NV | 4,147,840 | |||||||||
28,500 | Broadcom, Inc.~ | 13,001,700 | |||||||||
18,184 | Brooks Automation, Inc. | 1,842,585 | |||||||||
7,260 | Cloudflare, Inc. - Class A# | 615,212 | |||||||||
49,100 | Coupa Software, Inc.# | 13,209,864 | |||||||||
24,110 | Diodes, Inc.# | 1,851,889 | |||||||||
6,055 | DoubleVerify Holdings, Inc.# | 213,197 | |||||||||
35,715 | Dynatrace, Inc.# | 1,858,609 | |||||||||
13,728 | Elastic, NV# | 1,655,871 | |||||||||
61,700 | Fidelity National Information Services, Inc. | 9,433,930 | |||||||||
13,902 | Five9, Inc.#^ | 2,613,159 | |||||||||
16,651 | GDS Holdings, Ltd.# | 1,381,533 | |||||||||
459 | HubSpot, Inc.# | 241,641 | |||||||||
30,235 | Ichor Holdings, Ltd.# | 1,686,206 | |||||||||
11,929 | Kingsoft Cloud Holdings, Ltd.# | 523,922 | |||||||||
19,600 | Lam Research Corp. | 12,160,820 | |||||||||
281,500 | Marvell Technology, Inc. | 12,726,615 | |||||||||
36,300 | MasterCard, Inc. - Class A | 13,868,778 | |||||||||
304,200 | Micron Technology, Inc.# | 26,182,494 | |||||||||
600,300 | Microsoft Corp.~ | 151,383,654 | |||||||||
5,747 | MongoDB, Inc.# | 1,709,503 | |||||||||
3,544 | Monolithic Power Systems, Inc. | 1,280,731 | |||||||||
93,950 | NVIDIA Corp. | 56,405,701 | |||||||||
35,690 | ON Semiconductor Corp.# | 1,391,910 | |||||||||
58,650 | Paycom Software, Inc.# | 22,545,646 | |||||||||
154,150 | PayPal Holdings, Inc.#~ | 40,432,003 | |||||||||
7,393 | Pegasystems, Inc. | 938,467 | |||||||||
29,721 | Privia Health Group, Inc.# | 1,079,467 | |||||||||
73,616 | Quantum Corp.# | 627,208 | |||||||||
9,406 | RingCentral, Inc. - Class A#^ | 3,000,044 | |||||||||
107,440 | Salesforce.com, Inc.# | 24,745,581 | |||||||||
4,950 | ServiceNow, Inc.# | 2,506,531 | |||||||||
19,768 | Shift4 Payments, Inc. - Class A#^ | 1,954,858 | |||||||||
26,786 | Silicon Motion Technology Corp. | 1,923,771 | |||||||||
29,757 | SiTime Corp.# | 2,754,010 | |||||||||
60,360 | SkyWater Technology, Inc.# | 1,255,488 | |||||||||
64,500 | Snowflake, Inc. - Class A# | 14,937,555 | |||||||||
46,318 | Sprout Social, Inc. - Class A# | 3,070,420 | |||||||||
19,650 | Square, Inc. - Class A#^ | 4,810,713 | |||||||||
10,338 | Telos Corp.# | 343,015 | |||||||||
5,824 | Trade Desk, Inc. - Class A# | 4,247,501 |
See accompanying Notes to Schedule of Investments
www.calamos.com
121
Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
91,200 | Twilio, Inc. - Class A# | $ | 33,543,360 | ||||||||
16,500 | Unity Software, Inc.#^ | 1,676,070 | |||||||||
19,016 | Varonis Systems, Inc.# | 1,006,897 | |||||||||
124,400 | Visa, Inc. - Class A~ | 29,054,864 | |||||||||
74,200 | Workday, Inc. - Class A# | 18,327,400 | |||||||||
6,650 | Zoom Video Communications, Inc. - Class A# | 2,125,141 | |||||||||
13,300 | Zscaler, Inc.#^ | 2,495,612 | |||||||||
688,978,012 | |||||||||||
Materials (1.6%) | |||||||||||
67,600 | Celanese Corp. - Class A | 10,589,540 | |||||||||
50,600 | Linde, PLC | 14,463,504 | |||||||||
10,718 | Scotts Miracle-Gro Company | 2,477,573 | |||||||||
27,530,617 | |||||||||||
Real Estate (0.1%) | |||||||||||
23,723 | eXp World Holdings, Inc.#^ | 815,122 | |||||||||
23,285 | Redfin Corp.#^ | 1,648,113 | |||||||||
2,463,235 | |||||||||||
TOTAL COMMON STOCKS (Cost $1,024,841,273) | 1,713,556,477 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (0.7%) | |||||||||||
3,614,659 | JPMorgan Prime Money Market Fund - Capital Class, 0.090%***† | 3,614,659 | |||||||||
9,132,804 | State Street Navigator Securities Lending Government Money Market Portfolio† | 9,132,804 | |||||||||
TOTAL INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (Cost $12,747,463) | 12,747,463 | ||||||||||
TOTAL INVESTMENTS (100.5%) (Cost $1,037,588,736) | 1,726,303,940 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-0.7%) | (12,747,463 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (0.2%) | 4,263,288 | ||||||||||
NET ASSETS (100.0%) | $ | 1,717,819,765 |
NOTES TO SCHEDULE OF INVESTMENTS
# Non-income producing security.
~ Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options. The aggregate value of such securities is $18,895,378.
^ Security, or portion of security, is on loan.
*** The rate disclosed is the 7 day net yield as of April 30, 2021.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
122
Growth and Income Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
CORPORATE BOND (0.2%) | |||||||||||
Consumer Discretionary (0.2%) | |||||||||||
5,153,000 | Dana, Inc.^ 5.500%, 12/15/24 (Cost $5,137,469) | $ | 5,262,862 | ||||||||
CONVERTIBLE BONDS (22.1%) | |||||||||||
Communication Services (3.0%) | |||||||||||
3,283,000 | Eventbrite, Inc.* 0.750%, 09/15/26 | 3,569,376 | |||||||||
6,963,000 | Liberty Media Corp. 1.375%, 10/15/23 | 9,112,687 | |||||||||
2,275,000 | 0.500%, 12/01/50* | 2,546,066 | |||||||||
8,050,000 | Liberty Media Corp. / Liberty Formula One 1.000%, 01/30/23 | 10,877,965 | |||||||||
2,090,000 | Live Nation Entertainment, Inc. 2.500%, 03/15/23 | 2,813,015 | |||||||||
3,259,000 | Magnite, Inc.* 0.250%, 03/15/26 | 3,081,319 | |||||||||
3,000,000 | Match Group FinanceCo 2, Inc.^* 0.875%, 06/15/26 | 5,534,670 | |||||||||
2,500,000 | Match Group FinanceCo 3, Inc.* 2.000%, 01/15/30 | 4,942,850 | |||||||||
1,675,000 | Sea, Ltd.* 2.375%, 12/01/25 | 4,763,281 | |||||||||
10,510,000 | Snap, Inc.* | 10,790,302 | |||||||||
8,526,000 | Twitter, Inc. 0.000%, 03/15/26* | 7,781,936 | |||||||||
3,520,000 | 0.250%, 06/15/24 | 4,323,053 | |||||||||
5,000,000 | Zynga, Inc. 0.250%, 06/01/24 | 7,015,150 | |||||||||
77,151,670 | |||||||||||
Consumer Discretionary (6.0%) | |||||||||||
2,775,000 | Bloomin' Brands, Inc.* 5.000%, 05/01/25 | 7,664,189 | |||||||||
13,861,000 | Booking Holdings, Inc.^* 0.750%, 05/01/25 | 21,026,444 | |||||||||
7,115,000 | Burlington Stores, Inc.* 2.250%, 04/15/25 | 11,389,977 | |||||||||
6,480,000 | Chegg, Inc.* 0.000%, 09/01/26 | 7,118,669 | |||||||||
1,800,000 | Dick's Sporting Goods, Inc. 3.250%, 04/15/25 | 4,421,700 | |||||||||
6,230,000 | DraftKings, Inc.^* 0.000%, 03/15/28 | 5,956,441 | |||||||||
7,155,000 | Etsy, Inc.^* 0.125%, 09/01/27 | 9,314,236 | |||||||||
4,709,000 | Expedia Group, Inc.^* 0.000%, 02/15/26 | 5,142,793 | |||||||||
6,280,000 | Ford Motor Company^* 0.000%, 03/15/26 | 6,205,708 | |||||||||
1,143,000 | Guess, Inc. 2.000%, 04/15/24 | 1,436,648 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
2,878,000 | MakeMyTrip, Ltd.* 0.000%, 02/15/28 | $ | 2,860,818 | ||||||||
7,235,000 | Marriott Vacations Worldwide Corp.* 0.000%, 01/15/26 | 8,598,291 | |||||||||
3,190,000 | NCL Corp., Ltd.* 5.375%, 08/01/25 | 6,070,666 | |||||||||
2,175,000 | 6.000%, 05/15/24 | 5,330,990 | |||||||||
12,585,000 | Royal Caribbean Cruises, Ltd.* 4.250%, 06/15/23 | 17,720,938 | |||||||||
6,185,000 | Shake Shack, Inc.* 0.000%, 03/01/28 | 5,880,698 | |||||||||
325,000 | Tesla, Inc. 2.000%, 05/15/24 | 3,713,427 | |||||||||
3,790,000 | Under Armour, Inc.* 1.500%, 06/01/24 | 7,916,097 | |||||||||
7,040,000 | Vail Resorts, Inc.* 0.000%, 01/01/26 | 7,499,782 | |||||||||
3,585,000 | Wayfair, Inc.* 0.625%, 10/01/25 | 3,716,319 | |||||||||
5,955,000 | Winnebago Industries, Inc. 1.500%, 04/01/25 | 8,508,385 | |||||||||
157,493,216 | |||||||||||
Consumer Staples (0.2%) | |||||||||||
6,215,000 | Beyond Meat, Inc.* 0.000%, 03/15/27 | 5,934,890 | |||||||||
Energy (0.8%) | |||||||||||
3,995,000 | EQT Corp.^* 1.750%, 05/01/26 | 5,969,449 | |||||||||
9,355,000 | Pioneer Natural Resources Company* 0.250%, 05/15/25 | 14,232,697 | |||||||||
20,202,146 | |||||||||||
Financials (0.3%) | |||||||||||
3,950,000 | Ares Capital Corp. 4.625%, 03/01/24 | 4,300,760 | |||||||||
3,975,000 | JPMorgan Chase Bank, N.A.^* 0.125%, 01/01/23 | 4,497,156 | |||||||||
8,797,916 | |||||||||||
Health Care (3.2%) | |||||||||||
2,325,000 | CONMED Corp. 2.625%, 02/01/24 | 3,836,018 | |||||||||
6,035,000 | DexCom, Inc.* 0.250%, 11/15/25 | 6,051,053 | |||||||||
3,899,000 | Envista Holdings Corp.^* 2.375%, 06/01/25 | 8,365,538 | |||||||||
4,750,000 | Exact Sciences Corp.^ 0.375%, 03/15/27 | 6,498,950 | |||||||||
2,855,000 | Guardant Health, Inc.* 0.000%, 11/15/27 | 3,757,009 | |||||||||
3,272,000 | Halozyme Therapeutics, Inc.* 0.250%, 03/01/27 | 3,168,376 | |||||||||
4,920,000 | Insulet Corp.^ 0.375%, 09/01/26 | 7,095,476 |
See accompanying Notes to Schedule of Investments
www.calamos.com
123
Growth and Income Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
3,365,000 | Integra LifeSciences Holdings Corp. 0.500%, 08/15/25 | $ | 3,909,928 | ||||||||
7,800,000 | Jazz Investments I, Ltd.* 2.000%, 06/15/26 | 10,083,138 | |||||||||
5,995,000 | NeoGenomics, Inc. 0.250%, 01/15/28 | 6,075,573 | |||||||||
3,730,000 | Oak Street Health, Inc.* 0.000%, 03/15/26 | 3,904,266 | |||||||||
5,250,000 | Omnicell, Inc.* 0.250%, 09/15/25 | 8,175,982 | |||||||||
7,150,000 | Pacira BioSciences, Inc.* 0.750%, 08/01/25 | 7,960,309 | |||||||||
2,699,000 | Repligen Corp. 0.375%, 07/15/24 | 5,098,006 | |||||||||
83,979,622 | |||||||||||
Industrials (3.7%) | |||||||||||
6,240,000 | Air Canada* 4.000%, 07/01/25 | 9,604,234 | |||||||||
3,950,000 | Air Transport Services Group, Inc. 1.125%, 10/15/24 | 4,212,754 | |||||||||
1,300,000 | Chart Industries, Inc.* 1.000%, 11/15/24 | 3,613,285 | |||||||||
7,460,000 | JetBlue Airways Corp.^* 0.500%, 04/01/26 | 8,184,217 | |||||||||
8,645,000 | Middleby Corp.* 1.000%, 09/01/25 | 12,984,358 | |||||||||
3,192,000 | Parsons Corp.* 0.250%, 08/15/25 | 3,653,372 | |||||||||
20,125,000 | Southwest Airlines Company^ 1.250%, 05/01/25 | 35,004,419 | |||||||||
6,115,000 | Sunrun, Inc.* 0.000%, 02/01/26 | 5,055,270 | |||||||||
13,615,000 | Uber Technologies, Inc.^* 0.000%, 12/15/25 | 14,285,402 | |||||||||
96,597,311 | |||||||||||
Information Technology (4.1%) | |||||||||||
3,700,000 | Bentley Systems, Inc.* 0.125%, 01/15/26 | 3,933,322 | |||||||||
3,154,000 | Bill.com Holdings, Inc.* 0.000%, 12/01/25 | 3,840,184 | |||||||||
5,530,000 | Coupa Software, Inc.* 0.375%, 06/15/26 | 6,414,855 | |||||||||
3,915,000 | Datadog, Inc.* 0.125%, 06/15/25 | 4,692,989 | |||||||||
Enphase Energy, Inc.* | |||||||||||
4,990,000 | 0.000%, 03/01/28 | 4,397,487 | |||||||||
2,207,000 | 0.000%, 03/01/26^ | 2,015,786 | |||||||||
1,822,000 | Five9, Inc.* 0.500%, 06/01/25 | 2,756,048 | |||||||||
4,895,000 | Itron, Inc.* 0.000%, 03/15/26 | 4,850,505 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
5,805,000 | LivePerson, Inc.* 0.000%, 12/15/26 | $ | 5,821,254 | ||||||||
11,597,000 | Microchip Technology, Inc.^ 0.125%, 11/15/24 | 13,317,995 | |||||||||
2,235,000 | Nova Measuring Instruments, Ltd.* 0.000%, 10/15/25 | 3,044,785 | |||||||||
4,920,000 | Okta, Inc.^ 0.125%, 09/01/25 | 7,593,872 | |||||||||
2,230,000 | ON Semiconductor Corp.^ 1.625%, 10/15/23 | 4,366,697 | |||||||||
7,310,000 | Repay Holdings Corp.* 0.000%, 02/01/26 | 7,076,811 | |||||||||
6,495,000 | RingCentral, Inc. 0.000%, 03/01/25 | 7,349,028 | |||||||||
4,638,000 | Shift4 Payments, Inc.* 0.000%, 12/15/25 | 6,531,139 | |||||||||
1,358,000 | Shopify, Inc.^ 0.125%, 11/01/25 | 1,586,592 | |||||||||
3,322,000 | Silicon Laboratories, Inc.* 0.625%, 06/15/25 | 4,357,501 | |||||||||
2,275,000 | Square, Inc.^* 0.000%, 05/01/26 | 2,635,792 | |||||||||
2,282,000 | Wix.com, Ltd.^* 0.000%, 08/15/25 | 2,519,670 | |||||||||
2,255,000 | Workday, Inc.^ 0.250%, 10/01/22 | 3,844,865 | |||||||||
2,907,000 | Zscaler, Inc.* 0.125%, 07/01/25 | 4,082,707 | |||||||||
107,029,884 | |||||||||||
Materials (0.1%) | |||||||||||
2,485,000 | MP Materials Corp.^* 0.250%, 04/01/26 | 2,378,120 | |||||||||
Real Estate (0.7%) | |||||||||||
5,340,000 | IH Merger Sub, LLC^ 3.500%, 01/15/22 | 8,273,475 | |||||||||
3,315,000 | Pebblebrook Hotel Trust 1.750%, 12/15/26 | 3,804,891 | |||||||||
5,495,000 | Redfin Corp.* 0.000%, 10/15/25 | 6,663,512 | |||||||||
18,741,878 | |||||||||||
TOTAL CONVERTIBLE BONDS (Cost $458,854,303) | 578,306,653 | ||||||||||
NUMBER OF SHARES | VALUE | ||||||||||
CONVERTIBLE PREFERRED STOCKS (9.1%) | |||||||||||
Communication Services (0.7%) | |||||||||||
15,280 | 2020 Cash Mandatory Exchangeable Trust* 5.250%, 06/01/23 | 17,979,319 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
124
Growth and Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Consumer Discretionary (0.8%) | |||||||||||
124,010 | Aptiv, PLC 5.500%, 06/15/23 | $ | 20,250,833 | ||||||||
Financials (0.8%) | |||||||||||
80,250 | AMG Capital Trust II^ 5.150%, 10/15/37 | 4,648,241 | |||||||||
214,825 | KKR & Company, Inc.^ 6.000%, 09/15/23 | 16,107,578 | |||||||||
20,755,819 | |||||||||||
Health Care (1.5%) | |||||||||||
81,055 | Avantor, Inc.^ 6.250%, 05/15/22 | 8,011,476 | |||||||||
94,735 | Boston Scientific Corp. 5.500%, 06/01/23 | 11,138,941 | |||||||||
Danaher Corp. | |||||||||||
9,890 | 4.750%, 04/15/22 | 16,946,614 | |||||||||
1,594 | 5.000%, 04/15/23^ | 2,256,706 | |||||||||
38,353,737 | |||||||||||
Industrials (1.8%) | |||||||||||
59,310 | Colfax Corp.^ 5.750%, 01/15/22 | 10,899,992 | |||||||||
15,190 | Fortive Corp. 5.000%, 07/01/21 | 15,091,265 | |||||||||
176,425 | Stanley Black & Decker, Inc.^ 5.250%, 11/15/22 | 21,525,614 | |||||||||
47,516,871 | |||||||||||
Information Technology (0.7%) | |||||||||||
12,805 | Broadcom, Inc.^ 8.000%, 09/30/22 | 18,560,207 | |||||||||
Utilities (2.8%) | |||||||||||
73,905 | AES Corp. 6.875%, 02/15/24 | 8,054,906 | |||||||||
80,675 | CenterPoint Energy, Inc. (Warner Media, LLC, Charter Communications Time, Inc.)^§** 4.566%, 09/15/29 | 5,246,779 | |||||||||
140,435 | Dominion Energy, Inc. 7.250%, 06/01/22 | 14,485,870 | |||||||||
273,280 | DTE Energy Company^ 6.250%, 11/01/22 | 13,866,227 | |||||||||
141,390 | Essential Utilities, Inc. 6.000%, 04/30/22 | 8,357,563 | |||||||||
NextEra Energy, Inc. | |||||||||||
326,000 | 4.872%, 09/01/22 | 19,018,840 | |||||||||
88,405 | 6.219%, 09/01/23 | 4,461,801 | |||||||||
73,491,986 | |||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $189,693,676) | 236,908,772 |
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS (67.2%) | |||||||||||
Communication Services (7.5%) | |||||||||||
39,080 | Alphabet, Inc. - Class A#~ | $ | 91,974,780 | ||||||||
321,635 | Comcast Corp. - Class A | 18,059,805 | |||||||||
152,330 | Facebook, Inc. - Class A# | 49,519,436 | |||||||||
27,710 | Netflix, Inc.# | 14,228,254 | |||||||||
126,745 | Walt Disney Company# | 23,577,105 | |||||||||
197,359,380 | |||||||||||
Consumer Discretionary (8.1%) | |||||||||||
28,060 | Amazon.com, Inc.# | 97,295,805 | |||||||||
165,770 | General Motors Company# | 9,485,359 | |||||||||
84,115 | Home Depot, Inc. | 27,225,502 | |||||||||
58,410 | Lowe's Companies, Inc. | 11,462,963 | |||||||||
47,685 | McDonald's Corp. | 11,257,475 | |||||||||
207,960 | MGM Resorts International | 8,468,131 | |||||||||
100,640 | NIKE, Inc. - Class B | 13,346,877 | |||||||||
66,830 | Starbucks Corp. | 7,651,367 | |||||||||
47,470 | Target Corp. | 9,838,632 | |||||||||
12,620 | Tesla, Inc.# | 8,953,133 | |||||||||
100,120 | TJX Companies, Inc. | 7,108,520 | |||||||||
212,093,764 | |||||||||||
Consumer Staples (4.5%) | |||||||||||
408,935 | Coca-Cola Company | 22,074,311 | |||||||||
28,785 | Costco Wholesale Corp. | 10,710,611 | |||||||||
215,050 | Mondelez International, Inc. - Class A | 13,077,191 | |||||||||
98,075 | PepsiCo, Inc. | 14,138,492 | |||||||||
129,500 | Philip Morris International, Inc. | 12,302,500 | |||||||||
152,560 | Procter & Gamble Company | 20,354,555 | |||||||||
109,455 | Sysco Corp. | 9,274,122 | |||||||||
117,332 | Walmart, Inc. | 16,415,920 | |||||||||
118,347,702 | |||||||||||
Energy (2.1%) | |||||||||||
216,685 | Chevron Corp. | 22,333,723 | |||||||||
258,910 | Exxon Mobil Corp. | 14,820,008 | |||||||||
141,960 | Hess Corp. | 10,577,440 | |||||||||
111,565 | Marathon Petroleum Corp. | 6,208,592 | |||||||||
53,939,763 | |||||||||||
Financials (8.9%) | |||||||||||
99,710 | American International Group, Inc. | 4,830,950 | |||||||||
43,888 | Assurant, Inc. | 6,828,973 | |||||||||
727,315 | Bank of America Corp.~ | 29,478,077 | |||||||||
9,110 | BlackRock, Inc. | 7,463,823 | |||||||||
205,520 | Charles Schwab Corp. | 14,468,608 | |||||||||
64,430 | Chubb, Ltd. | 11,055,544 | |||||||||
253,435 | Citigroup, Inc. | 18,054,709 | |||||||||
84,145 | Discover Financial Services | 9,592,530 |
See accompanying Notes to Schedule of Investments
www.calamos.com
125
Growth and Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
43,170 | Goldman Sachs Group, Inc. | $ | 15,042,586 | ||||||||
111,325 | Intercontinental Exchange, Inc. | 13,104,066 | |||||||||
232,540 | JPMorgan Chase & Company~ | 35,766,977 | |||||||||
299,725 | KeyCorp | 6,522,016 | |||||||||
122,180 | Marsh & McLennan Companies, Inc. | 16,579,826 | |||||||||
284,810 | Morgan Stanley | 23,511,065 | |||||||||
37,360 | Northern Trust Corp. | 4,251,568 | |||||||||
127,650 | US Bancorp | 7,576,028 | |||||||||
162,855 | Wells Fargo & Company | 7,336,618 | |||||||||
231,463,964 | |||||||||||
Health Care (7.5%) | |||||||||||
59,960 | Abbott Laboratories | 7,199,997 | |||||||||
46,845 | Agilent Technologies, Inc. | 6,260,366 | |||||||||
15,820 | Anthem, Inc. | 6,001,950 | |||||||||
148,470 | Baxter International, Inc. | 12,722,394 | |||||||||
128,820 | Bristol-Myers Squibb Company | 8,040,944 | |||||||||
72,300 | Edwards Lifesciences Corp.# | 6,906,096 | |||||||||
25,645 | Eli Lilly & Company | 4,687,137 | |||||||||
26,750 | Humana, Inc. | 11,910,170 | |||||||||
6,485 | Intuitive Surgical, Inc.# | 5,609,525 | |||||||||
129,370 | Johnson & Johnson~ | 21,052,380 | |||||||||
156,780 | Medtronic, PLC~ | 20,525,638 | |||||||||
222,685 | Merck & Company, Inc. | 16,590,032 | |||||||||
244,925 | Pfizer, Inc. | 9,466,351 | |||||||||
17,665 | Stryker Corp. | 4,639,359 | |||||||||
26,920 | Thermo Fisher Scientific, Inc. | 12,658,592 | |||||||||
92,715 | UnitedHealth Group, Inc. | 36,974,742 | |||||||||
22,415 | Vertex Pharmaceuticals, Inc.# | 4,890,953 | |||||||||
196,136,626 | |||||||||||
Industrials (6.0%) | |||||||||||
474,725 | Carrier Global Corp. | 20,688,515 | |||||||||
271,280 | CSX Corp. | 27,331,460 | |||||||||
12,540 | FedEx Corp. | 3,640,487 | |||||||||
120,840 | Honeywell International, Inc. | 26,952,154 | |||||||||
87,210 | J.B. Hunt Transport Services, Inc. | 14,887,619 | |||||||||
58,345 | Northrop Grumman Corp. | 20,679,802 | |||||||||
400,075 | Raytheon Technologies Corp. | 33,302,243 | |||||||||
42,150 | Union Pacific Corp. | 9,361,094 | |||||||||
156,843,374 | |||||||||||
Information Technology (19.3%) | |||||||||||
57,015 | Accenture, PLC - Class A | 16,532,640 | |||||||||
31,970 | Adobe, Inc.# | 16,251,630 | |||||||||
37,580 | Advanced Micro Devices, Inc.# | 3,067,280 | |||||||||
982,945 | Apple, Inc.~ | 129,217,950 | |||||||||
185,485 | Cisco Systems, Inc. | 9,443,041 | |||||||||
100,905 | Fidelity National Information Services, Inc. | 15,428,374 |
NUMBER OF SHARES | VALUE | ||||||||||
37,285 | Global Payments, Inc. | $ | 8,002,480 | ||||||||
40,850 | Lam Research Corp. | 25,345,382 | |||||||||
102,200 | Marvell Technology, Inc. | 4,620,462 | |||||||||
61,095 | MasterCard, Inc. - Class A | 23,341,956 | |||||||||
133,330 | Micron Technology, Inc.# | 11,475,713 | |||||||||
486,955 | Microsoft Corp.~ | 122,800,312 | |||||||||
49,180 | NVIDIA Corp. | 29,526,688 | |||||||||
23,310 | PayPal Holdings, Inc.# | 6,113,980 | |||||||||
42,205 | QUALCOMM, Inc. | 5,858,054 | |||||||||
72,820 | Salesforce.com, Inc.# | 16,771,902 | |||||||||
18,370 | ServiceNow, Inc.# | 9,302,017 | |||||||||
27,515 | Skyworks Solutions, Inc. | 4,989,295 | |||||||||
73,010 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | 8,523,187 | |||||||||
168,980 | Visa, Inc. - Class A | 39,466,969 | |||||||||
506,079,312 | |||||||||||
Materials (2.3%) | |||||||||||
43,260 | Celanese Corp. - Class A | 6,776,679 | |||||||||
414,490 | Freeport-McMoRan, Inc. | 15,630,418 | |||||||||
72,650 | Linde, PLC | 20,766,276 | |||||||||
81,855 | PPG Industries, Inc. | 14,016,850 | |||||||||
17,435 | Vulcan Materials Company | 3,107,614 | |||||||||
60,297,837 | |||||||||||
Real Estate (1.0%) | |||||||||||
60,195 | American Tower Corp. | 15,335,880 | |||||||||
61,825 | Crown Castle International Corp. | 11,688,635 | |||||||||
27,024,515 | |||||||||||
TOTAL COMMON STOCKS (Cost $810,969,751) | 1,759,586,237 | ||||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
PURCHASED OPTIONS (0.6%)# | |||||||||||
Consumer Discretionary (0.0%) | |||||||||||
140 | Tesla, Inc. | ||||||||||
9,932,160 | Call, 09/17/21, Strike $850.00 | 736,400 | |||||||||
736,400 | |||||||||||
Information Technology (0.0%) | |||||||||||
1,650 | Intel Corp. | ||||||||||
9,492,450 | Call, 06/18/21, Strike $70.00 | 14,850 | |||||||||
760 | Micron Technology, Inc. | ||||||||||
6,541,320 | Call, 06/18/21, Strike $90.00 | 237,500 | |||||||||
1,550 | Oracle Corp. | ||||||||||
11,747,450 | Call, 06/18/21, Strike $80.00 | 172,825 | |||||||||
425,175 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
126
Growth and Income Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
Other (0.6%) | |||||||||||
1,150 | Invesco QQQ Trust Series | ||||||||||
38,868,850 | Put, 09/30/21, Strike $320.00 | $ | 1,534,675 | ||||||||
4,650 | iShares China Large-Cap ETF | ||||||||||
21,520,200 | Call, 06/18/21, Strike $56.00 | 18,600 | |||||||||
22,330 | iShares MSCI EAFE ETF | ||||||||||
174,419,630 | Call, 06/18/21, Strike $78.00 | 5,861,625 | |||||||||
9,530 | |||||||||||
74,438,830 | Call, 06/18/21, Strike $75.00 | 3,526,100 | |||||||||
8,140 | iShares MSCI Emerging Markets | ||||||||||
43,939,720 | Call, 06/18/21, Strike $59.00 | 93,610 | |||||||||
4,480 | |||||||||||
24,183,040 | Call, 06/18/21, Strike $57.00 | 136,640 | |||||||||
2,650 | iShares MSCI Japan ETF | ||||||||||
17,866,300 | Call, 06/18/21, Strike $70.00 | 120,575 | |||||||||
2,750 | iShares Russell 2000 ETF | ||||||||||
61,844,750 | Call, 06/18/21, Strike $230.00 | 1,421,750 | |||||||||
155 | S&P 500 Index | ||||||||||
64,808,135 | Put, 09/30/21, Strike $4,000.00 | 2,108,000 | |||||||||
78 | |||||||||||
32,613,126 | Put, 05/21/21, Strike $3,750.00 | 42,120 | |||||||||
14,863,695 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost $21,457,358) | 16,025,270 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (3.8%) | |||||||||||
51,040,435 | JPMorgan Prime Money Market Fund - Capital Class, 0.090%***† | 51,040,435 | |||||||||
49,470,662 | State Street Navigator Securities Lending Government Money Market Portfolio† | 49,470,662 | |||||||||
TOTAL INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (Cost $100,511,097) | 100,511,097 | ||||||||||
TOTAL INVESTMENTS (103.0%) (Cost $1,586,623,654) | 2,696,600,891 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-3.8%) | (100,511,097 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (0.8%) | 21,537,500 | ||||||||||
NET ASSETS (100.0%) | $ | 2,617,627,294 |
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
WRITTEN OPTION (0.0%)# | |||||||||||
Consumer Discretionary (0.0%) | |||||||||||
140 | Tesla, Inc. | ||||||||||
9,932,160 | Put, 09/17/21, Strike $600.00 (Premium $758,097) | $ | (725,200 | ) |
NOTES TO SCHEDULE OF INVESTMENTS
^ Security, or portion of security, is on loan.
* 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.
# Non-income producing security.
§ Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.
** Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at April 30, 2021.
~ 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 $6,751,289.
*** The rate disclosed is the 7 day net yield as of April 30, 2021.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
FORWARD FOREIGN CURRENCY CONTRACTS
COUNTERPARTY | LONG CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/(LOSS) | ||||||||||||||||||
Bank of New York | Canadian Dollar | 07/29/21 | 1,244,000 | $ | 1,012,250 | $ | 17,161 | ||||||||||||||||
State Street Bank and Trust | Canadian Dollar | 07/29/21 | 1,139,000 | 926,812 | 15,446 | ||||||||||||||||||
$ | 32,607 | ||||||||||||||||||||||
COUNTERPARTY | SHORT CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/(LOSS) | ||||||||||||||||||
State Street Bank and Trust | Canadian Dollar | 07/29/21 | 1,102,000 | $ | 896,704 | $ | (183 | ) | |||||||||||||||
State Street Bank and Trust | New Taiwanese Dollar | 07/29/21 | 236,402,000 | 8,465,322 | (32,332 | ) | |||||||||||||||||
Northern Trust Company | Canadian Dollar | 07/29/21 | 11,704,000 | 9,523,613 | (162,473 | ) | |||||||||||||||||
$ | (194,988 | ) |
Note: 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.
See accompanying Notes to Schedule of Investments
www.calamos.com
127
Dividend Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS (97.8%) | |||||||||||
Communication Services (9.9%) | |||||||||||
285 | Alphabet, Inc. - Class C# | $ | 686,884 | ||||||||
2,016 | AT&T, Inc. | 63,322 | |||||||||
3,160 | Comcast Corp. - Class A | 177,434 | |||||||||
1,065 | Facebook, Inc. - Class A# | 346,210 | |||||||||
210 | Netflix, Inc.# | 107,829 | |||||||||
490 | T-Mobile US, Inc.# | 64,744 | |||||||||
1,220 | Walt Disney Company# | 226,944 | |||||||||
1,673,367 | |||||||||||
Consumer Discretionary (13.6%) | |||||||||||
210 | Amazon.com, Inc.# | 728,158 | |||||||||
910 | Aptiv, PLC# | 130,940 | |||||||||
40 | Booking Holdings, Inc.# | 98,643 | |||||||||
525 | Dick's Sporting Goods, Inc. | 43,355 | |||||||||
1,370 | General Motors Company# | 78,391 | |||||||||
585 | Home Depot, Inc. | 189,347 | |||||||||
550 | Lowe's Companies, Inc. | 107,938 | |||||||||
425 | McDonald's Corp. | 100,334 | |||||||||
3,050 | MGM Resorts International | 124,196 | |||||||||
1,250 | NIKE, Inc. - Class B | 165,775 | |||||||||
970 | Royal Caribbean Cruises, Ltd.# | 84,342 | |||||||||
690 | Starbucks Corp. | 78,998 | |||||||||
615 | Target Corp. | 127,465 | |||||||||
80 | Tesla, Inc.# | 56,755 | |||||||||
2,200 | TJX Companies, Inc. | 156,200 | |||||||||
1,185 | Under Armour, Inc., Class A# | 28,807 | |||||||||
2,299,644 | |||||||||||
Consumer Staples (5.6%) | |||||||||||
3,075 | Coca-Cola Company | 165,989 | |||||||||
225 | Costco Wholesale Corp. | 83,720 | |||||||||
1,440 | Mondelez International, Inc. - Class A | 87,567 | |||||||||
630 | PepsiCo, Inc. | 90,821 | |||||||||
1,025 | Philip Morris International, Inc. | 97,375 | |||||||||
1,110 | Procter & Gamble Company | 148,096 | |||||||||
1,555 | Sysco Corp. | 131,755 | |||||||||
1,075 | Walmart, Inc. | 150,403 | |||||||||
955,726 | |||||||||||
Energy (3.5%) | |||||||||||
1,605 | Chevron Corp. | 165,427 | |||||||||
1,080 | ConocoPhillips | 55,231 | |||||||||
2,495 | Exxon Mobil Corp. | 142,814 | |||||||||
1,405 | Hess Corp. | 104,687 | |||||||||
1,190 | Marathon Petroleum Corp. | 66,224 | |||||||||
410 | Pioneer Natural Resources Company | 63,070 | |||||||||
597,453 |
NUMBER OF SHARES | VALUE | ||||||||||
Financials (12.4%) | |||||||||||
299 | American Express Company | $ | 45,852 | ||||||||
360 | American International Group, Inc. | 17,442 | |||||||||
495 | Assurant, Inc. | 77,022 | |||||||||
6,270 | Bank of America Corp. | 254,123 | |||||||||
65 | BlackRock, Inc. | 53,254 | |||||||||
1,920 | Charles Schwab Corp. | 135,168 | |||||||||
495 | Chubb, Ltd. | 84,937 | |||||||||
1,955 | Citigroup, Inc. | 139,274 | |||||||||
670 | Discover Financial Services | 76,380 | |||||||||
455 | Goldman Sachs Group, Inc. | 158,545 | |||||||||
900 | Intercontinental Exchange, Inc. | 105,939 | |||||||||
1,885 | JPMorgan Chase & Company | 289,932 | |||||||||
3,195 | KeyCorp | 69,523 | |||||||||
780 | Marsh & McLennan Companies, Inc. | 105,846 | |||||||||
2,565 | Morgan Stanley | 211,741 | |||||||||
400 | Northern Trust Corp. | 45,520 | |||||||||
1,745 | US Bancorp | 103,566 | |||||||||
2,755 | Wells Fargo & Company | 124,113 | |||||||||
2,098,177 | |||||||||||
Health Care (10.1%) | |||||||||||
1,225 | Abbott Laboratories | 147,098 | |||||||||
310 | Agilent Technologies, Inc. | 41,428 | |||||||||
120 | Amgen, Inc. | 28,757 | |||||||||
110 | Anthem, Inc. | 41,733 | |||||||||
1,060 | Baxter International, Inc. | 90,832 | |||||||||
1,495 | Bristol-Myers Squibb Company | 93,318 | |||||||||
455 | Danaher Corp. | 115,543 | |||||||||
530 | Eli Lilly & Company | 96,868 | |||||||||
163 | Humana, Inc. | 72,574 | |||||||||
940 | Johnson & Johnson | 152,966 | |||||||||
1,240 | Medtronic, PLC | 162,341 | |||||||||
1,795 | Merck & Company, Inc. | 133,728 | |||||||||
1,985 | Pfizer, Inc. | 76,720 | |||||||||
215 | Stryker Corp. | 56,465 | |||||||||
285 | Thermo Fisher Scientific, Inc. | 134,016 | |||||||||
685 | UnitedHealth Group, Inc. | 273,178 | |||||||||
1,717,565 | |||||||||||
Industrials (8.6%) | |||||||||||
4,150 | Carrier Global Corp. | 180,857 | |||||||||
1,700 | CSX Corp. | 171,275 | |||||||||
170 | FedEx Corp. | 49,353 | |||||||||
1,550 | Fortive Corp. | 109,771 | |||||||||
835 | Honeywell International, Inc. | 186,238 | |||||||||
565 | J.B. Hunt Transport Services, Inc. | 96,451 | |||||||||
265 | Northrop Grumman Corp. | 93,927 | |||||||||
2,615 | Raytheon Technologies Corp. | 217,672 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
128
Dividend Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
2,815 | Southwest Airlines Company# | $ | 176,726 | ||||||||
495 | Stanley Black & Decker, Inc. | 102,351 | |||||||||
355 | Union Pacific Corp. | 78,842 | |||||||||
1,463,463 | |||||||||||
Information Technology (27.8%) | |||||||||||
530 | Accenture, PLC - Class A | 153,684 | |||||||||
215 | Adobe, Inc.# | 109,293 | |||||||||
8,015 | Apple, Inc. | 1,053,652 | |||||||||
985 | Applied Materials, Inc. | 130,719 | |||||||||
400 | Broadcom, Inc. | 182,480 | |||||||||
2,045 | Cisco Systems, Inc. | 104,111 | |||||||||
840 | Fidelity National Information Services, Inc. | 128,436 | |||||||||
465 | Global Payments, Inc. | 99,803 | |||||||||
1,775 | Intel Corp. | 102,116 | |||||||||
255 | Intuit, Inc. | 105,101 | |||||||||
245 | Lam Research Corp. | 152,010 | |||||||||
1,020 | Marvell Technology, Inc. | 46,114 | |||||||||
565 | MasterCard, Inc. - Class A | 215,864 | |||||||||
500 | Microchip Technology, Inc. | 75,145 | |||||||||
1,280 | Micron Technology, Inc.# | 110,170 | |||||||||
3,680 | Microsoft Corp. | 928,023 | |||||||||
435 | NVIDIA Corp. | 261,165 | |||||||||
1,365 | Oracle Corp. | 103,453 | |||||||||
190 | PayPal Holdings, Inc.# | 49,835 | |||||||||
390 | QUALCOMM, Inc. | 54,132 | |||||||||
385 | salesforce.com, Inc.# | 88,673 | |||||||||
120 | ServiceNow, Inc.# | 60,764 | |||||||||
215 | Skyworks Solutions, Inc. | 38,986 | |||||||||
490 | Texas Instruments, Inc. | 88,450 | |||||||||
1,185 | Visa, Inc. - Class A | 276,769 | |||||||||
4,718,948 | |||||||||||
Materials (3.2%) | |||||||||||
275 | Celanese Corp. - Class A | 43,079 | |||||||||
2,700 | Freeport-McMoRan, Inc. | 101,817 | |||||||||
490 | Linde, PLC | 140,062 | |||||||||
410 | LyondellBasell Industries, NV - Class A | 42,533 | |||||||||
530 | PPG Industries, Inc. | 90,757 | |||||||||
210 | Sherwin-Williams Company | 57,513 | |||||||||
360 | Vulcan Materials Company | 64,166 | |||||||||
539,927 | |||||||||||
Real Estate (1.1%) | |||||||||||
410 | American Tower Corp. | 104,455 | |||||||||
395 | Crown Castle International Corp. | 74,679 | |||||||||
179,134 |
NUMBER OF SHARES | VALUE | ||||||||||
Utilities (2.0%) | |||||||||||
915 | Dominion Energy, Inc. | $ | 73,108 | ||||||||
685 | DTE Energy Company | 95,914 | |||||||||
2,255 | NextEra Energy, Inc. | 174,785 | |||||||||
343,807 | |||||||||||
TOTAL COMMON STOCKS (Cost $9,232,872) | 16,587,211 | ||||||||||
EXCHANGE-TRADED FUNDS (1.7%) | |||||||||||
Other (1.7%) | |||||||||||
245 | iShares NASDAQ Biotechnology ETF^ | 37,887 | |||||||||
555 | iShares Russell 2000 ETF^ | 124,814 | |||||||||
770 | iShares Russell 2000 Value ETF | 125,032 | |||||||||
TOTAL EXCHANGE-TRADED FUNDS (Cost $253,223) | 287,733 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (0.3%) | |||||||||||
46,575 | State Street Navigator Securities Lending Government Money Market Portfolio† (Cost $46,575) | 46,575 | |||||||||
TOTAL INVESTMENTS (99.8%) (Cost $9,532,670) | 16,921,519 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-0.3%) | (46,575 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (0.5%) | 84,216 | ||||||||||
NET ASSETS (100.0%) | $ | 16,959,160 |
NOTES TO SCHEDULE OF INVESTMENTS
# Non-income producing security.
^ Security, or portion of security, is on loan.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
See accompanying Notes to Schedule of Investments
www.calamos.com
129
Select Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS (98.2%) | |||||||||||
Communication Services (10.0%) | |||||||||||
1,006 | Alphabet, Inc. - Class A# | $ | 2,367,621 | ||||||||
5,155 | Facebook, Inc. - Class A# | 1,675,787 | |||||||||
675 | Netflix, Inc.# | 346,592 | |||||||||
3,072 | Walt Disney Company# | 571,454 | |||||||||
4,961,454 | |||||||||||
Consumer Discretionary (12.8%) | |||||||||||
764 | Amazon.com, Inc.# | 2,649,109 | |||||||||
3,450 | Aptiv, PLC# | 496,420 | |||||||||
5,260 | Las Vegas Sands Corp.# | 322,228 | |||||||||
1,328 | Lululemon Athletica, Inc.# | 445,238 | |||||||||
5,766 | NIKE, Inc. - Class B | 764,687 | |||||||||
4,506 | Starbucks Corp. | 515,892 | |||||||||
950 | Tesla, Inc.# | 673,968 | |||||||||
6,827 | TJX Companies, Inc. | 484,717 | |||||||||
6,352,259 | |||||||||||
Consumer Staples (7.9%) | |||||||||||
12,196 | Coca-Cola Company | 658,340 | |||||||||
4,097 | Constellation Brands, Inc. - Class A | 984,591 | |||||||||
1,910 | Estee Lauder Companies, Inc. - Class A | 599,358 | |||||||||
8,300 | Mondelez International, Inc. - Class A | 504,723 | |||||||||
5,965 | Sysco Corp. | 505,414 | |||||||||
4,639 | Walmart, Inc. | 649,043 | |||||||||
3,901,469 | |||||||||||
Energy (2.6%) | |||||||||||
4,180 | Chevron Corp. | 430,833 | |||||||||
11,687 | Hess Corp. | 870,798 | |||||||||
1,301,631 | |||||||||||
Financials (12.5%) | |||||||||||
5,322 | American Express Company | 816,129 | |||||||||
14,352 | Bank of America Corp. | 581,687 | |||||||||
10,059 | Charles Schwab Corp. | 708,154 | |||||||||
2,274 | Chubb, Ltd. | 390,196 | |||||||||
5,427 | Discover Financial Services | 618,678 | |||||||||
1,305 | Goldman Sachs Group, Inc. | 454,727 | |||||||||
5,495 | JPMorgan Chase & Company | 845,186 | |||||||||
9,450 | Morgan Stanley | 780,097 | |||||||||
22,590 | Wells Fargo & Company | 1,017,679 | |||||||||
6,212,533 |
NUMBER OF SHARES | VALUE | ||||||||||
Health Care (11.5%) | |||||||||||
12,122 | Boston Scientific Corp.# | $ | 528,519 | ||||||||
5,484 | Bristol-Myers Squibb Company | 342,311 | |||||||||
3,465 | Danaher Corp. | 879,902 | |||||||||
853 | Dexcom, Inc.# | 329,343 | |||||||||
4,355 | Edwards Lifesciences Corp.# | 415,990 | |||||||||
3,898 | Eli Lilly & Company | 712,437 | |||||||||
2,870 | Exact Sciences Corp.# | 378,323 | |||||||||
2,551 | UnitedHealth Group, Inc. | 1,017,339 | |||||||||
1,838 | Vertex Pharmaceuticals, Inc.# | 401,052 | |||||||||
3,886 | Zoetis, Inc. | 672,395 | |||||||||
5,677,611 | |||||||||||
Industrials (10.9%) | |||||||||||
10,400 | Air Lease Corp. - Class A | 485,784 | |||||||||
11,300 | Carrier Global Corp. | 492,454 | |||||||||
7,926 | CSX Corp. | 798,545 | |||||||||
3,146 | Honeywell International, Inc. | 701,684 | |||||||||
7,324 | Raytheon Technologies Corp. | 609,650 | |||||||||
10,371 | Southwest Airlines Company# | 651,091 | |||||||||
9,269 | Uber Technologies, Inc.# | 507,663 | |||||||||
2,049 | Union Pacific Corp. | 455,062 | |||||||||
4,940 | Waste Management, Inc. | 681,572 | |||||||||
5,383,505 | |||||||||||
Information Technology (25.0%) | |||||||||||
22,261 | Apple, Inc. | 2,926,431 | |||||||||
5,400 | Applied Materials, Inc. | 716,634 | |||||||||
1,156 | Broadcom, Inc. | 527,367 | |||||||||
3,107 | Fidelity National Information Services, Inc. | 475,060 | |||||||||
1,149 | MasterCard, Inc. - Class A | 438,987 | |||||||||
6,336 | Micron Technology, Inc.# | 545,340 | |||||||||
11,321 | Microsoft Corp. | 2,854,930 | |||||||||
1,634 | NVIDIA Corp. | 981,021 | |||||||||
1,349 | Paycom Software, Inc.# | 518,569 | |||||||||
2,027 | PayPal Holdings, Inc.# | 531,662 | |||||||||
2,390 | salesforce.com, Inc.# | 550,465 | |||||||||
1,470 | Twilio, Inc. - Class A# | 540,666 | |||||||||
3,427 | Visa, Inc. - Class A | 800,410 | |||||||||
12,407,542 | |||||||||||
Materials (2.5%) | |||||||||||
3,360 | Celanese Corp. - Class A | 526,344 | |||||||||
2,400 | Linde, PLC | 686,016 | |||||||||
1,212,360 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
130
Select Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Utilities (2.5%) | |||||||||||
6,728 | Dominion Energy, Inc. | $ | 537,567 | ||||||||
9,063 | NextEra Energy, Inc. | 702,473 | |||||||||
1,240,040 | |||||||||||
TOTAL COMMON STOCKS (Cost $33,334,042) | 48,650,404 | ||||||||||
TOTAL INVESTMENTS (98.2%) (Cost $33,334,042) | 48,650,404 | ||||||||||
OTHER ASSETS, LESS LIABILITIES (1.8%) | 903,689 | ||||||||||
NET ASSETS (100.0%) | $ | 49,554,093 |
NOTES TO SCHEDULE OF INVESTMENTS
# Non-income producing security.
See accompanying Notes to Schedule of Investments
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131
International Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS (99.2%) | |||||||||||
Communication Services (5.8%) | |||||||||||
36,380 | Sea, Ltd.#^ | $ | 9,187,405 | ||||||||
90,700 | HKD | Tencent Holdings, Ltd. | 7,235,319 | ||||||||
16,422,724 | |||||||||||
Consumer Discretionary (20.1%) | |||||||||||
26,262 | Alibaba Group Holding, Ltd.#~ | 6,065,209 | |||||||||
33,100 | Aptiv, PLC#~ | 4,762,759 | |||||||||
255,000 | GBP | B&M European Value Retail, SA | 1,993,322 | ||||||||
31,000 | CAD | BRP, Inc. | 2,847,919 | ||||||||
38,150 | Capri Holdings, Ltd.# | 2,101,302 | |||||||||
126,200 | GBP | Compass Group, PLC# | 2,745,389 | ||||||||
47,900 | EUR | Daimler, AG | 4,263,039 | ||||||||
41,000 | INR | Dixon Technologies India, Ltd.# | 2,311,502 | ||||||||
37,800 | CHF | Dufry, AG#^ | 2,487,569 | ||||||||
10,700 | EUR | Flutter Entertainment, PLC# | 2,181,303 | ||||||||
217,000 | HKD | Galaxy Entertainment Group, Ltd.# | 1,904,852 | ||||||||
147,250 | EUR | Global Fashion Group, SA# | 2,311,002 | ||||||||
44,000 | SEK | Kambi Group, PLC# | 2,216,878 | ||||||||
259,000 | HKD | Li Ning Company, Ltd. | 2,101,962 | ||||||||
8,100 | EUR | LVMH Moet Hennessy Louis Vuitton, SE | 6,102,136 | ||||||||
7,600 | CAD | Magna International, Inc. | 717,738 | ||||||||
1,380 | MercadoLibre, Inc.# | 2,167,952 | |||||||||
43,900 | EUR | Moncler, S.p.A.# | 2,690,650 | ||||||||
47,500 | GBP | Persimmon, PLC | 2,054,875 | ||||||||
30,600 | Sony Group Corp. | 3,064,896 | |||||||||
57,092,254 | |||||||||||
Consumer Staples (0.4%) | |||||||||||
3,550 | CHF | Zur Rose Group, AG#^ | 1,181,486 | ||||||||
Energy (2.3%) | |||||||||||
87,800 | CAD | Canadian Natural Resources, Ltd. | 2,665,108 | ||||||||
70,800 | INR | Reliance Industries, Ltd. | 1,903,462 | ||||||||
45,500 | EUR | TOTAL, SE | 2,010,998 | ||||||||
6,579,568 | |||||||||||
Financials (13.4%) | |||||||||||
220,800 | HKD | AIA Group, Ltd. | 2,802,520 | ||||||||
301,100 | INR | HDFC Bank, Ltd.# | 5,723,322 | ||||||||
35,200 | HKD | Hong Kong Exchanges & Clearing, Ltd. | 2,122,948 | ||||||||
135,400 | ICICI Bank, Ltd.#^ | 2,207,020 | |||||||||
547,300 | EUR | ING Groep, NV | 6,991,746 | ||||||||
6,900,400 | GBP | Lloyds Banking Group, PLC | 4,327,098 | ||||||||
55,000 | EUR | NN Group, NV | 2,743,315 | ||||||||
214,500 | HKD | Ping An Insurance Group Company of China, Ltd. - Class H | 2,338,536 | ||||||||
76,700 | JPY | Sumitomo Mitsui Financial Group, Inc. | 2,694,373 | ||||||||
403,700 | UBS Group, AG#^ | 6,172,573 | |||||||||
38,123,451 |
NUMBER OF SHARES | VALUE | ||||||||||
Health Care (6.3%) | |||||||||||
119,650 | Alcon, Inc.#^ | $ | 9,025,199 | ||||||||
7,900 | EUR | Carl Zeiss Meditec, AG | 1,391,754 | ||||||||
15,200 | Horizon Therapeutics, PLC# | 1,438,224 | |||||||||
32,600 | LivaNova, PLC# | 2,766,762 | |||||||||
231,000 | HKD | Wuxi Biologics Cayman, Inc.#* | 3,242,730 | ||||||||
17,864,669 | |||||||||||
Industrials (19.7%) | |||||||||||
202,000 | CAD | Air Canada#^ | 4,070,732 | ||||||||
28,980 | EUR | Airbus, SE# | 3,485,125 | ||||||||
37,600 | SEK | Atlas Copco, AB - Class A | 2,280,066 | ||||||||
131,500 | CAD | CAE, Inc.# | 4,118,903 | ||||||||
8,150 | CAD | Canadian Pacific Railway, Ltd. | 3,041,522 | ||||||||
25,100 | Copa Holdings, SA - Class A# | 2,171,150 | |||||||||
100,300 | EUR | Deutsche Post, AG | 5,907,384 | ||||||||
12,800 | JPY | FANUC Corp. | 2,947,619 | ||||||||
29,800 | JPY | Harmonic Drive Systems, Inc.^ | 2,004,055 | ||||||||
82,400 | GBP | ITM Power, PLC#^ | 591,806 | ||||||||
41,500 | JPY | ITOCHU Corp. | 1,295,577 | ||||||||
171,500 | JPY | Komatsu, Ltd. | 5,042,893 | ||||||||
92,900 | JPY | Lixil Corp. | 2,516,373 | ||||||||
25,000 | JPY | Nidec Corp. | 2,886,721 | ||||||||
49,500 | JPY | Recruit Holdings Company, Ltd. | 2,231,830 | ||||||||
102,700 | EUR | Ryanair Holdings, PLC#^ | 2,084,789 | ||||||||
83,200 | SEK | Sandvik, AB | 2,057,490 | ||||||||
24,075 | EUR | Schneider Electric, SE | 3,841,305 | ||||||||
191,000 | HKD | Techtronic Industries Company, Ltd. | 3,465,649 | ||||||||
56,040,989 | |||||||||||
Information Technology (23.6%) | |||||||||||
9,850 | Accenture, PLC - Class A | 2,856,205 | |||||||||
2,295 | EUR | Adyen, NV#* | 5,648,209 | ||||||||
43,150 | EUR | Amadeus IT Group, SA# | 2,938,430 | ||||||||
4,300 | EUR | ASM International, NV | 1,304,521 | ||||||||
22,855 | EUR | ASML Holding, NV | 14,836,128 | ||||||||
9,100 | EUR | Dassault Systèmes SE | 2,110,949 | ||||||||
17,900 | JPY | Fujitsu, Ltd. | 2,843,558 | ||||||||
9,200 | JPY | Keyence Corp. | 4,416,485 | ||||||||
66,000 | TWD | MediaTek, Inc. | 2,766,889 | ||||||||
50,200 | KRW | Samsung Electronics Company, Ltd. | 3,658,851 | ||||||||
3,015 | Shopify, Inc. - Class A# | 3,565,268 | |||||||||
12,100 | SEK | Sinch, AB#* | 1,889,619 | ||||||||
473,000 | TWD | Taiwan Semiconductor Manufacturing Company, Ltd. | 9,961,194 | ||||||||
39,150 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | 4,570,371 | |||||||||
8,100 | JPY | Tokyo Electron, Ltd. | 3,678,920 | ||||||||
67,045,597 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
132
International Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Materials (7.0%) | |||||||||||
125,000 | EUR | ArcelorMittal, SA# | $ | 3,633,827 | |||||||
492,000 | Cemex, SAB de CV# | 3,881,880 | |||||||||
29,000 | EUR | CRH, PLC | 1,368,342 | ||||||||
101,800 | CAD | First Quantum Minerals, Ltd. | 2,346,332 | ||||||||
57,000 | Freeport-McMoRan, Inc. | 2,149,470 | |||||||||
90,850 | AUD | James Hardie Industries, PLC | 2,993,904 | ||||||||
1,500 | KRW | LG Chem, Ltd. | 1,252,181 | ||||||||
172,900 | INR | Tata Steel, Ltd. | 2,385,453 | ||||||||
20,011,389 | |||||||||||
Real Estate (0.6%) | |||||||||||
99,211 | INR | Godrej Properties, Ltd.# | 1,822,968 | ||||||||
TOTAL COMMON STOCKS (Cost $193,814,221) | 282,185,095 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (6.3%) | |||||||||||
17,985,211 | State Street Navigator Securities Lending Government Money Market Portfolio† (Cost $17,985,211) | 17,985,211 | |||||||||
TOTAL INVESTMENTS (105.5%) (Cost $211,799,432) | 300,170,306 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-6.3%) | (17,985,211 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (0.8%) | 2,307,993 | ||||||||||
NET ASSETS (100.0%) | $ | 284,493,088 |
NOTES TO SCHEDULE OF INVESTMENTS
# Non-income producing security.
^ Security, or portion of security, is on loan.
~ 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 $77,719.
* 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.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
FOREIGN CURRENCY ABBREVIATIONS
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR European Monetary Unit
GBP British Pound Sterling
HKD Hong Kong Dollar
INR Indian Rupee
JPY Japanese Yen
KRW South Korean Won
SEK Swedish Krona
TWD New Taiwan Dollar
FORWARD FOREIGN CURRENCY CONTRACTS
COUNTERPARTY | LONG CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/(LOSS) | ||||||||||||||||||
Bank of New York | British Pound Sterling | 06/30/21 | 10,427,000 | $ | 14,402,465 | $ | 90,961 | ||||||||||||||||
State Street Bank and European Monetary Trust | Unit | 06/30/21 | 10,202,000 | 12,279,677 | 220,746 | ||||||||||||||||||
$ | 311,707 |
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars. 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.
CURRENCY EXPOSURE
APRIL 30, 2021
VALUE | % OF TOTAL INVESTMENTS | ||||||||||
US Dollar | $ | 86,138,856 | 28.7 | % | |||||||
European Monetary Unit | 77,844,952 | 25.9 | % | ||||||||
Japanese Yen | 32,558,404 | 10.9 | % | ||||||||
Hong Kong Dollar | 25,214,516 | 8.4 | % | ||||||||
Canadian Dollar | 19,808,254 | 6.6 | % | ||||||||
Indian Rupee | 14,146,707 | 4.7 | % | ||||||||
New Taiwan Dollar | 12,728,083 | 4.3 | % | ||||||||
British Pound Sterling | 11,712,490 | 3.9 | % | ||||||||
Swedish Krona | 8,444,053 | 2.8 | % | ||||||||
South Korean Won | 4,911,032 | 1.6 | % | ||||||||
Swiss Franc | 3,669,055 | 1.2 | % | ||||||||
Australian Dollar | 2,993,904 | 1.0 | % | ||||||||
Total Investments | $ | 300,170,306 | 100.0 | % |
Currency exposure may vary over time.
See accompanying Notes to Schedule of Investments
www.calamos.com
133
Evolving World Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
CONVERTIBLE BONDS (11.3%) | |||||||||||
Airlines (1.3%) | |||||||||||
66,000,000 | HKD | Cathay Pacific Finance III, Ltd. 2.750%, 02/05/26 | $ | 9,086,423 | |||||||
Communication Services (2.5%) | |||||||||||
7,700,000 | Kakao Corp. 0.000%, 04/28/23 | 9,831,822 | |||||||||
2,695,000 | Sea, Ltd.*~ 2.375%, 12/01/25 | 7,663,906 | |||||||||
17,495,728 | |||||||||||
Consumer Discretionary (1.9%) | |||||||||||
5,200,000 | EUR | Global Fashion Group, SA 1.250%, 03/15/28 | 6,462,193 | ||||||||
4,670,000 | Huazhu Group, Ltd. 0.375%, 11/01/22 | 6,405,932 | |||||||||
12,868,125 | |||||||||||
Financials (1.8%) | |||||||||||
86,000,000 | HKD | Citigroup Global Markets Funding Luxembourg SCA 0.000%, 07/25/24 | 12,763,130 | ||||||||
Industrials (0.6%) | |||||||||||
2,323,000 | Copa Holdings, SA* 4.500%, 04/15/25 | 4,276,597 | |||||||||
Information Technology (1.7%) | |||||||||||
5,200,000 | LG Display Company, Ltd. 1.500%, 08/22/24 | 7,137,260 | |||||||||
4,200,000 | Win Semiconductors Corp. 0.000%, 01/14/26 | 4,465,650 | |||||||||
11,602,910 | |||||||||||
Materials (0.7%) | |||||||||||
4,316,000 | Ivanhoe Mines, Ltd.* 2.500%, 04/15/26 | 5,178,725 | |||||||||
Real Estate (0.8%) | |||||||||||
5,000,000 | Vingroup, JSC 3.000%, 04/20/26 | 5,192,150 | |||||||||
TOTAL CONVERTIBLE BONDS (Cost $69,307,836) | 78,463,788 | ||||||||||
NUMBER OF SHARES | VALUE | ||||||||||
CONVERTIBLE PREFERRED STOCK (1.0%) | |||||||||||
Consumer Discretionary (1.0%) | |||||||||||
41,925 | Aptiv, PLC 5.500%, 06/15/23 (Cost $5,383,799) | 6,846,352 | |||||||||
COMMON STOCKS (85.1%) | |||||||||||
Communication Services (7.8%) | |||||||||||
23,400 | INR | Affle India, Ltd.# | 1,741,509 | ||||||||
20,675 | Baidu, Inc.# | 4,348,573 | |||||||||
18,545 | KRW | NAVER Corp. | 5,971,897 |
NUMBER OF SHARES | VALUE | ||||||||||
26,550 | Sea, Ltd.#^ | $ | 6,704,937 | ||||||||
6,200 | KRW | SK Telecom Company, Ltd. | 1,688,719 | ||||||||
273,400 | HKD | Tencent Holdings, Ltd. | 21,809,663 | ||||||||
149,450 | Tencent Holdings, Ltd.^ | 11,905,187 | |||||||||
54,170,485 | |||||||||||
Consumer Discretionary (13.7%) | |||||||||||
225,000 | HKD | Alibaba Group Holding, Ltd.# | 6,504,232 | ||||||||
62,935 | Alibaba Group Holding, Ltd.# | 14,534,838 | |||||||||
83,642 | CNY | China Tourism Group Duty Free Corp., Ltd. - Class A | 4,013,863 | ||||||||
43,000 | Coupang, Inc.# | 1,801,700 | |||||||||
119,000 | INR | Dixon Technologies India, Ltd.# | 6,708,995 | ||||||||
506,000 | HKD | Galaxy Entertainment Group, Ltd.# | 4,441,729 | ||||||||
32,550 | KRW | Hyundai Motor Company | 6,189,442 | ||||||||
43,775 | JD.com, Inc.# | 3,386,434 | |||||||||
839,100 | HKD | Li Ning Company, Ltd. | 6,809,868 | ||||||||
9,500 | EUR | LVMH Moet Hennessy Louis Vuitton, SE | 7,156,826 | ||||||||
130,965 | MakeMyTrip, Ltd.# | 3,591,060 | |||||||||
93,000 | HKD | Meituan - Class B*# | 3,559,508 | ||||||||
4,200 | MercadoLibre, Inc.# | 6,598,116 | |||||||||
196,000 | New Oriental Education & Technology Group, Inc.# | 2,990,960 | |||||||||
2,465,400 | HKD | Samsonite International, SA*# | 4,562,784 | ||||||||
178,000 | Trip.com Group, Ltd.# | 6,956,240 | |||||||||
89,789 | HKD | Yum China Holdings, Inc. | 5,650,325 | ||||||||
95,456,920 | |||||||||||
Consumer Staples (2.0%) | |||||||||||
14,368 | CNY | Kweichow Moutai Company, Ltd. - Class A | 4,438,871 | ||||||||
253,400 | INR | Varun Beverages, Ltd. | 3,263,162 | ||||||||
2,010,000 | MXN | Wal-Mart de Mexico, SAB de CV | 6,591,514 | ||||||||
14,293,547 | |||||||||||
Energy (3.1%) | |||||||||||
81,800 | Chevron Corp. | 8,431,126 | |||||||||
267,260 | INR | Reliance Industries, Ltd. | 7,185,300 | ||||||||
129,000 | EUR | TOTAL, SE | 5,701,510 | ||||||||
21,317,936 | |||||||||||
Financials (17.7%) | |||||||||||
379,800 | HKD | AIA Group, Ltd. | 4,820,638 | ||||||||
1,991,900 | IDR | Bank Central Asia, Tbk PT | 4,409,589 | ||||||||
4,118,000 | IDR | Bank Jago, Tbk PT# | 2,893,576 | ||||||||
2,945,000 | TWD | Cathay Financial Holding Company, Ltd. | 5,497,828 | ||||||||
233,000 | TWD | Chailease Holding Company, Ltd. | 1,679,013 | ||||||||
5,609,000 | HKD | China Construction Bank Corp. - Class H | 4,427,417 | ||||||||
1,203,000 | HKD | China Merchants Bank Company, Ltd. - Class H | 9,662,991 | ||||||||
1,703,700 | ZAR | FirstRand, Ltd. | 5,992,926 | ||||||||
270,000 | MXN | Grupo Financiero Banorte, SAB de CV - Class O | 1,533,070 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
134
Evolving World Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
144,100 | KRW | Hana Financial Group, Inc. | $ | 5,906,569 | |||||||
906,700 | INR | HDFC Bank, Ltd.# | 17,234,592 | ||||||||
461,900 | INR | HDFC Life Insurance Company, Ltd.*# | 4,126,656 | ||||||||
83,800 | HKD | Hong Kong Exchanges & Clearing, Ltd. | 5,054,064 | ||||||||
244,500 | INR | Housing Development Finance Corp., Ltd. | 8,005,473 | ||||||||
685,075 | ICICI Bank, Ltd.#^ | 11,166,722 | |||||||||
897,370 | Itau Unibanco Holding, SA | 4,486,850 | |||||||||
974,800 | THB | Kasikornbank, PCL | 4,157,555 | ||||||||
621,500 | HKD | Ping An Insurance Group Company of China, Ltd. - Class H | 6,775,757 | ||||||||
6,103,000 | HKD | Postal Savings Bank of China Company, Ltd. - Class H* | 3,958,201 | ||||||||
301,500 | INR | SBI Cards & Payment Services, Ltd. | 3,979,608 | ||||||||
121,500 | KRW | Shinhan Financial Group Company, Ltd. | 4,366,162 | ||||||||
82,438 | Shinhan Financial Group Company, Ltd.^ | 2,946,334 | |||||||||
123,081,591 | |||||||||||
Health Care (2.5%) | |||||||||||
312,359 | CNY | Aier Eye Hospital Group Company, Ltd. - Class A | 3,580,403 | ||||||||
71,400 | CNY | Hangzhou Tigermed Consulting Company, Ltd. - Class A | 1,718,956 | ||||||||
293,100 | HKD | Ping An Healthcare and Technology Company, Ltd.*# | 3,419,846 | ||||||||
619,000 | HKD | Wuxi Biologics Cayman, Inc.*# | 8,689,394 | ||||||||
17,408,599 | |||||||||||
Industrials (5.3%) | |||||||||||
42,736 | EUR | Airbus, SE# | 5,139,416 | ||||||||
57,300 | CNY | Contemporary Amperex Technology Company, Ltd. - Class A | 3,443,371 | ||||||||
65,000 | Copa Holdings, SA - Class A# | 5,622,500 | |||||||||
276,000 | TWD | Hiwin Technologies Corp. | 4,164,009 | ||||||||
203,300 | JPY | Komatsu, Ltd. | 5,977,960 | ||||||||
382,500 | HKD | Techtronic Industries Company, Ltd. | 6,940,371 | ||||||||
410,600 | INR | Voltas, Ltd. | 5,299,424 | ||||||||
36,587,051 | |||||||||||
Information Technology (22.9%) | |||||||||||
23,550 | Accenture, PLC - Class A | 6,828,794 | |||||||||
15,600 | EUR | ASML Holding, NV | 10,126,607 | ||||||||
19,600 | Globant, SA# | 4,491,928 | |||||||||
1,379,000 | TWD | Hon Hai Precision Industry Company, Ltd. | 5,669,133 | ||||||||
334,700 | Infosys, Ltd. | 6,051,376 | |||||||||
417,000 | TWD | MediaTek, Inc. | 17,481,708 | ||||||||
226,000 | TWD | Novatek Microelectronics Corp. | 4,986,180 | ||||||||
11,200 | NVIDIA Corp. | 6,724,256 | |||||||||
453,750 | KRW | Samsung Electronics Company, Ltd. | 33,071,786 | ||||||||
102,800 | KRW | SK Hynix, Inc. | 11,727,555 | ||||||||
1,933,649 | TWD | Taiwan Semiconductor Manufacturing Company, Ltd. | 40,721,888 |
NUMBER OF SHARES | VALUE | ||||||||||
99,275 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | $ | 11,589,363 | ||||||||
159,470,574 | |||||||||||
Materials (8.7%) | |||||||||||
262,900 | INR | APL Apollo Tubes, Ltd.# | 4,594,644 | ||||||||
229,250 | EUR | ArcelorMittal, SA# | 6,664,439 | ||||||||
1,973,300 | Cemex, SAB de CV# | 15,569,337 | |||||||||
230,700 | CAD | First Quantum Minerals, Ltd. | 5,317,277 | ||||||||
130,000 | Freeport-McMoRan, Inc. | 4,902,300 | |||||||||
7,540 | KRW | LG Chem, Ltd. | 6,294,297 | ||||||||
28,600 | KRW | POSCO | 9,346,899 | ||||||||
557,600 | INR | Tata Steel, Ltd. | 7,693,048 | ||||||||
60,382,241 | |||||||||||
Real Estate (1.4%) | |||||||||||
4,322,400 | PHP | Ayala Land, Inc. | 2,883,709 | ||||||||
285,800 | INR | Godrej Properties, Ltd.# | 5,251,476 | ||||||||
275,100 | VND | Vingroup, JSC# | 1,558,139 | ||||||||
9,693,324 | |||||||||||
TOTAL COMMON STOCKS (Cost $497,502,649) | 591,862,268 | ||||||||||
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
PURCHASED OPTIONS (2.3%)# | |||||||||||
Communication Services (0.5%) | |||||||||||
375 | Baidu, Inc. | ||||||||||
7,887,375 | Call, 01/21/22, Strike $250.00 | 537,187 | |||||||||
860 | Sea, Ltd. | ||||||||||
21,718,440 | Call, 01/21/22, Strike $270.00 | 2,792,850 | |||||||||
3,330,037 | |||||||||||
Consumer Discretionary (0.4%) | |||||||||||
1,200 | Alibaba Group Holding, Ltd. | ||||||||||
27,714,000 | Call, 07/16/21, Strike $235.00 | 1,416,000 | |||||||||
585 | JD.com, Inc. | ||||||||||
4,525,560 | Put, 05/21/21, Strike $75.00 | 107,348 | |||||||||
1,655 | NIO, Inc. | ||||||||||
6,593,520 | Call, 01/21/22, Strike $50.00 | 922,662 | |||||||||
455 | Pinduoduo, Inc. | ||||||||||
6,093,815 | Call, 01/21/22, Strike $175.00 | 416,325 | |||||||||
1,725 | Trip.com Group, Ltd. | ||||||||||
6,741,300 | Call, 07/16/21, Strike $43.00 | 202,687 | |||||||||
3,065,022 | |||||||||||
Energy (0.0%) | |||||||||||
1,498 | Lukoil, PJSC | ||||||||||
11,486,664 | Call, 06/18/21, Strike $80.00 | 197,736 | |||||||||
Financials (0.2%) | |||||||||||
4,415 | ICICI Bank, Ltd. | ||||||||||
7,196,450 | Call, 01/21/22, Strike $18.00 | 584,988 |
See accompanying Notes to Schedule of Investments
www.calamos.com
135
Evolving World Growth Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
20,100 | Itau Unibanco Holding, SA | ||||||||||
10,050,000 | Call, 06/18/21, Strike $5.00 | $ | 522,600 | ||||||||
19,000 | Sberbank of Russia, PJSC | ||||||||||
29,912,129 | Call, 06/18/21, Strike $16.00 | 294,500 | |||||||||
1,402,088 | |||||||||||
Information Technology (0.1%) | |||||||||||
1,310 | Taiwan Semiconductor | ||||||||||
15,292,940 | Manufacturing Company, Ltd. Call, 01/21/22, Strike $140.00 | 674,650 | |||||||||
Materials (0.1%) | |||||||||||
3,513 | Vale, SA | ||||||||||
7,068,156 | Call, 06/18/21, Strike $19.00 | 553,298 | |||||||||
Other (1.0%) | |||||||||||
6,805 | iShares MSCI Brazil ETF | ||||||||||
24,198,580 | Call, 01/21/22, Strike $35.00 | 2,687,975 | |||||||||
12,905 | iShares MSCI Emerging Markets | ||||||||||
69,661,190 | Put, 07/16/21, Strike $54.00 | 2,587,452 | |||||||||
4,087 | iShares MSCI India ETF | ||||||||||
16,764,874 | Put, 05/21/21, Strike $40.00 | 275,873 | |||||||||
13,510 | Xtrackers Harvest CSI 300 China A ETF | ||||||||||
53,459,070 | Call, 07/16/21, Strike $40.00 | 1,587,425 | |||||||||
7,138,725 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost $22,232,577) | 16,361,556 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (2.0%) | |||||||||||
14,053,105 | State Street Navigator Securities Lending Government Money Market Portfolio† (Cost $14,053,105) | 14,053,105 | |||||||||
TOTAL INVESTMENTS (101.7%) (Cost $608,479,966) | 707,587,069 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-2.0%) | (14,053,105 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (0.3%) | 2,227,767 | ||||||||||
NET ASSETS (100.0%) | $ | 695,761,731 |
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.
~ Security, or portion of security, is segregated as collateral for written options. The aggregate value of such securities is $6,775,234.
# Non-income producing security.
^ Security, or portion of security, is on loan.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
CNY Chinese Yuan Renminbi
EUR European Monetary Unit
HKD Hong Kong Dollar
IDR Indonesian Rupiah
INR Indian Rupee
JPY Japanese Yen
KRW South Korean Won
MXN Mexican Peso
PHP Philippine Peso
THB Thai Baht
TWD New Taiwan Dollar
VND Viet Nam dong
ZAR South African Rand
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.
CURRENCY EXPOSURE
APRIL 30, 2021
VALUE | % OF TOTAL INVESTMENTS | ||||||||||
US Dollar | $ | 239,041,986 | 33.8 | % | |||||||
Hong Kong Dollar | 128,936,341 | 18.2 | % | ||||||||
South Korean Won | 84,563,326 | 12.0 | % | ||||||||
New Taiwan Dollar | 80,199,759 | 11.3 | % | ||||||||
Indian Rupee | 75,083,887 | 10.6 | % | ||||||||
European Monetary Unit | 41,250,991 | 5.8 | % | ||||||||
Chinese Yuan Renminbi | 17,195,464 | 2.4 | % | ||||||||
Mexican Peso | 8,124,584 | 1.2 | % | ||||||||
Indonesian Rupiah | 7,303,165 | 1.0 | % | ||||||||
South African Rand | 5,992,926 | 0.9 | % | ||||||||
Japanese Yen | 5,977,960 | 0.8 | % | ||||||||
Canadian Dollar | 5,317,277 | 0.8 | % | ||||||||
Thai Baht | 4,157,555 | 0.6 | % | ||||||||
Philippine Peso | 2,883,709 | 0.4 | % | ||||||||
Viet Nam Dong | 1,558,139 | 0.2 | % | ||||||||
Total Investments | $ | 707,587,069 | 100.0 | % |
Currency exposure may vary over time.
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
136
Global Equity Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS (99.8%) | |||||||||||
Communication Services (10.1%) | |||||||||||
1,210 | Alphabet, Inc. - Class A# | $ | 2,847,735 | ||||||||
5,435 | Facebook, Inc. - Class A# | 1,766,810 | |||||||||
12,575 | Sea, Ltd.# | 3,175,691 | |||||||||
39,400 | HKD | Tencent Holdings, Ltd. | 3,143,016 | ||||||||
14,839 | Walt Disney Company# | 2,760,351 | |||||||||
13,693,603 | |||||||||||
Consumer Discretionary (16.7%) | |||||||||||
8,785 | Alibaba Group Holding, Ltd.# | 2,028,896 | |||||||||
1,275 | Amazon.com, Inc.#~ | 4,420,960 | |||||||||
14,555 | Aptiv, PLC# | 2,094,319 | |||||||||
17,280 | Caesars Entertainment, Inc.# | 1,690,675 | |||||||||
675 | Chipotle Mexican Grill, Inc.# | 1,007,120 | |||||||||
23,950 | D.R. Horton, Inc. | 2,354,046 | |||||||||
46,800 | General Motors Company# | 2,677,896 | |||||||||
105,500 | HKD | Li Ning Company, Ltd. | 856,204 | ||||||||
1,850 | EUR | LVMH Moet Hennessy Louis Vuitton, SE | 1,393,698 | ||||||||
440 | MercadoLibre, Inc.# | 691,231 | |||||||||
8,750 | Penn National Gaming, Inc.#^ | 779,800 | |||||||||
15,400 | GBP | Persimmon, PLC | 666,212 | ||||||||
5,549 | Shake Shack, Inc. - Class A# | 603,454 | |||||||||
12,300 | Sony Group Corp. | 1,231,968 | |||||||||
22,496,479 | |||||||||||
Consumer Staples (0.9%) | |||||||||||
1,730 | Costco Wholesale Corp. | 643,715 | |||||||||
1,850 | CHF | Zur Rose Group, AG#^ | 615,704 | ||||||||
1,259,419 | |||||||||||
Energy (2.3%) | |||||||||||
15,850 | Chevron Corp. | 1,633,659 | |||||||||
4,450 | Pioneer Natural Resources Company | 684,544 | |||||||||
29,400 | INR | Reliance Industries, Ltd. | 790,421 | ||||||||
3,108,624 | |||||||||||
Financials (13.9%) | |||||||||||
59,925 | Bank of America Corp. | 2,428,760 | |||||||||
2,000 | Coinbase Global, Inc. - Class A# | 595,280 | |||||||||
108,290 | INR | HDFC Bank, Ltd.# | 2,058,381 | ||||||||
53,000 | ICICI Bank, Ltd.#^ | 863,900 | |||||||||
157,600 | EUR | ING Groep, NV | 2,013,337 | ||||||||
15,625 | JPMorgan Chase & Company | 2,403,281 | |||||||||
2,882,000 | GBP | Lloyds Banking Group, PLC | 1,807,243 | ||||||||
16,900 | Morgan Stanley | 1,395,095 | |||||||||
26,400 | EUR | NN Group, NV | 1,316,791 | ||||||||
74,500 | HKD | Ping An Insurance Group Company of China, Ltd. - Class H | 812,219 | ||||||||
94,800 | UBS Group, AG#^ | 1,449,492 |
NUMBER OF SHARES | VALUE | ||||||||||
34,200 | Wells Fargo & Company | $ | 1,540,710 | ||||||||
18,684,489 | |||||||||||
Health Care (7.7%) | |||||||||||
56,825 | Alcon, Inc.#^ | 4,286,310 | |||||||||
2,600 | Danaher Corp. | 660,244 | |||||||||
7,200 | Horizon Therapeutics, PLC# | 681,264 | |||||||||
1,400 | Illumina, Inc.# | 549,976 | |||||||||
4,140 | Inspire Medical Systems, Inc.# | 980,435 | |||||||||
14,800 | LivaNova, PLC# | 1,256,076 | |||||||||
1,920 | UnitedHealth Group, Inc. | 765,696 | |||||||||
87,000 | HKD | Wuxi Biologics Cayman, Inc.#* | 1,221,288 | ||||||||
10,401,289 | |||||||||||
Industrials (12.5%) | |||||||||||
50,900 | CAD | CAE, Inc.# | 1,594,313 | ||||||||
7,100 | Caterpillar, Inc. | 1,619,581 | |||||||||
6,160 | Cummins, Inc. | 1,552,566 | |||||||||
31,700 | EUR | Deutsche Post, AG | 1,867,040 | ||||||||
5,700 | JPY | FANUC Corp. | 1,312,611 | ||||||||
12,800 | JPY | Harmonic Drive Systems, Inc.^ | 860,802 | ||||||||
10,800 | JPY | Nidec Corp. | 1,247,064 | ||||||||
20,300 | Quanta Services, Inc. | 1,961,792 | |||||||||
40,000 | SEK | Sandvik, AB | 989,178 | ||||||||
10,750 | EUR | Schneider Electric, SE | 1,715,224 | ||||||||
33,200 | Southwest Airlines Company# | 2,084,296 | |||||||||
16,804,467 | |||||||||||
Information Technology (27.9%) | |||||||||||
4,650 | Accenture, PLC - Class A | 1,348,360 | |||||||||
879 | EUR | Adyen, NV#* | 2,163,301 | ||||||||
21,050 | Apple, Inc. | 2,767,233 | |||||||||
6,078 | EUR | ASML Holding, NV | 3,945,482 | ||||||||
8,200 | JPY | Fujitsu, Ltd. | 1,302,636 | ||||||||
4,100 | JPY | Keyence Corp. | 1,968,216 | ||||||||
2,150 | Lam Research Corp. | 1,333,968 | |||||||||
4,090 | MasterCard, Inc. - Class A | 1,562,625 | |||||||||
13,925 | Micron Technology, Inc.# | 1,198,525 | |||||||||
13,250 | Microsoft Corp. | 3,341,385 | |||||||||
5,490 | NVIDIA Corp. | 3,296,086 | |||||||||
36,753 | Oracle Corp. | 2,785,510 | |||||||||
6,085 | PayPal Holdings, Inc.# | 1,596,035 | |||||||||
12,850 | KRW | Samsung Electronics Company, Ltd. | 936,578 | ||||||||
15,950 | Shift4 Payments, Inc. - Class A# | 1,577,295 | |||||||||
1,180 | Shopify, Inc. - Class A# | 1,395,362 | |||||||||
124,000 | TWD | Taiwan Semiconductor Manufacturing Company, Ltd. | 2,611,391 | ||||||||
20,800 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | 2,428,192 | |||||||||
37,558,180 |
See accompanying Notes to Schedule of Investments
www.calamos.com
137
Global Equity Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Materials (5.7%) | |||||||||||
49,100 | EUR | ArcelorMittal, SA# | $ | 1,427,367 | |||||||
231,700 | Cemex, SAB de CV# | 1,828,113 | |||||||||
58,600 | Freeport-McMoRan, Inc. | 2,209,806 | |||||||||
27,800 | AUD | James Hardie Industries, PLC | 916,131 | ||||||||
5,800 | PPG Industries, Inc. | 993,192 | |||||||||
28,400 | INR | Tata Steel, Ltd. | 391,827 | ||||||||
7,766,436 | |||||||||||
Real Estate (2.1%) | |||||||||||
59,750 | INR | Godrej Properties, Ltd.# | 1,097,886 | ||||||||
24,000 | Redfin Corp.#^ | 1,698,720 | |||||||||
2,796,606 | |||||||||||
TOTAL COMMON STOCKS (Cost $86,990,211) | 134,569,592 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (3.8%) | |||||||||||
5,064,349 State Street Navigator Securities Lending Government Money Market Portfolio† | (Cost $5,064,349) | 5,064,349 | |||||||||
TOTAL INVESTMENTS (103.6%) (Cost $92,054,560) | 139,633,941 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-3.8%) | (5,064,349 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (0.2%) | 200,218 | ||||||||||
NET ASSETS (100.0%) | $ | 134,769,810 |
NOTES TO SCHEDULE OF INVESTMENTS
# 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 $17,337.
^ Security, or portion of security, is on loan.
* 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.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
FOREIGN CURRENCY ABBREVIATIONS
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR European Monetary Unit
GBP British Pound Sterling
HKD Hong Kong Dollar
INR Indian Rupee
JPY Japanese Yen
KRW South Korean Won
SEK Swedish Krona
TWD New Taiwan Dollar
FORWARD FOREIGN CURRENCY CONTRACTS
COUNTERPARTY | LONG CONTRACTS | SETTLEMENT DATE | LOCAL CURRENCY | CURRENT VALUE | UNREALIZED GAIN/(LOSS) | ||||||||||||||||||
Bank of New York | British Pound Sterling | 06/30/21 | 2,960,000 | $ | 4,088,549 | $ | 25,822 | ||||||||||||||||
State Street Bank and European Monetary Trust | Unit | 06/30/21 | 1,343,000 | 1,616,507 | 29,059 | ||||||||||||||||||
$ | 54,881 |
Note: Value for securities denominated in foreign currencies is shown in U.S. dollars.
CURRENCY EXPOSURE
APRIL 30, 2021
VALUE | % OF TOTAL INVESTMENTS | ||||||||||
US Dollar | $ | 96,592,380 | 69.2 | % | |||||||
European Monetary Unit | 15,842,240 | 11.3 | % | ||||||||
Japanese Yen | 6,691,329 | 4.8 | % | ||||||||
Hong Kong Dollar | 6,032,727 | 4.3 | % | ||||||||
Indian Rupee | 4,338,515 | 3.1 | % | ||||||||
New Taiwan Dollar | 2,611,391 | 1.9 | % | ||||||||
British Pound Sterling | 2,473,455 | 1.8 | % | ||||||||
Canadian Dollar | 1,594,313 | 1.1 | % | ||||||||
Swedish Krona | 989,178 | 0.7 | % | ||||||||
South Korean Won | 936,578 | 0.7 | % | ||||||||
Australian Dollar | 916,131 | 0.7 | % | ||||||||
Swiss Franc | 615,704 | 0.4 | % | ||||||||
Total Investments | $ | 139,633,941 | 100.0 | % |
Currency exposure may vary over time.
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
138
Global Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
(formerly, Global Growth and Income Fund)
PRINCIPAL AMOUNT | VALUE | ||||||||||
CONVERTIBLE BONDS (27.1%) | |||||||||||
Communication Services (4.2%) | |||||||||||
1,333,000 | Eventbrite, Inc.* 0.750%, 09/15/26 | $ | 1,449,277 | ||||||||
2,460,000 | Liberty Media Corp.* 0.500%, 12/01/50 | 2,753,109 | |||||||||
735,000 | Live Nation Entertainment, Inc. 2.500%, 03/15/23 | 989,266 | |||||||||
1,300,000 | Sea, Ltd.* 2.375%, 12/01/25 | 3,696,875 | |||||||||
1,175,000 | Twitter, Inc.* | 1,072,458 | |||||||||
9,960,985 | |||||||||||
Consumer Discretionary (10.3%) | |||||||||||
1,415,000 | Booking Holdings, Inc.*^ 0.750%, 05/01/25 | 2,146,484 | |||||||||
2,030,000 | Chegg, Inc.* | 2,230,077 | |||||||||
2,390,000 | DraftKings, Inc.* | 2,285,055 | |||||||||
955,000 | Etsy, Inc.*^ 0.125%, 09/01/27 | 1,243,200 | |||||||||
899,000 | Expedia Group, Inc.*^ | 981,816 | |||||||||
2,400,000 | Ford Motor Company* | 2,371,608 | |||||||||
2,000,000 | EUR | Global Fashion Group, SA 1.250%, 03/15/28 | 2,485,459 | ||||||||
1,105,000 | Marriott Vacations Worldwide Corp.* | 1,313,215 | |||||||||
255,000 | Penn National Gaming, Inc. 2.750%, 05/15/26 | 988,926 | |||||||||
1,175,000 | Shake Shack, Inc.* | 1,117,190 | |||||||||
1,000,000 | EUR | Shop Apotheke Europe, NV | 1,351,605 | ||||||||
164,000 | �� | Tesla, Inc.^ 2.375%, 03/15/22 | 1,778,449 | ||||||||
2,960,000 | Vail Resorts, Inc.* | 3,153,317 | |||||||||
800,000 | EUR | Zalando, SE 0.050%, 08/06/25 | 1,172,703 | ||||||||
24,619,104 | |||||||||||
Consumer Staples (0.7%) | |||||||||||
Premium Brands Holdings Corp. | |||||||||||
918,000 | CAD | 4.600%, 12/31/23 | 876,109 | ||||||||
905,000 | CAD | 4.200%, 09/30/27 | 798,048 | ||||||||
1,674,157 | |||||||||||
Health Care (3.1%) | |||||||||||
1,195,000 | Halozyme Therapeutics, Inc.* 0.250%, 03/01/27 | 1,157,154 | |||||||||
1,009,000 | Insulet Corp. 0.375%, 09/01/26 | 1,455,150 | |||||||||
800,000 | Jazz Investments I, Ltd.* 2.000%, 06/15/26 | 1,034,168 | |||||||||
1,515,000 | LivaNova USA, Inc.* 3.000%, 12/15/25 | 2,364,370 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
1,370,000 | Pacira BioSciences, Inc.* 0.750%, 08/01/25 | $ | 1,525,262 | ||||||||
7,536,104 | |||||||||||
Industrials (4.7%) | |||||||||||
1,446,000 | Air Canada*~ 4.000%, 07/01/25 | 2,225,596 | |||||||||
1,300,000 | EUR | Duerr, AG 0.750%, 01/15/26 | 1,906,627 | ||||||||
2,365,000 | JetBlue Airways Corp.* 0.500%, 04/01/26 | 2,594,594 | |||||||||
1,339,000 | Southwest Airlines Company 1.250%, 05/01/25 | 2,328,990 | |||||||||
2,090,000 | Uber Technologies, Inc.* | 2,192,912 | |||||||||
11,248,719 | |||||||||||
Information Technology (1.8%) | |||||||||||
1,370,000 | Shift4 Payments, Inc.* | 1,929,206 | |||||||||
2,015,000 | Square, Inc.*^ 0.250%, 11/01/27 | 2,378,728 | |||||||||
4,307,934 | |||||||||||
Materials (0.5%) | |||||||||||
1,050,000 | Ivanhoe Mines, Ltd.* 2.500%, 04/15/26 | 1,259,885 | |||||||||
Real Estate (1.8%) | |||||||||||
Redfin Corp.* | |||||||||||
2,360,000 | 0.500%, 04/01/27 | 2,472,194 | |||||||||
1,575,000 | 0.000%, 10/15/25 | 1,909,924 | |||||||||
4,382,118 | |||||||||||
TOTAL CONVERTIBLE BONDS (Cost $55,247,540) | 64,989,006 | ||||||||||
NUMBER OF SHARES | VALUE | ||||||||||
CONVERTIBLE PREFERRED STOCKS (8.4%) | |||||||||||
Communication Services (1.3%) | |||||||||||
2,670 | 2020 Cash Mandatory Exchangeable Trust* 5.250%, 06/01/23 | 3,141,674 | |||||||||
Consumer Discretionary (1.5%) | |||||||||||
22,822 | Aptiv, PLC 5.500%, 06/15/23 | 3,726,833 | |||||||||
Financials (0.8%) | |||||||||||
24,300 | KKR & Company, Inc.^ 6.000%, 09/15/23 | 1,822,014 | |||||||||
Health Care (1.3%) | |||||||||||
1,805 | Danaher Corp. 4.750%, 04/15/22 | 3,092,886 |
See accompanying Notes to Schedule of Investments
www.calamos.com
139
Global Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
(formerly, Global Growth and Income Fund)
NUMBER OF SHARES | VALUE | ||||||||||
Industrials (1.2%) | |||||||||||
22,937 | Stanley Black & Decker, Inc.^ 5.250%, 11/15/22 | $ | 2,798,543 | ||||||||
Information Technology (1.0%) | |||||||||||
1,705 | Broadcom, Inc. 8.000%, 09/30/22 | 2,471,312 | |||||||||
Utilities (1.3%) | |||||||||||
11,700 | AES Corp. 6.875%, 02/15/24 | 1,275,183 | |||||||||
32,389 | NextEra Energy, Inc. 4.872%, 09/01/22 | 1,889,574 | |||||||||
3,164,757 | |||||||||||
TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $15,202,650) | 20,218,019 | ||||||||||
COMMON STOCKS (59.4%) | |||||||||||
Communication Services (3.8%) | |||||||||||
56,300 | HKD | Tencent Holdings, Ltd. | 4,491,163 | ||||||||
24,280 | Walt Disney Company~# | 4,516,566 | |||||||||
9,007,729 | |||||||||||
Consumer Discretionary (3.9%) | |||||||||||
38,000 | D.R. Horton, Inc. | 3,735,020 | |||||||||
53,800 | General Motors Company# | 3,078,436 | |||||||||
3,515 | EUR | LVMH Moet Hennessy Louis Vuitton, SE | 2,648,026 | ||||||||
9,461,482 | |||||||||||
Consumer Staples (1.4%) | |||||||||||
44,700 | Coca-Cola Company~ | 2,412,906 | |||||||||
2,590 | Costco Wholesale Corp. | 963,713 | |||||||||
3,376,619 | |||||||||||
Energy (2.3%) | |||||||||||
29,500 | Chevron Corp. | 3,040,565 | |||||||||
48,200 | INR | Reliance Industries, Ltd. | 1,295,860 | ||||||||
57,400 | GBP | Royal Dutch Shell, PLC - Class A | 1,080,053 | ||||||||
5,416,478 | |||||||||||
Financials (11.2%) | |||||||||||
100,510 | Bank of America Corp.~ | 4,073,670 | |||||||||
134,300 | INR | HDFC Bank, Ltd.# | 2,552,780 | ||||||||
231,600 | EUR | ING Groep, NV | 2,958,685 | ||||||||
29,275 | JPMorgan Chase & Company~ | 4,502,788 | |||||||||
30,900 | Morgan Stanley | 2,550,795 | |||||||||
35,200 | EUR | NN Group, NV | 1,755,722 | ||||||||
117,000 | HKD | Ping An Insurance Group Company of China, Ltd. - Class H | 1,275,565 | ||||||||
188,000 | UBS Group, AG^# | 2,874,520 | |||||||||
96,300 | Wells Fargo & Company | 4,338,315 | |||||||||
26,882,840 |
NUMBER OF SHARES | VALUE | ||||||||||
Health Care (5.5%) | |||||||||||
105,186 | Alcon, Inc.^# | $ | 7,934,180 | ||||||||
11,500 | Eli Lilly & Company | 2,101,855 | |||||||||
24,500 | Novo Nordisk, A/S | 1,811,775 | |||||||||
3,500 | UnitedHealth Group, Inc. | 1,395,800 | |||||||||
13,243,610 | |||||||||||
Industrials (6.6%) | |||||||||||
5,200 | Boeing Company# | 1,218,412 | |||||||||
41,000 | CAE, Inc.# | 1,284,120 | |||||||||
12,600 | Caterpillar, Inc. | 2,874,186 | |||||||||
6,700 | Cummins, Inc. | 1,688,668 | |||||||||
44,100 | EUR | Deutsche Post, AG | 2,597,365 | ||||||||
6,400 | JPY | FANUC Corp. | 1,473,809 | ||||||||
23,450 | EUR | Schneider Electric, SE | 3,741,582 | ||||||||
4,400 | Union Pacific Corp. | 977,196 | |||||||||
15,855,338 | |||||||||||
Information Technology (20.2%) | |||||||||||
8,600 | Accenture, PLC - Class A | 2,493,742 | |||||||||
1,520 | EUR | Adyen, NV*# | 3,740,862 | ||||||||
40,040 | Apple, Inc. | 5,263,658 | |||||||||
8,630 | EUR | ASML Holding, NV | 5,602,091 | ||||||||
15,300 | JPY | Fujitsu, Ltd. | 2,430,528 | ||||||||
7,300 | JPY | Keyence Corp. | 3,504,385 | ||||||||
15,050 | Micron Technology, Inc.# | 1,295,353 | |||||||||
21,680 | Microsoft Corp.~ | 5,467,262 | |||||||||
6,200 | NVIDIA Corp. | 3,722,356 | |||||||||
65,810 | Oracle Corp. | 4,987,740 | |||||||||
18,600 | KRW | Samsung Electronics Company, Ltd. | 1,355,670 | ||||||||
374,000 | TWD | Taiwan Semiconductor Manufacturing Company, Ltd. | 7,876,293 | ||||||||
6,000 | Taiwan Semiconductor Manufacturing Company, Ltd. (ADR) | 700,440 | |||||||||
48,440,380 | |||||||||||
Materials (4.5%) | |||||||||||
92,700 | EUR | ArcelorMittal, SA# | 2,694,846 | ||||||||
254,800 | Cemex, SAB de CV# | 2,010,372 | |||||||||
49,900 | EUR | CRH, PLC | 2,354,492 | ||||||||
64,900 | Freeport-McMoRan, Inc. | 2,447,379 | |||||||||
7,200 | PPG Industries, Inc. | 1,232,928 | |||||||||
10,740,017 | |||||||||||
TOTAL COMMON STOCKS (Cost $99,631,155) | 142,424,493 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
140
Global Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
(formerly, Global Growth and Income Fund)
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT | VALUE | ||||||||||
PURCHASED OPTIONS (3.2%)# | |||||||||||
Communication Services (1.4%) | |||||||||||
28 | Alphabet, Inc. | ||||||||||
6,589,800 | Call, 01/21/22, Strike $1,500.00 | $ | 2,450,140 | ||||||||
73 | Facebook, Inc. | ||||||||||
2,373,084 | Call, 06/18/21, Strike $200.00 | 914,325 | |||||||||
3,364,465 | |||||||||||
Consumer Discretionary (1.3%) | |||||||||||
131 | Alibaba Group Holding, Ltd. | ||||||||||
3,025,445 | Call, 06/18/21, Strike $205.00 | 376,625 | |||||||||
Amazon.com, Inc. | |||||||||||
21 |
| ||||||||||
7,281,582 | Call, 01/21/22, Strike $2,500.00 | 2,158,432 | |||||||||
4 |
| ||||||||||
1,386,968 | Call, 06/18/21, Strike $2,200.00 | 508,650 | |||||||||
3,043,707 | |||||||||||
Energy (0.0%) | |||||||||||
90 | Pioneer Natural Resources Company | ||||||||||
1,384,470 | Call, 09/17/21, Strike $170.00 | 72,900 | |||||||||
Financials (0.1%) | |||||||||||
1,615 | ICICI Bank, Ltd. | ||||||||||
2,632,450 | Call, 09/17/21, Strike $18.00 | 125,163 | |||||||||
Information Technology (0.1%) | |||||||||||
10 | Shopify, Inc. | ||||||||||
1,182,510 | Call, 01/21/22, Strike $920.00 | 323,650 | |||||||||
Materials (0.1%) | |||||||||||
393 | Freeport-McMoRan, Inc. | ||||||||||
1,482,003 | Call, 08/20/21, Strike $29.00 | 376,298 | |||||||||
Other (0.2%) | |||||||||||
365 | Invesco QQQ Trust Series | ||||||||||
12,336,635 | Put, 06/30/21, Strike $325.00 | 268,822 | |||||||||
300 | SPDR S&P 500 ETF Trust | ||||||||||
12,519,000 | Put, 06/30/21, Strike $395.00 | 161,700 | |||||||||
430,522 | |||||||||||
TOTAL PURCHASED OPTIONS (Cost $3,129,401) | 7,736,705 |
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (6.7%) | |||||||||||
16,048,162 | State Street Navigator Securities Lending Government Money Market Portfolio† (Cost $16,048,162) | $ | 16,048,162 | ||||||||
TOTAL INVESTMENTS (104.8%) (Cost $189,258,908) | 251,416,385 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-6.7%) | (16,048,162 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (1.9%) | 4,427,921 | ||||||||||
NET ASSETS (100.0%) | $ | 239,796,144 |
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.
^ Security, or portion of security, is on loan.
~ 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 $4,041,923.
# Non-income producing security.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
HKD Hong Kong Dollar
INR Indian Rupee
JPY Japanese Yen
KRW South Korean Won
TWD New Taiwan Dollar
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.
See accompanying Notes to Schedule of Investments
www.calamos.com
141
Global Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
(formerly, Global Growth and Income Fund)
CURRENCY EXPOSURE
APRIL 30, 2021
VALUE | % OF TOTAL INVESTMENTS | ||||||||||
US Dollar | $ | 187,396,057 | 74.5 | % | |||||||
European Monetary Unit | 35,010,065 | 13.9 | % | ||||||||
New Taiwan Dollar | 7,876,293 | 3.1 | % | ||||||||
Japanese Yen | 7,408,722 | 3.0 | % | ||||||||
Hong Kong Dollar | 5,766,728 | 2.3 | % | ||||||||
Indian Rupee | 3,848,640 | 1.5 | % | ||||||||
Canadian Dollar | 1,674,157 | 0.7 | % | ||||||||
South Korean Won | 1,355,670 | 0.6 | % | ||||||||
British Pound Sterling | 1,080,053 | 0.4 | % | ||||||||
Total Investments | $ | 251,416,385 | 100.0 | % |
Currency exposure may vary over time.
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
142
Total Return Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
CORPORATE BONDS (51.9%) | |||||||||||
Airlines (2.3%) | |||||||||||
924 | Air Canada Pass Through Trust Series 2013-1, Class B* 5.375%, 11/15/22 | $ | 925 | ||||||||
234,288 | Air Canada Pass Through Trust Series 2015-1, Class B* 3.875%, 09/15/24 | 233,503 | |||||||||
117,451 | Air Canada Pass Through Trust Series 2015-2, Class AA* 3.750%, 06/15/29 | 120,861 | |||||||||
206,573 | Alaska Airlines Pass Through Trust Series 2020-1, Class A* 4.800%, 02/15/29 | 228,057 | |||||||||
96,736 | Alaska Airlines Pass Through Trust Series 2020-1, Class B* 8.000%, 02/15/27 | 108,231 | |||||||||
138,545 | British Airways Pass Through Trust Series 2019-1, Class A* 3.350%, 12/15/30 | 136,915 | |||||||||
144,513 | JetBlue Pass Through Trust Series 2019-1, Class AA 2.750%, 11/15/33 | 145,043 | |||||||||
176,000 | JetBlue Pass Through Trust Series 2020-1, Class B 7.750%, 05/15/30 | 201,564 | |||||||||
125,000 | Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.* 8.000%, 09/20/25 | 141,722 | |||||||||
80,509 | UAL Pass Through Trust Series 2007-1 6.636%, 01/02/24 | 83,599 | |||||||||
122,473 | United Airlines Pass Through Trust Series 2014-2, Class B 4.625%, 03/03/24 | 125,653 | |||||||||
155,160 | United Airlines Pass Through Trust Series 2018-1, Class B 4.600%, 09/01/27 | 157,518 | |||||||||
1,683,591 | |||||||||||
Communication Services (3.4%) | |||||||||||
200,000 | Ashtead Capital, Inc.* 4.125%, 08/15/25 | 205,830 | |||||||||
250,000 | AT&T, Inc. 1.700%, 03/25/26 | 251,200 | |||||||||
150,000 | �� | Cogent Communications Group, Inc.* 3.500%, 05/01/26 | 150,000 | ||||||||
250,000 | Comcast Corp. 3.900%, 03/01/38 | 282,092 | |||||||||
110,000 | Crown Castle Towers, LLC* 3.720%, 07/15/43 | 113,234 | |||||||||
175,000 | Electronic Arts, Inc. 4.800%, 03/01/26 | 202,528 | |||||||||
110,000 | Hughes Satellite Systems Corp. 5.250%, 08/01/26 | 121,448 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
100,000 | Netflix, Inc.* 3.625%, 06/15/25 | $ | 107,746 | ||||||||
250,000 | NTT Finance Corp.* 1.591%, 04/03/28 | 245,897 | |||||||||
125,000 | Sirius XM Radio, Inc.* 3.875%, 08/01/22 | 125,693 | |||||||||
250,000 | T-Mobile USA, Inc.* 3.500%, 04/15/25 | 271,177 | |||||||||
100,000 | United States Cellular Corp. 6.700%, 12/15/33 | 125,032 | |||||||||
255,000 | Verizon Communications, Inc. 4.016%, 12/03/29 | 288,423 | |||||||||
2,490,300 | |||||||||||
Consumer Discretionary (4.5%) | |||||||||||
150,000 | American Honda Finance Corp. 2.350%, 01/08/27 | 157,152 | |||||||||
130,000 | Delta Air Lines Pass Through Trust Series 2019-1, Class AA 3.204%, 10/25/25 | 135,867 | |||||||||
200,000 | Ford Motor Credit Company, LLC 4.000%, 11/13/30 | 204,340 | |||||||||
200,000 | 3.370%, 11/17/23 | 206,704 | |||||||||
250,000 | General Motors Financial Company, Inc. 3.700%, 05/09/23 | 263,355 | |||||||||
100,000 | goeasy, Ltd.* 4.375%, 05/01/26 | 101,271 | |||||||||
250,000 | Home Depot, Inc. 2.800%, 09/14/27 | 270,090 | |||||||||
125,000 | Lennar Corp. 4.500%, 04/30/24 | 136,768 | |||||||||
200,000 | Lowe's Companies, Inc.^ 4.000%, 04/15/25 | 222,286 | |||||||||
250,000 | M/I Homes, Inc. 5.625%, 08/01/25 | 259,852 | |||||||||
250,000 | Mattel, Inc.* 3.375%, 04/01/26 | 259,107 | |||||||||
19,000 | 6.750%, 12/31/25 | 19,997 | |||||||||
125,000 | MGM Resorts International 6.000%, 03/15/23 | 133,991 | |||||||||
250,000 | Newell Brands, Inc. 4.350%, 04/01/23 | 263,655 | |||||||||
19,000 | News Corp.* 3.875%, 05/15/29 | 19,380 | |||||||||
100,000 | NIKE, Inc. 2.850%, 03/27/30 | 106,587 | |||||||||
125,000 | Nordstrom, Inc.* 2.300%, 04/08/24 | 125,448 | |||||||||
200,000 | Toll Brothers Finance Corp. 4.350%, 02/15/28 | 219,962 | |||||||||
151,459 | US Airways Pass Through Trust Series 2012-2, Class B 6.750%, 12/03/22 | 151,601 | |||||||||
3,257,413 |
See accompanying Notes to Schedule of Investments
www.calamos.com
143
Total Return Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
Consumer Staples (3.5%) | |||||||||||
250,000 | Anheuser-Busch InBev Worldwide, Inc. 3.500%, 06/01/30 | $ | 272,782 | ||||||||
250,000 | Archer-Daniels-Midland Company 3.250%, 03/27/30 | 272,618 | |||||||||
250,000 | Coca-Cola Company 2.950%, 03/25/25 | 270,625 | |||||||||
250,000 | Costco Wholesale Corp. 1.600%, 04/20/30 | 241,940 | |||||||||
175,000 | Edgewell Personal Care Company* 4.125%, 04/01/29 | 174,911 | |||||||||
250,000 | General Mills, Inc. 2.600%, 10/12/22 | 257,500 | |||||||||
250,000 | Hershey Company 1.700%, 06/01/30 | 242,523 | |||||||||
200,000 | Kimberly-Clark Corp. 3.100%, 03/26/30 | 217,266 | |||||||||
150,000 | Land O'Lakes, Inc.* 6.000%, 11/15/22 | 159,582 | |||||||||
200,000 | McCormick & Company, Inc. 0.900%, 02/15/26 | 195,974 | |||||||||
250,000 | Walmart, Inc. 3.050%, 07/08/26 | 274,072 | |||||||||
2,579,793 | |||||||||||
Energy (0.2%) | |||||||||||
175,000 | Energy Transfer, LP‡ 3.193%, 11/01/66 3 mo. USD LIBOR + 3.02% | 129,938 | |||||||||
Financials (17.5%) | |||||||||||
115,000 | Ally Financial, Inc. 4.700%, 05/15/26‡ 5 year CMT + 3.87% | 117,053 | |||||||||
100,000 | 8.000%, 11/01/31 | 140,686 | |||||||||
250,000 | American Express Company 3.000%, 10/30/24 | 270,037 | |||||||||
150,000 | Ares Capital Corp. 3.250%, 07/15/25 | 156,858 | |||||||||
200,000 | Aviation Capital Group, LLC* 3.500%, 11/01/27 | 207,370 | |||||||||
250,000 | Axis Specialty Finance, PLC 4.000%, 12/06/27 | 276,335 | |||||||||
150,000 | Bank of America Corp.‡ 3.366%, 01/23/26 3 mo. USD LIBOR + 0.81% | 162,081 | |||||||||
250,000 | Bank of Montreal 3.300%, 02/05/24 | 268,957 | |||||||||
75,000 | Bank of Montreal^‡ 4.800%, 08/25/24 5 year CMT + 2.98% | 79,500 | |||||||||
125,000 | Bank of Nova Scotia 2.450%, 09/19/22 | 128,864 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
250,000 | Barclays, PLC‡ 1.007%, 12/10/24 1 year CMT + 0.80% | $ | 250,462 | ||||||||
150,000 | Berkshire Hathaway Finance Corp. 4.250%, 01/15/49 | 179,207 | |||||||||
125,000 | BP Capital Markets, PLC‡ 4.875%, 03/22/30 5 year CMT + 4.40% | 134,616 | |||||||||
175,000 | Brookfield Finance, Inc. 2.724%, 04/15/31 | 175,733 | |||||||||
200,000 | Capital One Financial Corp. 2.600%, 05/11/23 | 208,200 | |||||||||
150,000 | Caterpillar Financial Services Corp. 2.150%, 11/08/24 | 157,572 | |||||||||
200,000 | Charles Schwab Corp.‡ 4.000%, 06/01/26 5 year CMT + 3.17% | 206,454 | |||||||||
250,000 | CIT Bank, N.A.‡ 2.969%, 09/27/25 SOFR + 1.72% | 262,985 | |||||||||
250,000 | Citigroup, Inc.‡ 3.875%, 02/18/26 5 year CMT + 3.42% | 251,710 | |||||||||
250,000 | Credit Suisse Group, AG*‡ 1.305%, 02/02/27 SOFR + 0.98% | 243,960 | |||||||||
250,000 | CyrusOne, LP / CyrusOne Finance Corp. 2.900%, 11/15/24 | 264,837 | |||||||||
200,000 | Danske Bank, A/S*‡ 3.001%, 09/20/22 3 mo. USD LIBOR + 1.25% | 201,680 | |||||||||
350,000 | Discover Bank 3.450%, 07/27/26 | 381,171 | |||||||||
150,000 | Duke Realty, LP 2.875%, 11/15/29 | 155,586 | |||||||||
200,000 | Essex Portfolio, LP 1.700%, 03/01/28 | 194,532 | |||||||||
200,000 | Federation des Caisses Desjardins du Quebec* 2.050%, 02/10/25 | 206,636 | |||||||||
200,000 | Fifth Third Bancorp 2.550%, 05/05/27 | 210,492 | |||||||||
125,000 | Franklin Resources, Inc. 2.850%, 03/30/25 | 133,983 | |||||||||
182,000 | Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP* 3.750%, 12/15/27 | 180,100 | |||||||||
150,000 | Goldman Sachs Group, Inc.‡ 3.800%, 05/10/26^ 5 year CMT + 2.97% | 150,144 | |||||||||
125,000 | 3.814%, 04/23/29 3 mo. USD LIBOR + 1.16% | 138,216 | |||||||||
250,000 | HSBC Holdings, PLC^‡ 4.000%, 03/09/26 5 year CMT + 3.22% | 251,927 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
144
Total Return Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
150,000 | Huntington Bancshares, Inc. 2.550%, 02/04/30 | $ | 152,738 | ||||||||
125,000 | 4.450%, 10/15/27‡ 7 year CMT + 4.05% | 134,154 | |||||||||
250,000 | ILFC E-Capital Trust II*‡ 4.250%, 12/21/65 3 mo. USD LIBOR + 1.80% | 212,883 | |||||||||
175,000 | Iron Mountain, Inc.* 5.250%, 03/15/28 | 183,797 | |||||||||
200,000 | Jaguar Holding Company II / Pharmaceutical Product Development, LLC* 4.625%, 06/15/25 | 210,654 | |||||||||
150,000 | JPMorgan Chase & Company‡ 3.220%, 03/01/25 3 mo. USD LIBOR + 1.16% | 160,179 | |||||||||
125,000 | Life Storage, LP 4.000%, 06/15/29 | 137,534 | |||||||||
200,000 | Lloyds Banking Group, PLC‡ 1.627%, 05/11/27 1 year CMT + 0.85% | 200,040 | |||||||||
200,000 | LSEGA Financing, PLC* 2.000%, 04/06/28 | 199,528 | |||||||||
300,000 | Macquarie Bank, Ltd.*‡ 3.052%, 03/03/36 5 year CMT + 1.70% | 289,938 | |||||||||
250,000 | Markel Corp. 3.500%, 11/01/27 | 275,147 | |||||||||
200,000 | MetLife, Inc. 6.400%, 12/15/66 | 252,538 | |||||||||
200,000 | Morgan Stanley‡ 1.593%, 05/04/27 SOFR + 0.88% | 200,944 | |||||||||
250,000 | National Securities Clearing Corp.* 1.500%, 04/23/25 | 254,922 | |||||||||
200,000 | Nippon Life Insurance Company*‡ 2.750%, 01/21/51 5 year CMT + 2.65% | 193,774 | |||||||||
118,000 | PartnerRe Finance B, LLC‡ 4.500%, 10/01/50 5 year CMT + 3.82% | 121,936 | |||||||||
150,000 | PNC Financial Services Group, Inc. 2.200%, 11/01/24 | 158,514 | |||||||||
250,000 | Prologis, LP 2.250%, 04/15/30 | 250,692 | |||||||||
200,000 | Prospect Capital Corp. 3.706%, 01/22/26 | 202,454 | |||||||||
125,000 | Reinsurance Group of America, Inc. 3.900%, 05/15/29 | 138,085 | |||||||||
250,000 | RenaissanceRe Finance, Inc. 3.450%, 07/01/27 | 273,222 | |||||||||
250,000 | Royal Bank of Canada 0.875%, 01/20/26 | 246,943 | |||||||||
161,000 | SBA Tower Trust* 1.631%, 11/15/26 | 161,000 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
69,000 | SLM Corp. 4.200%, 10/29/25 | $ | 72,809 | ||||||||
150,000 | State Street Corp.‡ 2.354%, 11/01/25 SOFR + 0.94% | 157,967 | |||||||||
125,000 | SVB Financial Group‡ 4.100%, 02/15/31 10 year CMT + 3.06% | 126,175 | |||||||||
125,000 | Torchmark Corp. 4.550%, 09/15/28 | 145,013 | |||||||||
110,000 | Toronto-Dominion Bank 1.150%, 06/12/25 | 110,701 | |||||||||
250,000 | Travelers Companies, Inc. 2.550%, 04/27/50 | 229,428 | |||||||||
150,000 | US Bancorp 3.600%, 09/11/24 | 164,448 | |||||||||
200,000 | USAA Capital Corp.* 2.125%, 05/01/30 | 198,382 | |||||||||
125,000 | Ventas Realty, LP 4.000%, 03/01/28 | 139,469 | |||||||||
150,000 | VICI Properties, LP / VICI Note Company, Inc.* 3.500%, 02/15/25^ | 153,629 | |||||||||
66,000 | 4.625%, 12/01/29 | 68,701 | |||||||||
125,000 | Wells Fargo & Company 4.400%, 06/14/46 | 142,485 | |||||||||
125,000 | 3.900%, 03/15/26‡ 5 year CMT + 3.45% | 127,983 | |||||||||
12,796,750 | |||||||||||
Health Care (4.9%) | |||||||||||
200,000 | AbbVie, Inc. 3.800%, 03/15/25 | 219,298 | |||||||||
200,000 | AstraZeneca, PLC 1.375%, 08/06/30 | 184,196 | |||||||||
100,000 | Bausch Health Companies, Inc.* 5.500%, 11/01/25 | 103,166 | |||||||||
200,000 | Bristol-Myers Squibb Company 3.200%, 06/15/26 | 219,322 | |||||||||
175,000 | Charles River Laboratories International, Inc.* 3.750%, 03/15/29 | 178,273 | |||||||||
150,000 | CVS Health Corp. 4.780%, 03/25/38 | 179,545 | |||||||||
100,000 | DaVita, Inc.* 4.625%, 06/01/30 | 101,327 | |||||||||
23,000 | 3.750%, 02/15/31 | 21,880 | |||||||||
200,000 | Elanco Animal Health, Inc. 4.912%, 08/27/21 | 202,504 | |||||||||
175,000 | 5.900%, 08/28/28 | 199,255 | |||||||||
250,000 | Health Care Service Corp. A Mutual Legal Reserve Company* 1.500%, 06/01/25 | 253,437 | |||||||||
200,000 | Humana, Inc. 3.850%, 10/01/24 | 217,946 |
See accompanying Notes to Schedule of Investments
www.calamos.com
145
Total Return Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
250,000 | Johnson & Johnson 3.400%, 01/15/38 | $ | 276,685 | ||||||||
200,000 | Pfizer, Inc. 2.625%, 04/01/30 | 209,426 | |||||||||
200,000 | Royalty Pharma, PLC* 2.200%, 09/02/30 | 191,280 | |||||||||
125,000 | Tenet Healthcare Corp.* 4.625%, 09/01/24 | 128,723 | |||||||||
120,000 | Teva Pharmaceutical Finance Company, BV 2.950%, 12/18/22 | 120,810 | |||||||||
150,000 | Teva Pharmaceutical Finance Netherlands III, BV 2.800%, 07/21/23 | 149,094 | |||||||||
120,000 | Thermo Fisher Scientific, Inc. 4.133%, 03/25/25 | 133,628 | |||||||||
125,000 | UnitedHealth Group, Inc. 2.375%, 08/15/24 | 132,320 | |||||||||
200,000 | Universal Health Services, Inc.* 2.650%, 10/15/30 | 195,740 | |||||||||
3,617,855 | |||||||||||
Industrials (4.5%) | |||||||||||
250,000 | 3M Company 3.700%, 04/15/50 | 280,047 | |||||||||
125,000 | Air Lease Corp.‡ 4.650%, 06/15/26 5 year CMT + 4.08% | 127,754 | |||||||||
150,000 | Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC* 3.500%, 02/15/23 | 154,674 | |||||||||
250,000 | Avolon Holdings Funding, Ltd.* 2.125%, 02/21/26 | 243,812 | |||||||||
175,000 | EnerSys* 4.375%, 12/15/27 | 183,663 | |||||||||
150,000 | FedEx Corp. 2.400%, 05/15/31 | 148,758 | |||||||||
70,573 | Hawaiian Airlines Pass Through Certificates Series 2013-1, Class B 4.950%, 07/15/23 | 70,265 | |||||||||
250,000 | Honeywell International, Inc. 1.950%, 06/01/30 | 248,715 | |||||||||
250,000 | Infor, Inc.* 1.750%, 07/15/25 | 255,087 | |||||||||
125,000 | John Deere Capital Corp. 1.750%, 03/09/27 | 127,749 | |||||||||
200,000 | Mars, Inc.* 0.875%, 07/16/26 | 195,556 | |||||||||
300,000 | Moog, Inc.* 4.250%, 12/15/27 | 308,808 | |||||||||
17,000 | Park Aerospace Holdings, Ltd.* 5.250%, 08/15/22 | 17,775 | |||||||||
175,000 | QVC, Inc. 4.375%, 09/01/28 | 179,988 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
250,000 | Roper Technologies, Inc. 1.400%, 09/15/27 | $ | 244,585 | ||||||||
100,000 | Sensata Technologies Holding, BV* 5.625%, 11/01/24 | 111,583 | |||||||||
125,000 | TransDigm, Inc.* 6.250%, 03/15/26 | 132,444 | |||||||||
250,000 | Verisk Analytics, Inc. 4.125%, 09/12/22 | 262,250 | |||||||||
3,293,513 | |||||||||||
Information Technology (4.5%) | |||||||||||
250,000 | Apple, Inc. 4.375%, 05/13/45 | 308,250 | |||||||||
250,000 | Broadcom, Inc. 4.700%, 04/15/25 | 282,410 | |||||||||
250,000 | Fidelity National Information Services, Inc. 1.150%, 03/01/26 | 247,670 | |||||||||
250,000 | Fortinet, Inc. 2.200%, 03/15/31 | 243,620 | |||||||||
125,000 | Hewlett Packard Enterprise Company 4.900%, 10/15/25 | 142,675 | |||||||||
200,000 | Intuit, Inc.^ 0.950%, 07/15/25 | 200,748 | |||||||||
250,000 | Mastercard, Inc. 3.350%, 03/26/30 | 277,240 | |||||||||
157,000 | Microsoft Corp. 4.100%, 02/06/37 | 189,025 | |||||||||
93,000 | 2.525%, 06/01/50 | 86,668 | |||||||||
250,000 | NetApp, Inc. 1.875%, 06/22/25 | 256,907 | |||||||||
250,000 | NVIDIA Corp. 3.500%, 04/01/40 | 274,030 | |||||||||
200,000 | Oracle Corp. 2.650%, 07/15/26 | 210,832 | |||||||||
175,000 | TTM Technologies, Inc.* 4.000%, 03/01/29 | 175,497 | |||||||||
133,000 | Twilio, Inc. 3.625%, 03/15/29 | 135,800 | |||||||||
250,000 | Visa, Inc. 2.050%, 04/15/30 | 252,835 | |||||||||
3,284,207 | |||||||||||
Materials (1.2%) | |||||||||||
75,000 | ArcelorMittal, SA 7.250%, 10/15/39 | 105,802 | |||||||||
200,000 | Ball Corp. 4.000%, 11/15/23 | 212,796 | |||||||||
100,000 | Clearwater Paper Corp.* 4.750%, 08/15/28 | 101,054 | |||||||||
250,000 | Georgia-Pacific, LLC* 3.600%, 03/01/25 | 271,825 | |||||||||
150,000 | Sealed Air Corp.* 4.875%, 12/01/22 | 157,524 | |||||||||
849,001 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
146
Total Return Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
Real Estate (2.2%) | |||||||||||
150,000 | EPR Properties 4.950%, 04/15/28 | $ | 156,799 | ||||||||
250,000 | Equinix, Inc. 1.250%, 07/15/25 | 249,815 | |||||||||
200,000 | Federal Realty Investment Trust 1.250%, 02/15/26 | 199,432 | |||||||||
190,000 | Healthpeak Properties, Inc. 3.250%, 07/15/26 | 207,005 | |||||||||
125,000 | Hospitality Properties Trust 3.950%, 01/15/28 | 115,755 | |||||||||
200,000 | Public Storage 2.300%, 05/01/31 | 200,116 | |||||||||
200,000 | Realty Income Corp. 3.250%, 01/15/31 | 214,550 | |||||||||
100,000 | Service Properties Trust 5.250%, 02/15/26 | 100,673 | |||||||||
125,000 | Tanger Properties, LP^ 3.875%, 07/15/27 | 133,055 | |||||||||
1,577,200 | |||||||||||
Utilities (3.2%) | |||||||||||
200,000 | American Electric Power Company, Inc.^ 1.000%, 11/01/25 | 198,012 | |||||||||
150,000 | Berkshire Hathaway Energy Company 3.800%, 07/15/48 | 163,725 | |||||||||
200,000 | Consolidated Edison Company of New York, Inc. 3.350%, 04/01/30 | 216,532 | |||||||||
200,000 | DPL, Inc. 4.125%, 07/01/25 | 215,410 | |||||||||
150,000 | DTE Energy Company 2.250%, 11/01/22 | 154,002 | |||||||||
150,000 | Duke Energy Carolinas, LLC 3.700%, 12/01/47 | 162,775 | |||||||||
200,000 | Entergy Corp. 0.900%, 09/15/25 | 196,892 | |||||||||
250,000 | Florida Power & Light Company 2.850%, 04/01/25 | 268,060 | |||||||||
175,000 | Monongahela Power Company* 3.550%, 05/15/27 | 191,065 | |||||||||
150,000 | Northern States Power Company 3.750%, 12/01/47 | 162,411 | |||||||||
150,000 | Public Service Electric & Gas Company 3.600%, 12/01/47 | 164,301 | |||||||||
250,000 | Southern California Edison Company 3.400%, 06/01/23 | 263,700 | |||||||||
2,356,885 | |||||||||||
TOTAL CORPORATE BONDS (Cost $36,317,131) | 37,916,446 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
CONVERTIBLE BONDS (0.4%) | |||||||||||
Consumer Discretionary (0.1%) | |||||||||||
125,000 | DISH Network Corp. 2.375%, 03/15/24 | $ | 122,031 | ||||||||
Financials (0.3%) | |||||||||||
200,000 | Prospect Capital Corp. 4.950%, 07/15/22 | 205,906 | |||||||||
TOTAL CONVERTIBLE BONDS (Cost $320,975) | 327,937 | ||||||||||
BANK LOANS (7.9%)¡ | |||||||||||
Airlines (0.3%) | |||||||||||
185,000 | AAdvantage Loyalty IP, Ltd.‡ 5.500%, 04/20/28 3 mo. LIBOR + 4.75% | 190,500 | |||||||||
Communication Services (1.0%) | |||||||||||
124,370 | CSC Holdings, LLC‡ 2.615%, 04/15/27 1 mo. LIBOR + 2.50% | 123,943 | |||||||||
298,964 | Go Daddy Operating Company, LLC / GD Finance Company, Inc.‡ 1.863%, 02/15/24 1 mo. LIBOR + 1.75% | 296,928 | |||||||||
299,231 | SBA Senior Finance II, LLC‡ 1.870%, 04/11/25 1 mo. LIBOR + 1.75% | 297,610 | |||||||||
718,481 | |||||||||||
Consumer Discretionary (0.6%) | |||||||||||
249,197 | Meredith Corp.‡ 5.250%, 01/31/25 3 mo. LIBOR + 4.25% | 253,869 | |||||||||
150,000 | Murphy USA Inc‡ 2.250%, 01/31/28 1 mo. LIBOR + 1.75% | 150,516 | |||||||||
404,385 | |||||||||||
Consumer Staples (0.6%) | |||||||||||
299,250 | Energizer Holdings, Inc.‡ 2.750%, 12/22/27 1 mo. LIBOR + 2.25% | 298,577 | |||||||||
98,747 | United Natural Foods, Inc.! 0.000%, 10/22/25 | 98,814 | |||||||||
49,511 | United Natural Foods, Inc.‡ 3.613%, 10/22/25 1 mo. LIBOR + 3.50% | 49,544 | |||||||||
446,935 | |||||||||||
Financials (0.4%) | |||||||||||
150,000 | Jazz Financing Lux Sarl! 0.000%, 04/22/28 | 150,499 |
See accompanying Notes to Schedule of Investments
www.calamos.com
147
Total Return Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
168,664 | Level 3 Financing, Inc.‡ 1.863%, 03/01/27 | ||||||||||
1 mo. LIBOR + 1.75% | $ | 166,872 | |||||||||
317,371 | |||||||||||
Health Care (1.5%) | |||||||||||
265,948 | Amneal Pharmaceuticals, LLC‡ 3.625%, 05/04/25 1 mo. LIBOR + 3.50% | 261,709 | |||||||||
300,000 | Catalent Pharma Solutions Inc.‡ 2.500%, 02/22/28 1 mo. LIBOR + 2.00% | 300,750 | |||||||||
297,733 | HCA, Inc.‡ 1.863%, 03/13/25 1 mo. LIBOR + 1.75% | 298,083 | |||||||||
259,689 | Mallinckrodt International Finance, SA‡ 6.000%, 09/24/24 3 mo. LIBOR + 4.75% | 253,278 | |||||||||
1,113,820 | |||||||||||
Industrials (1.8%) | |||||||||||
150,000 | AECOM Technology Corp.‡ 1.833%, 04/13/28 1 wk. LIBOR + 1.75% | 150,095 | |||||||||
250,000 | Horizon Therapeutics USA, Inc.‡ 2.500%, 03/15/28 1 mo. LIBOR + 2.00% | 249,437 | |||||||||
122,785 | Navistar International Corp.‡ 3.610%, 11/06/24 1 mo. LIBOR + 3.50% | 122,892 | |||||||||
320,000 | Spectrum Brands, Inc.‡ 2.500%, 03/03/28 3 mo. LIBOR + 2.00% | 319,501 | |||||||||
254,348 | United Rentals, Inc.‡ 1.863%, 10/31/25 1 mo. LIBOR + 1.75% | 255,523 | |||||||||
250,000 | XPO Logistics, Inc.‡ 1.861%, 02/24/25 1 mo. LIBOR + 1.75% | 249,037 | |||||||||
1,346,485 | |||||||||||
Information Technology (1.7%) | |||||||||||
124,688 | Camelot U.S. Acquisition 1 Company‡ 4.000%, 10/30/26 1 mo. LIBOR + 3.00% | 124,921 | |||||||||
299,250 | Dell International LLC‡ 2.000%, 09/19/25 1 mo. LIBOR + 1.75% | 299,358 | |||||||||
299,241 | ON Semiconductor Corp.‡ 2.113%, 09/19/26 1 mo. LIBOR + 2.00% | 299,053 | |||||||||
299,229 | Open Text Corp.‡ 1.863%, 05/30/25 1 mo. LIBOR + 1.75% | 299,916 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
250,000 | Playtika Holding Corp‡ 2.863%, 03/13/28 | ||||||||||
1 mo. LIBOR + 2.75% | $ | 248,985 | |||||||||
1,272,233 | |||||||||||
TOTAL BANK LOANS (Cost $5,829,758) | 5,810,210 | ||||||||||
ASSET BACKED SECURITIES (4.5%) | |||||||||||
Financials (3.1%) | |||||||||||
205,000 | Commonbond Student Loan Trust Series 2021-AGS, Class A* 1.200%, 03/25/52 | 204,796 | |||||||||
64,244 | Credit Acceptance Auto Loan Trust Series 2018-3A, Class A* 3.550%, 08/15/27 | 64,543 | |||||||||
150,000 | Dell Equipment Finance Trust Series 2021-1, Class B* 0.710%, 05/22/26 | 149,873 | |||||||||
250,000 | DT Auto Owner Trust Series 2020-1A, Class B* 2.160%, 05/15/24 | 252,992 | |||||||||
500,000 | Ford Credit Floorplan Master Owner Trust Series 2018-1, Class A1 2.950%, 05/15/23 | 500,377 | |||||||||
141,630 | OSCAR US Funding Trust IX, LLC Series 2018-2A, Class A3* 3.390%, 09/12/22 | 142,183 | |||||||||
290,000 | OSCAR US Funding Trust XII, LLC Series 2021-1A, Class A4* 1.000%, 04/10/28 | 289,397 | |||||||||
80,205 | SoFi Professional Loan Program LLC Series 2016-C, Class A2B* 2.360%, 12/27/32 | 81,001 | |||||||||
284,895 | SoFi Professional Loan Program LLC Series 2017-F, Class A2FX* 2.840%, 01/25/41 | 291,565 | |||||||||
250,000 | Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A* 2.560%, 11/25/31 | 264,617 | |||||||||
2,241,344 | |||||||||||
Other (1.4%) | |||||||||||
233,542 | CLI Funding VI, LLC Series 2020-3A, Class A* 2.070%, 10/18/45 | 235,912 | |||||||||
251,453 | MVW Owner Trust Series 2019-1A, Class A* 2.890%, 11/20/36 | 258,854 | |||||||||
250,000 | SCF Equipment Leasing, LLC Series 2020-1A, Class A3* 1.190%, 10/20/27 | 250,775 | |||||||||
195,000 | SCF Equipment Leasing, LLC Series 2021-1A, Class A3* 0.830%, 08/21/28 | 193,019 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
148
Total Return Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
100,000 | Tesla Auto Lease Trust Series 2020-A, Class A3* | ||||||||||
0.680%, 12/20/23 | $ | 100,430 | |||||||||
1,038,990 | |||||||||||
TOTAL ASSET BACKED SECURITIES (Cost $3,245,342) | 3,280,334 | ||||||||||
U.S. GOVERNMENT AND AGENCY SECURITIES (29.8%) | |||||||||||
312,257 | Federal Home Loan Mortgage Corp. 4.000%, 05/01/49 | 334,637 | |||||||||
165,709 | 2.500%, 02/01/35 | 173,114 | |||||||||
1,093,612 | Federal National Mortgage Association 3.500%, 04/01/50 | 1,161,965 | |||||||||
1,081,448 | 2.500%, 04/01/50 | 1,121,562 | |||||||||
1,079,185 | 3.000%, 04/01/50 | 1,128,930 | |||||||||
473,049 | 3.000%, 07/01/46 | 498,804 | |||||||||
321,113 | 3.500%, 11/01/49 | 340,889 | |||||||||
301,361 | 3.500%, 08/01/47 | 321,420 | |||||||||
275,308 | 3.000%, 03/01/47 | 290,297 | |||||||||
246,530 | 4.000%, 06/01/48 | 264,204 | |||||||||
221,040 | 2.500%, 09/01/31 | 232,972 | |||||||||
202,481 | 3.000%, 02/01/33 | 213,956 | |||||||||
185,071 | 4.500%, 04/01/48 | 201,202 | |||||||||
168,014 | 3.500%, 02/01/49 | 178,703 | |||||||||
138,153 | 3.000%, 07/01/49 | 144,445 | |||||||||
122,908 | 4.000%, 03/01/47 | 132,471 | |||||||||
112,561 | 3.000%, 01/01/35 | 118,535 | |||||||||
322,569 | Government National Mortgage Association II Pool 3.500%, 10/20/47 | 344,811 | |||||||||
227,465 | 3.000%, 10/20/47 | 240,187 | |||||||||
1,000,000 | United States Treasury Bond 2.250%, 08/15/49 | 991,875 | |||||||||
750,000 | 2.875%, 11/15/46^ | 837,715 | |||||||||
600,000 | 1.875%, 02/15/41 | 571,125 | |||||||||
500,000 | 3.500%, 02/15/39 | 609,102 | |||||||||
500,000 | 3.000%, 05/15/47 | 571,992 | |||||||||
500,000 | 2.000%, 02/15/50 | 469,336 | |||||||||
500,000 | 1.125%, 08/15/40 | 416,992 | |||||||||
300,000 | 3.000%, 02/15/49 | 345,047 | |||||||||
200,000 | 1.375%, 08/15/50 | 160,469 | |||||||||
125,000 | 2.375%, 11/15/49 | 127,432 | |||||||||
1,066,520 | United States Treasury Inflation Indexed Note 0.500%, 01/15/28 | 1,202,057 | |||||||||
1,800,000 | United States Treasury Note 0.750%, 01/31/28 | 1,740,094 | |||||||||
1,100,000 | 1.125%, 05/15/40 | 920,734 | |||||||||
1,000,000 | 0.250%, 09/30/25 | 980,039 | |||||||||
630,000 | 1.500%, 02/15/30 | 628,228 | |||||||||
500,000 | 2.875%, 11/30/25^ | 548,008 | |||||||||
500,000 | 2.500%, 02/28/26^ | 540,195 | |||||||||
500,000 | 1.125%, 02/28/27 | 502,051 | |||||||||
500,000 | 0.500%, 04/30/27 | 482,598 | |||||||||
500,000 | 0.375%, 09/30/27^ | 474,570 | |||||||||
400,000 | 0.625%, 05/15/30^ | 368,094 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
400,000 | 0.625%, 08/15/30 | $ | 366,594 | ||||||||
350,000 | 1.125%, 02/15/31^ | 334,223 | |||||||||
125,000 | 0.250%, 05/31/25 | 123,091 | |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $21,565,556) | 21,754,765 | ||||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES (1.9%) | |||||||||||
250,000 | BX Trust Series 2019-OC11, Class A* 3.202%, 12/09/41 | 264,570 | |||||||||
500,000 | Freddie Mac Multifamily Structured Pass Through Certificates Class A2 3.990%, 05/25/33‡ | 588,637 | |||||||||
460,000 | 3.350%, 01/25/28 | 516,128 | |||||||||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $1,326,506) | 1,369,335 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (4.2%) | |||||||||||
3,080,143 | State Street Navigator Securities Lending Government Money Market Portfolio† (Cost $3,080,143) | 3,080,143 | |||||||||
TOTAL INVESTMENTS (100.6%) (Cost $71,685,411) | 73,539,170 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-4.2%) | (3,080,143 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (3.6%) | 2,652,371 | ||||||||||
NET ASSETS (100.0%) | $ | 73,111,398 |
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.
^ Security, or portion of security, is on loan.
‡ Variable rate security. The rate shown is the rate in effect at April 30, 2021.
¡ Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown.
See accompanying Notes to Schedule of Investments
www.calamos.com
149
Total Return Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
! This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
FUTURES CONTRACTS
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE | MARKET VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Buy | |||||||||||||||||||
1,000,000 | U.S. Treasury Note 5-Year | Jun 2021 | $ | 1,239,375 | $ | (9,710 | ) |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
150
High Income Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
CORPORATE BONDS (82.3%) | |||||||||||
Airlines (1.9%) | |||||||||||
1,849 | Air Canada Pass Through Trust Series 2013-1, Class B* 5.375%, 11/15/22 | $ | 1,850 | ||||||||
175,716 | Air Canada Pass Through Trust Series 2015-1, Class B* 3.875%, 09/15/24 | 175,127 | |||||||||
29,000 | Air Canada Pass Through Trust Series 2015-2, Class B* 5.000%, 06/15/25 | 29,087 | |||||||||
110,493 | Alaska Airlines Pass Through Trust Series 2020-1, Class A* 4.800%, 02/15/29 | 121,984 | |||||||||
76,847 | Alaska Airlines Pass Through Trust Series 2020-1, Class B* 8.000%, 02/15/27 | 85,978 | |||||||||
65,000 | American Airlines, Inc. / AAdvantage Loyalty IP, Ltd.* 5.500%, 04/20/26 | 68,293 | |||||||||
22,000 | 5.750%, 04/20/29 | 23,597 | |||||||||
79,000 | JetBlue Pass Through Trust Series 2020-1, Class B 7.750%, 05/15/30 | 90,475 | |||||||||
55,000 | Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.* 8.000%, 09/20/25 | 62,358 | |||||||||
85,731 | United Airlines Pass Through Trust Series 2014-2, Class B 4.625%, 03/03/24 | 87,957 | |||||||||
53,535 | United Airlines Pass Through Trust Series 2019-2, Class B 3.500%, 11/01/29 | 52,338 | |||||||||
799,044 | |||||||||||
Communication Services (11.3%) | |||||||||||
150,000 | Arrow Bidco, LLC* 9.500%, 03/15/24 | 150,153 | |||||||||
65,000 | Beasley Mezzanine Holdings, LLC* 8.625%, 02/01/26 | 66,615 | |||||||||
70,000 | Brink's Company* 5.500%, 07/15/25 | 74,366 | |||||||||
36,000 | Cable One, Inc.*^ 4.000%, 11/15/30 | 35,635 | |||||||||
170,000 | Cincinnati Bell, Inc.* 8.000%, 10/15/25 | 180,644 | |||||||||
11,000 | Clear Channel Outdoor Holdings, Inc.*^ 7.750%, 04/15/28 | 11,338 | |||||||||
115,000 | CommScope, Inc.* 5.500%, 03/01/24 | 118,681 | |||||||||
100,000 | Consolidated Communications, Inc.*^ 6.500%, 10/01/28 | 107,888 | |||||||||
315,000 | CSC Holdings, LLC* 5.750%, 01/15/30 | 335,346 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
200,000 | 5.500%, 05/15/26 | $ | 205,718 | ||||||||
200,000 | 5.500%, 04/15/27 | 210,096 | |||||||||
176,000 | Cumulus Media New Holdings, Inc.*^ 6.750%, 07/01/26 | 181,611 | �� | ||||||||
75,000 | Diamond Sports Group, LLC / Diamond Sports Finance Company* 6.625%, 08/15/27^ | 40,651 | |||||||||
55,000 | 5.375%, 08/15/26 | 40,215 | |||||||||
372,000 | Embarq Corp. 7.995%, 06/01/36 | 433,897 | |||||||||
44,000 | Entercom Media Corp.*^ 6.750%, 03/31/29 | 45,465 | |||||||||
44,000 | 6.500%, 05/01/27 | 45,222 | |||||||||
225,000 | Frontier Communications Corp. 7.125%, 01/15/23@ | 159,824 | |||||||||
51,000 | 5.875%, 10/15/27* | 54,270 | |||||||||
140,000 | Frontier North, Inc.@ 6.730%, 02/15/28 | 150,203 | |||||||||
35,000 | Go Daddy Operating Company, LLC / GD Finance Company, Inc.* 3.500%, 03/01/29 | 34,171 | |||||||||
25,000 | 5.250%, 12/01/27 | 26,234 | |||||||||
30,000 | Hughes Satellite Systems Corp. 5.250%, 08/01/26 | 33,122 | |||||||||
70,000 | Intelsat Jackson Holdings, SA@ 9.750%, 07/15/25* | 43,672 | |||||||||
50,000 | 5.500%, 08/01/23 | 30,766 | |||||||||
100,000 | Intelsat, SA@ 7.750%, 06/01/21 | 3,236 | |||||||||
200,000 | LCPR Senior Secured Financing DAC* 6.750%, 10/15/27 | 215,260 | |||||||||
75,000 | Ligado Networks, LLC* 15.500%, 11/01/23 15.500% PIK rate | 73,969 | |||||||||
110,000 | Lumen Technologies, Inc.* 4.000%, 02/15/27 | 112,093 | |||||||||
80,000 | Netflix, Inc.^ 4.875%, 06/15/30* | 92,918 | |||||||||
45,000 | 4.875%, 04/15/28 | 51,865 | |||||||||
46,000 | Scripps Escrow II, Inc.* 3.875%, 01/15/29 | 45,718 | |||||||||
23,000 | 5.375%, 01/15/31 | 23,357 | |||||||||
130,000 | Scripps Escrow, Inc.* 5.875%, 07/15/27 | 136,825 | |||||||||
46,000 | Shift4 Payments, LLC / Shift4 Payments Finance Sub, Inc.* 4.625%, 11/01/26 | 48,013 | |||||||||
125,000 | Sirius XM Radio, Inc.* 5.500%, 07/01/29 | 135,252 | |||||||||
125,000 | 4.625%, 07/15/24 | 128,669 | |||||||||
65,000 | Spanish Broadcasting System, Inc.* 9.750%, 03/01/26 | 63,045 | |||||||||
165,000 | Sprint Capital Corp. 6.875%, 11/15/28 | 207,956 |
See accompanying Notes to Schedule of Investments
www.calamos.com
151
High Income Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
230,000 | Sprint Corp. 7.125%, 06/15/24 | $ | 266,023 | ||||||||
80,000 | Telecom Italia Capital, SA 6.000%, 09/30/34 | 90,240 | |||||||||
35,000 | Telesat Canada / Telesat, LLC* 4.875%, 06/01/27 | 34,296 | |||||||||
126,000 | United States Cellular Corp. 6.700%, 12/15/33 | 157,540 | |||||||||
43,000 | Univision Communications, Inc.* 5.125%, 02/15/25 | 43,793 | |||||||||
42,000 | Windstream Services, LLC / Windstream Finance Corp.@& 7.750%, 10/01/21 | 452 | |||||||||
4,746,323 | |||||||||||
Consumer Discretionary (13.7%) | |||||||||||
96,000 | American Axle & Manufacturing, Inc.^ 6.875%, 07/01/28 | 102,726 | |||||||||
72,000 | Ashton Woods USA, LLC / Ashton Woods Finance Company* 6.625%, 01/15/28 | 77,694 | |||||||||
54,000 | 9.875%, 04/01/27 | 61,498 | |||||||||
28,000 | Avis Budget Car Rental, LLC / Avis Budget Finance, Inc.* 5.375%, 03/01/29 | 29,311 | |||||||||
125,000 | Bally's Corp.* 6.750%, 06/01/27 | 133,186 | |||||||||
140,000 | Boyd Gaming Corp. 6.000%, 08/15/26 | 145,407 | |||||||||
11,000 | Boyne USA, Inc.* 4.750%, 05/15/29 | 11,315 | |||||||||
46,000 | Caesars Entertainment, Inc.* 8.125%, 07/01/27 | 51,186 | |||||||||
46,000 | 6.250%, 07/01/25 | 48,946 | |||||||||
140,000 | Caesars Resort Collection, LLC / CRC Finco, Inc.* 5.250%, 10/15/25 | 141,358 | |||||||||
44,000 | Carnival Corp.* 10.500%, 02/01/26^ | 51,981 | |||||||||
23,000 | 7.625%, 03/01/26 | 25,220 | |||||||||
44,000 | Carriage Services, Inc.* 4.250%, 05/15/29 | 43,890 | |||||||||
65,000 | Carvana Company* 5.625%, 10/01/25 | 67,069 | |||||||||
23,000 | 5.500%, 04/15/27 | 23,339 | |||||||||
200,000 | CCO Holdings, LLC / CCO Holdings Capital Corp.* 5.125%, 05/01/27 | 209,622 | |||||||||
84,000 | 5.750%, 02/15/26 | 86,869 | |||||||||
55,000 | 5.000%, 02/01/28 | 57,523 | |||||||||
52,000 | 4.750%, 03/01/30 | 54,308 | |||||||||
46,000 | 4.250%, 02/01/31 | 46,040 | |||||||||
75,000 | Cedar Fair, LP^ 5.250%, 07/15/29 | 77,185 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
125,000 | Century Communities, Inc. 6.750%, 06/01/27^ | $ | 134,822 | ||||||||
85,000 | 5.875%, 07/15/25 | 88,307 | |||||||||
200,000 | Dana, Inc.^ 5.625%, 06/15/28 | 215,888 | |||||||||
77,000 | DISH DBS Corp. 7.750%, 07/01/26 | 88,826 | |||||||||
25,000 | 7.375%, 07/01/28^ | 27,031 | |||||||||
85,000 | ESH Hospitality, Inc.* 5.250%, 05/01/25 | 86,791 | |||||||||
50,000 | 4.625%, 10/01/27^ | 53,027 | |||||||||
55,000 | Ford Motor Company 8.500%, 04/21/23 | 61,652 | |||||||||
200,000 | Ford Motor Credit Company, LLC 4.389%, 01/08/26 | 213,772 | |||||||||
200,000 | 4.000%, 11/13/30 | 204,340 | |||||||||
200,000 | 3.664%, 09/08/24 | 208,326 | |||||||||
200,000 | goeasy, Ltd.* 5.375%, 12/01/24 | 208,186 | |||||||||
80,000 | 4.375%, 05/01/26 | 81,017 | |||||||||
45,000 | Guitar Center, Inc.* 8.500%, 01/15/26 | 47,628 | |||||||||
25,000 | Installed Building Products, Inc.* 5.750%, 02/01/28 | 26,375 | |||||||||
200,000 | International Game Technology, PLC* 6.250%, 01/15/27 | 224,740 | |||||||||
123,000 | L Brands, Inc. 6.694%, 01/15/27 | 142,820 | |||||||||
67,000 | 6.875%, 11/01/35 | 81,320 | |||||||||
65,000 | Life Time, Inc.*^ 8.000%, 04/15/26 | 68,562 | |||||||||
170,000 | M/I Homes, Inc. 5.625%, 08/01/25 | 176,700 | |||||||||
70,000 | 4.950%, 02/01/28 | 73,791 | |||||||||
40,000 | Macy's Retail Holdings, LLC 6.700%, 07/15/34* | 39,979 | |||||||||
25,000 | 5.125%, 01/15/42 | 21,763 | |||||||||
45,000 | Macy's, Inc.* 8.375%, 06/15/25 | 49,669 | |||||||||
22,000 | Magic Mergeco, Inc.* 5.250%, 05/01/28 | 22,315 | |||||||||
125,000 | Mattel, Inc.* 5.875%, 12/15/27 | 137,447 | |||||||||
22,000 | 6.750%, 12/31/25 | 23,155 | |||||||||
11,000 | 3.750%, 04/01/29 | 11,269 | |||||||||
200,000 | Mclaren Finance, PLC* 5.750%, 08/01/22 | 198,272 | |||||||||
22,000 | Meritage Homes Corp.* 3.875%, 04/15/29 | 22,633 | |||||||||
78,000 | Midwest Gaming Borrower, LLC* 4.875%, 05/01/29 | 78,069 | |||||||||
65,000 | Mohegan Gaming & Entertainment* 8.000%, 02/01/26 | 66,043 | |||||||||
92,000 | Newell Brands, Inc. 4.700%, 04/01/26 | 102,580 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
152
High Income Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
22,000 | News Corp.* 3.875%, 05/15/29 | $ | 22,440 | ||||||||
179,000 | Rite Aid Corp. 8.000%, 11/15/26* | 186,119 | |||||||||
44,000 | 7.700%, 02/15/27 | 43,133 | |||||||||
45,000 | Royal Caribbean Cruises, Ltd.* 11.500%, 06/01/25 | 52,198 | |||||||||
23,000 | 10.875%, 06/01/23 | 26,417 | |||||||||
44,000 | Simmons Foods Inc/Simmons Prepared Foods Inc/Simmons Pet Food Inc/ Simmons Feed* 4.625%, 03/01/29 | 44,402 | |||||||||
125,000 | Speedway Motorsports, LLC / Speedway Funding II, Inc.* 4.875%, 11/01/27 | 125,787 | |||||||||
75,000 | Taylor Morrison Communities, Inc.* 5.750%, 01/15/28 | 84,685 | |||||||||
24,000 | Tempur Sealy International, Inc.* 4.000%, 04/15/29 | 24,314 | |||||||||
20,000 | TopBuild Corp.* 3.625%, 03/15/29 | 19,940 | |||||||||
42,559 | US Airways Pass Through Trust Series 2012-2, Class B 6.750%, 12/03/22 | 42,599 | |||||||||
23,000 | Viking Cruises, Ltd.* 13.000%, 05/15/25 | 26,932 | |||||||||
100,000 | Vista Outdoor, Inc.*^ 4.500%, 03/15/29 | 99,951 | |||||||||
105,000 | VOC Escrow, Ltd.* 5.000%, 02/15/28 | 107,222 | |||||||||
23,000 | Williams Scotsman International, Inc.* 4.625%, 08/15/28 | 23,535 | |||||||||
5,762,462 | |||||||||||
Consumer Staples (3.4%) | |||||||||||
45,000 | Central Garden & Pet Company 4.125%, 10/15/30^ | 46,473 | |||||||||
22,000 | 4.125%, 04/30/31* | 21,945 | |||||||||
65,000 | Edgewell Personal Care Company* 4.125%, 04/01/29 | 64,967 | |||||||||
45,000 | 5.500%, 06/01/28 | 47,936 | |||||||||
102,000 | Energizer Holdings, Inc.* 4.375%, 03/31/29 | 101,588 | |||||||||
70,000 | Fresh Market, Inc.* 9.750%, 05/01/23 | 72,057 | |||||||||
105,000 | JBS USA LUX, SA / JBS USA Finance, Inc.* 6.750%, 02/15/28 | 115,875 | |||||||||
42,000 | JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.* 6.500%, 04/15/29 | 47,401 | |||||||||
140,000 | Kraft Heinz Foods Company 4.375%, 06/01/46 | 150,174 | |||||||||
23,000 | 4.250%, 03/01/31 | 25,369 | |||||||||
23,000 | 3.875%, 05/15/27 | 25,057 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
63,000 | New Albertson's, Inc. 7.750%, 06/15/26 | $ | 73,163 | ||||||||
145,000 | Pilgrim's Pride Corp.* 5.875%, 09/30/27 | 154,447 | |||||||||
110,000 | Post Holdings, Inc.* 5.750%, 03/01/27 | 115,418 | |||||||||
65,000 | 4.625%, 04/15/30 | 65,681 | |||||||||
33,000 | Prestige Brands, Inc.* 3.750%, 04/01/31 | 31,709 | |||||||||
32,000 | Turning Point Brands, Inc.* 5.625%, 02/15/26 | 33,158 | |||||||||
100,000 | United Natural Foods, Inc.*^ 6.750%, 10/15/28 | 107,908 | |||||||||
125,000 | Vector Group, Ltd.* 5.750%, 02/01/29 | 126,367 | |||||||||
1,426,693 | |||||||||||
Energy (7.9%) | |||||||||||
35,000 | Antero Resources Corp.* 7.625%, 02/01/29 | 37,961 | |||||||||
90,000 | Apache Corp. 5.100%, 09/01/40 | 92,479 | |||||||||
52,000 | 4.875%, 11/15/27^ | 54,915 | |||||||||
46,000 | 4.625%, 11/15/25^ | 48,639 | |||||||||
75,000 | Buckeye Partners, LP 3.950%, 12/01/26 | 75,483 | |||||||||
50,000 | 5.850%, 11/15/43 | 49,409 | |||||||||
68,000 | ChampionX Corp. 6.375%, 05/01/26 | 71,331 | |||||||||
110,000 | Cheniere Energy Partners, LP 5.625%, 10/01/26 | 114,803 | |||||||||
23,000 | 4.000%, 03/01/31* | 23,431 | |||||||||
45,000 | Cheniere Energy, Inc.* 4.625%, 10/15/28 | 46,960 | |||||||||
90,000 | Continental Resources, Inc. 3.800%, 06/01/24 | 94,387 | |||||||||
70,000 | 4.375%, 01/15/28^ | 76,210 | |||||||||
125,000 | DCP Midstream Operating, LP*‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85% | 114,376 | |||||||||
75,000 | Diamond Offshore Drilling, Inc.@ 7.875%, 08/15/25 | 13,688 | |||||||||
220,000 | Energy Transfer, LP‡ 3.193%, 11/01/66 3 mo. USD LIBOR + 3.02% | 163,350 | |||||||||
120,000 | EnLink Midstream Partners, LP 6.000%, 12/15/22‡ 3 mo. USD LIBOR + 4.11% | 83,452 | |||||||||
100,000 | 4.850%, 07/15/26 | 100,896 | |||||||||
57,000 | EQT Corp. 8.500%, 02/01/30 | 72,951 | |||||||||
40,000 | 7.625%, 02/01/25 | 46,101 | |||||||||
23,000 | 5.000%, 01/15/29 | 25,140 |
See accompanying Notes to Schedule of Investments
www.calamos.com
153
High Income Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
117,000 | Genesis Energy, LP / Genesis Energy Finance Corp. 6.250%, 05/15/26 | $ | 114,926 | ||||||||
90,000 | Gulfport Energy Corp.@ 6.375%, 05/15/25 | 90,412 | |||||||||
76,000 | Laredo Petroleum, Inc. 10.125%, 01/15/28 | 78,377 | |||||||||
100,000 | Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.* 6.000%, 08/01/26 | 103,290 | |||||||||
50,000 | Moss Creek Resources Holdings, Inc.* 7.500%, 01/15/26 | 44,808 | |||||||||
45,000 | 10.500%, 05/15/27 | 42,661 | |||||||||
44,000 | Murphy Oil Corp. 6.375%, 07/15/28 | 44,726 | |||||||||
46,000 | New Fortress Energy, Inc.* 6.750%, 09/15/25 | 47,671 | |||||||||
45,000 | 6.500%, 09/30/26 | 45,928 | |||||||||
45,000 | Nine Energy Service, Inc.* 8.750%, 11/01/23 | 18,784 | |||||||||
24,000 | Oasis Midstream Partners, LP / OMP Finance Corp.* 8.000%, 04/01/29 | 24,579 | |||||||||
280,000 | Occidental Petroleum Corp. 4.300%, 08/15/39 | 247,786 | |||||||||
203,000 | 2.900%, 08/15/24 | 202,734 | |||||||||
168,000 | 2.700%, 08/15/22 | 169,268 | |||||||||
46,000 | 5.875%, 09/01/25^ | 50,305 | |||||||||
25,000 | Ovintiv Exploration, Inc. 5.750%, 01/30/22 | 25,779 | |||||||||
25,000 | Ovintiv, Inc.^ 6.500%, 08/15/34 | 31,911 | |||||||||
50,000 | Par Petroleum, LLC / Par Petroleum Finance Corp.* 7.750%, 12/15/25 | 50,817 | |||||||||
75,000 | Parkland Fuel Corp.* 5.875%, 07/15/27 | 79,981 | |||||||||
100,000 | Plains All American Pipeline, LP‡ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11% | 84,398 | |||||||||
36,000 | Range Resources Corp.*^ 8.250%, 01/15/29 | 39,115 | |||||||||
100,000 | SESI, LLC@ 7.750%, 09/15/24 | 40,380 | |||||||||
52,000 | Transocean, Inc.*^ 11.500%, 01/30/27 | 50,376 | |||||||||
47,000 | Vine Energy Holdings, LLC* 6.750%, 04/15/29 | 47,092 | |||||||||
50,000 | Viper Energy Partners, LP* 5.375%, 11/01/27 | 52,370 | |||||||||
70,000 | W&T Offshore, Inc.* 9.750%, 11/01/23 | 61,964 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
47,000 | Weatherford International, Ltd.* 11.000%, 12/01/24 | $ | 46,355 | ||||||||
3,342,755 | |||||||||||
Financials (14.8%) | |||||||||||
337,000 | Acrisure, LLC / Acrisure Finance, Inc.* 7.000%, 11/15/25 | 347,231 | |||||||||
63,000 | Aethon United BR, LP / Aethon United Finance Corp.* 8.250%, 02/15/26 | 66,883 | |||||||||
93,000 | AG Issuer, LLC* 6.250%, 03/01/28 | 96,462 | |||||||||
205,000 | Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer* 6.750%, 10/15/27 | 216,129 | |||||||||
160,000 | Ally Financial, Inc. 8.000%, 11/01/31 | 225,098 | |||||||||
76,000 | 4.700%, 05/15/26‡ 5 year CMT + 3.87% | 77,357 | |||||||||
205,000 | AmWINS Group, Inc.* 7.750%, 07/01/26 | 218,516 | |||||||||
215,000 | AssuredPartners, Inc.* 7.000%, 08/15/25 | 220,801 | |||||||||
98,000 | Aviation Capital Group, LLC* 3.500%, 11/01/27 | 101,611 | |||||||||
87,000 | BroadStreet Partners, Inc.* 5.875%, 04/15/29 | 88,432 | |||||||||
266,000 | Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLC* 5.750%, 05/15/26 | 278,188 | |||||||||
130,000 | Credit Acceptance Corp. 6.625%, 03/15/26^ | 137,562 | |||||||||
89,000 | 5.125%, 12/31/24* | 92,024 | |||||||||
29,000 | Cushman & Wakefield US Borrower, LLC* 6.750%, 05/15/28 | 31,105 | |||||||||
125,000 | Donnelley Financial Solutions, Inc. 8.250%, 10/15/24 | 131,252 | |||||||||
96,000 | Genworth Mortgage Holdings, Inc.* 6.500%, 08/15/25 | 104,337 | |||||||||
62,145 | Global Aircraft Leasing Company, Ltd.* 6.500%, 09/15/24 7.250% PIK rate | 61,956 | |||||||||
108,000 | Global Net Lease, Inc. / Global Net Lease Operating Partnership, LP* 3.750%, 12/15/27 | 106,872 | |||||||||
156,000 | Greystar Real Estate Partners, LLC* 5.750%, 12/01/25 | 161,072 | |||||||||
420,000 | HUB International, Ltd.* 7.000%, 05/01/26 | 436,019 | |||||||||
115,000 | Icahn Enterprises, LP / Icahn Enterprises Finance Corp. 5.250%, 05/15/27 | 117,891 | |||||||||
68,000 | 4.375%, 02/01/29* | 66,074 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
154
High Income Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
160,000 | ILFC E-Capital Trust II*‡ 4.250%, 12/21/65 3 mo. USD LIBOR + 1.80% | $ | 136,245 | ||||||||
230,000 | Iron Mountain, Inc.* 5.250%, 03/15/28 | 241,562 | |||||||||
200,000 | Jefferies Finance, LLC / JFIN Co-Issuer Corp.* 6.250%, 06/03/26 | 210,586 | |||||||||
207,000 | Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.* 5.250%, 10/01/25 | 210,163 | |||||||||
25,000 | 4.250%, 02/01/27 | 24,538 | |||||||||
48,000 | LD Holdings Group, LLC* 6.125%, 04/01/28 | 48,248 | |||||||||
115,000 | LPL Holdings, Inc.* 4.000%, 03/15/29 | 115,431 | |||||||||
193,000 | MetLife, Inc. 6.400%, 12/15/66 | 243,699 | |||||||||
202,000 | Navient Corp. 5.000%, 03/15/27 | 203,719 | |||||||||
100,000 | 4.875%, 03/15/28 | 98,123 | |||||||||
85,000 | OneMain Finance Corp. 7.125%, 03/15/26 | 99,369 | |||||||||
85,000 | 6.875%, 03/15/25 | 96,667 | |||||||||
55,000 | Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance Co-Issuer* 7.500%, 06/01/25 | 59,845 | |||||||||
45,000 | 5.875%, 10/01/28 | 47,795 | |||||||||
57,000 | PHH Mortgage Corp.* 7.875%, 03/15/26 | 58,097 | |||||||||
100,000 | Prospect Capital Corp. 3.706%, 01/22/26 | 101,227 | |||||||||
125,000 | Radian Group, Inc. 4.875%, 03/15/27 | 133,425 | |||||||||
100,000 | RHP Hotel Properties, LP / RHP Finance Corp.* 4.500%, 02/15/29 | 99,367 | |||||||||
55,000 | SLM Corp. 4.200%, 10/29/25 | 58,037 | |||||||||
150,000 | Starwood Property Trust, Inc. 4.750%, 03/15/25 | 156,447 | |||||||||
90,000 | StoneX Group, Inc.* 8.625%, 06/15/25 | 96,481 | |||||||||
68,000 | United Wholesale Mortgage, LLC* 5.500%, 11/15/25 | 70,750 | |||||||||
46,000 | 5.500%, 04/15/29 | 45,224 | |||||||||
96,000 | VICI Properties, LP / VICI Note Company, Inc.* 3.750%, 02/15/27 | 96,840 | |||||||||
98,000 | XHR, LP* 6.375%, 08/15/25 | 104,245 | |||||||||
6,239,002 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
Health Care (8.1%) | |||||||||||
46,000 | Acadia Healthcare Company, Inc.* 5.000%, 04/15/29 | $ | 47,624 | ||||||||
240,000 | Bausch Health Americas, Inc.* 8.500%, 01/31/27 | 267,480 | |||||||||
100,000 | Bausch Health Companies, Inc.* 5.000%, 01/30/28 | 101,666 | |||||||||
39,000 | 5.000%, 02/15/29 | 39,079 | |||||||||
23,000 | 5.250%, 02/15/31 | 23,063 | |||||||||
100,000 | Centene Corp. 4.250%, 12/15/27 | 104,969 | |||||||||
46,000 | 3.000%, 10/15/30 | 45,708 | |||||||||
22,000 | Charles River Laboratories International, Inc.* 4.000%, 03/15/31^ | 22,657 | |||||||||
22,000 | 3.750%, 03/15/29 | 22,411 | |||||||||
388,000 | CHS/Community Health Systems, Inc.* 8.125%, 06/30/24 | 406,927 | |||||||||
110,000 | 8.000%, 03/15/26 | 118,646 | |||||||||
49,000 | 6.875%, 04/15/29^ | 51,291 | |||||||||
137,000 | DaVita, Inc.* 4.625%, 06/01/30 | 138,818 | |||||||||
67,000 | 3.750%, 02/15/31 | 63,737 | |||||||||
45,000 | Encompass Health Corp. 4.750%, 02/01/30 | 47,436 | |||||||||
45,000 | 4.500%, 02/01/28 | 46,678 | |||||||||
124,000 | HCA, Inc. 7.500%, 11/06/33 | 169,209 | |||||||||
210,000 | Jazz Securities DAC* 4.375%, 01/15/29 | 214,849 | |||||||||
80,000 | Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC*@ 5.625%, 10/15/23 | 54,556 | |||||||||
200,000 | Organon Finance 1, LLC* 5.125%, 04/30/31 | 207,638 | |||||||||
107,000 | Team Health Holdings, Inc.* 6.375%, 02/01/25 | 94,924 | |||||||||
220,000 | Tenet Healthcare Corp. 6.250%, 02/01/27* | 230,888 | |||||||||
130,000 | 6.875%, 11/15/31 | 145,617 | |||||||||
125,000 | 4.875%, 01/01/26* | 129,993 | |||||||||
216,000 | Teva Pharmaceutical Finance Company, BV 2.950%, 12/18/22 | 217,458 | |||||||||
200,000 | Teva Pharmaceutical Finance Netherlands III, BV 6.000%, 04/15/24 | 211,442 | |||||||||
180,000 | 2.800%, 07/21/23 | 178,913 | |||||||||
3,403,677 | |||||||||||
Industrials (13.1%) | |||||||||||
90,000 | Abercrombie & Fitch Management Company* 8.750%, 07/15/25 | 99,909 | |||||||||
100,000 | ACCO Brands Corp.* 4.250%, 03/15/29 | 98,513 |
See accompanying Notes to Schedule of Investments
www.calamos.com
155
High Income Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
123,000 | Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC* 4.875%, 02/15/30 | $ | 128,236 | ||||||||
120,000 | 4.625%, 01/15/27 | 124,966 | |||||||||
46,000 | 3.500%, 03/15/29 | 44,342 | |||||||||
152,000 | Allison Transmission, Inc.* 4.750%, 10/01/27 | 159,896 | |||||||||
25,000 | 3.750%, 01/30/31 | 24,177 | |||||||||
20,000 | American Airlines Group, Inc.*^ 3.750%, 03/01/25 | 17,619 | |||||||||
49,000 | Arcosa, Inc.* 4.375%, 04/15/29 | 50,148 | |||||||||
225,000 | ARD Finance, SA* 6.500%, 06/30/27 7.250% PIK rate | 236,164 | |||||||||
150,000 | Beacon Roofing Supply, Inc.* 4.875%, 11/01/25 | 153,915 | |||||||||
33,000 | 4.125%, 05/15/29 | 32,938 | |||||||||
44,000 | BWX Technologies, Inc.*^ 4.125%, 04/15/29 | 45,218 | |||||||||
75,000 | Cascades, Inc. / Cascades USA, Inc.* 5.125%, 01/15/26 | 80,074 | |||||||||
50,000 | 5.375%, 01/15/28 | 52,222 | |||||||||
23,000 | Delta Air Lines, Inc. 7.375%, 01/15/26^ | 26,992 | |||||||||
23,000 | 3.800%, 04/19/23 | 23,808 | |||||||||
23,000 | Delta Air Lines, Inc. / SkyMiles IP, Ltd.* 4.750%, 10/20/28 | 25,260 | |||||||||
11,000 | 4.500%, 10/20/25 | 11,809 | |||||||||
69,000 | Endure Digital, Inc.*^ 6.000%, 02/15/29 | 66,164 | |||||||||
45,000 | EnerSys* 4.375%, 12/15/27 | 47,228 | |||||||||
46,000 | GFL Environmental, Inc.*^ 3.750%, 08/01/25 | 46,864 | |||||||||
65,000 | Golden Nugget, Inc.* 6.750%, 10/15/24 | 65,877 | |||||||||
50,000 | 8.750%, 10/01/25^ | 52,628 | |||||||||
52,000 | Graham Packaging Company, Inc.* 7.125%, 08/15/28 | 55,939 | |||||||||
50,000 | Granite US Holdings Corp.*^ 11.000%, 10/01/27 | 56,190 | |||||||||
60,000 | Graphic Packaging International, LLC* 4.750%, 07/15/27 | 65,488 | |||||||||
155,000 | Great Lakes Dredge & Dock Corp. 8.000%, 05/15/22 | 155,417 | |||||||||
153,000 | H&E Equipment Services, Inc.* 3.875%, 12/15/28 | 150,179 | |||||||||
125,000 | Herc Holdings, Inc.* 5.500%, 07/15/27 | 132,315 | |||||||||
115,000 | Howmet Aerospace, Inc. 5.125%, 10/01/24 | 126,137 | |||||||||
40,000 | 6.875%, 05/01/25 | 46,436 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
110,000 | Jeld-Wen, Inc.* 4.625%, 12/15/25 | $ | 112,424 | ||||||||
43,000 | KeHE Distributors, LLC / KeHE Finance Corp.* 8.625%, 10/15/26 | 48,231 | |||||||||
68,000 | Ken Garff Automotive, LLC* 4.875%, 09/15/28 | 68,765 | |||||||||
46,000 | MasTec, Inc.* 4.500%, 08/15/28 | 48,204 | |||||||||
80,000 | Meritor, Inc. 6.250%, 02/15/24 | 81,358 | |||||||||
14,000 | 4.500%, 12/15/28*^ | 14,210 | |||||||||
60,000 | Moog, Inc.* 4.250%, 12/15/27 | 61,762 | |||||||||
120,000 | Nationstar Mortgage Holdings, Inc.* 6.000%, 01/15/27 | 125,510 | |||||||||
165,000 | Navistar International Corp.* 6.625%, 11/01/25 | 171,219 | |||||||||
45,000 | 9.500%, 05/01/25 | 48,871 | |||||||||
95,000 | Novelis Corp.* 4.750%, 01/30/30 | 99,149 | |||||||||
105,000 | Park-Ohio Industries, Inc. 6.625%, 04/15/27 | 107,974 | |||||||||
50,000 | Patrick Industries, Inc.* 7.500%, 10/15/27 | 54,580 | |||||||||
44,000 | 4.750%, 05/01/29 | 44,142 | |||||||||
110,000 | Peninsula Pacific Entertainment, LLC / Peninsula Pacific Entertainment Finance In* 8.500%, 11/15/27 | 117,091 | |||||||||
21,000 | Picasso Finance Sub, Inc.* 6.125%, 06/15/25 | 22,361 | |||||||||
100,000 | QVC, Inc. 4.375%, 09/01/28 | 102,850 | |||||||||
80,000 | Scientific Games International, Inc.* 5.000%, 10/15/25 | 82,701 | |||||||||
79,000 | SEG Holding, LLC / SEG Finance Corp.*^ 5.625%, 10/15/28 | 83,294 | |||||||||
86,000 | Sensata Technologies, Inc.* 3.750%, 02/15/31 | 85,550 | |||||||||
46,000 | Sinclair Television Group, Inc.* 4.125%, 12/01/30^ | 44,887 | |||||||||
45,000 | 5.500%, 03/01/30 | 44,914 | |||||||||
90,000 | Standard Industries, Inc.* 5.000%, 02/15/27 | 92,843 | |||||||||
23,000 | 4.375%, 07/15/30 | 23,091 | |||||||||
185,000 | Station Casinos, LLC* 4.500%, 02/15/28 | 185,766 | |||||||||
65,000 | 5.000%, 10/01/25 | 66,096 | |||||||||
45,000 | Stericycle, Inc.* 3.875%, 01/15/29 | 45,056 | |||||||||
69,000 | STL Holding Company, LLC* 7.500%, 02/15/26 | 72,736 | |||||||||
105,000 | Tennant Company 5.625%, 05/01/25 | 107,954 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
156
High Income Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
195,000 | TransDigm, Inc. 7.500%, 03/15/27 | $ | 209,576 | ||||||||
125,000 | 6.250%, 03/15/26* | 132,444 | |||||||||
20,000 | Triton Water Holdings, Inc.* 6.250%, 04/01/29 | 20,273 | |||||||||
44,000 | Tronox, Inc.* 4.625%, 03/15/29 | 44,996 | |||||||||
35,000 | United Rentals North America, Inc. 5.875%, 09/15/26 | 36,647 | |||||||||
22,000 | 3.875%, 02/15/31 | 22,167 | |||||||||
75,000 | Waste Pro USA, Inc.* 5.500%, 02/15/26 | 76,931 | |||||||||
47,000 | WESCO Distribution, Inc.* 7.125%, 06/15/25 | 50,976 | |||||||||
25,000 | 7.250%, 06/15/28 | 27,764 | |||||||||
115,000 | XPO Logistics, Inc.* 6.750%, 08/15/24 | 120,810 | |||||||||
5,509,241 | |||||||||||
Information Technology (2.6%) | |||||||||||
50,000 | CDK Global, Inc.* 5.250%, 05/15/29 | 53,985 | |||||||||
112,000 | CommScope Technologies, LLC* 6.000%, 06/15/25 | 114,130 | |||||||||
70,000 | Dell International, LLC / EMC Corp.* 6.100%, 07/15/27 | 85,833 | |||||||||
40,000 | 5.850%, 07/15/25 | 46,930 | |||||||||
48,000 | Fair Isaac Corp.* 4.000%, 06/15/28 | 48,870 | |||||||||
100,000 | KBR, Inc.* 4.750%, 09/30/28 | 101,130 | |||||||||
100,000 | MPH Acquisition Holdings, LLC*^ 5.750%, 11/01/28 | 98,719 | |||||||||
44,000 | NCR Corp.* 5.125%, 04/15/29 | 45,395 | |||||||||
68,000 | ON Semiconductor Corp.* 3.875%, 09/01/28 | 70,050 | |||||||||
72,000 | Open Text Corp.* 3.875%, 02/15/28 | 72,973 | |||||||||
44,000 | Playtika Holding Corp.* 4.250%, 03/15/29 | 43,788 | |||||||||
66,000 | PTC, Inc.* 4.000%, 02/15/28 | 67,822 | |||||||||
65,000 | TTM Technologies, Inc.* 4.000%, 03/01/29 | 65,185 | |||||||||
44,000 | Twilio, Inc. 3.625%, 03/15/29 | 44,926 | |||||||||
23,000 | 3.875%, 03/15/31^ | 23,630 | |||||||||
100,000 | ZoomInfo Technologies, LLC / ZoomInfo Finance Corp.* 3.875%, 02/01/29 | 99,345 | |||||||||
1,082,711 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
Materials (3.3%) | |||||||||||
47,000 | Allegheny Technologies, Inc.^ 5.875%, 12/01/27 | $ | 49,744 | ||||||||
75,000 | ArcelorMittal, SA 7.250%, 10/15/39 | 105,802 | |||||||||
120,000 | Clearwater Paper Corp.*^ 4.750%, 08/15/28 | 121,265 | |||||||||
65,000 | Freeport-McMoRan, Inc. 5.000%, 09/01/27 | 69,087 | |||||||||
48,000 | 5.450%, 03/15/43 | 58,696 | |||||||||
45,000 | 5.400%, 11/14/34 | 54,142 | |||||||||
68,000 | HB Fuller Company 4.250%, 10/15/28 | 69,335 | |||||||||
71,000 | Hudbay Minerals, Inc.* 6.125%, 04/01/29 | 75,793 | |||||||||
22,000 | 4.500%, 04/01/26 | 22,332 | |||||||||
85,000 | JW Aluminum Continuous Cast Company* 10.250%, 06/01/26 | 89,866 | |||||||||
50,000 | Kaiser Aluminum Corp.* 4.625%, 03/01/28 | 51,441 | |||||||||
40,000 | 6.500%, 05/01/25 | 42,599 | |||||||||
71,000 | Mercer International, Inc.* 5.125%, 02/01/29 | 73,801 | |||||||||
30,000 | New Gold, Inc.* 6.375%, 05/15/25 | 30,965 | |||||||||
23,000 | 7.500%, 07/15/27 | 25,003 | |||||||||
25,000 | Norbord, Inc.* 5.750%, 07/15/27 | 27,243 | |||||||||
45,000 | Owens-Brockway Glass Container, Inc.*^ 6.625%, 05/13/27 | 48,935 | |||||||||
122,000 | PBF Holding Company, LLC / PBF Finance Corp. 7.250%, 06/15/25 | 104,039 | |||||||||
110,000 | Silgan Holdings, Inc. 4.125%, 02/01/28 | 113,796 | |||||||||
44,000 | Trinseo Materials Operating SCA / Trinseo Materials Finance, Inc.* 5.125%, 04/01/29 | 44,754 | |||||||||
75,000 | Univar Solutions USA, Inc.* 5.125%, 12/01/27 | 78,597 | |||||||||
46,000 | Valvoline, Inc.* 3.625%, 06/15/31 | 45,027 | |||||||||
1,402,262 | |||||||||||
Real Estate (1.3%) | |||||||||||
71,000 | EPR Properties 3.750%, 08/15/29 | 69,369 | |||||||||
125,000 | Forestar Group, Inc.* 8.000%, 04/15/24 | 130,190 | |||||||||
67,000 | 5.000%, 03/01/28 | 69,821 | |||||||||
23,000 | 3.850%, 05/15/26 | 23,317 | |||||||||
68,000 | iStar, Inc. 5.500%, 02/15/26 | 70,604 |
See accompanying Notes to Schedule of Investments
www.calamos.com
157
High Income Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
Service Properties Trust | |||||||||||
125,000 | 4.350%, 10/01/24 | $ | 124,800 | ||||||||
45,000 | 5.250%, 02/15/26 | 45,303 | |||||||||
533,404 | |||||||||||
Utilities (0.9%) | |||||||||||
72,000 | Calpine Corp.* 4.500%, 02/15/28 | 72,834 | |||||||||
139,000 | PPL Capital Funding, Inc.‡ 2.864%, 03/30/67 3 mo. USD LIBOR + 2.67% | 131,386 | |||||||||
55,000 | Talen Energy Supply, LLC* 10.500%, 01/15/26 | 50,602 | |||||||||
25,000 | 7.250%, 05/15/27 | 25,703 | |||||||||
100,000 | TerraForm Power Operating, LLC* 5.000%, 01/31/28 | 107,765 | |||||||||
388,290 | |||||||||||
TOTAL CORPORATE BONDS (Cost $33,319,297) | 34,635,864 | ||||||||||
CONVERTIBLE BONDS (0.7%) | |||||||||||
Consumer Discretionary (0.7%) | |||||||||||
179,000 | DISH Network Corp. 2.375%, 03/15/24 | 174,749 | |||||||||
120,000 | Liberty Interactive, LLC 4.000%, 11/15/29 | 92,254 | |||||||||
60,000 | 3.750%, 02/15/30 | 45,986 | |||||||||
TOTAL CONVERTIBLE BONDS (Cost $346,113) | 312,989 | ||||||||||
BANK LOANS (10.3%)¡ | |||||||||||
Airlines (0.5%) | |||||||||||
95,000 | AAdvantage Loyalty IP, Ltd.‡ 5.500%, 04/20/28 3 mo. LIBOR + 4.75% | 97,824 | |||||||||
100,000 | United Airlines, Inc.! 0.000%, 04/13/28 | 101,313 | |||||||||
25,000 | United Airlines, Inc.‡ 4.500%, 04/13/28 3 mo. LIBOR + 3.75% | 25,328 | |||||||||
224,465 | |||||||||||
Communication Services (1.9%) | |||||||||||
122,813 | Clear Channel Outdoor Holdings, Inc.‡ 3.686%, 08/21/26 3 mo. LIBOR + 3.50% | 119,257 | |||||||||
313 | Clear Channel Outdoor Holdings, Inc.‡ 3.647%, 08/21/26 2 mo. LIBOR + 3.50% | 303 | |||||||||
140,000 | Frontier Communications Corp.‡ 4.500%, 10/08/21 1 mo. LIBOR + 3.75% | 139,708 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
93,813 | iHeartCommunications, Inc.‡ 3.113%, 05/01/26 1 mo. LIBOR + 3.00% | $ | 92,816 | ||||||||
233,900 | Intelsat Jackson Holdings, SA 8.625%, 01/02/24 | 238,996 | |||||||||
190,000 | Intelsat Jackson Holdings, SA‡ 8.750%, 01/02/24 3 mo. PRIME + 5.50% | 194,315 | |||||||||
785,395 | |||||||||||
Consumer Discretionary (1.8%) | |||||||||||
99,750 | Life Time Fitness, Inc.‡ 5.750%, 12/16/24 3 mo. LIBOR + 4.75% | 100,233 | |||||||||
124,598 | Meredith Corp.‡ 5.250%, 01/31/25 3 mo. LIBOR + 4.25% | 126,935 | |||||||||
20,000 | Meredith Corp.! 0.000%, 01/31/25 | 20,375 | |||||||||
160,000 | Petco Health and Wellness Company, Inc.‡ 4.000%, 03/03/28 3 mo. LIBOR + 3.25% | 159,266 | |||||||||
120,000 | PetSmart, Inc.‡ 4.500%, 02/12/28 3 mo. LIBOR + 3.75% | 120,495 | |||||||||
72,500 | Rent-A-Center, Inc.‡ 4.750%, 02/17/28 1 mo. LIBOR + 4.00% | 73,104 | |||||||||
165,000 | WW International, Inc.! 0.000%, 04/13/28 | 165,186 | |||||||||
765,594 | |||||||||||
Consumer Staples (0.1%) | |||||||||||
32,883 | United Natural Foods, Inc.! 0.000%, 10/22/25 | 32,905 | |||||||||
16,536 | United Natural Foods, Inc.‡ 3.613%, 10/22/25 1 mo. LIBOR + 3.50% | 16,548 | |||||||||
49,453 | |||||||||||
Energy (0.3%) | |||||||||||
24,541 | Lealand Finance Company, BV‡ 4.113%, 06/30/25 1 mo. LIBOR + 4.00% | 10,921 | |||||||||
1,683 | Lealand Finance Company, BV‡ 3.110%, 06/30/24 1 mo. LIBOR + 3.00% | 1,372 | |||||||||
116,776 | Par Pacific Holdings, Inc.‡ 6.936%, 01/12/26 3 mo. LIBOR + 6.75% | 116,163 | |||||||||
128,456 | |||||||||||
Health Care (2.7%) | |||||||||||
265,948 | Amneal Pharmaceuticals, LLC‡ 3.625%, 05/04/25 1 mo. LIBOR + 3.50% | 261,709 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
158
High Income Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
99,110 | Endo Luxembourg Finance Company I Sarl‡ 5.750%, 03/10/28 3 mo. LIBOR + 5.00% | $ | 96,856 | ||||||||
145,493 | Gentiva Health Services, Inc.‡ 2.875%, 07/02/25 1 mo. LIBOR + 2.75% | 145,402 | |||||||||
238,048 | Mallinckrodt International Finance, SA‡ 5.500%, 09/24/24 3 mo. LIBOR + 4.75% | 232,172 | |||||||||
152,914 | Ortho Clinical Diagnostics, SA‡ 3.361%, 06/30/25 1 mo. LIBOR + 3.25% | 152,895 | |||||||||
265,995 | Team Health Holdings, Inc.‡ 3.750%, 02/06/24 1 mo. LIBOR + 2.75% | 248,766 | |||||||||
1,137,800 | |||||||||||
Industrials (1.7%) | |||||||||||
196,508 | Berry Global, Inc.‡ 1.861%, 07/01/26 1 mo. LIBOR + 1.75% | 195,110 | |||||||||
93,300 | BW Gas & Convenience Holdings, LLC‡ 4.000%, 03/17/28 1 mo. LIBOR + 3.50% | 93,300 | |||||||||
94,052 | Dun & Bradstreet Corp.‡ 3.361%, 02/06/26 1 mo. LIBOR + 3.25% | 93,640 | |||||||||
98,519 | Granite Holdings US Acquisition Company‡ 4.203%, 09/30/26 3 mo. LIBOR + 4.00% | 98,396 | |||||||||
73,439 | Navistar International Corp.‡ 3.610%, 11/06/24 1 mo. LIBOR + 3.50% | 73,504 | |||||||||
153,028 | Scientific Games International, Inc.‡ 2.863%, 08/14/24 1 mo. LIBOR + 2.75% | 151,057 | |||||||||
705,007 | |||||||||||
Information Technology (1.1%) | |||||||||||
217,860 | Banff Merger Sub, Inc.‡ 3.863%, 10/02/25 1 mo. LIBOR + 3.75% | 217,084 | |||||||||
123,438 | Camelot U.S. Acquisition 1 Company‡ 3.113%, 10/30/26 1 mo. LIBOR + 3.00% | 122,466 | |||||||||
102,868 | VFH Parent, LLC‡ 3.115%, 03/01/26 1 mo. LIBOR + 3.00% | 102,782 | |||||||||
442,332 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
Materials (0.2%) | |||||||||||
79,200 | Innophos, Inc.‡ 1 mo. LIBOR + 3.50% | 3.613%, 02/07/27 $79,150 | |||||||||
TOTAL BANK LOANS (Cost $4,376,081) | 4,317,652 | ||||||||||
NUMBER OF SHARES | VALUE | ||||||||||
COMMON STOCKS (1.7%) | |||||||||||
Communication Services (0.1%) | |||||||||||
1,527 | Cumulus Media, Inc. - Class A# | 14,675 | |||||||||
Energy (1.6%) | |||||||||||
4,064 | Calfrac Well Services, Ltd.# | 11,135 | |||||||||
341 | Chesapeake Energy Corp.# | 15,539 | |||||||||
215 | Chevron Corp. | 22,160 | |||||||||
849 | Denbury, Inc.# | 46,194 | |||||||||
6,100 | Energy Transfer, LP | 52,521 | |||||||||
4,645 | Enterprise Products Partners, LP | 106,881 | |||||||||
660 | EP Energy Corp.#& | 54,450 | |||||||||
1,525 | GasLog, Ltd. | 8,860 | |||||||||
6,940 | Lonestar Resources US, Inc.#& | 50,801 | |||||||||
1,840 | Magellan Midstream Partners, LP | 86,057 | |||||||||
12,886 | Mcdermott International, Ltd.# | 5,799 | |||||||||
300 | Oasis Petroleum, Inc. | 23,286 | |||||||||
790 | Schlumberger, Ltd. | 21,370 | |||||||||
2,675 | Targa Resources Corp. | 92,796 | |||||||||
1,565 | Weatherford International, PLC# | 16,589 | |||||||||
1,198 | Whiting Petroleum Corp.# | 48,004 | |||||||||
965 | Williams Companies, Inc. | 23,507 | |||||||||
685,949 | |||||||||||
Industrials (0.0%) | |||||||||||
18,627 | McDermott International, Inc.# | 8,382 | |||||||||
TOTAL COMMON STOCKS (Cost $1,181,143) | 709,006 | ||||||||||
PREFERRED STOCKS (1.4%) | |||||||||||
Communication Services (0.2%) | |||||||||||
3,875 | United States Cellular Corp. 6.250%, 09/01/69 | 102,688 | |||||||||
Consumer Discretionary (0.4%) | |||||||||||
590 | Guitar Center, Inc. | 70,947 | |||||||||
1,040 | Qurate Retail, Inc. 8.000%, 03/15/31 | 108,784 | |||||||||
179,731 |
See accompanying Notes to Schedule of Investments
www.calamos.com
159
High Income Opportunities Fund Schedule of Investments April 30, 2021 (Unaudited)
NUMBER OF SHARES | VALUE | ||||||||||
Energy (0.8%) | |||||||||||
6,130 | NuStar Energy, LP‡ 7.625%, 06/15/22 3 mo. USD LIBOR + 5.64% | $ | 127,504 | ||||||||
3,692 | NuStar Energy, LP‡ 8.500%, 12/15/21 3 mo. USD LIBOR + 6.77% | 87,058 | |||||||||
4,185 | NuStar Logistics, LP‡ 6.918%, 01/15/43 3 mo. USD LIBOR + 6.73% | 101,193 | |||||||||
315,755 | |||||||||||
TOTAL PREFERRED STOCKS (Cost $630,511) | 598,174 | ||||||||||
WARRANTS (0.1%)# | |||||||||||
Energy (0.1%) | |||||||||||
392 | USD | Chesapeake Energy Corp. 02/09/26, Strike $32.13 | 8,144 | ||||||||
352 | USD | Chesapeake Energy Corp. 02/09/26, Strike $27.63 | 8,001 | ||||||||
217 | USD | Chesapeake Energy Corp. 02/09/26, Strike $36.18 | 4,216 | ||||||||
548 | USD | Denbury, Inc. 09/18/25, Strike $32.59 | 14,906 | ||||||||
210 | USD | Denbury, Inc. 09/18/23, Strike $35.41 | 4,351 | ||||||||
4,950 | USD | Mcdermott International, Ltd. 06/30/27, Strike $15.98 | 1 | ||||||||
4,455 | USD | Mcdermott International, Ltd. 06/30/27, Strike $12.33 | 0 | ||||||||
TOTAL WARRANTS (Cost $127,391) | 39,619 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (5.2%) | |||||||||||
2,197,638 | State Street Navigator Securities Lending Government Money Market Portfolio† (Cost $2,197,638) | 2,197,638 | |||||||||
TOTAL INVESTMENTS (101.7%) (Cost $42,178,174) | 42,810,942 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-5.2%) | (2,197,638 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (3.5%) | 1,469,590 | ||||||||||
NET ASSETS (100.0%) | $ | 42,082,894 |
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.
^ Security, or portion of security, is on loan.
@ In default status and considered non-income producing.
& Illiquid security.
‡ Variable rate security. The rate shown is the rate in effect at April 30, 2021.
¡ Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown.
! This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.
# Non-income producing security.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
160
Short-Term Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
CORPORATE BONDS (65.2%) | |||||||||||
Airlines (1.7%) | |||||||||||
397,511 | Air Canada Pass Through Trust Series 2013-1, Class B* 5.375%, 11/15/22 | $ | 397,797 | ||||||||
556,433 | Air Canada Pass Through Trust Series 2015-1, Class B* 3.875%, 09/15/24 | 554,569 | |||||||||
398,459 | Air Canada Pass Through Trust Series 2015-2, Class B* 5.000%, 06/15/25 | 399,658 | |||||||||
384,233 | Alaska Airlines Pass Through Trust Series 2020-1, Class B* 8.000%, 02/15/27 | 429,888 | |||||||||
267,494 | British Airways Pass Through Trust Series 2013-1, Class A* 4.625%, 12/20/25 | 278,375 | |||||||||
198,471 | Southwest Airlines Company Pass Through Trust Series 2007-1 6.650%, 08/01/22 | 205,494 | |||||||||
250,000 | Spirit Loyalty Cayman, Ltd. / Spirit IP Cayman, Ltd.* 8.000%, 09/20/25 | 283,445 | |||||||||
378,391 | UAL Pass Through Trust Series 2007-1 6.636%, 01/02/24 | 392,914 | |||||||||
244,946 | United Airlines Pass Through Trust Series 2014-2, Class B 4.625%, 03/03/24 | 251,305 | |||||||||
3,193,445 | |||||||||||
Communication Services (3.8%) | |||||||||||
500,000 | Ashtead Capital, Inc.* 4.125%, 08/15/25 | 514,575 | |||||||||
250,000 | AT&T, Inc. 1.700%, 03/25/26 | 251,200 | |||||||||
250,000 | 0.900%, 03/25/24 | 250,620 | |||||||||
500,000 | Bell Canada 0.750%, 03/17/24 | 499,565 | |||||||||
223,000 | Charter Communications Operating, LLC / Charter Communications Operating Capital 4.464%, 07/23/22 | 232,130 | |||||||||
350,000 | Cogent Communications Group, Inc.* 3.500%, 05/01/26 | 350,000 | |||||||||
690,000 | Crown Castle Towers, LLC* 3.222%, 05/15/42 | 691,380 | |||||||||
300,000 | 3.720%, 07/15/43 | 308,820 | |||||||||
500,000 | Hughes Satellite Systems Corp. 7.625%, 06/15/21 | 503,900 | |||||||||
250,000 | Netflix, Inc. 5.500%, 02/15/22 | 259,505 | |||||||||
250,000 | 3.625%, 06/15/25* | 269,365 | |||||||||
500,000 | NTT Finance Corp.* 0.583%, 03/01/24 | 499,460 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
250,000 | Qwest Corp. 6.750%, 12/01/21 | $ | 258,247 | ||||||||
500,000 | Sirius XM Radio, Inc.* 3.875%, 08/01/22 | 502,770 | |||||||||
250,000 | Sprint Corp. 7.875%, 09/15/23 | 285,487 | |||||||||
62,500 | Sprint Spectrum Company, LLC / Sprint Spectrum Company II, LLC / Sprint Spectrum Company III, LLC* 3.360%, 03/20/23 | 62,927 | |||||||||
250,000 | T-Mobile USA, Inc. 4.000%, 04/15/22^ | 256,205 | |||||||||
250,000 | 2.625%, 04/15/26 | 254,458 | |||||||||
250,000 | 2.250%, 02/15/26 | 251,883 | |||||||||
500,000 | Verizon Communications, Inc. 0.750%, 03/22/24 | 502,255 | |||||||||
7,004,752 | |||||||||||
Consumer Discretionary (6.6%) | |||||||||||
500,000 | American Honda Finance Corp. 0.650%, 09/08/23 | 502,940 | |||||||||
250,000 | 0.550%, 07/12/24^ | 249,580 | |||||||||
250,000 | BMW US Capital, LLC*^ 2.950%, 04/14/22 | 256,400 | |||||||||
500,000 | Cargill, Inc.* 3.250%, 11/15/21 | 508,025 | |||||||||
250,000 | Daimler Finance North America, LLC* 3.400%, 02/22/22 | 256,070 | |||||||||
429,626 | Delta Air Lines Pass Through Trust Series 2007-1, Class A 6.821%, 02/10/24 | 451,777 | |||||||||
176,979 | Delta Air Lines Pass Through Trust Series 2007-1, Class B 8.021%, 02/10/24 | 185,988 | |||||||||
500,000 | Ford Motor Credit Company, LLC 3.370%, 11/17/23 | 516,760 | |||||||||
250,000 | 3.350%, 11/01/22 | 255,967 | |||||||||
250,000 | 3.339%, 03/28/22 | 253,582 | |||||||||
250,000 | General Motors Company 5.400%, 10/02/23 | 276,742 | |||||||||
400,000 | General Motors Financial Company, Inc. 3.200%, 07/06/21 | 401,012 | |||||||||
200,000 | goeasy, Ltd.* 4.375%, 05/01/26 | 202,542 | |||||||||
500,000 | Harley-Davidson Financial Services, Inc.* 3.550%, 05/21/21 | 500,660 | |||||||||
500,000 | Hasbro, Inc. 2.600%, 11/19/22 | 515,560 | |||||||||
500,000 | Lennar Corp. 4.750%, 11/15/22 | 525,940 | |||||||||
250,000 | 6.250%, 12/15/21 | 252,098 | |||||||||
250,000 | 4.500%, 04/30/24 | 273,535 | |||||||||
500,000 | M/I Homes, Inc. 5.625%, 08/01/25 | 519,705 |
See accompanying Notes to Schedule of Investments
www.calamos.com
161
Short-Term Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
500,000 | Mattel, Inc.* 3.375%, 04/01/26 | $ | 518,215 | ||||||||
48,000 | 6.750%, 12/31/25 | 50,519 | |||||||||
250,000 | MGM Resorts International 6.000%, 03/15/23 | 267,982 | |||||||||
500,000 | Newell Brands, Inc. 4.350%, 04/01/23 | 527,310 | |||||||||
250,000 | Nissan Motor Acceptance Corp.* 1.050%, 03/08/24 | 250,063 | |||||||||
500,000 | Nordstrom, Inc.* 2.300%, 04/08/24 | 501,790 | |||||||||
500,000 | Panasonic Corp.* 2.536%, 07/19/22 | 511,240 | |||||||||
500,000 | Service Corp. International 8.000%, 11/15/21 | 519,645 | |||||||||
250,000 | Target Corp. 2.250%, 04/15/25 | 263,390 | |||||||||
605,000 | Taylor Morrison Communities, Inc.* 5.875%, 04/15/23 | 651,053 | |||||||||
500,000 | Toll Brothers Finance Corp. 4.375%, 04/15/23 | 526,865 | |||||||||
250,000 | 4.875%, 11/15/25 | 281,280 | |||||||||
496,308 | US Airways Pass Through Trust Series 2012-2, Class B 6.750%, 12/03/22 | 496,775 | |||||||||
12,271,010 | |||||||||||
Consumer Staples (1.7%) | |||||||||||
750,000 | Keurig Dr Pepper, Inc. 0.750%, 03/15/24 | 750,495 | |||||||||
653,000 | Land O'Lakes, Inc.* 6.000%, 11/15/22 | 694,714 | |||||||||
350,000 | McCormick & Company, Inc. 2.700%, 08/15/22 | 359,740 | |||||||||
300,000 | 0.900%, 02/15/26 | 293,961 | |||||||||
500,000 | Mondelez International Holdings Netherlands, BV* 2.000%, 10/28/21 | 503,450 | |||||||||
250,000 | 2.125%, 09/19/22 | 256,030 | |||||||||
250,000 | PepsiCo, Inc. 2.250%, 03/19/25 | 263,903 | |||||||||
3,122,293 | |||||||||||
Energy (2.3%) | |||||||||||
750,000 | Baltimore Gas & Electric Company 2.800%, 08/15/22 | 768,712 | |||||||||
300,000 | CenterPoint Energy Houston Electric, LLC 1.850%, 06/01/21 | 300,000 | |||||||||
500,000 | DCP Midstream Operating, LP* 4.750%, 09/30/21 | 503,750 | |||||||||
500,000 | Halliburton Company 3.250%, 11/15/21 | 504,060 | |||||||||
1,000,000 | Occidental Petroleum Corp. 2.700%, 08/15/22 | 1,007,550 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
250,000 | ONEOK, Inc. 2.750%, 09/01/24 | $ | 263,213 | ||||||||
500,000 | Phillips 66 4.300%, 04/01/22 | 517,880 | |||||||||
500,000 | Saudi Arabian Oil Company* 2.750%, 04/16/22 | 511,230 | |||||||||
4,376,395 | |||||||||||
Financials (26.8%) | |||||||||||
500,000 | AerCap Ireland Capital DAC / AerCap Global Aviation Trust 2.875%, 08/14/24 | 522,610 | |||||||||
150,000 | 4.450%, 12/16/21 | 153,162 | |||||||||
55,000 | Aflac, Inc. 1.125%, 03/15/26 | 54,805 | |||||||||
250,000 | Ally Financial, Inc. 3.050%, 06/05/23 | 261,337 | |||||||||
250,000 | 1.450%, 10/02/23 | 254,160 | |||||||||
250,000 | American Express Company 3.700%, 11/05/21 | 253,670 | |||||||||
250,000 | 2.750%, 05/20/22 | 256,100 | |||||||||
250,000 | American International Group, Inc. 4.875%, 06/01/22 | 261,740 | |||||||||
750,000 | Ameriprise Financial, Inc. 3.000%, 03/22/22 | 768,345 | |||||||||
500,000 | Aon Corp. 2.200%, 11/15/22 | 513,730 | |||||||||
680,000 | Ares Capital Corp. 3.500%, 02/10/23 | 708,614 | |||||||||
750,000 | Aviation Capital Group, LLC* 2.875%, 01/20/22 | 759,600 | |||||||||
250,000 | 3.875%, 05/01/23 | 261,382 | |||||||||
250,000 | Bank of America Corp.‡ 2.456%, 10/22/25 3 mo. USD LIBOR + 0.87% | 262,610 | |||||||||
250,000 | 1.658%, 03/11/27 SOFR + 0.91% | 252,193 | |||||||||
250,000 | 0.981%, 09/25/25 SOFR + 0.91% | 249,953 | |||||||||
500,000 | Bank of Montreal 2.900%, 03/26/22 | 512,065 | |||||||||
500,000 | 2.050%, 11/01/22 | 513,220 | |||||||||
500,000 | Bank of New York Mellon Corp. 1.950%, 08/23/22 | 511,475 | |||||||||
500,000 | Bank of Nova Scotia 0.700%, 04/15/24 | 500,760 | |||||||||
750,000 | Barclays, PLC‡ 1.007%, 12/10/24 1 year CMT + 0.80 | 751,387 | |||||||||
450,000 | Buffalo State College Foundation Housing Corp. 2.100%, 11/01/22 | 457,774 | |||||||||
400,000 | 2.000%, 11/01/21 | 402,688 | |||||||||
500,000 | Capital One Financial Corp. 2.600%, 05/11/23 | 520,500 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
162
Short-Term Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
250,000 | Caterpillar Financial Services Corp. 2.950%, 02/26/22 | $ | 255,563 | ||||||||
250,000 | Charles Schwab Corp. 0.900%, 03/11/26^ | 247,675 | |||||||||
250,000 | 0.750%, 03/18/24 | 251,748 | |||||||||
500,000 | Citigroup, Inc.‡ 0.981%, 05/01/25 SOFR + 0.67% | 501,520 | |||||||||
250,000 | 2.312%, 11/04/22 SOFR + 0.87% | 252,333 | |||||||||
250,000 | Citizens Bank, N.A. 3.250%, 02/14/22 | 255,180 | |||||||||
475,000 | Credit Acceptance Corp.* 5.125%, 12/31/24 | 491,140 | |||||||||
500,000 | Credit Suisse AG 1.000%, 05/05/23 | 504,675 | |||||||||
250,000 | 0.495%, 02/02/24 | 248,188 | |||||||||
750,000 | Danske Bank, A/S*‡ 3.001%, 09/20/22 3 mo. USD LIBOR + 1.25% | 756,300 | |||||||||
250,000 | Discover Bank 2.450%, 09/12/24 | 262,200 | |||||||||
500,000 | ERP Operating, LP 4.625%, 12/15/21 | 507,720 | |||||||||
1,250,000 | European Bank for Reconstruction & Development 0.500%, 11/25/25 | 1,231,725 | |||||||||
1,000,000 | European Investment Bank 0.250%, 09/15/23 | 999,390 | |||||||||
500,000 | Fifth Third Bancorp 4.300%, 01/16/24 | 546,110 | |||||||||
500,000 | FNB Corp. 2.200%, 02/24/23 | 509,005 | |||||||||
500,000 | Franklin Resources, Inc. 2.800%, 09/15/22 | 516,850 | |||||||||
500,000 | Goldman Sachs Group, Inc. 0.855%, 02/12/26‡ SOFR + 0.61% | 495,995 | |||||||||
250,000 | 0.627%, 11/17/23‡ SOFR + 0.54% | 250,315 | |||||||||
150,000 | 5.750%, 01/24/22 | 155,955 | |||||||||
250,000 | HAT Holdings I, LLC / HAT Holdings II, LLC* 5.250%, 07/15/24 | 258,640 | |||||||||
500,000 | Huntington National Bank 1.800%, 02/03/23 | 512,020 | |||||||||
250,000 | Hyundai Capital America* 3.950%, 02/01/22 | 255,948 | |||||||||
250,000 | 3.000%, 06/20/22 | 256,418 | |||||||||
250,000 | 2.375%, 02/10/23 | 256,825 | |||||||||
1,000,000 | Inter-American Development Bank 1.750%, 04/14/22 | 1,015,230 | |||||||||
1,000,000 | 1.750%, 03/14/25^ | 1,042,190 | |||||||||
1,000,000 | 0.214%, 03/15/22‡ 3 mo. USD LIBOR + 0.03% | 1,000,430 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
333,000 | Intercontinental Exchange, Inc. 0.700%, 06/15/23 | $ | 334,911 | ||||||||
1,000,000 | International Bank for Reconstruction & Development 1.625%, 02/10/22 | 1,011,370 | |||||||||
1,000,000 | 1.625%, 01/15/25 | 1,037,600 | |||||||||
300,000 | Jaguar Holding Company II / Pharmaceutical Product Development, LLC*^ 4.625%, 06/15/25 | 315,981 | |||||||||
500,000 | JPMorgan Chase & Company‡ 1.514%, 06/01/24 SOFR + 1.46% | 509,840 | |||||||||
250,000 | 1.578%, 04/22/27 SOFR + 0.89% | 251,163 | |||||||||
250,000 | KeyBank, N.A.^‡ 0.423%, 01/03/24 SOFR + 0.34% | 250,503 | |||||||||
2,000,000 | Kreditanstalt fuer Wiederaufbau^ 2.500%, 02/15/22 | 2,036,920 | |||||||||
750,000 | Lloyds Banking Group, PLC‡ 0.695%, 05/11/24 1 year CMT + .55 | 750,990 | |||||||||
500,000 | LSEGA Financing, PLC* 0.650%, 04/06/24 | 499,260 | |||||||||
250,000 | Macquarie Bank, Ltd.* 2.100%, 10/17/22 | 256,365 | |||||||||
650,000 | Macquarie Group, Ltd.*‡ 4.150%, 03/27/24 3 mo. USD LIBOR + 1.33% | 692,542 | |||||||||
750,000 | Mizuho Financial Group, Inc.‡ 2.721%, 07/16/23 3 mo. USD LIBOR + 0.84% | 771,232 | |||||||||
750,000 | Morgan Stanley‡ 0.731%, 04/05/24 SOFR + 0.62% | 751,912 | |||||||||
500,000 | National Bank of Canada 2.150%, 10/07/22* | 512,430 | |||||||||
250,000 | 2.100%, 02/01/23 | 257,220 | |||||||||
500,000 | National Securities Clearing Corp.* 1.200%, 04/23/23 | 508,920 | |||||||||
500,000 | Nordea Bank Abp* 1.000%, 06/09/23 | 506,335 | |||||||||
1,000,000 | Nordic Investment Bank 0.375%, 09/11/25 | 982,550 | |||||||||
1,000,000 | Oesterreichische Kontrollbank, AG 1.500%, 02/12/25 | 1,031,400 | |||||||||
200,000 | OneMain Finance Corp. 6.125%, 05/15/22 | 209,996 | |||||||||
500,000 | Pacific Life Global Funding II* 0.500%, 09/23/23 | 500,965 | |||||||||
250,000 | PNC Financial Services Group, Inc. 2.200%, 11/01/24 | 264,190 | |||||||||
250,000 | Prudential Financial, Inc. 4.500%, 11/16/21 | 255,513 |
See accompanying Notes to Schedule of Investments
www.calamos.com
163
Short-Term Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
500,000 | Reliance Standard Life Global Funding II* 3.850%, 09/19/23 | $ | 537,295 | ||||||||
250,000 | Royal Bank of Canada 1.950%, 01/17/23 | 257,093 | |||||||||
250,000 | 0.875%, 01/20/26 | 246,943 | |||||||||
750,000 | Santander Holdings USA, Inc. 3.700%, 03/28/22 | 769,252 | |||||||||
500,000 | SBA Tower Trust* 3.168%, 04/09/47 | 500,695 | |||||||||
268,000 | 1.631%, 11/15/26 | 268,000 | |||||||||
165,000 | 3.722%, 04/09/48 | 167,285 | |||||||||
250,000 | Shell International Finance, BV 2.000%, 11/07/24 | 261,102 | |||||||||
750,000 | Skandinaviska Enskilda Banken, AB* 3.050%, 03/25/22 | 768,937 | |||||||||
500,000 | State Street Corp.‡ 2.354%, 11/01/25 SOFR + 0.94% | 526,555 | |||||||||
250,000 | 2.825%, 03/30/23 SOFR + 2.69% | 255,665 | |||||||||
1,000,000 | Svensk Exportkredit, AB 2.375%, 03/09/22 | 1,018,340 | |||||||||
500,000 | 0.500%, 08/26/25^ | 492,565 | |||||||||
500,000 | 0.375%, 07/30/24 | 497,620 | |||||||||
500,000 | Toronto-Dominion Bank 0.750%, 06/12/23 | 504,045 | |||||||||
250,000 | 0.750%, 09/11/25 | 247,025 | |||||||||
250,000 | 0.750%, 01/06/26 | 246,020 | |||||||||
250,000 | Truist Financial Corp. 3.050%, 06/20/22 | 257,365 | |||||||||
250,000 | Truist Financial Corp. 2.200%, 03/16/23 | 258,287 | |||||||||
500,000 | UBS AG/London* 0.450%, 02/09/24 | 497,435 | |||||||||
500,000 | USAA Capital Corp.* 1.500%, 05/01/23 | 510,955 | |||||||||
250,000 | 2.625%, 06/01/21 | 250,485 | |||||||||
500,000 | Ventas Realty, LP 3.125%, 06/15/23 | 523,105 | |||||||||
500,000 | VICI Properties, LP / VICI Note Company, Inc.*^ 3.500%, 02/15/25 | 512,095 | |||||||||
100,000 | Weingarten Realty Investors 3.375%, 10/15/22 | 103,434 | |||||||||
500,000 | Wells Fargo & Company‡ 1.654%, 06/02/24 SOFR + 1.60% | 511,470 | |||||||||
500,000 | Zions Bancorporation, N.A. 3.350%, 03/04/22 | 510,240 | |||||||||
49,800,584 | |||||||||||
Health Care (4.1%) | |||||||||||
250,000 | AbbVie, Inc. 3.375%, 11/14/21 | 254,042 | |||||||||
250,000 | 2.300%, 11/21/22 | 257,272 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
300,000 | Anthem, Inc. 2.375%, 01/15/25 | $ | 314,913 | ||||||||
250,000 | AstraZeneca, PLC 2.375%, 06/12/22 | 255,195 | |||||||||
250,000 | 0.700%, 04/08/26^ | 243,380 | |||||||||
250,000 | Bausch Health Companies, Inc.* 5.500%, 11/01/25 | 257,915 | |||||||||
250,000 | Bristol-Myers Squibb Company 3.550%, 08/15/22 | 260,647 | |||||||||
250,000 | Cigna Corp. 0.613%, 03/15/24 | 249,818 | |||||||||
750,000 | Elanco Animal Health, Inc. 4.912%, 08/27/21 | 759,390 | |||||||||
500,000 | Gilead Sciences, Inc. 3.250%, 09/01/22 | 516,810 | |||||||||
500,000 | 0.750%, 09/29/23 | 500,750 | |||||||||
500,000 | GlaxoSmithKline Capital, PLC 2.850%, 05/08/22 | 513,195 | |||||||||
250,000 | 0.534%, 10/01/23 | 250,873 | |||||||||
100,000 | 0.544%, 05/14/21‡ 3 mo. USD LIBOR + 0.35% | 100,011 | |||||||||
400,000 | Illumina, Inc. 0.550%, 03/23/23 | 400,264 | |||||||||
500,000 | Royalty Pharma, PLC* 0.750%, 09/02/23 | 500,070 | |||||||||
250,000 | Stryker Corp. 0.600%, 12/01/23 | 250,123 | |||||||||
500,000 | Tenet Healthcare Corp.* 4.625%, 09/01/24 | 514,890 | |||||||||
900,000 | Teva Pharmaceutical Finance Company, BV 2.950%, 12/18/22 | 906,075 | |||||||||
100,000 | UnitedHealth Group, Inc.‡ 0.444%, 06/15/21 3 mo. USD LIBOR + 0.26% | 100,032 | |||||||||
250,000 | Zoetis, Inc. 3.250%, 08/20/21 | 252,172 | |||||||||
7,657,837 | |||||||||||
Industrials (7.4%) | |||||||||||
520,000 | Air Lease Corp. 3.500%, 01/15/22 | 530,858 | |||||||||
250,000 | 2.250%, 01/15/23 | 256,700 | |||||||||
200,000 | 3.375%, 06/01/21 | 200,440 | |||||||||
500,000 | Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC* 3.500%, 02/15/23 | 515,580 | |||||||||
500,000 | Alimentation Couche-Tard, Inc.* 2.700%, 07/26/22 | 513,795 | |||||||||
500,000 | Avolon Holdings Funding, Ltd.* 3.625%, 05/01/22 | 511,220 | |||||||||
250,000 | Berry Global, Inc.* 0.950%, 02/15/24 | 249,835 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
164
Short-Term Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
500,000 | BMW Finance, NV*^ 2.250%, 08/12/22 | $ | 512,155 | ||||||||
250,000 | Boeing Company^ 2.300%, 08/01/21 | 251,080 | |||||||||
100,000 | GATX Corp.‡ 0.915%, 11/05/21 3 mo. USD LIBOR + 0.72% | 100,162 | |||||||||
100,000 | General Dynamics Corp.‡ 0.583%, 05/11/21 3 mo. USD LIBOR + 0.38% | 100,008 | |||||||||
500,000 | Graphic Packaging International, LLC* 0.821%, 04/15/24 | 498,190 | |||||||||
500,000 | Great Lakes Dredge & Dock Corp. 8.000%, 05/15/22 | 501,345 | |||||||||
112,353 | Hawaiian Airlines Pass Through Certificates Series 2013-1, Class B 4.950%, 07/15/23 | 111,863 | |||||||||
500,000 | Honeywell International, Inc. 0.483%, 08/19/22 | 500,495 | |||||||||
250,000 | 1.350%, 06/01/25 | 255,207 | |||||||||
250,000 | Huntington Ingalls Industries, Inc. 3.844%, 05/01/25 | 273,107 | |||||||||
500,000 | Infor, Inc.* 1.450%, 07/15/23 | 507,260 | |||||||||
250,000 | John Deere Capital Corp. 2.950%, 04/01/22 | 256,347 | |||||||||
250,000 | 0.700%, 07/05/23 | 252,207 | |||||||||
500,000 | Leidos, Inc.* 2.950%, 05/15/23 | 522,330 | |||||||||
392,000 | Meritor, Inc. 6.250%, 02/15/24 | 398,652 | |||||||||
500,000 | Nestle Holdings, Inc.* 0.375%, 01/15/24 | 498,650 | |||||||||
17,000 | Park Aerospace Holdings, Ltd.* 5.250%, 08/15/22 | 17,775 | |||||||||
350,000 | QVC, Inc. 4.850%, 04/01/24 | 380,530 | |||||||||
500,000 | Roper Technologies, Inc. 2.800%, 12/15/21 | 506,605 | |||||||||
250,000 | 1.000%, 09/15/25^ | 248,193 | |||||||||
250,000 | 0.450%, 08/15/22 | 250,398 | |||||||||
500,000 | Ryder System, Inc. 2.875%, 06/01/22 | 512,375 | |||||||||
250,000 | Sensata Technologies Holding, BV* 4.875%, 10/15/23 | 268,740 | |||||||||
500,000 | Siemens Financieringsmaatschappij, NV* 1.700%, 09/15/21 | 502,820 | |||||||||
500,000 | 0.650%, 03/11/24 | 501,280 | |||||||||
250,000 | 0.400%, 03/11/23 | 250,538 | |||||||||
1,000,000 | SMBC Aviation Capital Finance Company* 4.125%, 07/15/23 | 1,063,750 | |||||||||
400,000 | Teledyne Technologies, Inc. 0.950%, 04/01/24 | 400,040 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
250,000 | Volkswagen Group of America Finance, LLC* 0.875%, 11/22/23 | $ | 251,247 | ||||||||
250,000 | 0.750%, 11/23/22^ | 251,018 | |||||||||
13,722,795 | |||||||||||
Information Technology (3.5%) | |||||||||||
434,000 | Apple, Inc. 2.700%, 05/13/22 | 445,071 | |||||||||
300,000 | CDW, LLC / CDW Finance Corp. 4.125%, 05/01/25 | 313,260 | |||||||||
500,000 | Fidelity National Information Services, Inc. 0.600%, 03/01/24 | 498,975 | |||||||||
250,000 | Fortinet, Inc. 1.000%, 03/15/26 | 246,308 | |||||||||
300,000 | Hewlett Packard Enterprise Company 2.250%, 04/01/23 | 309,156 | |||||||||
250,000 | 1.450%, 04/01/24 | 255,018 | |||||||||
225,000 | 3.500%, 10/05/21 | 227,383 | |||||||||
500,000 | Intuit, Inc. 0.650%, 07/15/23 | 503,975 | |||||||||
500,000 | KLA Corp. 4.650%, 11/01/24 | 560,050 | |||||||||
250,000 | Microchip Technology, Inc.* 0.972%, 02/15/24 | 249,965 | |||||||||
250,000 | NetApp, Inc. 1.875%, 06/22/25 | 256,907 | |||||||||
500,000 | NVIDIA Corp. 2.200%, 09/16/21 | 502,845 | |||||||||
500,000 | Oracle Corp. 2.400%, 09/15/23 | 520,415 | |||||||||
750,000 | PayPal Holdings, Inc. 2.200%, 09/26/22 | 769,312 | |||||||||
375,000 | PTC, Inc.* 3.625%, 02/15/25 | 384,930 | |||||||||
400,000 | Seagate HDD Cayman 4.250%, 03/01/22 | 410,684 | |||||||||
6,454,254 | |||||||||||
Materials (0.6%) | |||||||||||
250,000 | Ball Corp. 4.000%, 11/15/23 | 265,995 | |||||||||
250,000 | Georgia-Pacific, LLC* 0.625%, 05/15/24 | 249,440 | |||||||||
500,000 | Sealed Air Corp.* 4.875%, 12/01/22 | 525,080 | |||||||||
1,040,515 | |||||||||||
Other (0.1%) | |||||||||||
250,000 | Toyota Motor Credit Corp.^ 0.800%, 01/09/26 | 248,190 | |||||||||
Real Estate (1.5%) | |||||||||||
250,000 | American Tower Corp. 0.600%, 01/15/24 | 249,728 |
See accompanying Notes to Schedule of Investments
www.calamos.com
165
Short-Term Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
500,000 | Equinix, Inc.^ 1.000%, 09/15/25 | $ | 493,800 | ||||||||
300,000 | Federal Realty Investment Trust 1.250%, 02/15/26 | 299,148 | |||||||||
500,000 | Kimco Realty Corp. 3.125%, 06/01/23 | 523,785 | |||||||||
500,000 | Service Properties Trust 5.000%, 08/15/22 | 507,885 | |||||||||
250,000 | Simon Property Group, LP 2.000%, 09/13/24 | 259,335 | |||||||||
500,000 | Welltower, Inc. 3.625%, 03/15/24 | 540,200 | |||||||||
2,873,881 | |||||||||||
Utilities (5.1%) | |||||||||||
250,000 | AES Corp.* 1.375%, 01/15/26 | 246,223 | |||||||||
500,000 | Alexander Funding Trust* 1.841%, 11/15/23 | 506,900 | |||||||||
510,000 | American Electric Power Company, Inc. 3.650%, 12/01/21 | 519,644 | |||||||||
500,000 | 0.750%, 11/01/23^ | 500,460 | |||||||||
100,000 | Consolidated Edison Company of New York, Inc.‡ 0.601%, 06/25/21 3 mo. USD LIBOR + 0.40% | 100,057 | |||||||||
500,000 | Consolidated Edison, Inc. 2.000%, 05/15/21^ | 500,270 | |||||||||
250,000 | 0.650%, 12/01/23 | 250,082 | |||||||||
500,000 | Dominion Energy, Inc.*** 2.715%, 08/15/21 | 503,335 | |||||||||
300,000 | DPL, Inc. 4.125%, 07/01/25 | 323,115 | |||||||||
500,000 | DTE Energy Company 2.600%, 06/15/22 | 511,905 | |||||||||
250,000 | 2.250%, 11/01/22 | 256,670 | |||||||||
500,000 | Duke Energy Carolinas, LLC^ 3.350%, 05/15/22 | 515,835 | |||||||||
300,000 | Entergy Corp. 0.900%, 09/15/25 | 295,338 | |||||||||
250,000 | Entergy Louisiana, LLC 0.620%, 11/17/23 | 250,345 | |||||||||
750,000 | Georgia Power Company 2.100%, 07/30/23 | 775,897 | |||||||||
250,000 | National Rural Utilities Cooperative Finance Corp. 1.000%, 06/15/26 | 245,265 | |||||||||
500,000 | NextEra Energy Capital Holdings, Inc. 2.900%, 04/01/22 | 512,165 | |||||||||
167,000 | 0.650%, 03/01/23 | 167,474 | |||||||||
500,000 | NGPL PipeCo, LLC* 4.375%, 08/15/22 | 517,970 | |||||||||
500,000 | Pacific Gas and Electric Company 1.750%, 06/16/22 | 500,450 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
100,000 | PPL Capital Funding, Inc.‡ 2.864%, 03/30/67 3 mo. USD LIBOR + 2.67% | $ | 94,522 | ||||||||
250,000 | Public Service Electric & Gas Company 0.950%, 03/15/26 | 248,088 | |||||||||
250,000 | Southern Company 0.600%, 02/26/24 | 249,570 | |||||||||
250,000 | Southern Power Company 0.900%, 01/15/26 | 245,158 | |||||||||
500,000 | WEC Energy Group, Inc. 0.800%, 03/15/24 | 501,150 | |||||||||
250,000 | Wisconsin Public Service Corp. 3.350%, 11/21/21 | 254,232 | |||||||||
9,592,120 | |||||||||||
TOTAL CORPORATE BONDS (Cost $119,339,752) | 121,358,071 | ||||||||||
CONVERTIBLE BONDS (0.6%) | |||||||||||
Communication Services (0.3%) | |||||||||||
650,000 | Twitter, Inc. 1.000%, 09/15/21 | 654,225 | |||||||||
Financials (0.3%) | |||||||||||
500,000 | Prospect Capital Corp. 4.950%, 07/15/22 | 514,765 | |||||||||
TOTAL CONVERTIBLE BONDS (Cost $1,147,824) | 1,168,990 | ||||||||||
U.S. GOVERNMENT AND AGENCY SECURITIES (4.4%) | |||||||||||
2,000,000 | United States Treasury Note 2.000%, 05/31/24 | 2,100,625 | |||||||||
2,000,000 | 1.750%, 07/31/24^ | 2,087,344 | |||||||||
2,000,000 | 0.125%, 02/15/24^ | 1,991,172 | |||||||||
1,000,000 | 1.375%, 06/30/23^ | 1,025,508 | |||||||||
1,000,000 | 1.250%, 08/31/24 | 1,027,304 | |||||||||
TOTAL U.S. GOVERNMENT AND AGENCY SECURITIES (Cost $7,990,359) | 8,231,953 | ||||||||||
SOVEREIGN BOND (0.3%) | |||||||||||
500,000 | Kommunalbanken, AS* 0.500%, 01/13/26 (Cost $498,263) | 490,410 | |||||||||
BANK LOANS (7.3%)¡ | |||||||||||
Airlines (0.3%) | |||||||||||
470,000 | AAdvantage Loyalty IP, Ltd.‡ 5.500%, 04/20/28 3 mo. LIBOR + 4.75% | 483,973 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
166
Short-Term Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
Communication Services (1.0%) | |||||||||||
492,516 | CSC Holdings, LLC‡ 2.615%, 04/15/27 1 mo. LIBOR + 2.50% | $ | 490,822 | ||||||||
697,582 | Go Daddy Operating Company, LLC / GD Finance Company, Inc.‡ 1.863%, 02/15/24 1 mo. LIBOR + 1.75% | 692,831 | |||||||||
698,205 | SBA Senior Finance II, LLC‡ 1.870%, 04/11/25 1 mo. LIBOR + 1.75% | 694,424 | |||||||||
1,878,077 | |||||||||||
Consumer Discretionary (0.2%) | |||||||||||
350,000 | Murphy USA Inc‡ 2.250%, 01/31/28 1 mo. LIBOR + 1.75% | 351,204 | |||||||||
Consumer Staples (0.6%) | |||||||||||
698,250 | Energizer Holdings, Inc.‡ 2.750%, 12/22/27 1 mo. LIBOR + 2.25% | 696,679 | |||||||||
345,935 | United Natural Foods, Inc.‡ 3.613%, 10/22/25 1 mo. LIBOR + 3.50% | 346,168 | |||||||||
1,042,847 | |||||||||||
Financials (0.5%) | |||||||||||
500,000 | Jazz Financing Lux Sarl! 0.000%, 04/22/28 | 501,665 | |||||||||
505,992 | Level 3 Financing, Inc.‡ 1.863%, 03/01/27 1 mo. LIBOR + 1.75% | 500,616 | |||||||||
1,002,281 | |||||||||||
Health Care (0.7%) | |||||||||||
700,000 | Catalent Pharma Solutions Inc.‡ 2.500%, 02/22/28 1 mo. LIBOR + 2.00% | 701,750 | |||||||||
694,710 | HCA, Inc.‡ 1.863%, 03/13/25 1 mo. LIBOR + 1.75% | 695,527 | |||||||||
1,397,277 | |||||||||||
Industrials (2.2%) | |||||||||||
350,000 | AECOM Technology Corp.‡ 1.833%, 04/13/28 1 week LIBOR + 1.75% | 350,221 | |||||||||
750,000 | Horizon Therapeutics USA, Inc.‡ 2.500%, 03/15/28 1 mo. LIBOR + 2.00% | 748,312 | |||||||||
491,139 | Navistar International Corp.‡ 3.610%, 11/06/24 1 mo. LIBOR + 3.50% | 491,569 | |||||||||
680,000 | Spectrum Brands, Inc.‡ 2.500%, 03/03/28 3 mo. LIBOR + 2.00% | 678,939 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
490,009 | TransDigm, Inc.‡ 2.363%, 12/09/25 1 mo. LIBOR + 2.25% | $ | 484,561 | ||||||||
593,498 | United Rentals, Inc.‡ 1.863%, 10/31/25 1 mo. LIBOR + 1.75% | 596,240 | |||||||||
750,000 | XPO Logistics, Inc.‡ 1.861%, 02/24/25 1 mo. LIBOR + 1.75% | 747,112 | |||||||||
4,096,954 | |||||||||||
Information Technology (1.8%) | |||||||||||
249,375 | Camelot U.S. Acquisition 1 Company‡ 4.000%, 10/30/26 1 mo. LIBOR + 3.00% | 249,843 | |||||||||
246,875 | Camelot U.S. Acquisition 1 Company‡ 3.113%, 10/30/26 1 mo. LIBOR + 3.00% | 244,931 | |||||||||
698,250 | Dell International LLC‡ 2.000%, 09/19/25 1 mo. LIBOR + 1.75% | 698,501 | |||||||||
698,228 | ON Semiconductor Corp.‡ 2.113%, 09/19/26 1 mo. LIBOR + 2.00% | 697,791 | |||||||||
698,201 | Open Text Corp.‡ 1.863%, 05/30/25 1 mo. LIBOR + 1.75% | 699,803 | |||||||||
750,000 | Playtika Holding Corp‡ 2.863%, 03/13/28 1 mo. LIBOR + 2.75% | 746,955 | |||||||||
3,337,824 | |||||||||||
TOTAL BANK LOANS (Cost $13,625,572) | 13,590,437 | ||||||||||
ASSET BACKED SECURITIES (14.7%) | |||||||||||
Communication Services (0.8%) | |||||||||||
1,000,000 | Verizon Owner Trust Series 2020-A, Class B 1.980%, 07/22/24 | 1,027,733 | |||||||||
500,000 | Verizon Owner Trust Series 2020-B, Class A 0.470%, 02/20/25 | 501,837 | |||||||||
1,529,570 | |||||||||||
Consumer Discretionary (0.9%) | |||||||||||
1,500,000 | Avis Budget Rental Car Funding AESOP, LLC Series 2017-1A, Class A* 3.070%, 09/20/23 | 1,545,569 | |||||||||
Financials (10.3%) | |||||||||||
500,000 | American Tower Trust #1 Series 2013-2A* 3.070%, 03/15/48 | 504,320 | |||||||||
603,474 | Commonbond Student Loan Trust Series 2017-BGS, Class A1* 2.680%, 09/25/42 | 617,497 |
See accompanying Notes to Schedule of Investments
www.calamos.com
167
Short-Term Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
272,363 | Commonbond Student Loan Trust Series 2019-AGS, Class A1* 2.540%, 01/25/47 | $ | 279,133 | ||||||||
410,000 | Commonbond Student Loan Trust Series 2021-AGS, Class A* 1.200%, 03/25/52 | 409,593 | |||||||||
1,000,000 | Credit Acceptance Auto Loan Trust Series 2020-3A, Class A* 1.240%, 10/15/29 | 1,008,737 | |||||||||
90,817 | Dell Equipment Finance Trust Series 2018-2, Class A3* 3.370%, 10/22/23 | 90,956 | |||||||||
500,000 | Dell Equipment Finance Trust Series 2020-2, Class A3* 0.570%, 10/23/23 | 501,498 | |||||||||
300,000 | Dell Equipment Finance Trust Series 2021-1, Class B* 0.710%, 05/22/26 | 299,746 | |||||||||
1,000,000 | DT Auto Owner Trust Series 2020-1A, Class B* 2.160%, 05/15/24 | 1,011,966 | |||||||||
674,783 | Enterprise Fleet Financing, LLC Series 2019-3, Class A2* 2.060%, 05/20/25 | 683,395 | |||||||||
1,000,000 | Ford Credit Floorplan Master Owner Trust Series 2019-1, Class A 2.840%, 03/15/24 | 1,022,323 | |||||||||
55,057 | GM Financial Consumer Automobile Receivables Series 2018-3, Class A3 3.020%, 05/16/23 | 55,619 | |||||||||
1,000,000 | Kubota Credit Owner Trust Series 2020-1A, Class A3* 1.960%, 03/15/24 | 1,021,879 | |||||||||
491,128 | MMAF Equipment Finance, LLC Series 2019-B, Class A2* 2.070%, 10/12/22 | 493,854 | |||||||||
1,000,000 | Navient Private Education Refi Loan Trust Series 2020-BA, Class A2* 2.120%, 01/15/69 | 1,014,966 | |||||||||
1,000,000 | Navistar Financial Dealer Note Master Owner Trust II Series 2019-1, Class A*‡ 0.746%, 05/25/24 1 mo. USD LIBOR + 0.64% | 1,000,345 | |||||||||
1,200,000 | NextGear Floorplan Master Owner Trust Series 2019-1A, Class A2* 3.210%, 02/15/24 | 1,226,947 | |||||||||
860,000 | OSCAR US Funding Trust XII, LLC Series 2021-1A, Class A4* 1.000%, 04/10/28 | 858,213 | |||||||||
1,221,689 | Palmer Square Loan Funding, Ltd. Series 2019-3A, Class A1*‡ 1.032%, 08/20/27 3 mo. USD LIBOR + 0.85% | 1,220,195 | |||||||||
431,054 | SoFi Consumer Loan Program Trust Series 2019-2, Class A* 3.010%, 04/25/28 | 433,455 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
364,200 | SoFi Professional Loan Program LLC Series 2016-E, Class A2B* 2.490%, 01/25/36 | $ | 366,795 | ||||||||
147,369 | SoFi Professional Loan Program Trust Series 2020-A, Class A1FX* 2.060%, 05/15/46 | 148,149 | |||||||||
675,405 | SoFi Professional Loan Program Trust Series 2020-C, Class AFX* 1.950%, 02/15/46 | 687,300 | |||||||||
1,615,000 | Toyota Auto Loan Extended Note Trust Series 2019-1A, Class A* 2.560%, 11/25/31 | 1,709,424 | |||||||||
432,524 | Volvo Financial Equipment, LLC Series 2018-1A, Class A4* 2.760%, 10/17/22 | 435,240 | |||||||||
1,525,000 | Volvo Financial Equipment, LLC Series 2018-1A, Class B* 2.910%, 01/17/23 | 1,545,212 | |||||||||
500,000 | World Omni Select Auto Trust Series 2020-A, Class A3 0.550%, 07/15/25 | 501,310 | |||||||||
19,148,067 | |||||||||||
Other (2.5%) | |||||||||||
500,000 | CNH Equipment Trust Series 2020-A, Class A3 1.160%, 06/16/25 | 504,018 | |||||||||
1,209,000 | CNH Equipment Trust Series 2020-A, Class B 2.300%, 10/15/27 | 1,258,483 | |||||||||
500,000 | HPEFS Equipment Trust Series 2021-1A, Class B* 0.570%, 03/20/31 | 499,140 | |||||||||
502,906 | MVW Owner Trust Series 2019-1A, Class A* 2.890%, 11/20/36 | 517,709 | |||||||||
234,862 | SCF Equipment Leasing, LLC Series 2019-2A, Class A1* 2.220%, 06/20/24 | 236,664 | |||||||||
500,000 | SCF Equipment Leasing, LLC Series 2020-1A, Class A3* 1.190%, 10/20/27 | 501,549 | |||||||||
770,000 | SCF Equipment Leasing, LLC Series 2021-1A, Class A3* 0.830%, 08/21/28 | 762,177 | |||||||||
400,000 | Tesla Auto Lease Trust Series 2020-A, Class A3* 0.680%, 12/20/23 | 401,722 | |||||||||
4,681,462 | |||||||||||
Utilities (0.2%) | |||||||||||
400,000 | Harley-Davidson Motorcycle Trust Series 2020-A, Class A3 1.870%, 10/15/24 | 405,912 | |||||||||
TOTAL ASSET BACKED SECURITIES (Cost $26,999,251) | 27,310,580 |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
168
Short-Term Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
RESIDENTIAL MORTGAGE BACKED SECURITIES (1.6%) | |||||||||||
1,548,000 | CSAIL Commercial Mortgage Trust Series 2017-CX9, Class A2 3.054%, 09/15/50 | $ | 1,589,878 | ||||||||
80,152 | Morgan Stanley Capital I Trust, Series 2018-H3, Class A1 3.176%, 07/15/51 | 82,336 | |||||||||
213,498 | Wells Fargo Commercial Mortgage Trust Series 2015-LC20, Class A2 2.678%, 04/15/50 | 216,919 | |||||||||
639,406 | Wells Fargo Commercial Mortgage Trust Series 2017-RC1, Class A2 3.118%, 01/15/60 | 648,376 | |||||||||
118,540 | WFRBS Commercial Mortgage Trust Series 2011-C4, Class A4*‡ 4.902%, 06/15/44 | 118,611 | |||||||||
129,087 | WFRBS Commercial Mortgage Trust Series 2012-C10, Class ASB 2.453%, 12/15/45 | 130,997 | |||||||||
167,175 | WFRBS Commercial Mortgage Trust Series 2014-LC14, Class ASB 3.522%, 03/15/47 | 173,307 | |||||||||
TOTAL RESIDENTIAL MORTGAGE BACKED SECURITIES (Cost $2,917,277) | 2,960,424 | ||||||||||
MUNICIPAL OBLIGATIONS (5.0%) | |||||||||||
Airlines (0.1%) | |||||||||||
250,000 | Dallas/ Fort Worth International Airport 1.041%, 11/01/23 | 252,299 | |||||||||
Other (4.4%) | |||||||||||
400,000 | Alaska Housing Finance Corp. 0.846%, 12/01/23 | 398,616 | |||||||||
250,000 | Armada Area Schools++ 0.950%, 05/01/25 | 250,555 | |||||||||
250,000 | Capitol Area Community Development Corp. 0.957%, 10/01/21 | 249,132 | |||||||||
210,000 | City of Freeport, Illinois 1.027%, 01/01/22 | 210,866 | |||||||||
290,000 | Cloverleaf Local School District 0.839%, 03/01/22 | 290,945 | |||||||||
150,000 | Colorado Housing and Finance Authority 0.858%, 11/01/24 | 148,764 | |||||||||
175,000 | Cook County School District No 94 0.700%, 12/01/21 | 175,283 | |||||||||
250,000 | Corona-Norco Unified School District++ 1.000%, 09/01/25 | 250,346 | |||||||||
250,000 | County of Bergen, NJ 2.000%, 11/01/23 | 260,381 | |||||||||
295,000 | County of San Diego, CA 0.600%, 10/01/23 | 296,462 |
PRINCIPAL AMOUNT | VALUE | ||||||||||
290,000 | County of San Diego, CA 0.480%, 10/01/22 | $ | 291,002 | ||||||||
230,000 | Duluth Independent School District No 709 0.710%, 02/01/22 | 229,906 | |||||||||
175,000 | Haverstraw-Stony Point Central School District 0.790%, 05/01/23 | 175,455 | |||||||||
500,000 | Lake Central Multi-District School Building Corp. 0.853%, 01/15/24 | 505,027 | |||||||||
215,000 | Minnetonka Independent School District No 276 2.000%, 01/01/24 | 223,756 | |||||||||
155,000 | Natomas Unified School District 0.700%, 08/01/22 | 155,712 | |||||||||
400,000 | San Bernardino City Unified School District 0.792%, 08/01/23 | 402,522 | |||||||||
250,000 | Thornapple Kellogg MI School District 0.930%, 05/01/25 | 250,628 | |||||||||
300,000 | Torrance Joint Powers Financing Authority 1.239%, 10/01/21 | 301,114 | |||||||||
250,000 | Torrance Joint Powers Financing Authority 1.289%, 10/01/22 | 253,410 | |||||||||
250,000 | Town of Oyster Bay NY 2.000%, 08/15/23 | 254,188 | |||||||||
525,000 | Town of Stratford CT 0.956%, 08/01/24 | 530,217 | |||||||||
100,000 | Ukiah Public Financing Authority 1.370%, 04/01/22 | 99,719 | |||||||||
250,000 | Village of Tarrytown, New York 2.000%, 10/15/23 | 258,906 | |||||||||
300,000 | Virginia Housing Development Authority 0.607%, 09/01/23 | 302,833 | |||||||||
250,000 | West Covina Public Financing Authority 1.847%, 08/01/22 | 253,408 | |||||||||
250,000 | West Covina Public Financing Authority 1.747%, 08/01/21 | 250,645 | |||||||||
400,000 | West Mifflin Sanitary Sewer Municipal Authority 1.052%, 08/01/23 | 398,654 | |||||||||
250,000 | West Mifflin Sanitary Sewer Municipal Authority 0.895%, 08/01/22 | 249,470 | |||||||||
200,000 | Woodbury County Law Enforcement Center Authority 0.719%, 06/01/22 | 200,892 | |||||||||
8,118,814 | |||||||||||
Utilities (0.5%) | |||||||||||
505,000 | Augusta GA Water & Sewer Revenue 4.300%, 10/01/26 | 550,524 |
See accompanying Notes to Schedule of Investments
www.calamos.com
169
Short-Term Bond Fund Schedule of Investments April 30, 2021 (Unaudited)
PRINCIPAL AMOUNT | VALUE | ||||||||||
135,000 | City of Fountain, Colorado Electric Water & Wastewater Utility Enterprise Revenue 0.930%, 12/01/23 | $ | 134,503 | ||||||||
100,000 | City of Fountain, Colorado Electric Water & Wastewater Utility Enterprise Revenue 0.870%, 12/01/22 | 99,980 | |||||||||
100,000 | City of Fountain, Colorado Electric Water & Wastewater Utility Enterprise Revenue 0.770%, 12/01/21 | 100,007 | |||||||||
885,014 | |||||||||||
TOTAL MUNICIPAL OBLIGATIONS (Cost $9,214,908) | 9,256,127 | ||||||||||
NUMBER OF SHARES/ PRINCIPAL AMOUNT | VALUE | ||||||||||
INVESTMENT OF CASH COLLATERAL FOR SECURITIES LOANED (5.6%) | |||||||||||
10,437,788 | State Street Navigator Securities Lending Government Money Market Portfolio† (Cost $10,437,788) | 10,437,788 | |||||||||
TOTAL INVESTMENTS (104.7%) (Cost $192,170,994) | 194,804,780 | ||||||||||
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-5.6%) | (10,437,788 | ) | |||||||||
OTHER ASSETS, LESS LIABILITIES (0.9%) | 1,721,862 | ||||||||||
NET ASSETS (100.0%) | $ | 186,088,854 |
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.
^ Security, or portion of security, is on loan.
‡ Variable rate security. The rate shown is the rate in effect at April 30, 2021.
** Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at April 30, 2021.
¡ Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown.
! This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.
+ Security or a portion of the security purchased on a delayed delivery or when-issued basis.
† Represents investment of cash collateral received from securities on loan as of April 30, 2021.
FUTURES CONTRACTS
NUMBER OF CONTRACTS | DESCRIPTION | EXPIRATION DATE | NOTIONAL VALUE | MARKET VALUE/ UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Sales | |||||||||||||||||||
50 | U.S. Treasury Note 5-Year | Jun 2021 | $ | 6,196,875 | $ | (48,549 | ) |
See accompanying Notes to Schedule of Investments
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
170
Statements of Assets and Liabilities April 30, 2021 (Unaudited)
MARKET NEUTRAL INCOME FUND | HEDGED EQUITY FUND | PHINEUS LONG/SHORT FUND | CONVERTIBLE FUND | GLOBAL CONVERTIBLE FUND | |||||||||||||||||||
ASSETS | |||||||||||||||||||||||
Investments in securities, at cost | $ | 9,489,521,272 | $ | 338,135,194 | $ | 445,354,250 | $ | 1,298,601,852 | $ | 249,905,317 | |||||||||||||
Investments in affiliated funds, at cost | 150,000,000 | — | — | — | — | ||||||||||||||||||
Investment in securities, at value | $ | 12,740,987,173 | $ | 478,515,881 | $ | 560,719,328 | $ | 1,563,066,180 | $ | 277,260,916 | |||||||||||||
Investments in affiliated funds, at value | 149,081,256 | — | — | — | — | ||||||||||||||||||
Cash with custodian | 1,003,330,226 | 6,760,576 | 9,456,660 | 93,748,741 | 9,222,317 | ||||||||||||||||||
Restricted cash | 7,650,058 | — | — | — | — | ||||||||||||||||||
Restricted cash for short positions | 4,356,843,604 | — | 315,657,423 | 198 | 2,460 | ||||||||||||||||||
Restricted cash for futures | 463,394 | 4,366 | — | — | — | ||||||||||||||||||
Restricted foreign currency for short positions (cost $181,687,721, and $458,166) | 183,656,609 | — | 460,567 | — | — | ||||||||||||||||||
Foreign currency (cost $5,851,048, and $5,774,883) | 5,849,968 | — | 5,770,800 | — | — | ||||||||||||||||||
Restricted cash for open forward foreign currency contracts | 1,770,000 | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on total return swaps | 109,910 | — | — | — | — | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | 175,579 | — | — | 12,044 | — | ||||||||||||||||||
Receivables: | |||||||||||||||||||||||
Accrued interest and dividends | 15,645,164 | 333,038 | 779,212 | 1,863,006 | 541,808 | ||||||||||||||||||
Investments sold | 216,995,566 | — | 7,809,179 | — | — | ||||||||||||||||||
Fund shares sold | 69,397,468 | 3,077,180 | 1,160,608 | 3,823,866 | 902,866 | ||||||||||||||||||
Prepaid expenses | 99,598 | 45,017 | 42,011 | 62,320 | 33,461 | ||||||||||||||||||
Other assets | — | — | — | 176,573 | — | ||||||||||||||||||
Total assets | 18,752,055,573 | 488,736,058 | 901,855,788 | 1,662,752,928 | 287,963,828 | ||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||
Due to custodian bank - Foreign currency (cost $3,817, and $2,461) | 3,824 | — | 2,457 | — | — | ||||||||||||||||||
Due to custodian bank for restricted cash for futures | — | — | 16 | — | — | ||||||||||||||||||
Collateral for securities loaned | 174,493,385 | — | — | 68,676,695 | 14,687,238 | ||||||||||||||||||
Securities sold short, at value (proceeds $2,875,988,284, and $272,994,114) | 4,475,852,447 | — | 306,767,817 | — | — | ||||||||||||||||||
Options written, at value (premium $312,047,918, $13,385,706, and $8,028,121) | 525,443,305 | 27,084,550 | 8,200,604 | — | — | ||||||||||||||||||
Unrealized depreciation on total return swaps | 274,468 | — | — | — | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | 647,805 | — | — | 215,615 | — | ||||||||||||||||||
Payables: | |||||||||||||||||||||||
Investments purchased | 225,926,083 | 254,035 | 34,250,911 | 17,899,049 | 64,897 | ||||||||||||||||||
Open swap contracts | 642,493 | — | — | — | — | ||||||||||||||||||
Fund shares redeemed | 7,419,819 | 8,344,989 | 562,224 | 2,040,730 | 268,532 | ||||||||||||||||||
Affiliates: | |||||||||||||||||||||||
Investment advisory fees | 6,967,238 | 275,106 | 553,779 | 891,201 | 190,035 | ||||||||||||||||||
Distribution fees | 30,378 | 607 | 2,496 | 9,648 | 550 | ||||||||||||||||||
Deferred compensation to trustees | 172,551 | — | — | 176,573 | — | ||||||||||||||||||
Trustees' fees and officer compensation | 43,970 | 2,860 | 6,449 | 4,659 | 1,981 | ||||||||||||||||||
Other accounts payable and accrued liabilities | 3,847,124 | 101,015 | 344,257 | 258,237 | 50,746 | ||||||||||||||||||
Total liabilities | 5,421,764,890 | 36,063,162 | 350,691,010 | 90,172,407 | 15,263,979 | ||||||||||||||||||
NET ASSETS | $ | 13,330,290,683 | $ | 452,672,896 | $ | 551,164,778 | $ | 1,572,580,521 | $ | 272,699,849 | |||||||||||||
COMPOSITION OF NET ASSETS | |||||||||||||||||||||||
Paid in capital | $ | 12,430,365,808 | $ | 383,824,366 | $ | 490,157,670 | $ | 1,086,765,538 | $ | 213,588,402 | |||||||||||||
Undistributed net investment income (loss) | 30,643,272 | 700,350 | (3,545,608 | ) | 11,315,689 | 1,611,853 | |||||||||||||||||
Accumulated net realized gain (loss) on investments, foreign currency transactions, written options, short positions and total return swaps | (569,343,080 | ) | (58,533,663 | ) | (16,868,876 | ) | 210,238,537 | 30,140,519 | |||||||||||||||
Unrealized appreciation (depreciation) of investments, foreign currency translations, written options, short positions and total return swaps | 1,438,624,683 | 126,681,843 | 81,421,592 | 264,260,757 | 27,359,075 | ||||||||||||||||||
NET ASSETS | $ | 13,330,290,683 | $ | 452,672,896 | $ | 551,164,778 | $ | 1,572,580,521 | $ | 272,699,849 | |||||||||||||
CLASS A SHARES† | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | 1,071,146,052 | $ | 25,236,426 | $ | 53,700,346 | $ | 415,143,759 | $ | 17,110,107 | |||||||||||||
Shares outstanding | 74,627,236 | 1,809,676 | 3,328,739 | 15,686,418 | 1,161,357 | ||||||||||||||||||
Net asset value and redemption price per share | $ | 14.35 | $ | 13.95 | $ | 16.13 | $ | 26.47 | $ | 14.73 | |||||||||||||
Maximum offering price per share (Net asset value, plus 4.75% of offering price) | $ | 14.76 | # | $ | 14.65 | $ | 16.93 | $ | 27.08 | # | $ | 15.07 | # |
See accompanying Notes to Financial Statements
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171
Statements of Assets and Liabilities April 30, 2021 (Unaudited)
MARKET NEUTRAL INCOME FUND | HEDGED EQUITY FUND | PHINEUS LONG/SHORT FUND | CONVERTIBLE FUND | GLOBAL CONVERTIBLE FUND | |||||||||||||||||||
CLASS C SHARES†** | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | 288,359,342 | $ | 4,752,505 | $ | 31,726,603 | $ | 70,687,115 | $ | 5,710,949 | |||||||||||||
Shares outstanding | 19,831,584 | 346,284 | 2,042,025 | 2,713,274 | 396,390 | ||||||||||||||||||
Net asset value and redemption price per share | $ | 14.54 | $ | 13.72 | $ | 15.54 | $ | 26.05 | $ | 14.41 | |||||||||||||
CLASS I SHARES† | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | 11,968,929,429 | $ | 422,683,965 | $ | 465,737,829 | $ | 1,086,749,647 | $ | 249,878,793 | |||||||||||||
Shares outstanding | 844,266,391 | 30,320,272 | 28,577,778 | 47,038,844 | 16,948,147 | ||||||||||||||||||
Net asset value and redemption price per share | $ | 14.18 | $ | 13.94 | $ | 16.30 | $ | 23.10 | $ | 14.74 | |||||||||||||
CLASS R6 SHARES† | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | 1,855,860 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Shares Outstanding | 130,816 | — | — | — | — | ||||||||||||||||||
Net asset value and redemption price per share | $ | 14.19 | $ | — | $ | — | $ | — | $ | — |
† No par value; unlimited number of shares authorized.
# For Market Neutral Income Fund maximum offering price per share is Net asset value plus 2.75% of offering price. For Convertible Fund and Global Convertible Fund maximum offering price per share is Net asset value plus 2.25% of offering price.
** Redemption price may be reduced by contingent deferred sales charge.
See accompanying Notes to Financial Statements
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
172
Statements of Assets and Liabilities April 30, 2021 (Unaudited)
TIMPANI SMALL CAP GROWTH FUND | TIMPANI SMID GROWTH FUND | GROWTH FUND | GROWTH AND INCOME FUND | DIVIDEND GROWTH FUND | |||||||||||||||||||
ASSETS | |||||||||||||||||||||||
Investments in securities, at cost | $ | 221,053,441 | $ | 15,125,477 | $ | 1,037,588,736 | $ | 1,586,623,654 | $ | 9,532,670 | |||||||||||||
Investment in securities, at value | $ | 322,791,214 | $ | 24,219,271 | $ | 1,726,303,940 | $ | 2,696,600,891 | $ | 16,921,519 | |||||||||||||
Cash with custodian | 3,508,102 | 113,315 | 8,055,863 | 21,468,873 | 84,339 | ||||||||||||||||||
Restricted cash for short positions | — | — | 3 | — | — | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | — | — | 32,607 | — | ||||||||||||||||||
Receivables: | |||||||||||||||||||||||
Accrued interest and dividends | — | 2 | 304,553 | 2,285,402 | 8,389 | ||||||||||||||||||
Investments sold | 1,997,207 | 140,198 | 994,209 | — | — | ||||||||||||||||||
Fund shares sold | 2,373,256 | 230,000 | 144,188 | 2,381,501 | 1,500 | ||||||||||||||||||
Due from investment advisor | 3,210 | 8,809 | — | — | 9,367 | ||||||||||||||||||
Prepaid expenses | 161,319 | 22,760 | 43,296 | 1,485,922 | 22,251 | ||||||||||||||||||
Other assets | — | — | 855,860 | 369,561 | — | ||||||||||||||||||
Total assets | 330,834,308 | 24,734,355 | 1,736,701,912 | 2,724,624,757 | 17,047,365 | ||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||
Collateral for securities loaned | — | — | 12,747,463 | 100,511,097 | 46,575 | ||||||||||||||||||
Foreign currency overdraft (cost $60) | — | — | — | 61 | — | ||||||||||||||||||
Options written, at value (premium $758,097) | — | — | — | 725,200 | — | ||||||||||||||||||
Unrealized depreciation on forward foreign currency contracts | — | — | — | 194,988 | — | ||||||||||||||||||
Payables: | |||||||||||||||||||||||
Investments purchased | 3,808,424 | 311,864 | 2,208,639 | — | — | ||||||||||||||||||
Fund shares redeemed | 2,118,236 | — | 1,257,489 | 1,729,269 | 8,000 | ||||||||||||||||||
Affiliates: | |||||||||||||||||||||||
Investment advisory fees | 228,757 | 18,682 | 1,245,211 | 1,438,681 | 13,963 | ||||||||||||||||||
Distribution fees | 360 | 6 | 19,940 | 24,743 | 162 | ||||||||||||||||||
Deferred compensation to trustees | — | — | 855,860 | 369,561 | — | ||||||||||||||||||
Trustees' fees and officer compensation | 899 | 1,249 | 9,854 | 12,336 | 1,594 | ||||||||||||||||||
Other accounts payable and accrued liabilities | 159,560 | 20,285 | 537,691 | 1,991,527 | 17,911 | ||||||||||||||||||
Total liabilities | 6,316,236 | 352,086 | 18,882,147 | 106,997,463 | 88,205 | ||||||||||||||||||
NET ASSETS | $ | 324,518,072 | $ | 24,382,269 | $ | 1,717,819,765 | $ | 2,617,627,294 | $ | 16,959,160 | |||||||||||||
COMPOSITION OF NET ASSETS | |||||||||||||||||||||||
Paid in capital | $ | 216,570,999 | $ | 14,345,008 | $ | 924,069,918 | $ | 1,387,214,325 | $ | 8,655,664 | |||||||||||||
Undistributed net investment income (loss) | (1,092,617 | ) | (233,656 | ) | (6,019,765 | ) | (11,378,968 | ) | (16,956 | ) | |||||||||||||
Accumulated net realized gain (loss) on investments, foreign currency transactions and written options | 7,301,917 | 1,177,123 | 111,054,099 | 131,944,184 | 931,603 | ||||||||||||||||||
Unrealized appreciation (depreciation) of investments, foreign currency translations and written options | 101,737,773 | 9,093,794 | 688,715,513 | 1,109,847,753 | 7,388,849 | ||||||||||||||||||
NET ASSETS | $ | 324,518,072 | $ | 24,382,269 | $ | 1,717,819,765 | $ | 2,617,627,294 | $ | 16,959,160 | |||||||||||||
CLASS A SHARES† | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | 25,999,523 | $ | 405,845 | $ | 1,333,456,097 | $ | 1,443,834,693 | $ | 4,444,867 | |||||||||||||
Shares outstanding | 638,966 | 24,150 | 32,839,776 | 32,270,281 | 285,979 | ||||||||||||||||||
Net asset value and redemption price per share | $ | 40.69 | $ | 16.80 | $ | 40.60 | $ | 44.74 | $ | 15.54 | |||||||||||||
Maximum offering price per share (Net asset value, plus 4.75% of offering price) | $ | 42.72 | $ | 17.64 | $ | 42.62 | $ | 46.97 | $ | 16.31 | |||||||||||||
CLASS C SHARES†** | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | — | $ | — | $ | 26,628,757 | $ | 88,053,049 | $ | 1,828,469 | |||||||||||||
Shares outstanding | — | — | 1,413,291 | 1,949,876 | 121,742 | ||||||||||||||||||
Net asset value and redemption price per share | $ | — | $ | — | $ | 18.84 | $ | 45.16 | $ | 15.02 | |||||||||||||
CLASS I SHARES† | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | 280,098,195 | $ | 23,959,541 | $ | 357,734,911 | $ | 1,080,562,912 | $ | 10,685,824 | |||||||||||||
Shares outstanding | 6,682,048 | 1,419,203 | 6,047,122 | 25,283,363 | 687,486 | ||||||||||||||||||
Net asset value and redemption price per share | $ | 41.92 | $ | 16.88 | $ | 59.16 | $ | 42.74 | $ | 15.54 | |||||||||||||
CLASS R6 SHARES† | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | 18,420,354 | $ | 16,883 | $ | — | $ | 5,176,640 | $ | — | |||||||||||||
Shares Outstanding | 438,736 | 1,000 | — | 121,081 | — | ||||||||||||||||||
Net asset value and redemption price per share | $ | 41.99 | $ | 16.88 | $ | — | $ | 42.75 | $ | — |
† No par value; unlimited number of shares authorized.
** Redemption price may be reduced by contingent deferred sales charge.
See accompanying Notes to Financial Statements
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173
Statements of Assets and Liabilities April 30, 2021 (Unaudited)
SELECT FUND | INTERNATIONAL GROWTH FUND | EVOLVING WORLD GROWTH FUND | GLOBAL EQUITY FUND | GLOBAL OPPORTUNITIES FUND (FORMERLY, GLOBAL GROWTH AND INCOME FUND) | |||||||||||||||||||
ASSETS | |||||||||||||||||||||||
Investments in securities, at cost | $ | 33,334,042 | $ | 211,799,432 | $ | 608,479,966 | $ | 92,054,560 | $ | 189,258,908 | |||||||||||||
Investment in securities, at value | $ | 48,650,404 | $ | 300,170,306 | $ | 707,587,069 | $ | 139,633,941 | $ | 251,416,385 | |||||||||||||
Cash with custodian | 894,687 | 2,028,766 | — | 52,262 | 1,262,674 | ||||||||||||||||||
Restricted cash for short positions | — | — | 2,480 | — | 2,070 | ||||||||||||||||||
Foreign currency (cost $47,211, $169,925, $15,714 and $6,064) | — | 47,211 | 170,043 | 15,719 | 6,088 | ||||||||||||||||||
Unrealized appreciation on forward foreign currency contracts | — | 311,707 | — | 54,881 | — | ||||||||||||||||||
Receivables: | |||||||||||||||||||||||
Accrued interest and dividends | 13,401 | 706,462 | 767,742 | 163,338 | 371,699 | ||||||||||||||||||
Investments sold | — | 690,609 | 7,386,437 | 122,776 | 2,646,274 | ||||||||||||||||||
Fund shares sold | 38,255 | 492,428 | 3,244,725 | 16,466 | 607,704 | ||||||||||||||||||
Due from investment advisor | 17,270 | 96,817 | 144,821 | 7,269 | 40,906 | ||||||||||||||||||
Prepaid expenses | 31,021 | 494,428 | 59,204 | 86,086 | 28,562 | ||||||||||||||||||
Other assets | 91,754 | 57,752 | 17,018 | 29,623 | 138,985 | ||||||||||||||||||
Total assets | 49,736,792 | 305,096,486 | 719,379,539 | 140,182,361 | 256,521,347 | ||||||||||||||||||
LIABILITIES | |||||||||||||||||||||||
Due to custodian bank | — | — | 5,481,609 | — | — | ||||||||||||||||||
Collateral for securities loaned | — | 17,985,211 | 14,053,105 | 5,064,349 | 16,048,162 | ||||||||||||||||||
Payables: | |||||||||||||||||||||||
Investments purchased | — | 1,362,074 | 2,191,644 | — | — | ||||||||||||||||||
Fund shares redeemed | 20,375 | 244,441 | 386,801 | 65,009 | 198,489 | ||||||||||||||||||
Affiliates: | |||||||||||||||||||||||
Investment advisory fees | 39,682 | 255,222 | 603,937 | 117,668 | 201,419 | ||||||||||||||||||
Distribution fees | 233 | 1,313 | 2,066 | 548 | 2,039 | ||||||||||||||||||
Deferred compensation to trustees | 91,754 | 57,752 | 17,018 | 29,623 | 138,985 | ||||||||||||||||||
Trustees' fees and officer compensation | 5,285 | 2,549 | 231 | 1,532 | 2,025 | ||||||||||||||||||
Other accounts payable and accrued liabilities | 25,370 | 694,836 | 881,397 | 133,822 | 134,084 | ||||||||||||||||||
Total liabilities | 182,699 | 20,603,398 | 23,617,808 | 5,412,551 | 16,725,203 | ||||||||||||||||||
NET ASSETS | $ | 49,554,093 | $ | 284,493,088 | $ | 695,761,731 | $ | 134,769,810 | $ | 239,796,144 | |||||||||||||
COMPOSITION OF NET ASSETS | |||||||||||||||||||||||
Paid in capital | $ | 30,547,140 | $ | 158,051,448 | $ | 598,790,702 | $ | 76,731,351 | $ | 164,197,308 | |||||||||||||
Undistributed net investment income (loss) | (104,399 | ) | 109,498 | (321,184 | ) | (291,791 | ) | (299,205 | ) | ||||||||||||||
Accumulated net realized gain (loss) on investments, foreign currency transactions and written options | 3,794,990 | 37,789,536 | (950,367 | ) | 10,740,616 | 13,802,095 | |||||||||||||||||
Unrealized appreciation (depreciation) of investments and foreign currency translations | 15,316,362 | 88,542,606 | * | 98,242,580 | * | 47,589,634 | * | 62,095,946 | * | ||||||||||||||
NET ASSETS | $ | 49,554,093 | $ | 284,493,088 | $ | 695,761,731 | $ | 134,769,810 | $ | 239,796,144 | |||||||||||||
CLASS A SHARES† | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | 13,091,124 | $ | 77,572,402 | $ | 71,444,745 | $ | 31,147,662 | $ | 115,834,506 | |||||||||||||
Shares outstanding | 705,945 | 2,817,043 | 3,113,224 | 1,843,465 | 9,789,339 | ||||||||||||||||||
Net asset value and redemption price per share | $ | 18.54 | $ | 27.54 | $ | 22.95 | $ | 16.90 | $ | 11.83 | |||||||||||||
Maximum offering price per share (Net asset value, plus 4.75% of offering price) | $ | 19.46 | $ | 28.91 | $ | 24.09 | $ | 17.74 | $ | 12.42 | |||||||||||||
CLASS C SHARES†** | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | 959,765 | $ | 4,075,385 | $ | 19,188,685 | $ | 2,068,473 | $ | 7,858,840 | |||||||||||||
Shares outstanding | 60,255 | 170,476 | 902,082 | 145,253 | 771,079 | ||||||||||||||||||
Net asset value and redemption price per share | $ | 15.93 | $ | 23.91 | $ | 21.27 | $ | 14.24 | $ | 10.19 | |||||||||||||
CLASS I SHARES† | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | 35,503,204 | $ | 201,414,803 | $ | 605,128,301 | $ | 101,399,712 | $ | 116,102,798 | |||||||||||||
Shares outstanding | 1,855,639 | 7,057,341 | 26,099,795 | 5,757,950 | 9,465,799 | ||||||||||||||||||
Net asset value and redemption price per share | $ | 19.13 | $ | 28.54 | $ | 23.19 | $ | 17.61 | $ | 12.27 |
See accompanying Notes to Financial Statements
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
174
Statements of Assets and Liabilities April 30, 2021 (Unaudited)
SELECT FUND | INTERNATIONAL GROWTH FUND | EVOLVING WORLD GROWTH FUND | GLOBAL EQUITY FUND | GLOBAL OPPORTUNITIES FUND (FORMERLY, GLOBAL GROWTH AND INCOME FUND) | |||||||||||||||||||
CLASS R6 SHARES† | |||||||||||||||||||||||
Net assets applicable to shares outstanding | $ | — | $ | 1,430,498 | $ | — | $ | 153,963 | $ | — | |||||||||||||
Shares Outstanding | — | 49,685 | — | 8,740 | — | ||||||||||||||||||
Net asset value and redemption price per share | $ | — | $ | 28.79 | $ | — | $ | 17.62 | $ | — |
* Net of deferred foreign capital gains tax of $153,829, $843,144, $46,565, and $67,438.
† No par value; unlimited number of shares authorized.
** Redemption price may be reduced by contingent deferred sales charge.
See accompanying Notes to Financial Statements
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175
Statements of Assets and Liabilities April 30, 2021 (Unaudited)
TOTAL RETURN BOND FUND | HIGH INCOME OPPORTUNITIES FUND | SHORT-TERM BOND FUND | |||||||||||||
ASSETS | |||||||||||||||
Investments in securities, at cost | $ | 71,685,411 | $ | 42,178,174 | $ | 192,170,994 | |||||||||
Investment in securities, at value | $ | 73,539,170 | $ | 42,810,942 | $ | 194,804,780 | |||||||||
Cash with custodian | 1,204,545 | 1,411,728 | 3,104,003 | ||||||||||||
Variation margin on open futures contracts | 18,864 | — | 92,489 | ||||||||||||
Receivables: | |||||||||||||||
Accrued interest and dividends | 377,932 | 555,464 | 921,746 | ||||||||||||
Investments sold | 204,237 | 18,025 | 519,446 | ||||||||||||
Fund shares sold | 2,427,886 | 1,280 | 36 | ||||||||||||
Due from investment advisor | 7,665 | 10,329 | 535 | ||||||||||||
Prepaid expenses | 23,017 | 28,103 | 17,248 | ||||||||||||
Other assets | 33,333 | 101,112 | — | ||||||||||||
Total assets | 77,836,649 | 44,936,983 | 199,460,283 | ||||||||||||
LIABILITIES | |||||||||||||||
Collateral for securities loaned | 3,080,143 | 2,197,638 | 10,437,788 | ||||||||||||
Payables: | |||||||||||||||
Investments purchased | 762,791 | 396,686 | 2,598,938 | ||||||||||||
Fund shares redeemed | 769,545 | 94,206 | 2,395 | ||||||||||||
Dividends payable | 19,384 | 8,686 | 250,564 | ||||||||||||
Affiliates: | |||||||||||||||
Investment advisory fees | 26,465 | 20,684 | 45,882 | ||||||||||||
Distribution fees | 388 | 487 | 47 | ||||||||||||
Deferred compensation to trustees | 33,333 | 101,112 | — | ||||||||||||
Trustees' fees and officer compensation | 1,893 | 1,762 | 2,705 | ||||||||||||
Other accounts payable and accrued liabilities | 31,309 | 32,828 | 33,110 | ||||||||||||
Total liabilities | 4,725,251 | 2,854,089 | 13,371,429 | ||||||||||||
NET ASSETS | $ | 73,111,398 | $ | 42,082,894 | $ | 186,088,854 | |||||||||
COMPOSITION OF NET ASSETS | |||||||||||||||
Paid in capital | $ | 70,989,565 | $ | 52,727,698 | $ | 186,287,270 | |||||||||
Undistributed net investment income (loss) | (319,388 | ) | (484,584 | ) | (2,437,140 | ) | |||||||||
Accumulated net realized gain (loss) on investments | 597,172 | (10,792,988 | ) | (346,513 | ) | ||||||||||
Unrealized appreciation (depreciation) of investments | 1,844,049 | 632,768 | 2,585,237 | ||||||||||||
NET ASSETS | $ | 73,111,398 | $ | 42,082,894 | $ | 186,088,854 | |||||||||
CLASS A SHARES† | |||||||||||||||
Net assets applicable to shares outstanding | $ | 24,688,757 | $ | 32,809,483 | $ | 3,397,635 | |||||||||
Shares outstanding | 2,330,536 | 3,829,811 | 340,067 | ||||||||||||
Net asset value and redemption price per share | $ | 10.59 | $ | 8.57 | $ | 9.99 | |||||||||
Maximum offering price per share (Net asset value, plus 4.75% of offering price) | $ | 10.83 | # | $ | 8.77 | # | $ | 10.22 | # | ||||||
CLASS C SHARES†** | |||||||||||||||
Net assets applicable to shares outstanding | $ | 966,762 | $ | 670,969 | $ | — | |||||||||
Shares outstanding | 91,279 | 73,629 | — | ||||||||||||
Net asset value and redemption price per share | $ | 10.59 | $ | 9.11 | $ | — | |||||||||
CLASS I SHARES† | |||||||||||||||
Net assets applicable to shares outstanding | $ | 47,455,879 | $ | 8,602,442 | $ | 182,691,219 | |||||||||
Shares outstanding | 4,478,851 | 1,003,926 | 18,304,393 | ||||||||||||
Net asset value and redemption price per share | $ | 10.60 | $ | 8.57 | $ | 9.98 |
† No par value; unlimited number of shares authorized.
# For Total Return Bond Fund, High Income Opportunities Fund, and Short-Term Bond Fund, maximum offering price per share is Net asset value plus 2.25% of offering price.
** Redemption price may be reduced by contingent deferred sales charge.
See accompanying Notes to Financial Statements
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
176
Statements of Operations Six Months Ended April 30, 2021 (Unaudited)
MARKET NEUTRAL INCOME FUND | HEDGED EQUITY FUND | PHINEUS LONG/SHORT FUND | CONVERTIBLE FUND | GLOBAL CONVERTIBLE FUND | |||||||||||||||||||
INVESTMENT INCOME | |||||||||||||||||||||||
Interest | $ | 52,416,911 | $ | 9,348 | $ | 3,275 | $ | 15,332,841 | $ | 2,666,074 | |||||||||||||
Dividends | 55,287,577 | 3,801,422 | 2,592,288 | 4,586,727 | 557,316 | ||||||||||||||||||
Dividends from affiliated funds | 5,533,224 | — | — | — | — | ||||||||||||||||||
Total investment income | 113,237,712 | 3,810,770 | 2,595,563 | 19,919,568 | 3,223,390 | ||||||||||||||||||
EXPENSES | |||||||||||||||||||||||
Investment advisory fees | 37,761,704 | 1,528,587 | 3,056,028 | 5,015,964 | 1,071,567 | ||||||||||||||||||
Distribution fees | |||||||||||||||||||||||
Class A | 1,165,071 | 24,523 | 59,651 | 494,303 | 18,303 | ||||||||||||||||||
Class C | 1,339,027 | 19,367 | 137,429 | 333,997 | 26,817 | ||||||||||||||||||
Dividend or interest expense on short positions | 5,731,604 | — | 1,662,249 | — | — | ||||||||||||||||||
Transfer agent fees | 4,820,665 | 192,832 | 234,982 | 550,103 | 81,620 | ||||||||||||||||||
Printing and mailing fees | 460,067 | 18,154 | 37,726 | 46,670 | 8,221 | ||||||||||||||||||
Fund administration fees | 371,891 | 13,435 | 17,251 | 43,391 | 7,645 | ||||||||||||||||||
Accounting fees | 313,793 | 19,011 | 19,131 | 41,198 | 13,722 | ||||||||||||||||||
Trustees' fees and officer compensation | 233,768 | 15,172 | 17,700 | 33,468 | 11,743 | ||||||||||||||||||
Legal fees | 178,944 | 9,511 | 14,185 | 20,481 | 7,021 | ||||||||||||||||||
Audit fees | 133,934 | 8,843 | 9,547 | 20,242 | 6,939 | ||||||||||||||||||
Custodian fees | 126,840 | 7,766 | 45,109 | 11,310 | 4,934 | ||||||||||||||||||
Registration fees | 115,011 | 33,750 | 32,281 | 47,359 | 28,648 | ||||||||||||||||||
Other | 395,166 | 19,301 | 49,887 | 45,408 | 11,739 | ||||||||||||||||||
Total expenses | 53,147,485 | 1,910,252 | 5,393,156 | 6,703,894 | 1,298,919 | ||||||||||||||||||
Less expense reductions | (224,581 | ) | — | — | — | — | |||||||||||||||||
Net expenses | 52,922,904 | 1,910,252 | 5,393,156 | 6,703,894 | 1,298,919 | ||||||||||||||||||
NET INVESTMENT INCOME (LOSS) | 60,314,808 | 1,900,518 | (2,797,593 | ) | 13,215,674 | 1,924,471 | |||||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||
Net realized gain (loss) from: | |||||||||||||||||||||||
Investments, excluding purchased options | 1,627,811,092 | 10,391,085 | 55,834,987 | 187,048,904 | 27,180,965 | ||||||||||||||||||
Purchased options | (107,259,748 | ) | (6,222,408 | ) | (27,578,057 | ) | 2,637,707 | (253,018 | ) | ||||||||||||||
Foreign currency transactions | 124,769 | — | (261,976 | ) | — | 24,973 | |||||||||||||||||
Forward foreign currency contracts | (360,276 | ) | — | — | (477,890 | ) | — | ||||||||||||||||
Written options | (558,986,860 | ) | (41,731,654 | ) | 46,252,954 | 2,332,176 | — | ||||||||||||||||
Short positions | (1,246,247,216 | ) | — | (8,759,121 | ) | — | — | ||||||||||||||||
Total return swaps | (57,546,279 | ) | — | — | — | — | |||||||||||||||||
Futures contracts | 445,372 | 4,366 | — | — | — | ||||||||||||||||||
Realized capital gain distribution from Affiliated fund | 1,388,637 | — | — | — | — | ||||||||||||||||||
Change in net unrealized appreciation/(depreciation) on: | |||||||||||||||||||||||
Investments, excluding purchased options | 992,561,225 | 97,349,398 | 122,664,597 | 71,334,260 | 9,072,082 | ||||||||||||||||||
Affiliated funds | (3,734,501 | ) | — | — | — | — | |||||||||||||||||
Purchased options | 1,648,405 | 25,600 | 1,465,405 | 2,382,787 | (78,155 | ) | |||||||||||||||||
Foreign currency translations | (2,189,855 | ) | — | 3,180 | — | 1,552 | |||||||||||||||||
Forward foreign currency contracts | (822,298 | ) | — | — | (266,466 | ) | — | ||||||||||||||||
Written options | (192,620,985 | ) | (11,170,886 | ) | 2,803,054 | (2,356,223 | ) | — | |||||||||||||||
Short positions | (33,893,534 | ) | — | (15,918,496 | ) | — | — | ||||||||||||||||
Total return swaps | 11,330,036 | — | — | — | — | ||||||||||||||||||
Futures contracts | 94,768 | 929 | — | — | — | ||||||||||||||||||
NET GAIN (LOSS) | 431,742,752 | 48,646,430 | 176,506,527 | 262,635,255 | 35,948,399 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 492,057,560 | $ | 50,546,948 | $ | 173,708,934 | $ | 275,850,929 | $ | 37,872,870 |
See accompanying Notes to Financial Statements
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177
Statements of Operations Six Months Ended April 30, 2021 (Unaudited)
TIMPANI SMALL CAP GROWTH FUND | TIMPANI SMID GROWTH FUND | GROWTH FUND | GROWTH AND INCOME FUND | DIVIDEND GROWTH FUND | |||||||||||||||||||
INVESTMENT INCOME | |||||||||||||||||||||||
Interest | $ | — | $ | 11 | $ | 62,289 | $ | 2,457,321 | $ | 231 | |||||||||||||
Dividends | 117,393 | 13,994 | 4,375,004 | 16,711,924 | 104,052 | ||||||||||||||||||
Dividend taxes withheld | — | — | (1,541 | ) | (13,588 | ) | — | ||||||||||||||||
Total investment income | 117,393 | 14,005 | 4,435,752 | 19,155,657 | 104,283 | ||||||||||||||||||
EXPENSES | |||||||||||||||||||||||
Investment advisory fees | 1,022,245 | 107,915 | 7,247,711 | 8,178,635 | 77,096 | ||||||||||||||||||
Distribution fees | |||||||||||||||||||||||
Class A | 20,376 | 372 | 1,573,957 | 1,664,252 | 5,124 | ||||||||||||||||||
Class C | — | — | 172,632 | 507,167 | 5,333 | ||||||||||||||||||
Transfer agent fees | 71,520 | 6,172 | 847,712 | 1,046,191 | 8,653 | ||||||||||||||||||
Fund administration fees | 6,143 | 653 | 55,169 | 80,121 | 512 | ||||||||||||||||||
Printing and mailing fees | 8,510 | 4,299 | 136,450 | 107,310 | 3,557 | ||||||||||||||||||
Accounting fees | 12,752 | 6,284 | 46,827 | 66,560 | 7,501 | ||||||||||||||||||
Trustees' fees and officer compensation | 10,322 | 7,617 | 40,428 | 56,793 | 7,479 | ||||||||||||||||||
Legal fees | 11,189 | 5,060 | 29,098 | 39,447 | 4,687 | ||||||||||||||||||
Audit fees | 6,113 | 4,370 | 23,354 | 31,902 | 4,300 | ||||||||||||||||||
Custodian fees | 18,451 | 8,010 | 17,887 | 20,426 | 1,232 | ||||||||||||||||||
Registration fees | 28,248 | 21,766 | 32,876 | 45,384 | 22,207 | ||||||||||||||||||
Other | 7,023 | 3,121 | 57,161 | 93,238 | 3,370 | ||||||||||||||||||
Total expenses | 1,222,892 | 175,639 | 10,281,262 | 11,937,426 | 151,051 | ||||||||||||||||||
Less expense reductions | (12,882 | ) | (50,240 | ) | — | — | (55,789 | ) | |||||||||||||||
Net expenses | 1,210,010 | 125,399 | 10,281,262 | 11,937,426 | 95,262 | ||||||||||||||||||
NET INVESTMENT INCOME (LOSS) | (1,092,617 | ) | (111,394 | ) | (5,845,510 | ) | 7,218,231 | 9,021 | |||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||
Net realized gain (loss) from: | |||||||||||||||||||||||
Investments | 7,693,546 | 2,092,259 | 132,842,690 | 100,577,644 | 951,856 | ||||||||||||||||||
Purchased options | — | — | (10,915,615 | ) | 37,015,945 | — | |||||||||||||||||
Foreign currency transactions | — | — | — | (365 | ) | — | |||||||||||||||||
Forward foreign currency contracts | — | — | — | (335,221 | ) | — | |||||||||||||||||
Written options | — | — | 4,180,155 | (4,663,867 | ) | — | |||||||||||||||||
Change in net unrealized appreciation/(depreciation) on: | |||||||||||||||||||||||
Investments | 59,875,777 | 4,392,109 | 289,354,749 | 419,397,994 | 2,955,626 | ||||||||||||||||||
Purchased options | — | — | (518,307 | ) | (4,308,043 | ) | — | ||||||||||||||||
Foreign currency translations | — | — | 912 | — | — | ||||||||||||||||||
Forward foreign currency contracts | — | — | — | (296,163 | ) | — | |||||||||||||||||
Written options | — | — | (2,116,893 | ) | (228,247 | ) | — | ||||||||||||||||
NET GAIN (LOSS) | 67,569,323 | 6,484,368 | 412,827,691 | 547,159,677 | 3,907,482 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 66,476,706 | $ | 6,372,974 | $ | 406,982,181 | $ | 554,377,908 | $ | 3,916,503 |
See accompanying Notes to Financial Statements
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
178
Statements of Operations Six Months Ended April 30, 2021 (Unaudited)
SELECT FUND | INTERNATIONAL GROWTH FUND | EVOLVING WORLD GROWTH FUND | GLOBAL EQUITY FUND | GLOBAL OPPORTUNITIES FUND (FORMERLY, GLOBAL GROWTH AND INCOME FUND) | |||||||||||||||||||
INVESTMENT INCOME | |||||||||||||||||||||||
Interest | $ | 125 | $ | 16,130 | $ | 264,761 | $ | 5,167 | $ | 75,321 | |||||||||||||
Dividends | 219,907 | 1,829,838 | 2,543,791 | 574,409 | 1,411,029 | ||||||||||||||||||
Dividend taxes withheld | — | (197,115 | ) | (313,646 | ) | (39,238 | ) | (30,844 | ) | ||||||||||||||
Total investment income | 220,032 | 1,648,853 | 2,494,906 | 540,338 | 1,455,506 | ||||||||||||||||||
EXPENSES | |||||||||||||||||||||||
Investment advisory fees | 225,348 | 1,331,820 | 2,618,395 | 582,273 | 1,068,673 | ||||||||||||||||||
Performance fees | — | 135,762 | — | 56,565 | — | ||||||||||||||||||
Distribution fees | |||||||||||||||||||||||
Class A | 14,966 | 90,293 | 60,372 | 33,514 | 131,099 | ||||||||||||||||||
Class C | 5,305 | 30,306 | 87,028 | 20,473 | 44,828 | ||||||||||||||||||
Transfer agent fees | 16,689 | 122,422 | 201,180 | 37,952 | 95,238 | ||||||||||||||||||
Fund administration fees | 1,721 | 8,551 | 12,724 | 3,514 | 6,183 | ||||||||||||||||||
Printing and mailing fees | 4,873 | 12,751 | 17,116 | 7,569 | 12,499 | ||||||||||||||||||
Accounting fees | 7,356 | 14,391 | 18,235 | 10,678 | 12,564 | ||||||||||||||||||
Trustees' fees and officer compensation | 11,647 | 12,319 | 12,951 | 9,893 | 10,902 | ||||||||||||||||||
Legal fees | 5,790 | 10,118 | 9,707 | 8,905 | 9,889 | ||||||||||||||||||
Audit fees | 4,682 | 7,127 | 7,796 | 5,368 | 6,348 | ||||||||||||||||||
Custodian fees | 1,763 | 31,458 | 62,345 | 8,724 | 13,876 | ||||||||||||||||||
Registration fees | 24,350 | 29,582 | 29,715 | 28,665 | 24,231 | ||||||||||||||||||
Other | 4,830 | 9,394 | 16,616 | 1,481 | 5,603 | ||||||||||||||||||
Total expenses | 329,320 | 1,846,294 | 3,154,180 | 815,574 | 1,441,933 | ||||||||||||||||||
Less expense reductions | (105,704 | ) | (591,375 | ) | (493,168 | ) | (91,650 | ) | (40,906 | ) | |||||||||||||
Net expenses | 223,616 | 1,254,919 | 2,661,012 | 723,924 | 1,401,027 | ||||||||||||||||||
NET INVESTMENT INCOME (LOSS) | (3,584 | ) | 393,934 | (166,106 | ) | (183,586 | ) | 54,479 | |||||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||||||||||
Net realized gain (loss) from: | |||||||||||||||||||||||
Investments | 3,953,067 | 33,762,951 | (a) | (1,905,916 | )(a) | 9,979,424 | (a) | 13,966,149 | (a) | ||||||||||||||
Purchased options | — | 3,980,862 | 2,647,171 | 662,858 | 936,684 | ||||||||||||||||||
Foreign currency transactions | — | (19,131 | ) | (449,351 | ) | (3,443 | ) | (5,109 | ) | ||||||||||||||
Forward foreign currency contracts | — | 1,265,144 | 70 | 273,266 | — | ||||||||||||||||||
Written options | — | (2,353 | ) | 194,437 | — | 401,609 | |||||||||||||||||
Change in net unrealized appreciation/(depreciation) on: | |||||||||||||||||||||||
Investments | 8,449,641 | 19,476,516 | (b) | 43,083,205 | (b) | 15,830,215 | (b) | 27,759,203 | (b) | ||||||||||||||
Purchased options | — | 594,718 | (4,240,857 | ) | 124,704 | 165,307 | |||||||||||||||||
Foreign currency translations | — | 2,060 | (14,386 | ) | 1,440 | 93 | |||||||||||||||||
Forward foreign currency contracts | — | 67,675 | — | (2,443 | ) | — | |||||||||||||||||
Written options | — | — | — | — | 459,793 | ||||||||||||||||||
NET GAIN (LOSS) | 12,402,708 | 59,128,442 | 39,314,373 | 26,866,021 | 43,683,729 | ||||||||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 12,399,124 | $ | 59,522,376 | $ | 39,148,267 | $ | 26,682,435 | $ | 43,738,208 |
(a) Net of foreign capital gains tax of $15,694, $77,843, $55,366, and $52,512, respectively.
(b) Net of change of $57,608, $(442,180), $29,641 and $26,700, respectively in deferred capital gains tax.
See accompanying Notes to Financial Statements
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179
Statements of Operations Six Months Ended April 30, 2021 (Unaudited)
TOTAL RETURN BOND FUND | HIGH INCOME OPPORTUNITIES FUND | SHORT-TERM BOND FUND | |||||||||||||
INVESTMENT INCOME | |||||||||||||||
Interest | $ | 1,073,606 | $ | 1,047,705 | $ | 2,121,107 | |||||||||
Dividends | 1,207 | 31,896 | 1,172 | ||||||||||||
Total investment income | 1,074,813 | 1,079,601 | 2,122,279 | ||||||||||||
EXPENSES | |||||||||||||||
Investment advisory fees | 180,975 | 122,406 | 270,155 | ||||||||||||
Distribution fees | |||||||||||||||
Class A | 30,625 | 40,234 | 4,291 | ||||||||||||
Class C | 7,198 | 4,478 | — | ||||||||||||
Transfer agent fees | 28,763 | 23,450 | 15,941 | ||||||||||||
Fund administration fees | 3,120 | 1,420 | 6,518 | ||||||||||||
Printing and mailing fees | 6,006 | 6,581 | 3,750 | ||||||||||||
Accounting fees | 12,351 | 14,297 | 14,811 | ||||||||||||
Trustees' fees and officer compensation | 8,970 | 8,030 | 11,080 | ||||||||||||
Legal fees | 5,646 | 5,045 | 7,237 | ||||||||||||
Audit fees | 5,162 | 4,611 | 6,301 | ||||||||||||
Custodian fees | 1,599 | 2,086 | 2,722 | ||||||||||||
Registration fees | 36,877 | 22,159 | 16,524 | ||||||||||||
Other | 12,207 | 11,944 | 14,695 | ||||||||||||
Total expenses | 339,499 | 266,741 | 374,025 | ||||||||||||
Less expense reductions | (39,022 | ) | (69,022 | ) | (9,538 | ) | |||||||||
Net expenses | 300,477 | 197,719 | 364,487 | ||||||||||||
NET INVESTMENT INCOME (LOSS) | 774,336 | 881,882 | 1,757,792 | ||||||||||||
REALIZED AND UNREALIZED GAIN (LOSS) | |||||||||||||||
Net realized gain (loss) from: | |||||||||||||||
Investments | 738,979 | (270,689 | ) | 533,587 | |||||||||||
Futures contracts | (9,231 | ) | — | (46,184 | ) | ||||||||||
Change in net unrealized appreciation/(depreciation) on: | |||||||||||||||
Investments | (2,253,353 | ) | 3,335,759 | (302,390 | ) | ||||||||||
Futures contracts | (7,029 | ) | — | (35,144 | ) | ||||||||||
NET GAIN (LOSS) | (1,530,634 | ) | 3,065,070 | 149,869 | |||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (756,298 | ) | $ | 3,946,952 | $ | 1,907,661 |
See accompanying Notes to Financial Statements
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
180
Statements of Changes in Net Assets
MARKET NEUTRAL INCOME FUND | HEDGED EQUITY FUND | PHINEUS LONG/SHORT FUND | |||||||||||||||||||||||||
(UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | ||||||||||||||||||||||
OPERATIONS | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 60,314,808 | $ | 149,827,117 | $ | 1,900,518 | $ | 3,245,321 | $ | (2,797,593 | ) | $ | (2,871,783 | ) | |||||||||||||
Net realized gain (loss) | (340,630,509 | ) | (262,001,696 | ) | (37,558,611 | ) | (14,858,732 | ) | 65,488,787 | (56,791,309 | ) | ||||||||||||||||
Change in unrealized appreciation/(depreciation) | 772,373,261 | 393,742,440 | 86,205,041 | 24,857,923 | 111,017,740 | 20,276,183 | |||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 492,057,560 | 281,567,861 | 50,546,948 | 13,244,512 | 173,708,934 | (39,386,909 | ) | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||||||||||||||||||||||
Class A | (1,406,548 | ) | (7,489,859 | ) | (70,461 | ) | (104,884 | ) | — | (75,742 | ) | ||||||||||||||||
Class C | (184 | ) | (1,054,126 | ) | (8,969 | ) | (6,941 | ) | — | — | |||||||||||||||||
Class I | (26,829,773 | ) | (96,486,081 | ) | (1,765,446 | ) | (3,005,791 | ) | — | (2,809,068 | ) | ||||||||||||||||
Class R6(a) | (273 | ) | — | — | — | — | — | ||||||||||||||||||||
Total distributions | (28,236,778 | ) | (105,030,066 | ) | (1,844,876 | ) | (3,117,616 | ) | — | (2,884,810 | ) | ||||||||||||||||
CAPITAL SHARE TRANSACTIONS | 2,588,603,595 | 1,386,174,682 | 41,908,868 | 115,138,033 | (30,663,028 | ) | (342,526,706 | ) | |||||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 3,052,424,377 | 1,562,712,477 | 90,610,940 | 125,264,929 | 143,045,906 | (384,798,425 | ) | ||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||
Beginning of period | $ | 10,277,866,306 | $ | 8,715,153,829 | $ | 362,061,956 | $ | 236,797,027 | $ | 408,118,872 | $ | 792,917,297 | |||||||||||||||
End of period | $ | 13,330,290,683 | $ | 10,277,866,306 | $ | 452,672,896 | $ | 362,061,956 | $ | 551,164,778 | $ | 408,118,872 |
(a) Market Neutral Income Fund Class R6 shares commenced operations on June 23, 2020.
See accompanying Notes to Financial Statements
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181
Statements of Changes in Net Assets
CONVERTIBLE FUND | GLOBAL CONVERTIBLE FUND | TIMPANI SMALL CAP GROWTH FUND | |||||||||||||||||||||||||
(UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | ||||||||||||||||||||||
OPERATIONS | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 13,215,674 | $ | 21,957,017 | $ | 1,924,471 | $ | 3,386,084 | $ | (1,092,617 | ) | $ | (897,743 | ) | |||||||||||||
Net realized gain (loss) | 191,540,897 | 75,387,193 | 26,952,920 | 16,403,115 | 7,693,546 | 6,474,109 | |||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | 71,094,358 | 136,925,487 | 8,995,479 | 14,324,075 | 59,875,777 | 25,621,782 | |||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 275,850,929 | 234,269,697 | 37,872,870 | 34,113,274 | 66,476,706 | 31,198,148 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||||||||||||||||||||||
Class A | (23,380,795 | ) | (1,824,939 | ) | (1,045,348 | ) | (169,920 | ) | (448,444 | ) | (355,909 | ) | |||||||||||||||
Class C | (3,892,096 | ) | (129,160 | ) | (393,770 | ) | (55,671 | ) | — | — | |||||||||||||||||
Class I | (64,305,533 | ) | (5,335,357 | ) | (16,695,232 | ) | (2,570,676 | ) | (6,108,871 | ) | (3,556,011 | ) | |||||||||||||||
Class R6 | — | — | — | — | (72,878 | ) | (53,959 | ) |
Total distributions | (91,578,424 | ) | (7,289,456 | ) | (18,134,350 | ) | (2,796,267 | ) | (6,630,193 | ) | (3,965,879 | ) | |||||||||||||||
CAPITAL SHARE TRANSACTIONS | 224,432,603 | 191,970,630 | 44,430,926 | 44,280,008 | 128,929,844 | 28,050,622 |
TOTAL INCREASE (DECREASE) IN NET ASSETS | 408,705,108 | 418,950,871 | 64,169,446 | 75,597,015 | 188,776,357 | 55,282,891 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||
Beginning of period | $ | 1,163,875,413 | $ | 744,924,542 | $ | 208,530,403 | $ | 132,933,388 | $ | 135,741,715 | $ | 80,458,824 | |||||||||||||||
End of period | $ | 1,572,580,521 | $ | 1,163,875,413 | $ | 272,699,849 | $ | 208,530,403 | $ | 324,518,072 | $ | 135,741,715 |
See accompanying Notes to Financial Statements
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
182
Statements of Changes in Net Assets
TIMPANI SMID GROWTH FUND | GROWTH FUND | GROWTH AND INCOME FUND | |||||||||||||||||||||||||
(UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | ||||||||||||||||||||||
OPERATIONS | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (111,394 | ) | $ | (121,802 | ) | $ | (5,845,510 | ) | $ | (5,872,977 | ) | $ | 7,218,231 | $ | 18,410,783 | |||||||||||
Net realized gain (loss) | 2,092,259 | (23,843 | ) | 126,107,230 | 177,669,344 | 132,594,136 | 59,983,402 | ||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | 4,392,109 | 4,803,138 | 286,720,461 | 72,786,970 | 414,565,541 | 150,295,015 | |||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 6,372,974 | 4,657,493 | 406,982,181 | 244,583,337 | 554,377,908 | 228,689,200 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||||||||||||||||||||||
Class A | — | — | (128,871,354 | ) | (98,134,931 | ) | (33,850,189 | ) | (40,314,590 | ) | |||||||||||||||||
Class C | — | — | (7,716,439 | ) | (7,680,613 | ) | (2,400,579 | ) | (3,659,187 | ) | |||||||||||||||||
Class I | — | — | (24,434,261 | ) | (18,544,308 | ) | (26,581,800 | ) | (29,752,522 | ) | |||||||||||||||||
Class R6(a) | — | — | — | — | (100,974 | ) | (53 | ) | |||||||||||||||||||
Total distributions | — | — | (161,022,054 | ) | (124,359,852 | ) | (62,933,542 | ) | (73,726,352 | ) | |||||||||||||||||
CAPITAL SHARE TRANSACTIONS | 938,039 | 3,047,500 | 51,079,800 | (97,118,518 | ) | 42,160,006 | (71,802,895 | ) | |||||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 7,311,013 | 7,704,993 | 297,039,927 | 23,104,967 | 533,604,372 | 83,159,953 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||
Beginning of period | $ | 17,071,256 | $ | 9,366,263 | $ | 1,420,779,838 | $ | 1,397,674,871 | $ | 2,084,022,922 | $ | 2,000,862,969 | |||||||||||||||
End of period | $ | 24,382,269 | $ | 17,071,256 | $ | 1,717,819,765 | $ | 1,420,779,838 | $ | 2,617,627,294 | $ | 2,084,022,922 |
(a) Growth and Income Fund Class R6 shares commenced operations on June 23, 2020.
See accompanying Notes to Financial Statements
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Statements of Changes in Net Assets
DIVIDEND GROWTH FUND | SELECT FUND | INTERNATIONAL GROWTH FUND | |||||||||||||||||||||||||
(UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | ||||||||||||||||||||||
OPERATIONS | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 9,021 | $ | 83,332 | $ | (3,584 | ) | $ | 272,182 | $ | 393,934 | $ | (94,906 | ) | |||||||||||||
Net realized gain (loss) | 951,856 | 1,408,817 | 3,953,067 | 2,666,276 | 38,987,473 | 16,580,215 | |||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | 2,955,626 | (692,399 | ) | 8,449,641 | 229,077 | 20,140,969 | 33,910,156 | ||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 3,916,503 | 799,750 | 12,399,124 | 3,167,535 | 59,522,376 | 50,395,465 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||||||||||||||||||||||
Class A | (314,294 | ) | (427,003 | ) | (561,996 | ) | (70,752 | ) | (3,751,792 | ) | — | ||||||||||||||||
Class C | (62,147 | ) | (78,044 | ) | (60,882 | ) | — | (440,816 | ) | — | |||||||||||||||||
Class I | (798,425 | ) | (1,485,056 | ) | (1,424,305 | ) | (242,385 | ) | (9,711,583 | ) | — | ||||||||||||||||
Class R6 | — | — | — | — | (65,576 | ) | — | ||||||||||||||||||||
Total distributions | (1,174,866 | ) | (1,990,103 | ) | (2,047,183 | ) | (313,137 | ) | (13,969,767 | ) | — | ||||||||||||||||
CAPITAL SHARE TRANSACTIONS | 1,024,778 | (2,899,623 | ) | (8,523,403 | ) | (155,321 | ) | 14,736,778 | (31,189,036 | ) | |||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 3,766,415 | (4,089,976 | ) | 1,828,538 | 2,699,077 | 60,289,387 | 19,206,429 | ||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||
Beginning of period | $ | 13,192,745 | $ | 17,282,721 | $ | 47,725,555 | $ | 45,026,478 | $ | 224,203,701 | $ | 204,997,272 | |||||||||||||||
End of period | $ | 16,959,160 | $ | 13,192,745 | $ | 49,554,093 | $ | 47,725,555 | $ | 284,493,088 | $ | 224,203,701 |
See accompanying Notes to Financial Statements
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Statements of Changes in Net Assets
EVOLVING WORLD GROWTH FUND | GLOBAL EQUITY FUND | GLOBAL OPPORTUNITIES FUND (FORMERLY, GLOBAL GROWTH AND INCOME FUND) | |||||||||||||||||||||||||
(UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | ||||||||||||||||||||||
OPERATIONS | |||||||||||||||||||||||||||
Net investment income (loss) | $ | (166,106 | ) | $ | (547,814 | ) | $ | (183,586 | ) | $ | (396,543 | ) | $ | 54,479 | $ | 1,185,331 | |||||||||||
Net realized gain (loss) | 486,411 | 24,212,381 | 10,912,105 | 7,916,114 | 15,299,333 | 7,623,114 | |||||||||||||||||||||
Change in unrealized appreciation/(depreciation) | 38,827,962 | 30,112,642 | 15,953,916 | 14,542,348 | 28,384,396 | 15,122,597 | |||||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 39,148,267 | 53,777,209 | 26,682,435 | 22,061,919 | 43,738,208 | 23,931,042 | |||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||||||||||||||||||||||
Class A | (747,004 | ) | (185,052 | ) | (1,621,951 | ) | (1,443,237 | ) | (5,881,772 | ) | (963,092 | ) | |||||||||||||||
Class C | (333,159 | ) | — | (377,975 | ) | (677,355 | ) | (624,026 | ) | (157,436 | ) | ||||||||||||||||
Class I | (5,912,444 | ) | (1,308,635 | ) | (4,817,056 | ) | (3,950,779 | ) | (4,413,604 | ) | (671,550 | ) | |||||||||||||||
Class R6(a) | — | — | (8,657 | ) | — | — | — | ||||||||||||||||||||
Total distributions | (6,992,607 | ) | (1,493,687 | ) | (6,825,639 | ) | (6,071,371 | ) | (10,919,402 | ) | (1,792,078 | ) | |||||||||||||||
CAPITAL SHARE TRANSACTIONS | 426,165,833 | 23,192,489 | 23,281,900 | (5,224,917 | ) | 43,505,027 | (10,072,449 | ) | |||||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | 458,321,493 | 75,476,011 | 43,138,696 | 10,765,631 | 76,323,833 | 12,066,515 | |||||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||
Beginning of period | $ | 237,440,238 | $ | 161,964,227 | $ | 91,631,114 | $ | 80,865,483 | $ | 163,472,311 | $ | 151,405,796 | |||||||||||||||
End of period | $ | 695,761,731 | $ | 237,440,238 | $ | 134,769,810 | $ | 91,631,114 | $ | 239,796,144 | $ | 163,472,311 |
(a) Global Equity Fund Class R6 shares commenced operations on June 23, 2020.
See accompanying Notes to Financial Statements
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Statements of Changes in Net Assets
TOTAL RETURN BOND FUND | HIGH INCOME OPPORTUNITIES FUND | SHORT-TERM BOND FUND | |||||||||||||||||||||||||
(UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | (UNAUDITED) SIX MONTHS ENDED APRIL 30, 2021 | YEAR ENDED OCTOBER 31, 2020 | ||||||||||||||||||||||
OPERATIONS | |||||||||||||||||||||||||||
Net investment income (loss) | $ | 774,336 | $ | 1,517,466 | $ | 881,882 | $ | 2,127,446 | $ | 1,757,792 | $ | 4,735,665 | |||||||||||||||
Net realized gain (loss) | 729,748 | 967,759 | (270,689 | ) | (818,932 | ) | 487,403 | 1,694,112 | |||||||||||||||||||
Change in unrealized appreciation/(depreciation) | (2,260,382 | ) | 2,130,719 | 3,335,759 | (957,110 | ) | (337,534 | ) | 71,373 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (756,298 | ) | 4,615,944 | 3,946,952 | 351,404 | 1,907,661 | 6,501,150 | ||||||||||||||||||||
DISTRIBUTIONS TO SHAREHOLDERS | |||||||||||||||||||||||||||
Class A | (339,382 | ) | (491,561 | ) | (787,432 | ) | (1,824,231 | ) | (115,150 | ) | (47,643 | ) | |||||||||||||||
Class C | (15,657 | ) | (31,410 | ) | (17,159 | ) | (63,841 | ) | — | — | |||||||||||||||||
Class I | (838,434 | ) | (1,035,582 | ) | (200,895 | ) | (384,142 | ) | (6,202,488 | ) | (6,244,535 | ) | |||||||||||||||
Total distributions | (1,193,473 | ) | (1,558,553 | ) | (1,005,486 | ) | (2,272,214 | ) | (6,317,638 | ) | (6,292,178 | ) | |||||||||||||||
CAPITAL SHARE TRANSACTIONS | (11,693,259 | ) | 22,633,496 | 864,612 | (3,816,942 | ) | 10,834,135 | (38,697,303 | ) | ||||||||||||||||||
TOTAL INCREASE (DECREASE) IN NET ASSETS | (13,643,030 | ) | 25,690,887 | 3,806,078 | (5,737,752 | ) | 6,424,158 | (38,488,331 | ) | ||||||||||||||||||
NET ASSETS | |||||||||||||||||||||||||||
Beginning of period | $ | 86,754,428 | $ | 61,063,541 | $ | 38,276,816 | $ | 44,014,568 | $ | 179,664,696 | $ | 218,153,027 | |||||||||||||||
End of period | $ | 73,111,398 | $ | 86,754,428 | $ | 42,082,894 | $ | 38,276,816 | $ | 186,088,854 | $ | 179,664,696 |
See accompanying Notes to Financial Statements
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Notes to Financial Statements (Unaudited)
Note 1 – Organization and Significant Accounting Policies
Organization. CALAMOS INVESTMENT TRUST, a Massachusetts business trust organized December 21, 1987 (the "Trust"), consists of eighteen series, Market Neutral Income Fund, Hedged Equity Fund, Phineus Long/Short Fund, Convertible Fund, Global Convertible Fund, Timpani Small Cap Growth Fund, Timpani SMID Growth Fund, Growth Fund, Growth and Income Fund, Dividend Growth Fund, Select Fund, International Growth Fund , Evolving World Growth Fund, Global Equity Fund, Global Opportunities Fund (formerly, Global Growth and Income Fund), Total Return Bond Fund, High Income Opportunities Fund, and Short-Term Bond Fund, (each a "Fund" and collectively the "Funds"). The Trust is registered under the Investment Company Act of 1940 as amended (the "1940 Act") as an open-end management investment company. The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The Trust currently offers Class A, Class C (except Timpani SMID Growth Fund and Short-Term Bond Fund), and Class I shares of each of the Funds. Class C shares are currently not offered for sale on Timpani Small Cap Growth Fund. Class R6 shares are offered in Market Neutral Income Fund, Timpani Small Cap Growth Fund, Timpani SMID Growth Fund, Growth and Income Fund, International Growth Fund and Global Equity Fund only.
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 Funds' are each considered an investment company under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies. The Funds adhere to the accounting and reporting requirements set forth in ASU 2013-08 and 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 Fund:
Fund Valuation. The valuation of the Funds' investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.
Fund 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 each Fund 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 Fund 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, bank loans, 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, bank loans, 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 respective Fund 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 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 respective Fund's NAV is not calculated.
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Notes to Financial Statements (Unaudited)
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.
Each Fund 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 Fund'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 Fund to calculate its NAV may differ from market quotations or official closing prices. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund's net asset value ("NAV").
Investment Transactions. Investment transactions are recorded on a trade date basis as of April 30, 2021. 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 Funds do 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 and Classes. Expenses directly attributable to a Fund are charged to that Fund; certain other common expenses of the Trust, Calamos Advisors 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 Fund, Calamos Dynamic Convertible and Income Fund, and Calamos Long/Short Equity and Dynamic Income Trust 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. Expenses directly attributable to a particular class of a fund in the Trust are charged directly to such class. In calculating the net asset value per share of each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day plus current day fund share activity.
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 the Funds' 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,
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Notes to Financial Statements (Unaudited)
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 Funds 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 2017 — 2020 remain subject to examination by the U.S. and the State of Illinois tax jurisdictions for those Funds that have been in existence during that time, and for all years since inception for those Funds created subsequent to October 31, 2016.
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. Each Fund's maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. Currently, the Funds' 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"), each Fund pays a monthly investment advisory fee based on the average daily net assets of the Fund, as shown below:
AVERAGE DAILY NET ASSETS | GROWTH FUND ANNUAL RATE | EVOLVING WORLD GROWTH FUND ANNUAL RATE | TOTAL RETURN BOND FUND ANNUAL RATE | SELECT FUND, DIVIDEND GROWTH FUND, INTERNATIONAL GROWTH FUND*, GLOBAL EQUITY FUND*, GLOBAL OPPORTUNITIES FUND** ANNUAL RATE | |||||||||||||||
First $500 million | 1.00 | % | 1.10 | % | 0.45 | % | 1.00 | % | |||||||||||
Next $500 million | 0.90 | % | 1.05 | % | 0.43 | % | 0.95 | % | |||||||||||
Next $5 billion | 0.80 | % | 1.00 | % | 0.41 | % | 0.90 | % | |||||||||||
Over $6 billion | 0.70 | % | 0.90 | % | 0.35 | % | 0.80 | % |
* International Growth Fund and Global Equity Fund are subject to a possible adjustment based on performance as described below.
** Formerly Global Growth and Income Fund.
AVERAGE DAILY NET ASSETS | GLOBAL CONVERTIBLE FUND ANNUAL RATE | TIMPANI SMALL CAP GROWTH FUND ANNUAL RATE | TIMPANI SMID GROWTH FUND ANNUAL RATE | SHORT-TERM BOND FUND ANNUAL RATE | GROWTH AND INCOME FUND, CONVERTIBLE FUND, MARKET NEUTRAL INCOME FUND, HEDGED EQUITY FUND ANNUAL RATE | HIGH INCOME OPPORTUNITIES FUND ANNUAL RATE | PHINEUS LONG/SHORT FUND ANNUAL RATE | ||||||||||||||||||||||||
First $500 million | 0.85 | % | 0.90 | % | 0.95 | % | 0.30 | % | 0.75 | % | 0.60 | % | 1.25 | % | |||||||||||||||||
Next $500 million | 0.80 | % | 0.80 | % | 0.85 | % | 0.27 | % | 0.70 | % | 0.55 | % | 1.20 | % | |||||||||||||||||
Over $1 billion | 0.75 | % | 0.75 | % | 0.80 | % | 0.25 | % | 0.65 | % | 0.50 | % | 1.15 | % |
The average investment advisory fee as of the period ended April 30, 2021 was as follows:
FUND | PERCENTAGE | ||||||
Market Neutral Income Fund | 0.66 | % | |||||
Hedged Equity Fund | 0.75 | ||||||
Phineus Long/Short Fund | 1.25 | ||||||
Convertible Fund | 0.70 | ||||||
Global Convertible Fund | 0.85 | ||||||
Timpani Small Cap Growth Fund | 0.90 | ||||||
Timpani SMID Growth Fund | 0.95 |
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Notes to Financial Statements (Unaudited)
FUND | PERCENTAGE | ||||||
Growth Fund | 0.89 | % | |||||
Growth and Income Fund | 0.68 | ||||||
Dividend Growth Fund | 1.00 | ||||||
Select Fund | 1.00 | ||||||
International Growth Fund | 1.00 | ||||||
Evolving World Growth Fund | 1.09 | ||||||
Global Equity Fund | 1.00 | ||||||
Global Opportunities Fund (formerly, Global Growth and Income Fund) | 1.00 | ||||||
Total Return Bond Fund | 0.45 | ||||||
High Income Opportunities Fund | 0.60 | ||||||
Short-Term Bond Fund | 0.30 |
Each of the International Growth and Global Equity Funds pays a fee based on average daily net assets of the Fund that is accrued daily and paid on a monthly basis, subject to possible adjustment based on the Fund's investment performance (since March 2006 for International Growth Fund and since February 2008 for Global Equity Fund). The performance adjustment increases or decreases the management fee, on a monthly basis, by 1/12 of 0.03% of a Fund's average daily net assets over the performance period for each full 1% increment amount by which a Fund outperforms or underperforms the benchmark index ("Index"), on an annualized basis, over the performance measurement period. The benchmark indexes are the MSCI EAFE Growth Index and the MSCI World Index for the International Growth Fund and Global Equity Fund, respectively.
The base fee is shown in the table above. The performance adjustment rate is calculated by comparing over the performance measurement period the Fund's Class A share performance to that of the respective Index. The performance measurement period commenced at the beginning of each Fund's first full month of operation (April 2005 and March 2007 for the International Growth Fund and Global Equity Fund, respectively). The first performance adjustment was applied to the advisory fee at the end of the twelfth month. Each month subsequent to the twelfth month, a new month is added to the performance measurement period until the performance measurement period includes 36 months. Thereafter, the performance measurement period consists of the most recent month plus the previous 35 months.
The performance comparison is made at the end of each month. The maximum annualized performance adjustment rate is +/- 0.30% of the Fund's average daily net assets over the performance measurement period. The performance adjustment rate is divided by twelve and multiplied by the Fund's average daily net assets over the performance measurement period, and the resulting dollar amount is then added to or subtracted from the base fee. Calamos Advisors may receive a positive performance adjustment even if the Fund has a negative return over a performance measurement period if it otherwise outperforms the Index during that period.
Each Fund may invest in shares of the Timpani Small Cap Growth Fund ("SCG"), Timpani SMID Growth Fund ("SMID") or Short Term Bond Fund ("STBF"). Calamos Advisors has contractually agreed to waive a portion of its advisory fee charged to the Fund equal to the advisory fee paid by SCG, SMID or STBF, respectively, attributable to the Fund's investment in SCG, SMID or STBF, respectively, based on daily net assets. For the period ended April 30, 2021, the total advisory fees waived pursuant to such agreement were $224,581 for the Market Neutral Income Fund and are included in the Statements of Operations under the caption "Expense reductions".
As of April 30, 2021, the Market Neutral Income Fund had holdings of $149.1 million in STBF. During the period from November 1, 2020 through April 30, 2021, the Market Neutral Income Fund earned $5.5 million in dividends.
The Funds reimburse 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 Statements of Operations.
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Notes to Financial Statements (Unaudited)
Calamos Advisors has contractually agreed to limit the annual ordinary operating expenses of each Fund as a percentage of the average daily net assets as follows:
Fund | CLASS A SHARES | CLASS C SHARES | CLASS I SHARES | CLASS R6 SHARES | |||||||||||||||
Market Neutral Income Fund | 1.75 | % | 2.50 | % | 1.50 | % | 1.50 | %* | |||||||||||
Hedged Equity Fund | 1.25 | % | 2.00 | % | 1.00 | % | — | ||||||||||||
Phineus Long/Short Fund | 2.00 | % | 2.75 | % | 1.75 | % | — | ||||||||||||
Convertible Fund | 1.75 | % | 2.50 | % | 1.50 | % | — | ||||||||||||
Global Convertible Fund | 1.35 | % | 2.10 | % | 1.10 | % | — | ||||||||||||
Timpani Small Cap Growth Fund | 1.30 | % | — | 1.05 | % | 1.05 | %* | ||||||||||||
Timpani SMID Growth Fund | 1.35 | % | — | 1.10 | % | 1.10 | %* | ||||||||||||
Growth Fund | 1.75 | % | 2.50 | % | 1.50 | % | — | ||||||||||||
Growth and Income Fund | 1.75 | % | 2.50 | % | 1.50 | % | 1.50 | %* | |||||||||||
Dividend Growth Fund | 1.35 | % | 2.10 | % | 1.10 | % | — | ||||||||||||
Select Fund | 1.15 | % | 1.90 | % | 0.90 | % | — | ||||||||||||
International Growth Fund | 1.10 | % | 1.85 | % | 0.85 | % | 0.85 | %* | |||||||||||
Evolving World Growth Fund | 1.30 | % | 2.05 | % | 1.05 | % | — | ||||||||||||
Global Equity Fund | 1.40 | % | 2.15 | % | 1.15 | % | 1.15 | %* | |||||||||||
Global Opportunities Fund (formerly, Global Growth and Income Fund)(a) | 1.22 | % | 1.97 | % | 0.97 | % | — | ||||||||||||
Total Return Bond Fund | 0.90 | % | 1.65 | % | 0.65 | % | — | ||||||||||||
High Income Opportunities Fund | 1.00 | % | 1.75 | % | 0.75 | % | — | ||||||||||||
Short-Term Bond Fund | 0.65 | % | — | 0.40 | % | — |
* The limit on class R6 shares is the percentage shown less the annual sub-transfer agency ratio for each fund. The annual sub-transfer agency ratio is equal to the aggregate sub-transfer agency expenses common to the other share classes of the Fund divided by the aggregated average annual net assets of the Fund's other share classes.
(a) Limit effective 4/1/21, for the period 11/01/20-3/31/21, the limit was 1.75%, 2.50% & 1.50% for Class A, C & I Shares, respectively.
These agreements are binding on Calamos Advisors through March 1, 2023.
For the period ended April 30, 2021, Calamos Advisors waived or absorbed the following expenses:
FUND | AMOUNT | ||||||
Market Neutral Income Fund | $ | 224,581 | |||||
Timpani Small Cap Growth Fund | 12,882 | ||||||
Timpani SMID Growth Fund | 50,240 | ||||||
Dividend Growth Fund | 55,789 | ||||||
Select Fund | 105,704 | ||||||
International Growth Fund | 591,375 | ||||||
Evolving World Growth Fund | 493,168 | ||||||
Global Equity Fund | 91,650 | ||||||
Global Opportunities Fund (formerly, Global Growth and Income Fund) | 40,906 | ||||||
Total Return Bond Fund | 39,022 | ||||||
High Income Opportunities Fund | 69,022 | ||||||
Short-Term Bond Fund | 9,538 |
These amounts are included in the Statements of Operations under the caption "Expense reductions".
As Distributor, Calamos Financial Services LLC ("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 1940 Act whereby the Fund pays to CFS a distribution and/or service fee at the annual rate of 0.25% of the average daily net assets of the Fund's Class A shares; a service fee at the annual rate of 0.25% and a distribution fee at the rate of 0.75% of the average daily net assets of the Fund's Class C shares. No such fees are paid on each Fund's Class I or Class R6 shares.
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Notes to Financial Statements (Unaudited)
CFS also receives a sales commission and/or an underwriting fee on certain sales of each Fund's Class A shares. During the period ended April 30, 2021, CFS received commissions and underwriting fees as follows:
FUND | AMOUNT | ||||||
Market Neutral Income Fund | $ | 50,794 | |||||
Hedged Equity Fund | 8,636 | ||||||
Phineus Long/Short Fund | 3,122 | ||||||
Convertible Fund | 14,475 | ||||||
Global Convertible Fund | 371 | ||||||
Timpani Small Cap Growth Fund | 9,169 | ||||||
Timpani SMID Growth Fund | 25 | ||||||
Growth Fund | 24,769 | ||||||
Growth and Income Fund | 84,926 | ||||||
Dividend Growth Fund | 442 | ||||||
Select Fund | 503 | ||||||
International Growth Fund | 1,670 | ||||||
Evolving World Growth Fund | 17,276 | ||||||
Global Equity Fund | 1,819 | ||||||
Global Opportunities Fund (formerly, Global Growth and Income Fund) | 9,077 | ||||||
Total Return Bond Fund | 123 | ||||||
High Income Opportunities Fund | 123 | ||||||
Short-Term Bond Fund | 3 |
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, at www.calamos.com or by calling 800.582.6959.
As of April 30, 2021, certain affiliates of Calamos Advisors hold material investments in the Funds as follows:
FUND | PERCENTAGE | ||||||
Timpani SMID Growth Fund | 70 | % | |||||
Select Fund | 32 | ||||||
High Income Opportunities Fund | 32 |
As of April 30, 2021, the Market Neutral Income Fund held 69.8% of the outstanding shares respectively of Short Term Bond Fund.
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 his compensation from the Trust. The deferred compensation payable to the participating trustee is credited to the trustee's deferral 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 the 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.
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Notes to Financial Statements (Unaudited)
At April 30, 2021, the Funds had deferred compensation balances, which are included in "Other assets" on the Statements of Assets and Liabilities, as follows:
FUND | AMOUNT | ||||||
Convertible Fund | $ | 176,573 | |||||
Growth Fund | 855,860 | ||||||
Growth and Income Fund | 369,561 | ||||||
Select Fund | 91,754 | ||||||
International Growth Fund | 57,752 | ||||||
Evolving World Growth Fund | 17,018 | ||||||
Global Equity Fund | 29,623 | ||||||
Global Opportunities Fund (formerly, Global Growth and Income Fund) | 138,985 | ||||||
Total Return Bond Fund | 33,333 | ||||||
High Income Opportunities Fund | 101,112 |
Each Fund's obligation to make payments under the Plan is a general obligation of the Fund and is included in "Payable for deferred compensation to trustees" on the Statements of Assets and Liabilities at April 30, 2021.
Interfund Lending Program
The Funds adopted, effective April 23, 2020, an Interim InterFund Lending Program (the "InterFund Program") in reliance upon the exemptive order issued by the Securities and Exchange Commission on March 23, 2020 (the "March 23, 2020 Order"). The InterFund Program allowed the Funds to borrow money from and lend money to each other for temporary or emergency purposes, such as to satisfy redemption requests or to cover unanticipated cash shortfalls, subject to the requirements of the March 23, 2020 Order. The Funds' InterFund Program was limited in terms of duration and only remained in place for the period from the adoption date up to the termination of the March 23, 2020 Order (unless extended by the board of trustees). Effective April 30, 2021, the Securities and Exchange Commission terminated the relief provided in its March 23, 2020 conditional exemptive order. During the reporting period, no Fund participated in the InterFund Program or relied on the March 23, 2020 Order.
Joint Credit Agreement
On April 30, 2021, the Trust, on behalf of the Funds, entered into a $50,000,000 Demand Discretionary Credit Agreement with State Street Bank and Trust Company (the "Credit Agreement"). Each Fund may borrow under the Credit Agreement to meet shareholder redemptions and for other lawful temporary purposes. Borrowing results in interest expense and other fees and expenses, which may increase a Fund's net expenses and reduce a Fund's return. In addition, borrowing by a Fund may create leverage by increasing a Fund's investment exposure. This will result in changes in a Fund's net asset value, either positive or negative, being greater than it would have been if the Fund had not borrowed. Administration, legal, and arrangement fees, if applicable, under the Credit Agreement are allocated among Funds based upon factors deemed relevant by the Adviser and the Board of each Fund, while fees on any amounts drawn by a Fund under the Credit Agreement are borne by that Fund. At April 30,2021, there were no borrowings under the Credit Agreement. Please see the supplement to the Prospectus and Statement of Additional Information dated May 3, 2021 for more information about the Credit Agreement.
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Notes to Financial Statements (Unaudited)
Note 3 – Investments
The cost of purchases and proceeds from sales of long-term investments for the period ended April 30, 2021 were as follows:
COST OF PURCHASES | PROCEEDS FROM SALES | ||||||||||||||||||
FUND | U.S. GOV'T SECURITIES | OTHER | U.S. GOV'T SECURITIES | OTHER | |||||||||||||||
Market Neutral Income Fund | $ | — | $ | 4,490,353,987 | $ | — | $ | 4,443,882,553 | |||||||||||
Hedged Equity Fund | — | 82,676,133 | — | 99,510,810 | |||||||||||||||
Phineus Long/Short Fund | — | 448,937,353 | — | 485,336,329 | |||||||||||||||
Convertible Fund | — | 549,073,769 | — | 451,002,806 | |||||||||||||||
Global Convertible Fund | 2,356,399 | 87,569,582 | — | 66,173,282 | |||||||||||||||
Timpani Small Cap Growth Fund | — | 286,616,783 | — | 165,637,374 | |||||||||||||||
Timpani SMID Growth Fund | — | 20,894,675 | — | 20,168,843 | |||||||||||||||
Growth Fund | — | 374,368,181 | — | 493,023,122 | |||||||||||||||
Growth and Income Fund | — | 306,557,265 | — | 307,243,765 | |||||||||||||||
Dividend Growth Fund | — | 2,319,654 | — | 2,359,470 | |||||||||||||||
Select Fund | — | 7,885,641 | — | 18,464,185 | |||||||||||||||
International Growth Fund | — | 144,060,764 | — | 138,436,909 | |||||||||||||||
Evolving World Growth Fund | — | 662,691,181 | — | 253,798,101 | |||||||||||||||
Global Equity Fund | — | 59,378,723 | — | 42,294,396 | |||||||||||||||
Global Opportunities Fund (formerly, Global Growth and Income Fund) | — | 131,331,652 | — | 101,875,344 | |||||||||||||||
Total Return Bond Fund | 6,953,742 | 17,909,581 | 13,994,783 | 19,159,439 | |||||||||||||||
High Income Opportunities Fund | — | 9,852,805 | — | 10,011,951 | |||||||||||||||
Short-Term Bond Fund | 1,987,500 | 50,329,415 | 2,055,242 | 40,795,694 |
The following information is presented on a federal income tax basis as of April 30, 2021. Differences between the cost basis under U.S. generally accepted accounting principles and federal income tax purposes are primarily due to temporary differences.
The cost basis of investments for federal income tax purposes at April 30, 2021 was as follows*:
FUND | COST BASIS OF INVESTMENTS | GROSS UNREALIZED APPRECIATION | GROSS UNREALIZED DEPRECIATION | NET UNREALIZED APPRECIATION (DEPRECIATION) | |||||||||||||||
Market Neutral Income Fund | $ | 6,451,485,070 | $ | 3,573,385,414 | $ | (2,136,262,365 | ) | $ | 1,437,123,049 | ||||||||||
Hedged Equity Fund | 324,749,488 | 144,504,200 | (17,822,357 | ) | 126,681,843 | ||||||||||||||
Phineus Long/Short Fund | 164,332,015 | 119,950,799 | (38,531,907 | ) | 81,418,892 | ||||||||||||||
Convertible Fund | 1,298,601,852 | 301,420,675 | (36,956,347 | ) | 264,464,328 | ||||||||||||||
Global Convertible Fund | 249,905,317 | 35,938,660 | (8,583,061 | ) | 27,355,599 | ||||||||||||||
Timpani Small Cap Growth Fund | 221,053,441 | 103,161,360 | (1,423,587 | ) | 101,737,773 | ||||||||||||||
Timpani SMID Growth Fund | 15,125,477 | 9,142,255 | (48,461 | ) | 9,093,794 | ||||||||||||||
Growth Fund | 1,037,588,736 | 697,343,792 | (8,628,588 | ) | 688,715,204 | ||||||||||||||
Growth and Income Fund | 1,585,865,558 | 1,127,270,193 | (17,260,060 | ) | 1,110,010,133 | ||||||||||||||
Dividend Growth Fund | 9,532,670 | 7,440,664 | (51,815 | ) | 7,388,849 | ||||||||||||||
Select Fund | 33,334,042 | 15,391,686 | (75,324 | ) | 15,316,362 | ||||||||||||||
International Growth Fund | 211,799,432 | 90,422,649 | (2,051,775 | ) | 88,370,874 | ||||||||||||||
Evolving World Growth Fund | 608,479,966 | 115,865,758 | (16,758,655 | ) | 99,107,103 | ||||||||||||||
Global Equity Fund | 92,054,560 | 48,502,081 | (922,700 | ) | 47,579,381 | ||||||||||||||
Global Opportunities Fund (formerly, Global Growth and Income Fund) | 189,258,908 | 63,273,982 | (1,116,505 | ) | 62,157,477 | ||||||||||||||
Total Return Bond Fund | 71,685,411 | 2,678,930 | (834,881 | ) | 1,844,049 | ||||||||||||||
High Income Opportunities Fund | 42,178,174 | 1,966,128 | (1,333,360 | ) | 632,768 | ||||||||||||||
Short-Term Bond Fund | 192,169,338 | 2,868,098 | (281,205 | ) | 2,586,893 |
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
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Notes to Financial Statements (Unaudited)
Note 4 – Income Taxes
The tax character of distributions for the period ended April 30, 2021 will be determined at the end of each Fund's current fiscal year. Distributions during the fiscal period ended October 31, 2020 were characterized for federal income tax purposes as follows:
YEAR ENDED OCTOBER 31, 2020 | |||||||||||||||
FUND | ORDINARY INCOME | LONG-TERM CAPITAL GAIN | RETURN OF CAPITAL | ||||||||||||
Market Neutral Income Fund | $ | 105,030,066 | $ | — | $ | — | |||||||||
Hedged Equity Fund | 3,117,616 | — | — | ||||||||||||
Phineus Long/Short Fund | 1,884,486 | — | 1,000,324 | ||||||||||||
Convertible Fund | 7,289,456 | — | — | ||||||||||||
Global Convertible Fund | 2,110,346 | 685,921 | — | ||||||||||||
Timpani Small Cap Growth Fund | — | 3,965,879 | — | ||||||||||||
Timpani SMID Growth Fund | — | — | — | ||||||||||||
Growth Fund | — | 124,359,852 | — | ||||||||||||
Growth and Income Fund | 25,311,459 | 48,414,893 | — | ||||||||||||
Dividend Growth Fund | 92,175 | 1,897,928 | — | ||||||||||||
Select Fund | 313,137 | — | — | ||||||||||||
International Growth Fund | — | — | — | ||||||||||||
Evolving World Growth Fund | 1,493,687 | — | — | ||||||||||||
Global Equity Fund | — | 6,071,371 | — | ||||||||||||
Global Opportunities Fund (formerly, Global Growth and Income Fund) | 309,995 | 1,482,083 | — | ||||||||||||
Total Return Bond Fund | 1,558,553 | — | — | ||||||||||||
High Income Opportunities Fund | 2,272,214 | — | — | ||||||||||||
Short-Term Bond Fund | 6,279,345 | 12,833 | — |
As of October 31, 2020, the components of accumulated earnings/(loss) on a tax basis were as follows:
MARKET NEUTRAL INCOME FUND | HEDGED EQUITY FUND | PHINEUS LONG/SHORT FUND | CONVERTIBLE FUND | GLOBAL CONVERTIBLE FUND | |||||||||||||||||||
Undistributed ordinary income | $ | 9,915,707 | $ | 525,340 | $ | — | $ | 21,449,642 | $ | 7,664,226 | |||||||||||||
Undistributed capital gains | — | — | — | 68,717,220 | 10,208,247 | ||||||||||||||||||
Total undistributed earnings | 9,915,707 | 525,340 | — | 90,166,862 | 17,872,473 | ||||||||||||||||||
Accumulated capital and other losses | (119,232,478 | ) | (20,303,186 | ) | (42,020,746 | ) | — | (1,391 | ) | ||||||||||||||
Net unrealized gains/(losses) | 539,536,437 | 39,788,388 | (53,238,019 | ) | 211,469,465 | 21,516,473 | |||||||||||||||||
Total accumulated earnings/(losses) | 430,219,666 | 20,010,542 | (95,258,765 | ) | 301,636,327 | 39,387,555 | |||||||||||||||||
Other | 5,884,427 | 135,916 | (17,443,061 | ) | (93,849 | ) | (14,628 | ) | |||||||||||||||
Paid-in-capital | 9,841,762,213 | 341,915,498 | 520,820,698 | 862,332,935 | 169,157,476 | ||||||||||||||||||
Net assets applicable to common shareholders | $ | 10,277,866,306 | $ | 362,061,956 | $ | 408,118,872 | $ | 1,163,875,413 | $ | 208,530,403 |
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Notes to Financial Statements (Unaudited)
TIMPANI SMALL CAP GROWTH FUND | TIMPANI SMID GROWTH FUND | GROWTH FUND | GROWTH AND INCOME FUND | DIVIDEND GROWTH FUND | |||||||||||||||||||
Undistributed ordinary income | $ | — | $ | — | $ | 2,572,347 | $ | 22,272,342 | $ | — | |||||||||||||
Undistributed capital gains | 6,630,168 | — | 158,448,098 | 34,753,499 | 1,152,615 | ||||||||||||||||||
Total undistributed earnings | 6,630,168 | — | 161,020,445 | 57,025,841 | 1,152,615 | ||||||||||||||||||
Accumulated capital and other losses | — | (909,323 | ) | (1,671,056 | ) | (630,130 | ) | — | |||||||||||||||
Net unrealized gains/(losses) | 41,470,392 | 4,573,610 | 388,614,586 | 682,668,894 | 4,412,970 | ||||||||||||||||||
Total accumulated earnings/(losses) | 48,100,560 | 3,664,287 | 547,963,975 | 739,064,605 | 5,565,585 | ||||||||||||||||||
Other | — | — | (174,255 | ) | (96,002 | ) | (3,726 | ) | |||||||||||||||
Paid-in-capital | 87,641,155 | 13,406,969 | 872,990,118 | 1,345,054,319 | 7,630,886 | ||||||||||||||||||
Net assets applicable to common shareholders | $ | 135,741,715 | $ | 17,071,256 | $ | 1,420,779,838 | $ | 2,084,022,922 | $ | 13,192,745 | |||||||||||||
SELECT FUND | INTERNATIONAL GROWTH FUND | EVOLVING WORLD GROWTH FUND | GLOBAL EQUITY FUND | GLOBAL OPPORTUNITIES FUND (FORMERLY, GLOBAL GROWTH AND INCOME FUND) | |||||||||||||||||||
Undistributed ordinary income | $ | — | $ | 941,674 | $ | 90,973 | $ | 514,007 | $ | 2,876,682 | |||||||||||||
Undistributed capital gains | 2,047,159 | 13,028,001 | 6,901,599 | 6,311,562 | 7,792,300 | ||||||||||||||||||
Total undistributed earnings | 2,047,159 | 13,969,675 | 6,992,572 | 6,825,569 | 10,668,982 | ||||||||||||||||||
Accumulated capital and other losses | (10,013 | ) | (587,973 | ) | (681,516 | ) | (107,942 | ) | (1,050,891 | ) | |||||||||||||
Net unrealized gains/(losses) | 6,718,681 | 67,547,677 | 58,659,366 | 31,514,917 | 33,238,459 | ||||||||||||||||||
Total accumulated earnings/(losses) | 8,755,827 | 80,929,379 | 64,970,422 | 38,232,544 | 42,856,550 | ||||||||||||||||||
Other | (100,815 | ) | (40,348 | ) | (155,053 | ) | (50,881 | ) | (76,520 | ) | |||||||||||||
Paid-in-capital | 39,070,543 | 143,314,670 | 172,624,869 | 53,449,451 | 120,692,281 | ||||||||||||||||||
Net assets applicable to common shareholders | $ | 47,725,555 | $ | 224,203,701 | $ | 237,440,238 | $ | 91,631,114 | $ | 163,472,311 |
TOTAL RETURN BOND FUND | HIGH INCOME OPPORTUNITIES FUND | SHORT-TERM BOND FUND | |||||||||||||
Undistributed ordinary income | $ | 334,784 | $ | 28,605 | $ | 3,361,423 | |||||||||
Undistributed capital gains | — | — | 1,050,318 | ||||||||||||
Total undistributed earnings | 334,784 | 28,605 | 4,411,741 | ||||||||||||
Accumulated capital and other losses | — | (10,409,426 | ) | — | |||||||||||
Net unrealized gains/(losses) | 3,815,376 | (3,302,615 | ) | 2,089,148 | |||||||||||
Total accumulated earnings/(losses) | 4,150,160 | (13,683,436 | ) | 6,500,889 | |||||||||||
Other | (78,556 | ) | 97,166 | (2,289,328 | ) | ||||||||||
Paid-in-capital | 82,682,824 | 51,863,086 | 175,453,135 | ||||||||||||
Net assets applicable to common shareholders | $ | 86,754,428 | $ | 38,276,816 | $ | 179,664,696 |
The following Funds had capital loss carryforwards for the year ended October 31, 2020, with no expiration date, available to offset future realized capital gains:
FUND | SHORT-TERM | LONG-TERM | |||||||||
Market Neutral Income Fund | $ | 81,616,752 | $ | — | |||||||
Hedged Equity Fund | 5,631,020 | 14,398,594 | |||||||||
Phineus Long/Short Fund | 36,259,534 | — | |||||||||
Timpani SMID Growth Fund | 787,061 | — | |||||||||
High Income Opportunities Fund | 1,172,581 | 9,236,845 |
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
196
Notes to Financial Statements (Unaudited)
The capital loss carryforwards utilized in the year ended October 31, 2020 in Market Neutral Income Fund, Evolving World Growth Fund, and Total Return Bond Fund are $214,387,918, $18,344,030, and $843,474, respectively.
Note 5 – Short Sales
Securities sold short represent obligations to deliver the securities at a future date. A Fund may sell a security it does not own in anticipation of a decline in the value of that security before the delivery date. When the Fund sells a security short, it must borrow the security sold short and deliver it to the broker-dealer through which it made the short sale. Dividends paid on securities sold short are disclosed as an expense on the Statements of Operations. A gain, limited to the price at which the Fund sold the security short, or a loss, unlimited in size, will be realized upon the termination of a short sale.
To secure its obligation to deliver to the broker-dealer the securities sold short, the Fund must segregate an amount of cash or liquid securities with its custodian equal to any excess of the current market value of the securities sold short over any cash or liquid securities deposited as collateral with the broker in connection with the short sale (not including the proceeds of the short sale). As a result of that requirement, the Fund will not gain any leverage merely by selling short, except to the extent that it earns interest or other income or gains on the segregated cash or liquid securities while also being subject to the possibility of gain or loss from the securities sold short.
Note 6 – Derivative Investments
Foreign Currency Risk. Each Fund 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.
To mitigate the counterparty risk, the Fund 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 Fund 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 Fund 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 Fund and the counterparty and the amount of collateral due from the Fund 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 Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. When a Fund is required to post collateral under the terms of a derivatives transaction and master netting agreement, the Fund's custodian holds the collateral in a segregated account, subject to the terms of a tri-party agreement among the Fund, 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 Fund 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 Fund's custodian. The master netting agreement provides, in relevant part, that the Fund 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 a Fund nor the counterparty may resell, rehypothecate, or repledge any collateral that it receives.
For financial reporting purposes, the Funds do not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statements of Assets and Liabilities. The Fund's net counterparty exposure is reflected in the counterparty table below. The net unrealized gain, if any, represents the credit risk to the respective Fund on a forward foreign currency contract. The contracts are valued daily at forward foreign exchange rates. The Funds realize 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.
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Notes to Financial Statements (Unaudited)
As of April 30, 2021, the Funds had outstanding forward foreign currency contracts listed on the Schedules of Investments.
Equity Risk. Each Fund 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 underlying security, 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, each Fund may also purchase put options on individual securities, broad-based securities indexes or certain exchange-traded funds ("ETFs"). Each Fund 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 Fund's portfolio, on broad-based securities indexes, or certain ETFs.
When the Fund purchases an option, it pays a premium and an amount equal to that premium is recorded as an asset. When the Fund 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 Fund 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 on the Statements of Operations as net realized gain or loss on written options and net realized gain or loss on purchased options, respectively.
Options written by each Fund do not typically give rise to counterparty credit risk since options written obligate each Fund and not the counterparty to perform. Exchange traded purchased options have minimal counterparty credit risk to each Fund since the exchange's clearinghouse, as counterparty to such instruments, guarantees against a possible default.
As of April 30, 2021, the Fund had outstanding purchased options and/or written options as listed on the Schedules of Investments.
As of April 30, 2021, the Funds had outstanding derivative contracts which are reflected on the Statements of Assets and Liabilities as follows:
ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
MARKET NEUTRAL INCOME FUND | |||||||||||
Gross amounts at fair value: | |||||||||||
Forward foreign currency contracts(1) | $ | 175,579 | $ | 647,805 | |||||||
Purchased options(2) | 40,595,764 | — | |||||||||
Total Return Swaps(4) | 109,910 | 274,468 | |||||||||
Written options(3) | — | 525,443,305 | |||||||||
$ | 40,881,253 | $ | 526,365,578 | ||||||||
HEDGED EQUITY FUND | |||||||||||
Gross amounts at fair value: | |||||||||||
Purchased options(2) | $ | 1,501,225 | $ | — | |||||||
Written options(3) | — | 27,084,550 | |||||||||
$ | 1,501,225 | $ | 27,084,550 | ||||||||
PHINEUS LONG/SHORT FUND | |||||||||||
Gross amounts at fair value: | |||||||||||
Purchased options(2) | $ | 10,750,459 | $ | — | |||||||
Written options(3) | — | 8,200,604 | |||||||||
$ | 10,750,459 | $ | 8,200,604 |
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
198
Notes to Financial Statements (Unaudited)
ASSET DERIVATIVES | LIABILITY DERIVATIVES | ||||||||||
CONVERTIBLE FUND | |||||||||||
Gross amounts at fair value: | |||||||||||
Forward foreign currency contracts(1) | $ | 12,044 | $ | 215,615 | |||||||
Purchased options(2) | 4,326,200 | — | |||||||||
$ | 4,338,244 | $ | 215,615 | ||||||||
GLOBAL CONVERTIBLE FUND | |||||||||||
Gross amounts at fair value: | |||||||||||
Purchased options(2) | $ | 695,181 | $ | — | |||||||
$ | 695,181 | $ | — | ||||||||
GROWTH AND INCOME FUND | |||||||||||
Gross amounts at fair value: | |||||||||||
Forward foreign currency contracts(1) | $ | 32,607 | $ | 194,988 | |||||||
Purchased options(2) | 16,025,270 | — | |||||||||
Written options(3) | — | 725,200 | |||||||||
$ | 16,057,877 | $ | 920,188 | ||||||||
INTERNATIONAL GROWTH FUND | |||||||||||
Gross amounts at fair value: | |||||||||||
Forward foreign currency contracts(1) | $ | 311,707 | $ | — | |||||||
$ | 311,707 | $ | — | ||||||||
EVOLVING WORLD GROWTH FUND | |||||||||||
Gross amounts at fair value: | |||||||||||
Purchased options(2) | $ | 16,361,556 | $ | — | |||||||
$ | 16,361,556 | $ | — | ||||||||
GLOBAL EQUITY FUND | |||||||||||
Gross amounts at fair value: | |||||||||||
Forward foreign currency contracts(1) | $ | 54,881 | $ | — | |||||||
$ | 54,881 | $ | — | ||||||||
GLOBAL OPPORTUNITIES FUND* | |||||||||||
Gross amounts at fair value: | |||||||||||
Purchased options(2) | $ | 7,736,705 | $ | — | |||||||
$ | 7,736,705 | $ | — |
* formerly Calamos Growth and Income Fund
TOTAL RETURN BOND FUND | |||||||||||
Gross amounts at fair value: | |||||||||||
Futures contracts(5) | $ | — | $ | 9,710 | |||||||
$ | — | $ | 9,710 | ||||||||
SHORT-TERM BOND FUND | |||||||||||
Gross amounts at fair value: | |||||||||||
Futures contracts(5) | $ | — | $ | 48,549 | |||||||
$ | — | $ | 48,549 |
www.calamos.com
199
Notes to Financial Statements (Unaudited)
The following tables present the outstanding derivative contracts, organized by counterparty, that are subject to enforceable master netting agreements as of April 30, 2021:
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS AND LIABILITIES | |||||||||||||||||||||||||||
MARKET NEUTRAL INCOME FUND | GROSS AMOUNTS PRESENTED IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL | NET AMOUNT RECEIVABLE IN THE EVENT | NET AMOUNT PAYABLE IN THE EVENT | |||||||||||||||||||||||
Counterparty | ASSETS | LIABILITIES | PLEDGED | OF DEFAULT | OF DEFAULT | ||||||||||||||||||||||
Bank of New York | ISDA | $ | — | $ | 101,612 | $ | — | $ | — | $ | 101,612 | ||||||||||||||||
Goldman Sachs & Co. | ISDA | — | 105,709 | — | — | 105,709 | |||||||||||||||||||||
JPMorgan Chase Bank N.A. | ISDA | 109,910 | 168,759 | — | — | 58,849 | |||||||||||||||||||||
State Street Bank and Trust | ISDA | 175,579 | 546,193 | — | — | 370,614 | |||||||||||||||||||||
$ | 285,489 | $ | 922,273 | $ | — | $ | — | $ | 636,784 | ||||||||||||||||||
CONVERTIBLE FUND | GROSS AMOUNTS PRESENTED IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL | NET AMOUNT RECEIVABLE IN THE EVENT | NET AMOUNT PAYABLE IN THE EVENT | |||||||||||||||||||||||
Counterparty | ASSETS | LIABILITIES | PLEDGED | OF DEFAULT | OF DEFAULT | ||||||||||||||||||||||
Bank of New York | ISDA | $ | 12,044 | $ | — | $ | — | $ | 12,044 | $ | — | ||||||||||||||||
Northern Trust Company | ISDA | — | 116,885 | — | — | 116,885 | |||||||||||||||||||||
State Street Bank and Trust | ISDA | — | 98,730 | — | — | 98,730 | |||||||||||||||||||||
$ | 12,044 | $ | 215,615 | $ | — | $ | 12,044 | $ | 215,615 | ||||||||||||||||||
GROSS AMOUNTS NOT OFFSET IN THE STATEMENT OF ASSETS AND LIABILITIES | |||||||||||||||||||||||||||
GROWTH AND INCOME FUND | GROSS AMOUNTS PRESENTED IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL | NET AMOUNT RECEIVABLE IN THE EVENT | NET AMOUNT PAYABLE IN THE EVENT | |||||||||||||||||||||||
Counterparty | ASSETS | LIABILITIES | PLEDGED | OF DEFAULT | OF DEFAULT | ||||||||||||||||||||||
Bank of New York | ISDA | $ | 17,161 | $ | — | $ | — | $ | 17,161 | $ | — | ||||||||||||||||
Northern Trust Company | ISDA | — | 162,473 | — | — | 162,473 | |||||||||||||||||||||
State Street Bank and Trust | ISDA | 15,446 | 32,515 | — | — | 17,069 | |||||||||||||||||||||
$ | 32,607 | $ | 194,988 | $ | — | $ | 17,161 | $ | 179,542 | ||||||||||||||||||
INTERNATIONAL GROWTH FUND | GROSS AMOUNTS PRESENTED IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL | NET AMOUNT RECEIVABLE IN THE EVENT | NET AMOUNT PAYABLE IN THE EVENT | |||||||||||||||||||||||
Counterparty | ASSETS | LIABILITIES | PLEDGED | OF DEFAULT | OF DEFAULT | ||||||||||||||||||||||
Bank of New York | ISDA | $ | 90,961 | $ | — | $ | — | $ | 90,961 | $ | — | ||||||||||||||||
State Street Bank and Trust | ISDA | 220,746 | — | — | 220,746 | — | |||||||||||||||||||||
$ | 311,707 | $ | — | $ | — | $ | 311,707 | $ | — | ||||||||||||||||||
GLOBAL EQUITY FUND | GROSS AMOUNTS PRESENTED IN THE STATEMENT OF ASSETS AND LIABILITIES | COLLATERAL | NET AMOUNT RECEIVABLE IN THE EVENT | NET AMOUNT PAYABLE IN THE EVENT | |||||||||||||||||||||||
Counterparty | ASSETS | LIABILITIES | PLEDGED | OF DEFAULT | OF DEFAULT | ||||||||||||||||||||||
Bank of New York | ISDA | $ | 25,822 | $ | — | $ | — | $ | 25,822 | $ | — | ||||||||||||||||
State Street Bank and Trust | ISDA | 29,059 | — | — | 29,059 | — | |||||||||||||||||||||
$ | 54,881 | $ | — | $ | — | $ | 54,881 | $ | — |
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
200
Notes to Financial Statements (Unaudited)
For the period ended April 30, 2021, the volume of derivative activity for the Fund is reflected below:*
FUND | FORWARD CONTRACTS(1) | FUTURES CONTRACTS(5) | PURCHASED OPTIONS(2) | WRITTEN OPTIONS(3) | SWAPS(4) | ||||||||||||||||||
Market Neutral Income Fund | 308,648,953 | — | 53,600 | 42,071 | 586,076,068 | ||||||||||||||||||
Hedged Equity Fund | — | — | 5,165 | 3,255 | — | ||||||||||||||||||
Phineus Long/Short Fund | 5,850,160 | — | 384,615 | 450,165 | — | ||||||||||||||||||
Convertible Fund | — | — | 15,730 | — | — | ||||||||||||||||||
Global Convertible Fund | — | — | 649 | — | — | ||||||||||||||||||
Growth Fund | — | — | 5,055 | 5,110 | — | ||||||||||||||||||
Growth and Income Fund | — | — | 162,892 | 5,749 | — | ||||||||||||||||||
International Growth Fund | 592,801 | — | 13,160 | — | — | ||||||||||||||||||
Evolving World Growth Fund | — | — | 217,468 | 17,785 | — | ||||||||||||||||||
Global Equity Fund | — | — | 2,745 | — | — | ||||||||||||||||||
Global Opportunities Fund (formerly, Global Growth and Income Fund) | — | — | 16,167 | 1,160 | — | ||||||||||||||||||
Total Return Bond Fund | — | 20 | — | — | — | ||||||||||||||||||
Short-Term Bond Fund | — | 100 | — | — | — |
* Activity during the period is measured by opened number of contracts for options purchased or written, opened foreign currency contracts (measured in notional), opened number of contracts for futures contracts, and opened total return swaps (measured in notional)
(1) Generally, the Statement of Assets and Liabilities location for Forward 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.
(4) Generally, the Statement of Assets and Liabilities location for Swap contracts is Unrealized appreciation on total return swaps for asset derivatives and Unrealized depreciation on total return swaps for liability derivatives.
(5) Generally, the Statement of Assets and Liabilities location for Futures contracts is Variation margin on open futures contracts for asset derivatives and Variation margin on open futures contracts for liability derivatives.
Note 7 – Securities Lending
The Funds may loan one or more of their 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 Funds. The Funds continue to receive the equivalent of the interest or dividends paid by the issuer on the securities loaned and also receive an additional return that may be in the form of a fixed fee or a percentage of the collateral. 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 Funds' securities lending agent invests the collateral into short term investments following investment guidelines approved by Calamos Advisors. The Funds record the investment of collateral as an asset and the value of the collateral as a liability on the Statements of Assets and Liabilities. If the value of the invested collateral declines below the value of the collateral deposited by the borrower, the Funds will record unrealized depreciation equal to the decline in value of the invested collateral. The Funds will pay reasonable fees to persons unaffiliated with the Funds for services in arranging these loans. The Funds have the right to call a loan and obtain the securities loaned at any time. The Funds do 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 Funds 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 period while the Funds seek to enforce its rights thereto, (b) possible subnormal levels of income and lack of access to income during this period, and (c) the expenses of enforcing their rights. In an effort to reduce these risks, the Funds' security lending agent monitors and reports to Calamos Advisors on the creditworthiness of the firms to which a Fund lends securities.
www.calamos.com
201
Notes to Financial Statements (Unaudited)
The following table indicates the total amount of securities loaned by asset class, reconciled to the gross liability payable upon return of the securities loaned by the Funds as of April 30, 2021.
VALUE OF SECURITIES ON LOAN TO BROKER- DEALERS AND | AMOUNT OF COLLATERAL HELD IN SHORT TERM INVESTMENTS AND RESTRICTED CASH BY ASSET CLASS ON LOAN | EXCESS AMOUNT DUE TO/(FROM) | |||||||||||||||||||||
FUND | BANKS | EQUITY | FIXED INCOME | TOTAL | COUNTERPARTY | ||||||||||||||||||
Market Neutral Income Fund | $ | 174,493,385 | $ | 59,312,339 | $ | 158,964,128 | $ | 218,276,467 | $ | 43,783,082 | |||||||||||||
Convertible Fund | 68,676,695 | 24,036,732 | 83,707,928 | 107,744,660 | 39,067,965 | ||||||||||||||||||
Global Convertible Fund | 14,687,238 | 1,396,727 | 13,172,405 | 14,569,132 | (118,106 | ) | |||||||||||||||||
Growth Fund | 12,747,463 | 40,954,415 | — | 40,954,415 | 28,206,952 | ||||||||||||||||||
Growth and Income Fund | 100,511,097 | 41,192,183 | 72,964,330 | 114,156,513 | 13,645,416 | ||||||||||||||||||
Dividend Growth Fund | 46,575 | 149,402 | — | 149,402 | 102,827 | ||||||||||||||||||
International Growth Fund | 17,985,211 | 35,012,712 | — | 35,012,712 | 17,027,501 | ||||||||||||||||||
Evolving World Growth Fund | 14,053,105 | 25,297,256 | — | 25,297,256 | 11,244,151 | ||||||||||||||||||
Global Equity Fund | 5,064,349 | 10,527,256 | — | 10,527,256 | 5,462,907 | ||||||||||||||||||
Global Opportunities Fund (formerly, Global Growth and Income Fund) | 16,048,162 | 15,442,472 | 2,172,000 | 17,614,472 | 1,566,310 | ||||||||||||||||||
Total Return Bond Fund | 3,080,143 | — | 4,017,329 | 4,017,329 | 937,186 | ||||||||||||||||||
High Income Opportunities Fund | 2,197,638 | — | 2,867,639 | 2,867,639 | 670,001 | ||||||||||||||||||
Short-Term Bond Fund | 10,437,788 | — | 11,762,519 | 11,762,519 | 1,324,731 |
Note 8 – Fair Value Measurements
Various inputs are used to determine the value of the Funds' 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 Funds' 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 Fund's investments.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
202
Notes to Financial Statements (Unaudited)
The following is a summary of the inputs used in valuing the Funds' holdings at fair value:
MARKET NEUTRAL INCOME FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Convertible Bonds | $ | — | $ | 5,528,320,322 | $ | — | $ | 5,528,320,322 | |||||||||||
Corporate Bond | — | 3,016,620 | — | 3,016,620 | |||||||||||||||
Convertible Preferred Stocks | 416,466,661 | 27,498,930 | — | 443,965,591 | |||||||||||||||
Common Stocks U.S. | 6,088,090,322 | — | — | 6,088,090,322 | |||||||||||||||
Common Stocks Foreign | 553,035 | — | — | 553,035 | |||||||||||||||
Exchange-traded Fund | 461,737,025 | — | — | 461,737,025 | |||||||||||||||
Investment In Affiliated Fund | 149,081,256 | — | — | 149,081,256 | |||||||||||||||
Warrants | 215,109 | — | — | 215,109 | |||||||||||||||
Purchased Options | 24,360,000 | 16,235,764 | — | 40,595,764 | |||||||||||||||
Investment Of Cash Collateral For Securities Loaned | — | 174,493,385 | — | 174,493,385 | |||||||||||||||
Forward Foreign Currency Contracts | — | 175,579 | — | 175,579 | |||||||||||||||
Total Return Swaps | — | 109,910 | — | 109,910 | |||||||||||||||
Total | $ | 7,140,503,408 | $ | 5,749,850,510 | $ | — | $ | 12,890,353,918 | |||||||||||
Liabilities: | |||||||||||||||||||
Common Stocks Sold Short U.S. | $ | 4,271,879,737 | $ | — | $ | — | $ | 4,271,879,737 | |||||||||||
Common Stocks Foreign | 198,911,626 | 5,061,084 | — | 203,972,710 | |||||||||||||||
Written Options | 525,443,305 | — | — | 525,443,305 | |||||||||||||||
Forward Foreign Currency Contracts | — | 647,805 | — | 647,805 | |||||||||||||||
Total Return Swaps | — | 274,468 | — | 274,468 | |||||||||||||||
Total | $ | 4,996,234,668 | $ | 5,983,357 | $ | — | $ | 5,002,218,025 | |||||||||||
HEDGED EQUITY FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Convertible Bond | $ | — | $ | 7,038,373 | $ | — | $ | 7,038,373 | |||||||||||
Common Stocks U.S. | 459,779,140 | — | — | 459,779,140 | |||||||||||||||
Exchange-Traded Fund | 10,197,143 | — | — | 10,197,143 | |||||||||||||||
Purchased Options | 1,501,225 | — | — | 1,501,225 | |||||||||||||||
Total | $ | 471,477,508 | $ | 7,038,373 | $ | — | $ | 478,515,881 | |||||||||||
Liabilities: | |||||||||||||||||||
Written Options | $ | 27,084,550 | $ | — | $ | — | $ | 27,084,550 | |||||||||||
Total | $ | 27,084,550 | $ | — | $ | — | $ | 27,084,550 | |||||||||||
PHINEUS LONG/SHORT FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Common Stocks U.S. | $ | 506,772,220 | $ | — | $ | — | $ | 506,772,220 | |||||||||||
Common Stocks Foreign | — | 43,196,649 | — | 43,196,649 | |||||||||||||||
Purchased Options | 10,750,459 | — | — | 10,750,459 | |||||||||||||||
Total | $ | 517,522,679 | $ | 43,196,649 | $ | — | $ | 560,719,328 | |||||||||||
Liabilities: | |||||||||||||||||||
Common Stocks Sold Short U.S. | $ | 17,192,708 | $ | — | $ | — | $ | 17,192,708 | |||||||||||
Exchange-Traded Funds Sold Short | 289,575,109 | — | — | 289,575,109 | |||||||||||||||
Written Options | 8,200,604 | — | — | 8,200,604 | |||||||||||||||
Total | $ | 314,968,421 | $ | — | $ | — | $ | 314,968,421 |
www.calamos.com
203
Notes to Financial Statements (Unaudited)
CONVERTIBLE FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Convertible Bonds | $ | — | $ | 1,309,585,970 | $ | — | $ | 1,309,585,970 | |||||||||||
Convertible Preferred Stocks | 180,477,315 | — | — | 180,477,315 | |||||||||||||||
Purchased Options | 4,326,200 | — | — | 4,326,200 | |||||||||||||||
Investment of Cash Collateral For Securities Loaned | — | 68,676,695 | — | 68,676,695 | |||||||||||||||
Forward Foreign Currency Contracts | — | 12,043 | — | 12,043 | |||||||||||||||
Total | $ | 184,803,515 | $ | 1,378,274,708 | $ | — | $ | 1,563,078,223 | |||||||||||
Liabilities: | |||||||||||||||||||
Forward Foreign Currency Contracts | $ | — | $ | 215,615 | $ | — | $ | 215,615 | |||||||||||
Total | $ | — | $ | 215,615 | $ | — | $ | 215,615 | |||||||||||
GLOBAL CONVERTIBLE FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Convertible Bonds | $ | — | $ | 233,597,003 | $ | — | $ | 233,597,003 | |||||||||||
Bank Loans | — | 673,980 | — | 673,980 | |||||||||||||||
Convertible Preferred Stocks | 22,519,450 | — | — | 22,519,450 | |||||||||||||||
U.S. Government and Agency Securities | — | 5,088,064 | — | 5,088,064 | |||||||||||||||
Purchased options | 695,181 | — | — | 695,181 | |||||||||||||||
Investment of Cash Collateral For Securities Loaned | — | 14,687,238 | — | 14,687,238 | |||||||||||||||
Total | $ | 23,214,631 | $ | 254,046,285 | $ | — | $ | 277,260,916 | |||||||||||
TIMPANI SMALL CAP GROWTH FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Common Stocks U.S. | $ | 322,791,214 | $ | — | $ | — | $ | 322,791,214 | |||||||||||
Total | $ | 322,791,214 | $ | — | $ | — | $ | 322,791,214 | |||||||||||
TIMPANI SMID GROWTH FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Common Stocks U.S. | $ | 24,219,271 | $ | — | $ | — | $ | 24,219,271 | |||||||||||
Total | $ | 24,219,271 | $ | — | $ | — | $ | 24,219,271 | |||||||||||
GROWTH FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Common Stocks U.S. | $ | 1,713,556,477 | $ | — | $ | — | $ | 1,713,556,477 | |||||||||||
Investment of Cash Collateral for Securities Loaned | — | 12,747,463 | — | 12,747,463 | |||||||||||||||
Total | $ | 1,713,556,477 | $ | 12,747,463 | $ | — | $ | 1,726,303,940 |
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
204
Notes to Financial Statements (Unaudited)
GROWTH AND INCOME FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Corporate Bond | $ | — | $ | 5,262,862 | $ | — | $ | 5,262,862 | |||||||||||
Convertible Bonds | — | 578,306,653 | — | 578,306,653 | |||||||||||||||
Convertible Preferred Stocks | 227,013,752 | 9,895,020 | — | 236,908,772 | |||||||||||||||
Common Stocks U.S. | 1,759,586,237 | — | — | 1,759,586,237 | |||||||||||||||
Purchased Options | 16,025,270 | — | — | 16,025,270 | |||||||||||||||
Investment of Cash Collateral For Securities Loaned | — | 100,511,097 | — | 100,511,097 | |||||||||||||||
Forward Foreign Currency Contracts | — | 32,607 | — | 32,607 | |||||||||||||||
Total | $ | 2,002,625,259 | $ | 694,008,239 | $ | — | $ | 2,696,633,498 | |||||||||||
Liabilities: | |||||||||||||||||||
Written Options | $ | 725,200 | $ | — | $ | — | $ | 725,200 | |||||||||||
Forward Foreign Currency Contracts | — | 194,987 | — | 194,987 | |||||||||||||||
Total | $ | 725,200 | $ | 194,987 | $ | — | $ | 920,187 | |||||||||||
DIVIDEND GROWTH FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Common Stocks U.S. | $ | 16,587,211 | $ | — | $ | — | $ | 16,587,211 | |||||||||||
Exchange-Traded Funds | 287,733 | — | — | 287,733 | |||||||||||||||
Investment of Cash Collateral For Securities Loaned | — | 46,575 | — | 46,575 | |||||||||||||||
Total | $ | 16,874,944 | $ | 46,575 | $ | — | $ | 16,921,519 | |||||||||||
SELECT FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Common Stocks U.S. | $ | 48,650,404 | $ | — | $ | — | $ | 48,650,404 | |||||||||||
Total | $ | 48,650,404 | $ | — | $ | — | $ | 48,650,404 | |||||||||||
INTERNATIONAL GROWTH FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Common Stocks Foreign | $ | 22,324,627 | $ | 191,706,823 | $ | — | $ | 214,031,450 | |||||||||||
Common Stocks U.S. | 68,153,645 | — | — | 68,153,645 | |||||||||||||||
Investment of Cash Collateral For Securities Loaned | — | 17,985,211 | — | 17,985,211 | |||||||||||||||
Forward Foreign Currency Contracts | — | 311,707 | — | 311,707 | |||||||||||||||
Total | $ | 90,478,272 | $ | 210,003,741 | $ | — | $ | 300,482,013 | |||||||||||
EVOLVING WORLD GROWTH FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Convertible Bonds | $ | — | $ | 78,463,788 | $ | — | $ | 78,463,788 | |||||||||||
Convertible Preferred Stock | 6,846,352 | — | — | 6,846,352 | |||||||||||||||
Common Stocks Foreign | 16,335,437 | 423,897,900 | — | 440,233,337 | |||||||||||||||
Common Stocks U.S. | 151,628,931 | — | — | 151,628,931 | |||||||||||||||
Purchased Options | 16,361,556 | — | — | 16,361,556 | |||||||||||||||
Investment of Cash Collateral For Securities Loaned | — | 14,053,105 | — | 14,053,105 | |||||||||||||||
Total | $ | 191,172,276 | $ | 516,414,793 | $ | — | $ | 707,587,069 |
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Notes to Financial Statements (Unaudited)
GLOBAL EQUITY FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Common Stocks Foreign | $ | 1,594,313 | $ | 41,447,248 | $ | — | $ | 43,041,561 | |||||||||||
Common Stocks U.S. | 91,528,031 | — | — | 91,528,031 | |||||||||||||||
Investment of Cash Collateral For Securities Loaned | — | 5,064,349 | — | 5,064,349 | |||||||||||||||
Forward Foreign Currency Contracts | — | 54,881 | — | 54,881 | |||||||||||||||
Total | $ | 93,122,344 | $ | 46,566,478 | $ | — | $ | 139,688,822 | |||||||||||
GLOBAL OPPORTUNITIES FUND (FORMERLY, GLOBAL GROWTH AND INCOME FUND) | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Convertible Bonds | $ | — | $ | 64,989,006 | $ | — | $ | 64,989,006 | |||||||||||
Convertible Preferred Stocks | 20,218,019 | — | — | 20,218,019 | |||||||||||||||
Common Stocks Foreign | — | 55,429,777 | — | 55,429,777 | |||||||||||||||
Common Stocks U.S. | 86,994,716 | — | — | 86,994,716 | |||||||||||||||
Purchased Options | 7,736,705 | — | — | 7,736,705 | |||||||||||||||
Investment of Cash Collateral For Securities Loaned | — | 16,048,162 | — | 16,048,162 | |||||||||||||||
Total | $ | 114,949,440 | $ | 136,466,945 | $ | — | $ | 251,416,385 | |||||||||||
TOTAL RETURN BOND FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Corporate Bonds | $ | — | $ | 37,916,446 | $ | — | $ | 37,916,446 | |||||||||||
Convertible Bonds | — | 327,937 | — | 327,937 | |||||||||||||||
Bank Loans | — | 5,810,210 | — | 5,810,210 | |||||||||||||||
Asset Backed Securities | — | 3,280,334 | — | 3,280,334 | |||||||||||||||
U.S. Government and Agency Securities | — | 21,754,765 | — | 21,754,765 | |||||||||||||||
Residential Mortgage Backed Securities | — | 1,369,335 | — | 1,369,335 | |||||||||||||||
Investment of Cash Collateral For Securities Loaned | — | 3,080,143 | — | 3,080,143 | |||||||||||||||
Total | $ | — | $ | 73,539,170 | $ | — | $ | 73,539,170 | |||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | 9,710 | $ | — | $ | — | $ | 9,710 | |||||||||||
Total | $ | 9,710 | $ | — | $ | — | $ | 9,710 | |||||||||||
HIGH INCOME OPPORTUNITIES FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Corporate Bonds | $ | — | $ | 34,635,864 | $ | — | $ | 34,635,864 | |||||||||||
Convertible Bonds | — | 312,989 | — | 312,989 | |||||||||||||||
Bank Loans | — | 4,317,652 | — | 4,317,652 | |||||||||||||||
Common Stocks U.S. | 646,174 | 62,832 | — | 709,006 | |||||||||||||||
Preferred Stocks | 527,227 | 70,947 | — | 598,174 | |||||||||||||||
Warrants | 20,361 | 19,258 | — | 39,619 | |||||||||||||||
Investments of Cash Collateral for Securities Loaned | — | 2,197,638 | — | 2,197,638 | |||||||||||||||
Total | $ | 1,193,762 | $ | 41,617,180 | $ | — | $ | 42,810,942 |
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Notes to Financial Statements (Unaudited)
SHORT-TERM BOND FUND | |||||||||||||||||||
LEVEL 1 | LEVEL 2 | LEVEL 3 | TOTAL | ||||||||||||||||
Assets: | |||||||||||||||||||
Corporate Bonds | $ | — | $ | 121,358,071 | $ | — | $ | 121,358,071 | |||||||||||
Convertible Bonds | — | 1,168,990 | — | 1,168,990 | |||||||||||||||
U.S. Government and Agency Securities | — | 8,231,953 | — | 8,231,953 | |||||||||||||||
Sovereign Bond | — | 490,410 | — | 490,410 | |||||||||||||||
Bank Loans | — | 13,590,437 | — | 13,590,437 | |||||||||||||||
Asset Backed Securities | — | 27,310,580 | — | 27,310,580 | |||||||||||||||
Residential Mortgage Backed Securities | — | 2,960,425 | — | 2,960,425 | |||||||||||||||
Municipal Obligations | — | 9,256,127 | — | 9,256,127 | |||||||||||||||
Investment of Cash Collateral For Securities Loaned | — | 10,437,787 | — | 10,437,787 | |||||||||||||||
Total | $ | — | $ | 194,804,780 | $ | — | $ | 194,804,780 | |||||||||||
Liabilities: | |||||||||||||||||||
Futures Contracts | $ | 48,549 | $ | — | $ | — | $ | 48,549 | |||||||||||
Total | $ | 48,549 | $ | — | $ | — | $ | 48,549 |
Note 9 – Capital Share Transactions
The following table summarizes the activity in capital shares of the Funds for the Six Months ended April 30, 2021:
MARKET NEUTRAL INCOME FUND | HEDGED EQUITY FUND | PHINEUS LONG/SHORT FUND | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 24,073,908 | $ | 340,883,469 | 683,147 | $ | 9,176,057 | 307,746 | $ | 4,548,270 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 85,756 | 1,204,015 | 5,357 | 70,120 | — | — | |||||||||||||||||||||
Less shares redeemed | (8,880,045 | ) | (125,727,449 | ) | (156,725 | ) | (2,087,716 | ) | (624,219 | ) | (8,721,798 | ) | |||||||||||||||
Net increase (decrease) | 15,279,619 | $ | 216,360,035 | 531,779 | $ | 7,158,461 | (316,473 | ) | $ | (4,173,528 | ) | ||||||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 4,043,930 | $ | 58,117,016 | 93,507 | $ | 1,248,571 | 151,824 | $ | 2,254,028 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 10 | 147 | 694 | 8,969 | — | — | |||||||||||||||||||||
Less shares redeemed | (2,269,447 | ) | (32,575,358 | ) | (29,461 | ) | (385,452 | ) | (195,275 | ) | (2,641,772 | ) | |||||||||||||||
Net increase (decrease) | 1,774,493 | $ | 25,541,805 | 64,740 | $ | 872,088 | (43,451 | ) | $ | (387,744 | ) | ||||||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 242,712,657 | $ | 3,396,891,561 | 8,040,131 | $ | 107,962,913 | 3,515,070 | $ | 51,681,717 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 1,599,106 | 22,163,610 | 128,902 | 1,686,042 | — | — | |||||||||||||||||||||
Less shares redeemed | (76,933,350 | ) | (1,074,172,258 | ) | (5,636,144 | ) | (75,770,636 | ) | (5,519,736 | ) | (77,783,473 | ) | |||||||||||||||
Net increase (decrease) | 167,378,413 | $ | 2,344,882,913 | 2,532,889 | $ | 33,878,319 | (2,004,666 | ) | $ | (26,101,756 | ) | ||||||||||||||||
Class R6 | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 133,569 | $ | 1,867,809 | — | $ | — | — | $ | — | ||||||||||||||||||
Shares issued as reinvestment of distributions | 20 | 273 | — | — | — | — | |||||||||||||||||||||
Less shares redeemed | (3,522 | ) | (49,240 | ) | — | — | — | — | |||||||||||||||||||
Net increase (decrease) | 130,067 | $ | 1,818,842 | — | $ | — | — | $ | — |
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Notes to Financial Statements (Unaudited)
CONVERTIBLE FUND | GLOBAL CONVERTIBLE FUND | TIMPANI SMALL CAP GROWTH FUND | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 1,570,384 | $ | 40,790,148 | 389,095 | $ | 5,704,514 | 329,180 | $ | 12,811,907 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 833,011 | 21,241,780 | 67,185 | 965,671 | 12,429 | 448,444 | |||||||||||||||||||||
Less shares redeemed | (1,355,068 | ) | (35,155,830 | ) | (127,816 | ) | (1,891,837 | ) | (21,771 | ) | (837,943 | ) | |||||||||||||||
Net increase (decrease) | 1,048,327 | $ | 26,876,098 | 328,464 | $ | 4,778,348 | 319,838 | $ | 12,422,408 | ||||||||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 320,224 | $ | 8,228,128 | 40,090 | $ | 582,028 | — | $ | — | ||||||||||||||||||
Shares issued as reinvestment of distributions | 152,610 | 3,841,200 | 27,576 | 388,548 | — | — | |||||||||||||||||||||
Less shares redeemed | (292,196 | ) | (7,443,781 | ) | (35,389 | ) | (517,389 | ) | — | — | |||||||||||||||||
Net increase (decrease) | 180,638 | $ | 4,625,547 | 32,277 | $ | 453,187 | — | $ | — | ||||||||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 12,024,889 | $ | 274,670,906 | 3,279,275 | $ | 48,246,597 | 3,297,835 | $ | 132,270,534 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 2,826,826 | 62,868,603 | 1,156,914 | 16,644,894 | 164,479 | 6,107,103 | |||||||||||||||||||||
Less shares redeemed | (6,395,706 | ) | (144,608,551 | ) | (1,747,445 | ) | (25,692,100 | ) | (943,621 | ) | (36,913,984 | ) | |||||||||||||||
Net increase (decrease) | 8,456,009 | $ | 192,930,958 | 2,688,744 | $ | 39,199,391 | 2,518,693 | $ | 101,463,653 | ||||||||||||||||||
Class R6 | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | — | $ | — | 415,675 | $ | 16,257,298 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | — | — | 1,961 | 72,878 | |||||||||||||||||||||
Less shares redeemed | — | — | — | — | (30,915 | ) | (1,286,393 | ) | |||||||||||||||||||
Net increase (decrease) | — | $ | — | — | $ | — | 386,721 | $ | 15,043,783 |
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
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Notes to Financial Statements (Unaudited)
TIMPANI SMID GROWTH FUND | GROWTH FUND | GROWTH AND INCOME FUND | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 12,002 | $ | 199,273 | 816,983 | $ | 30,974,442 | 1,834,234 | $ | 76,241,370 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | 3,210,883 | 119,220,099 | 754,659 | 30,304,857 | |||||||||||||||||||||
Less shares redeemed | (2,574 | ) | (40,301 | ) | (2,482,377 | ) | (96,151,076 | ) | (2,417,944 | ) | (100,798,624 | ) | |||||||||||||||
Net increase (decrease) | 9,428 | $ | 158,972 | 1,545,489 | $ | 54,043,465 | 170,949 | $ | 5,747,603 | ||||||||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | 44,823 | $ | 820,288 | 283,071 | $ | 11,997,219 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | 441,180 | 7,623,586 | 57,907 | 2,351,622 | |||||||||||||||||||||
Less shares redeemed | — | — | (1,044,756 | ) | (18,786,798 | ) | (1,166,696 | ) | (48,877,406 | ) | |||||||||||||||||
Net increase (decrease) | — | $ | — | (558,753 | ) | $ | (10,342,924 | ) | (825,718 | ) | $ | (34,528,565 | ) | ||||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 143,544 | $ | 2,148,792 | 255,163 | $ | 14,297,842 | 3,141,019 | $ | 125,567,925 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | 442,786 | 23,932,553 | 679,567 | 26,099,527 | |||||||||||||||||||||
Less shares redeemed | (87,063 | ) | (1,369,725 | ) | (559,941 | ) | (30,851,136 | ) | (2,145,094 | ) | (85,618,956 | ) | |||||||||||||||
Net increase (decrease) | 56,481 | $ | 779,067 | 138,008 | $ | 7,379,259 | 1,675,492 | $ | 66,048,496 | ||||||||||||||||||
Class R6(a) | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | — | $ | — | 132,771 | $ | 5,387,427 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | — | — | 2,628 | 100,974 | |||||||||||||||||||||
Less shares redeemed | — | — | — | — | (14,758 | ) | (595,929 | ) | |||||||||||||||||||
Net increase (decrease) | — | $ | — | — | $ | — | 120,641 | $ | 4,892,472 |
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Notes to Financial Statements (Unaudited)
DIVIDEND GROWTH FUND | SELECT FUND | INTERNATIONAL GROWTH FUND | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 22,580 | $ | 322,433 | 29,611 | $ | 507,574 | 410,748 | $ | 11,108,616 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 22,697 | 310,042 | 32,177 | 525,780 | 131,078 | 3,332,005 | |||||||||||||||||||||
Less shares redeemed | (30,359 | ) | (441,492 | ) | (65,660 | ) | (1,112,199 | ) | (360,817 | ) | (9,615,848 | ) | |||||||||||||||
Net increase (decrease) | 14,918 | $ | 190,983 | (3,872 | ) | $ | (78,845 | ) | 181,009 | $ | 4,824,773 | ||||||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 68,243 | $ | 940,306 | 2,605 | $ | 38,845 | 25,915 | $ | 611,923 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 4,697 | 62,147 | 4,327 | 60,882 | 19,862 | 439,547 | |||||||||||||||||||||
Less shares redeemed | (5,259 | ) | (72,464 | ) | (28,104 | ) | (412,337 | ) | (189,788 | ) | (4,488,317 | ) | |||||||||||||||
Net increase (decrease) | 67,681 | $ | 929,989 | (21,172 | ) | $ | (312,610 | ) | (144,011 | ) | $ | (3,436,847 | ) | ||||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 132,434 | $ | 1,922,397 | 207,524 | $ | 3,723,125 | 900,743 | $ | 25,238,338 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 58,493 | 798,425 | 84,555 | 1,423,899 | 367,227 | 9,669,097 | |||||||||||||||||||||
Less shares redeemed | (192,363 | ) | (2,817,016 | ) | (785,031 | ) | (13,278,972 | ) | (798,883 | ) | (21,772,902 | ) | |||||||||||||||
Net increase (decrease) | (1,436 | ) | $ | (96,194 | ) | (492,952 | ) | $ | (8,131,948 | ) | 469,087 | $ | 13,134,533 | ||||||||||||||
Class R6 | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | — | $ | — | 15,302 | $ | 438,518 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | — | — | 2,470 | 65,576 | |||||||||||||||||||||
Less shares redeemed | — | — | — | — | (10,360 | ) | (289,775 | ) | |||||||||||||||||||
Net increase (decrease) | — | $ | — | — | $ | — | 7,412 | $ | 214,319 |
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
210
Notes to Financial Statements (Unaudited)
EVOLVING WORLD GROWTH FUND | GLOBAL EQUITY FUND | GLOBAL OPPORTUNITIES FUND (FORMERLY, GLOBAL GROWTH AND INCOME FUND) | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 1,825,590 | $ | 42,250,511 | 361,036 | $ | 5,851,394 | 1,128,013 | $ | 12,890,289 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 32,116 | 698,205 | 92,854 | 1,425,309 | 490,922 | 5,341,657 | |||||||||||||||||||||
Less shares redeemed | (326,690 | ) | (7,508,607 | ) | (162,954 | ) | (2,608,975 | ) | (677,041 | ) | (7,671,237 | ) | |||||||||||||||
Net increase (decrease) | 1,531,016 | $ | 35,440,109 | 290,936 | $ | 4,667,728 | 941,894 | $ | 10,560,709 | ||||||||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 350,700 | $ | 7,773,674 | 11,182 | $ | 157,495 | 190,537 | $ | 1,869,517 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 16,204 | 327,330 | 28,680 | 372,273 | 65,916 | 618,294 | |||||||||||||||||||||
Less shares redeemed | (186,588 | ) | (4,105,897 | ) | (279,931 | ) | (3,855,273 | ) | (512,781 | ) | (5,005,184 | ) | |||||||||||||||
Net increase (decrease) | 180,316 | $ | 3,995,107 | (240,069 | ) | $ | (3,325,505 | ) | (256,328 | ) | $ | (2,517,373 | ) | ||||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 17,722,396 | $ | 419,139,765 | 1,745,936 | $ | 29,530,991 | 4,738,933 | $ | 55,457,807 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 268,509 | 5,891,083 | 299,709 | 4,792,340 | 382,069 | 4,315,999 | |||||||||||||||||||||
Less shares redeemed | (1,659,771 | ) | (38,300,231 | ) | (747,488 | ) | (12,392,311 | ) | (2,017,179 | ) | (24,312,115 | ) | |||||||||||||||
Net increase (decrease) | 16,331,134 | $ | 386,730,617 | 1,298,157 | $ | 21,931,020 | 3,103,823 | $ | 35,461,691 | ||||||||||||||||||
Class R6 | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | — | $ | — | — | $ | — | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | 541 | 8,657 | — | — | |||||||||||||||||||||
Less shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Net increase (decrease) | — | $ | — | 541 | $ | 8,657 | — | $ | — |
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211
Notes to Financial Statements (Unaudited)
TOTAL RETURN BOND FUND | HIGH INCOME OPPORTUNITIES FUND | SHORT-TERM BOND FUND | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 355,302 | $ | 3,836,176 | 184,616 | $ | 1,556,117 | 96,935 | $ | 988,931 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 27,419 | 296,115 | 87,674 | 741,638 | 11,317 | 114,186 | |||||||||||||||||||||
Less shares redeemed | (298,317 | ) | (3,208,040 | ) | (284,681 | ) | (2,405,303 | ) | (83,548 | ) | (846,388 | ) | |||||||||||||||
Net increase (decrease) | 84,404 | $ | 924,251 | (12,391 | ) | $ | (107,548 | ) | 24,704 | $ | 256,729 | ||||||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 6,718 | $ | 72,875 | 7,364 | $ | 66,055 | — | $ | — | ||||||||||||||||||
Shares issued as reinvestment of distributions | 1,424 | 15,424 | 1,883 | 16,904 | — | — | |||||||||||||||||||||
Less shares redeemed | (80,618 | ) | (864,007 | ) | (51,657 | ) | (466,234 | ) | — | — | |||||||||||||||||
Net increase (decrease) | (72,476 | ) | $ | (775,708 | ) | (42,410 | ) | $ | (383,275 | ) | — | $ | — | ||||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 882,968 | $ | 9,486,821 | 238,829 | $ | 2,020,336 | 1,102,791 | $ | 11,049,326 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 76,239 | 824,153 | 22,828 | 193,225 | 84,368 | 850,463 | |||||||||||||||||||||
Less shares redeemed | (2,064,493 | ) | (22,152,776 | ) | (101,400 | ) | (858,126 | ) | (131,855 | ) | (1,322,383 | ) | |||||||||||||||
Net increase (decrease) | (1,105,286 | ) | $ | (11,841,802 | ) | 160,257 | $ | 1,355,435 | 1,055,304 | $ | 10,577,406 | ||||||||||||||||
Class R6 | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | — | $ | — | — | $ | — | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | — | — | — | — | |||||||||||||||||||||
Less shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Net increase (decrease) | — | $ | — | — | $ | — | — | $ | — |
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
212
Notes to Financial Statements (Unaudited)
The following table summarizes the activity in capital shares of the Funds for the Year ended October 31, 2020:
MARKET NEUTRAL INCOME FUND | HEDGED EQUITY FUND | PHINEUS LONG/SHORT FUND | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 23,507,307 | $ | 318,481,399 | 1,079,464 | $ | 13,115,927 | 654,466 | $ | 7,492,400 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 506,101 | 6,686,850 | 8,680 | 104,884 | 6,418 | 75,411 | |||||||||||||||||||||
Less shares redeemed | (19,910,936 | ) | (266,861,063 | ) | (686,573 | ) | (7,988,001 | ) | (3,607,025 | ) | (40,137,010 | ) | |||||||||||||||
Net increase (decrease) | 4,102,472 | $ | 58,307,186 | 401,571 | $ | 5,232,810 | (2,946,141 | ) | $ | (32,569,199 | ) | ||||||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 4,786,497 | $ | 65,961,046 | 177,834 | $ | 2,116,965 | 166,506 | $ | 1,836,087 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 62,532 | 842,122 | 580 | 6,941 | — | — | |||||||||||||||||||||
Less shares redeemed | (5,870,600 | ) | (80,250,388 | ) | (80,386 | ) | (941,366 | ) | (1,444,655 | ) | (15,565,258 | ) | |||||||||||||||
Net increase (decrease) | (1,021,571 | ) | $ | (13,447,220 | ) | 98,028 | $ | 1,182,540 | (1,278,149 | ) | $ | (13,729,171 | ) | ||||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 285,069,085 | $ | 3,801,544,821 | 17,102,185 | $ | 205,853,593 | 15,436,848 | $ | 175,709,968 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 6,128,256 | 79,890,119 | 244,588 | 2,923,243 | 235,680 | 2,785,741 | |||||||||||||||||||||
Less shares redeemed | (193,875,237 | ) | (2,540,130,224 | ) | (8,451,892 | ) | (100,054,153 | ) | (42,820,758 | ) | (474,724,045 | ) | |||||||||||||||
Net increase (decrease) | 97,322,104 | $ | 1,341,304,716 | 8,894,881 | $ | 108,722,683 | (27,148,230 | ) | $ | (296,228,336 | ) | ||||||||||||||||
Class R6(a) | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 749 | $ | 10,000 | — | $ | — | — | $ | — | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | — | — | — | — | |||||||||||||||||||||
Less shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Net increase (decrease) | 749 | $ | 10,000 | — | $ | — | — | $ | — |
(a) Market Neutral Income Fund Class R6 shares commenced operations on June 23, 2020.
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213
Notes to Financial Statements (Unaudited)
CONVERTIBLE FUND | GLOBAL CONVERTIBLE FUND | TIMPANI SMALL CAP GROWTH FUND | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 3,779,907 | $ | 76,036,819 | 224,517 | $ | 2,763,247 | 83,127 | $ | 2,038,224 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 98,509 | 1,644,047 | 15,031 | 169,920 | 16,119 | 355,909 | |||||||||||||||||||||
Less shares redeemed | (3,330,801 | ) | (61,899,582 | ) | (219,049 | ) | (2,646,454 | ) | (87,385 | ) | (1,961,422 | ) | |||||||||||||||
Net increase (decrease) | 547,615 | $ | 15,781,284 | 20,499 | $ | 286,713 | 11,861 | $ | 432,711 | ||||||||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 626,775 | $ | 12,529,477 | 123,304 | $ | 1,532,137 | — | $ | — | ||||||||||||||||||
Shares issued as reinvestment of distributions | 7,484 | 119,553 | 4,969 | 54,887 | — | — | |||||||||||||||||||||
Less shares redeemed | (1,349,127 | ) | (25,502,044 | ) | (76,117 | ) | (895,793 | ) | — | — | |||||||||||||||||
Net increase (decrease) | (714,868 | ) | $ | (12,853,014 | ) | 52,156 | $ | 691,231 | — | $ | — | ||||||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 23,198,658 | $ | 411,409,196 | 6,606,715 | $ | 80,794,677 | 1,837,833 | $ | 48,095,872 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 340,738 | 5,205,185 | 227,360 | 2,570,590 | 156,926 | 3,554,389 | |||||||||||||||||||||
Less shares redeemed | (13,751,433 | ) | (227,572,021 | ) | (3,451,303 | ) | (40,063,203 | ) | (1,006,368 | ) | (24,167,855 | ) | |||||||||||||||
Net increase (decrease) | 9,787,963 | $ | 189,042,360 | 3,382,772 | $ | 43,302,064 | 988,391 | $ | 27,482,406 | ||||||||||||||||||
Class R6 | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | — | $ | — | 3,234 | $ | 83,578 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | — | — | 2,381 | 53,959 | |||||||||||||||||||||
Less shares redeemed | — | — | — | — | (99 | ) | (2,032 | ) | |||||||||||||||||||
Net increase (decrease) | — | $ | — | — | $ | — | 5,516 | $ | 135,505 |
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
214
Notes to Financial Statements (Unaudited)
TIMPANI SMID GROWTH FUND | GROWTH FUND | GROWTH AND INCOME FUND | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 22,299 | $ | 225,952 | 1,163,903 | $ | 35,916,013 | 2,586,315 | $ | 88,603,488 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | 2,949,175 | 90,952,567 | 1,087,899 | 36,218,823 | |||||||||||||||||||||
Less shares redeemed | (8,577 | ) | (106,936 | ) | (5,924,330 | ) | (186,796,357 | ) | (5,354,038 | ) | (179,900,007 | ) | |||||||||||||||
Net increase (decrease) | 13,722 | $ | 119,016 | (1,811,252 | ) | $ | (59,927,777 | ) | (1,679,824 | ) | $ | (55,077,696 | ) | ||||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | 151,764 | $ | 2,389,732 | 475,674 | $ | 16,379,409 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | 439,532 | 7,094,039 | 94,428 | 3,194,398 | |||||||||||||||||||||
Less shares redeemed | — | — | (1,382,103 | ) | (23,292,608 | ) | (1,841,945 | ) | (62,865,328 | ) | |||||||||||||||||
Net increase (decrease) | — | $ | — | (790,807 | ) | $ | (13,808,837 | ) | (1,271,843 | ) | $ | (43,291,521 | ) | ||||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 346,537 | $ | 3,166,560 | 964,653 | $ | 41,967,197 | 5,565,557 | $ | 181,141,237 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | 418,998 | 18,167,781 | 916,902 | 29,159,931 | |||||||||||||||||||||
Less shares redeemed | (20,359 | ) | (238,076 | ) | (1,826,623 | ) | (83,516,882 | ) | (5,832,606 | ) | (183,750,056 | ) | |||||||||||||||
Net increase (decrease) | 326,178 | $ | 2,928,484 | (442,972 | ) | $ | (23,381,904 | ) | 649,853 | $ | 26,551,112 | ||||||||||||||||
Class R6(a) | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | — | $ | — | 576 | $ | 20,037 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | — | — | 2 | 53 | |||||||||||||||||||||
Less shares redeemed | — | — | — | — | (138 | ) | (4,880 | ) | |||||||||||||||||||
Net increase (decrease) | — | $ | — | — | $ | — | 440 | $ | 15,210 |
(a) Growth and Income Fund Class R6 shares commenced operations on June 23, 2020.
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215
Notes to Financial Statements (Unaudited)
DIVIDEND GROWTH FUND | SELECT FUND | INTERNATIONAL GROWTH FUND | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 68,449 | $ | 836,548 | 45,345 | $ | 658,688 | 347,273 | $ | 7,171,991 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 33,496 | 421,335 | 4,489 | 66,529 | — | — | |||||||||||||||||||||
Less shares redeemed | (102,881 | ) | (1,181,494 | ) | (139,673 | ) | (1,956,315 | ) | (712,645 | ) | (13,899,961 | ) | |||||||||||||||
Net increase (decrease) | (936 | ) | $ | 76,389 | (89,839 | ) | $ | (1,231,098 | ) | (365,372 | ) | $ | (6,727,970 | ) | |||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 23,668 | $ | 260,448 | 5,447 | $ | 71,597 | 8,563 | $ | 156,843 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 6,350 | 78,044 | — | — | — | — | |||||||||||||||||||||
Less shares redeemed | (26,357 | ) | (284,934 | ) | (350,898 | ) | (4,437,929 | ) | (261,146 | ) | (4,563,551 | ) | |||||||||||||||
Net increase (decrease) | 3,661 | $ | 53,558 | (345,451 | ) | $ | (4,366,332 | ) | (252,583 | ) | $ | (4,406,708 | ) | ||||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 116,118 | $ | 1,435,636 | 617,729 | $ | 8,179,806 | 1,626,949 | $ | 33,454,787 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 118,358 | 1,485,056 | 15,887 | 241,796 | — | — | |||||||||||||||||||||
Less shares redeemed | (517,551 | ) | (5,950,262 | ) | (227,238 | ) | (2,979,493 | ) | (2,301,331 | ) | (46,110,544 | ) | |||||||||||||||
Net increase (decrease) | (283,075 | ) | $ | (3,029,570 | ) | 406,378 | $ | 5,442,109 | (674,382 | ) | $ | (12,655,757 | ) | ||||||||||||||
Class R6 | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | — | $ | — | 86,582 | $ | 1,732,523 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | — | — | — | — | |||||||||||||||||||||
Less shares redeemed | — | — | — | — | (444,034 | ) | (9,131,124 | ) | |||||||||||||||||||
Net increase (decrease) | — | $ | — | — | $ | — | (357,452 | ) | $ | (7,398,601 | ) |
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
216
Notes to Financial Statements (Unaudited)
EVOLVING WORLD GROWTH FUND | GLOBAL EQUITY FUND | GLOBAL GROWTH AND INCOME FUND | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 391,004 | $ | 6,762,959 | 265,416 | $ | 3,292,315 | 1,099,698 | $ | 9,490,501 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 11,579 | 172,408 | 112,095 | 1,289,097 | 97,528 | 873,603 | |||||||||||||||||||||
Less shares redeemed | (815,536 | ) | (12,469,085 | ) | (564,070 | ) | (6,729,651 | ) | (2,108,626 | ) | (18,481,508 | ) | |||||||||||||||
Net increase (decrease) | (412,953 | ) | $ | (5,533,718 | ) | (186,559 | ) | $ | (2,148,239 | ) | (911,400 | ) | $ | (8,117,404 | ) | ||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 40,192 | $ | 672,788 | 22,660 | $ | 245,184 | 71,960 | $ | 613,871 | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | 60,883 | 603,351 | 18,357 | 141,351 | |||||||||||||||||||||
Less shares redeemed | (342,622 | ) | (5,001,576 | ) | (487,287 | ) | (5,269,441 | ) | (1,040,655 | ) | (8,078,310 | ) | |||||||||||||||
Net increase (decrease) | (302,430 | ) | $ | (4,328,788 | ) | (403,744 | ) | $ | (4,420,906 | ) | (950,338 | ) | $ | (7,323,088 | ) | ||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 4,363,545 | $ | 78,476,333 | 600,310 | $ | 7,767,489 | 2,337,755 | $ | 23,373,263 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 86,887 | 1,302,432 | 329,656 | 3,929,499 | 69,759 | 649,005 | |||||||||||||||||||||
Less shares redeemed | (3,120,110 | ) | (46,723,770 | ) | (847,457 | ) | (10,471,760 | ) | (2,141,926 | ) | (18,654,225 | ) | |||||||||||||||
Net increase (decrease) | 1,330,322 | $ | 33,054,995 | 82,509 | $ | 1,225,228 | 265,588 | $ | 5,368,043 | ||||||||||||||||||
Class R6(a) | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | 8,199 | $ | 119,000 | — | $ | — | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | — | — | — | — | |||||||||||||||||||||
Less shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Net increase (decrease) | — | $ | — | 8,199 | $ | 119,000 | — | $ | — |
(a) Global Equity Fund Class R6 shares commenced operations on June 23, 2020.
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217
Notes to Financial Statements (Unaudited)
TOTAL RETURN BOND FUND | HIGH INCOME OPPORTUNITIES FUND | SHORT-TERM BOND FUND | |||||||||||||||||||||||||
Class A | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 687,482 | $ | 7,365,277 | 245,970 | $ | 2,032,831 | 286,957 | $ | 2,896,835 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 39,601 | 425,925 | 217,034 | 1,717,793 | 4,621 | 46,909 | |||||||||||||||||||||
Less shares redeemed | (622,896 | ) | (6,676,918 | ) | (834,673 | ) | (6,720,348 | ) | (35,177 | ) | (350,938 | ) | |||||||||||||||
Net increase (decrease) | 104,187 | $ | 1,114,284 | (371,669 | ) | $ | (2,969,724 | ) | 256,401 | $ | 2,592,806 | ||||||||||||||||
Class C | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 109,098 | $ | 1,175,752 | 19,346 | $ | 158,252 | — | $ | — | ||||||||||||||||||
Shares issued as reinvestment of distributions | 2,691 | 28,837 | 7,484 | 62,826 | — | — | |||||||||||||||||||||
Less shares redeemed | (226,107 | ) | (2,418,888 | ) | (124,746 | ) | (1,023,391 | ) | — | — | |||||||||||||||||
Net increase (decrease) | (114,318 | ) | $ | (1,214,299 | ) | (97,916 | ) | $ | (802,313 | ) | — | $ | — | ||||||||||||||
Class I | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | 4,238,417 | $ | 44,471,732 | 322,369 | $ | 2,486,979 | 421,347 | $ | 4,283,245 | ||||||||||||||||||
Shares issued as reinvestment of distributions | 95,353 | 1,028,248 | 45,623 | 360,699 | 71,315 | 723,691 | |||||||||||||||||||||
Less shares redeemed | (2,125,614 | ) | (22,766,469 | ) | (364,455 | ) | (2,892,583 | ) | (4,574,906 | ) | (46,297,045 | ) | |||||||||||||||
Net increase (decrease) | 2,208,156 | $ | 22,733,511 | 3,537 | $ | (44,905 | ) | (4,082,244 | ) | $ | (41,290,109 | ) | |||||||||||||||
Class R6 | Shares | Dollars | Shares | Dollars | Shares | Dollars | |||||||||||||||||||||
Shares sold | — | $ | — | — | $ | — | — | $ | — | ||||||||||||||||||
Shares issued as reinvestment of distributions | — | — | — | — | — | — | |||||||||||||||||||||
Less shares redeemed | — | — | — | — | — | — | |||||||||||||||||||||
Net increase (decrease) | — | $ | — | — | $ | — | — | $ | — |
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
218
Calamos Market Neutral Income Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.77 | $ | 13.47 | $ | 13.52 | $ | 13.41 | $ | 13.13 | $ | 13.08 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.06 | 0.19 | 0.27 | 0.30 | 0.26 | 0.25 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.54 | 0.24 | 0.28 | 0.19 | 0.35 | 0.16 | |||||||||||||||||||||
Total from investment operations | 0.60 | 0.43 | 0.55 | 0.49 | 0.61 | 0.41 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.02 | ) | (0.13 | ) | (0.19 | ) | (0.16 | ) | (0.13 | ) | (0.16 | ) | |||||||||||||||
Dividends from net realized gains | — | — | (0.41 | ) | (0.22 | ) | (0.20 | ) | (0.20 | ) | |||||||||||||||||
Total distributions** | (0.02 | ) | (0.13 | ) | (0.60 | ) | (0.38 | ) | (0.33 | ) | (0.36 | ) | |||||||||||||||
Net asset value, end of period | $ | 14.35 | $ | 13.77 | $ | 13.47 | $ | 13.52 | $ | 13.41 | $ | 13.13 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 4.38 | % | 3.27 | % | 4.32 | % | 3.79 | % | 4.74 | % | 3.16 | % | |||||||||||||||
Net assets, end of period (000) | $ | 1,071,146 | $ | 817,405 | $ | 744,356 | $ | 743,925 | $ | 682,451 | $ | 970,737 | |||||||||||||||
Ratio of net expenses to average net assets | 1.13 | %(c)(d) | 1.20 | %(e) | 1.24 | %(f) | 1.25 | %(g) | 1.28 | %(h) | 1.22 | %(i) | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.13 | %(c) | 1.21 | % | 1.24 | % | 1.25 | % | 1.28 | % | 1.22 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.84 | %(c) | 1.43 | % | 2.04 | % | 2.26 | % | 1.96 | % | 1.91 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 38.8 | % | 76.6 | % | 73.8 | % | 66.8 | % | 81.1 | % | 37.5 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
(d) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.03% for the period ended April 30, 2021.
(e) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.05% for the year ended October 31, 2020.
(f) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.06% for the year ended October 31, 2019.
(g) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.07% for the year ended October 31, 2018.
(h) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.08% for the year ended October 31, 2017.
(i) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.08% for the year ended October 31, 2016.
www.calamos.com
219
Calamos Market Neutral Income Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.98 | $ | 13.70 | $ | 13.73 | $ | 13.62 | $ | 13.33 | $ | 13.27 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.10 | 0.18 | 0.21 | 0.16 | 0.15 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.55 | 0.24 | 0.28 | 0.19 | 0.36 | 0.17 | |||||||||||||||||||||
Total from investment operations | 0.56 | 0.34 | 0.46 | 0.40 | 0.52 | 0.32 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.00 | )* | (0.06 | ) | (0.08 | ) | (0.07 | ) | (0.03 | ) | (0.06 | ) | |||||||||||||||
Dividends from net realized gains | — | — | (0.41 | ) | (0.22 | ) | (0.20 | ) | (0.20 | ) | |||||||||||||||||
Total distributions** | (0.00 | )* | (0.06 | ) | (0.49 | ) | (0.29 | ) | (0.23 | ) | (0.26 | ) | |||||||||||||||
Net asset value, end of period | $ | 14.54 | $ | 13.98 | $ | 13.70 | $ | 13.73 | $ | 13.62 | $ | 13.33 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 4.01 | % | 2.46 | % | 3.56 | % | 3.03 | % | 3.98 | % | 2.41 | % | |||||||||||||||
Net assets, end of period (000) | $ | 288,359 | $ | 252,490 | $ | 261,352 | $ | 303,417 | $ | 282,115 | $ | 318,853 | |||||||||||||||
Ratio of net expenses to average net assets | 1.88 | %(c)(d) | 1.95 | %(e) | 1.98 | %(f) | 2.00 | %(g) | 2.03 | %(h) | 1.97 | %(i) | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.88 | %(c) | 1.96 | % | 1.99 | % | 2.00 | % | 2.03 | % | 1.97 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.11 | %(c) | 0.70 | % | 1.31 | % | 1.51 | % | 1.22 | % | 1.16 | % |
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
(d) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.78% for the period ended April 30, 2021.
(e) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.80% for the year ended October 31, 2020.
(f) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.80% for the year ended October 31, 2019.
(g) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.81% for the year ended October 31, 2018.
(h) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.83% for the year ended October 31, 2017.
(i) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.84% for the year ended October 31, 2016.
CALAMOS OPEN-END FAMILY OF FUNDS ANNUAL REPORT
220
Calamos Market Neutral Income Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.60 | $ | 13.30 | $ | 13.36 | $ | 13.26 | $ | 12.98 | $ | 12.94 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.08 | 0.22 | 0.30 | 0.33 | 0.29 | 0.27 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.54 | 0.24 | 0.28 | 0.19 | 0.36 | 0.16 | |||||||||||||||||||||
Total from investment operations | 0.62 | 0.46 | 0.58 | 0.52 | 0.65 | 0.43 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.04 | ) | (0.16 | ) | (0.23 | ) | (0.20 | ) | (0.17 | ) | (0.19 | ) | |||||||||||||||
Dividends from net realized gains | — | — | (0.41 | ) | (0.22 | ) | (0.20 | ) | (0.20 | ) | |||||||||||||||||
Total distributions** | (0.04 | ) | (0.16 | ) | (0.64 | ) | (0.42 | ) | (0.37 | ) | (0.39 | ) | |||||||||||||||
Net asset value, end of period | $ | 14.18 | $ | 13.60 | $ | 13.30 | $ | 13.36 | $ | 13.26 | $ | 12.98 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 4.55 | % | 3.51 | % | 4.62 | % | 4.02 | % | 5.07 | % | 3.38 | % | |||||||||||||||
Net assets, end of period (000) | $ | 11,968,929 | $ | 9,207,961 | $ | 7,709,445 | $ | 5,658,499 | $ | 3,734,035 | $ | 2,587,922 | |||||||||||||||
Ratio of net expenses to average net assets | 0.88 | %(c)(d) | 0.95 | %(e) | 0.99 | %(f) | 0.99 | %(g) | 1.02 | %(h) | 0.97 | %(i) | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 0.88 | %(c) | 0.96 | % | 0.99 | % | 0.99 | % | 1.02 | % | 0.97 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.09 | %(c) | 1.66 | % | 2.28 | % | 2.49 | % | 2.22 | % | 2.15 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
(d) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 0.78% for the period ended April 30, 2021.
(e) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 0.80% for the year ended October 31, 2020.
(f) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 0.81% for the year ended October 31, 2019.
(g) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 0.81% for the year ended October 31, 2018.
(h) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 0.83% for the year ended October 31, 2017.
(i) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 0.84% for the year ended October 31, 2016.
www.calamos.com
221
Calamos Market Neutral Income Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS R6 | |||||||||||
(Unaudited) Six Months Ended April 30, 2021 | June 23, 2020• through October 31, 2020 | ||||||||||
Net asset value, beginning of period | $ | 13.61 | $ | 13.35 | |||||||
Income from investment operations: | |||||||||||
Net investment income (loss)(a) | 0.06 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.56 | 0.21 | |||||||||
Total from investment operations | 0.62 | 0.26 | |||||||||
Distributions: | |||||||||||
Dividends from net investment income | (0.04 | ) | — | ||||||||
Dividends from net realized gains | — | — | |||||||||
Total distributions** | (0.04 | ) | — | ||||||||
Net asset value, end of period | $ | 14.19 | $ | 13.61 | |||||||
Ratios and supplemental data: | |||||||||||
Total return(b) | 4.59 | % | 1.95 | % | |||||||
Net assets, end of period (000) | $ | 1,856 | $ | 10 | |||||||
Ratio of net expenses to average net assets | 0.78 | %(c)(d) | 0.77 | %(c)(e) | |||||||
Ratio of gross expenses to average net assets prior to expense reductions | 0.78 | %(c) | 0.77 | %(c) | |||||||
Ratio of net investment income (loss) to average net assets | 0.92 | %(c) | 1.06 | %(c) |
• Commencement of operations.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
(d) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 0.70% for the period ended April 30, 2021.
(e) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 0.66% for the year ended October 31, 2020.
CALAMOS OPEN-END FAMILY OF FUNDS ANNUAL REPORT
222
Calamos Hedged Equity Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.35 | $ | 11.88 | $ | 11.44 | $ | 10.85 | $ | 10.03 | $ | 10.00 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.04 | 0.10 | 0.10 | 0.08 | 0.12 | 0.10 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.61 | 0.47 | 0.64 | 0.57 | 0.76 | 0.17 | |||||||||||||||||||||
Total from investment operations | 1.65 | 0.57 | 0.74 | 0.65 | 0.88 | 0.27 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.05 | ) | (0.10 | ) | (0.05 | ) | (0.06 | ) | (0.06 | ) | (0.15 | ) | |||||||||||||||
Dividends from net realized gains | — | — | (0.25 | ) | — | — | (0.09 | ) | |||||||||||||||||||
Total distributions** | (0.05 | ) | (0.10 | ) | (0.30 | ) | (0.06 | ) | (0.06 | ) | (0.24 | ) | |||||||||||||||
Net asset value, end of period | $ | 13.95 | $ | 12.35 | $ | 11.88 | $ | 11.44 | $ | 10.85 | $ | 10.03 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 13.33 | % | 4.92 | % | 6.65 | % | 6.08 | % | 8.77 | % | 2.79 | % | |||||||||||||||
Net assets, end of period (000) | $ | 25,236 | $ | 15,782 | $ | 10,412 | $ | 5,151 | $ | 1,007 | $ | 10,275 | |||||||||||||||
Ratio of net expenses to average net assets | 1.17 | %(c) | 1.15 | % | 1.21 | % | 1.25 | % | 1.25 | % | 1.22 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.17 | %(c) | 1.20 | % | 1.21 | % | 1.47 | % | 2.14 | % | 2.03 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.67 | %(c) | 0.84 | % | 0.86 | % | 0.65 | % | 1.12 | % | 1.01 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 19.3 | % | 56.9 | % | 81.7 | % | 140.8 | % | 49.2 | % | 19.6 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
223
Calamos Hedged Equity Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.18 | $ | 11.72 | $ | 11.35 | $ | 10.78 | $ | 10.00 | $ | 9.98 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.00 | )* | 0.01 | 0.01 | (0.01 | ) | 0.02 | 0.03 | |||||||||||||||||||
Net realized and unrealized gain (loss) | 1.57 | 0.48 | 0.63 | 0.58 | 0.79 | 0.16 | |||||||||||||||||||||
Total from investment operations | 1.57 | 0.49 | 0.64 | 0.57 | 0.81 | 0.19 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.03 | ) | (0.03 | ) | (0.02 | ) | (0.00 | )* | (0.03 | ) | (0.08 | ) | |||||||||||||||
Dividends from net realized gains | — | — | (0.25 | ) | — | — | (0.09 | ) | |||||||||||||||||||
Total distributions** | (0.03 | ) | (0.03 | ) | (0.27 | ) | (0.00 | )* | (0.03 | ) | (0.17 | ) | |||||||||||||||
Net asset value, end of period | $ | 13.72 | $ | 12.18 | $ | 11.72 | $ | 11.35 | $ | 10.78 | $ | 10.00 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 12.91 | % | 4.19 | % | 5.88 | % | 5.31 | % | 8.09 | % | 1.92 | % | |||||||||||||||
Net assets, end of period (000) | $ | 4,753 | $ | 3,429 | $ | 2,151 | $ | 616 | $ | 173 | $ | 156 | |||||||||||||||
Ratio of net expenses to average net assets | 1.92 | %(c) | 1.90 | % | 1.96 | % | 2.00 | % | 2.00 | % | 1.97 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.92 | %(c) | 1.95 | % | 1.96 | % | 2.30 | % | 3.03 | % | 2.79 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.06 | %)(c) | 0.08 | % | 0.11 | % | (0.07 | %) | 0.24 | % | 0.26 | % |
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS ANNUAL REPORT
224
Calamos Hedged Equity Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.34 | $ | 11.87 | $ | 11.45 | $ | 10.84 | $ | 10.04 | $ | 10.01 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.06 | 0.13 | 0.13 | 0.10 | 0.13 | 0.13 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 1.60 | 0.47 | 0.64 | 0.59 | 0.78 | 0.17 | |||||||||||||||||||||
Total from investment operations | 1.66 | 0.60 | 0.77 | 0.69 | 0.91 | 0.30 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.06 | ) | (0.13 | ) | (0.10 | ) | (0.08 | ) | (0.11 | ) | (0.18 | ) | |||||||||||||||
Dividends from net realized gains | — | — | (0.25 | ) | — | — | (0.09 | ) | |||||||||||||||||||
Total distributions** | (0.06 | ) | (0.13 | ) | (0.35 | ) | (0.08 | ) | (0.11 | ) | (0.27 | ) | |||||||||||||||
Net asset value, end of period | $ | 13.94 | $ | 12.34 | $ | 11.87 | $ | 11.45 | $ | 10.84 | $ | 10.04 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 13.50 | % | 5.09 | % | 7.01 | % | 6.38 | % | 9.12 | % | 3.02 | % | |||||||||||||||
Net assets, end of period (000) | $ | 422,684 | $ | 342,851 | $ | 224,234 | $ | 91,589 | $ | 11,883 | $ | 8,035 | |||||||||||||||
Ratio of net expenses to average net assets | 0.92 | %(c) | 0.90 | % | 0.96 | % | 1.00 | % | 1.00 | % | 0.97 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 0.92 | %(c) | 0.95 | % | 0.96 | % | 1.26 | % | 2.06 | % | 1.81 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.96 | %(c) | 1.09 | % | 1.12 | % | 0.91 | % | 1.22 | % | 1.27 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
225
Calamos Phineus Long/Short Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | April 5, 2016• through October 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.18 | $ | 11.63 | $ | 12.15 | $ | 12.33 | $ | 10.77 | $ | 10.00 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.09 | ) | (0.08 | ) | 0.04 | (0.03 | ) | (0.16 | ) | (0.10 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 5.04 | (0.36 | ) | (0.12 | ) | — | 1.82 | 0.87 | |||||||||||||||||||
Total from investment operations | 4.95 | (0.44 | ) | (0.08 | ) | (0.03 | ) | 1.66 | 0.77 | ||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | (0.01 | ) | — | — | — | — | ||||||||||||||||||||
Dividends from net realized gains | — | — | (0.44 | ) | (0.15 | ) | (0.10 | ) | — | ||||||||||||||||||
Return of capital | — | (0.00 | )* | — | — | — | — | ||||||||||||||||||||
Total distributions** | — | (0.01 | ) | (0.44 | ) | (0.15 | ) | (0.10 | ) | — | |||||||||||||||||
Net asset value, end of period | $ | 16.13 | $ | 11.18 | $ | 11.63 | $ | 12.15 | $ | 12.33 | $ | 10.77 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 44.36 | % | (3.77 | %) | (0.45 | %) | (0.34 | %) | 15.46 | % | 7.70 | % | |||||||||||||||
Net assets, end of period (000) | $ | 53,700 | $ | 40,748 | $ | 76,689 | $ | 108,730 | $ | 66,854 | $ | 14,708 | |||||||||||||||
Ratio of net expenses to average net assets | 2.37 | %(c)(d) | 2.91 | %(e) | 2.95 | %(f) | 2.28 | %(g) | 2.71 | %(h) | 2.99 | %(c)(i) | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 2.37 | %(c) | 2.92 | % | 2.96 | % | 2.28 | % | 2.71 | % | 4.04 | %(c) | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.31 | %)(c) | (0.68 | %) | 0.33 | % | (0.27 | %) | (1.34 | %) | (1.77 | %)(c) | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | April 5, 2016• through October 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 91.7 | % | 205.8 | % | 135.4 | % | 228.6 | % | 167.8 | % | 177.6 | % |
• Commencement of operations.
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
(d) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.69% for the period ended April 30, 2021.
(e) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.71% for the year ended October 31, 2020.
(f) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.64% for the year ended October 31, 2019.
(g) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.64% for the year ended October 31, 2018.
(h) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.73% for the year ended October 31, 2017.
(i) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 2.01% for the period ended October 31, 2016.
CALAMOS OPEN-END FAMILY OF FUNDS ANNUAL REPORT
226
Calamos Phineus Long/Short Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | April 5, 2016• through October 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.80 | $ | 11.32 | $ | 11.92 | $ | 12.19 | $ | 10.73 | $ | 10.00 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.14 | ) | (0.16 | ) | (0.05 | ) | (0.13 | ) | (0.25 | ) | (0.15 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 4.88 | (0.36 | ) | (0.11 | ) | 0.01 | 1.81 | 0.88 | |||||||||||||||||||
Total from investment operations | 4.74 | (0.52 | ) | (0.16 | ) | (0.12 | ) | 1.56 | 0.73 | ||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | |||||||||||||||||||||
Dividends from net realized gains | — | — | (0.44 | ) | (0.15 | ) | (0.10 | ) | — | ||||||||||||||||||
Return of capital | — | (0.00 | )* | — | — | — | — | ||||||||||||||||||||
Total distributions** | — | — | (0.44 | ) | (0.15 | ) | (0.10 | ) | — | ||||||||||||||||||
Net asset value, end of period | $ | 15.54 | $ | 10.80 | $ | 11.32 | $ | 11.92 | $ | 12.19 | $ | 10.73 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 43.98 | % | (4.59 | %) | (1.15 | %) | (1.09 | %) | 14.58 | % | 7.30 | % | |||||||||||||||
Net assets, end of period (000) | $ | 31,727 | $ | 22,528 | $ | 38,072 | $ | 52,169 | $ | 28,933 | $ | 4,936 | |||||||||||||||
Ratio of net expenses to average net assets | 3.12 | %(c)(d) | 3.65 | %(e) | 3.69 | %(f) | 3.03 | %(g) | 3.46 | %(h) | 3.69 | %(c)(i) | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 3.12 | %(c) | 3.65 | % | 3.70 | % | 3.03 | % | 3.46 | % | 4.82 | %(c) | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (2.06 | %)(c) | (1.43 | %) | (0.42 | %) | (1.02 | %) | (2.11 | %) | (2.54 | %)(c) |
• Commencement of operations.
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
(d) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 2.44% for the period ended April 30, 2021.
(e) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 2.46% for the year ended October 31, 2020.
(f) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 2.39% for the year ended October 31, 2019.
(g) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 2.39% for the year ended October 31, 2018.
(h) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 2.47% for the year ended October 31, 2017.
(i) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 2.67% for the period ended October 31, 2016.
www.calamos.com
227
Calamos Phineus Long/Short Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | April 5, 2016• through October 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.28 | $ | 11.75 | $ | 12.23 | $ | 12.39 | $ | 10.80 | $ | 10.00 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.08 | ) | (0.05 | ) | 0.07 | 0.01 | (0.13 | ) | (0.08 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 5.10 | (0.37 | ) | (0.11 | ) | (0.02 | ) | 1.82 | 0.88 | ||||||||||||||||||
Total from investment operations | 5.02 | (0.42 | ) | (0.04 | ) | (0.01 | ) | 1.69 | 0.80 | ||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | (0.02 | ) | — | — | — | — | ||||||||||||||||||||
Dividends from net realized gains | — | — | (0.44 | ) | (0.15 | ) | (0.10 | ) | — | ||||||||||||||||||
Return of capital | — | (0.03 | ) | — | — | — | — | ||||||||||||||||||||
Total distributions** | — | (0.05 | ) | (0.44 | ) | (0.15 | ) | (0.10 | ) | — | |||||||||||||||||
Net asset value, end of period | $ | 16.30 | $ | 11.28 | $ | 11.75 | $ | 12.23 | $ | 12.39 | $ | 10.80 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 44.72 | % | (3.67 | %) | (0.16 | %) | (0.10 | %) | 15.70 | % | 8.00 | % | |||||||||||||||
Net assets, end of period (000) | $ | 465,738 | $ | 344,843 | $ | 678,157 | $ | 1,003,457 | $ | 348,840 | $ | 56,319 | |||||||||||||||
Ratio of net expenses to average net assets | 2.12 | %(c)(d) | 2.64 | %(e) | 2.68 | %(f) | 2.00 | %(g) | 2.45 | %(h) | 2.77 | %(c)(i) | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 2.12 | %(c) | 2.65 | % | 2.69 | % | 2.00 | % | 2.45 | % | 4.04 | %(c) | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.06 | %)(c) | (0.42 | %) | 0.57 | % | 0.05 | % | (1.09 | %) | (1.33 | %)(c) |
• Commencement of operations.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
(d) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.44% for the period ended April 30, 2021.
(e) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.46% for the year ended October 31, 2020.
(f) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.39% for the year ended October 31, 2019.
(g) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.39% for the year ended October 31, 2018.
(h) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.47% for the year ended October 31, 2017.
(i) Ratio of net expenses, excluding dividend expense on short positions, to average net assets was 1.76% for the period ended October 31, 2016.
CALAMOS OPEN-END FAMILY OF FUNDS ANNUAL REPORT
228
Calamos Convertible Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.78 | $ | 17.45 | $ | 18.11 | $ | 18.27 | $ | 15.93 | $ | 16.56 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.22 | 0.47 | 0.51 | 0.48 | 0.49 | 0.50 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 5.07 | 4.99 | 1.00 | 0.13 | 2.16 | (0.30 | ) | ||||||||||||||||||||
Total from investment operations | 5.29 | 5.46 | 1.51 | 0.61 | 2.65 | 0.20 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.06 | ) | (0.13 | ) | (0.35 | ) | (0.24 | ) | (0.31 | ) | (0.56 | ) | |||||||||||||||
Dividends from net realized gains | (1.54 | ) | — | (1.82 | ) | (0.53 | ) | — | (0.27 | ) | |||||||||||||||||
Total distributions** | (1.60 | ) | (0.13 | ) | (2.17 | ) | (0.77 | ) | (0.31 | ) | (0.83 | ) | |||||||||||||||
Net asset value, end of period | $ | 26.47 | $ | 22.78 | $ | 17.45 | $ | 18.11 | $ | 18.27 | $ | 15.93 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 23.40 | % | 31.58 | % | 10.02 | % | 3.43 | % | 16.88 | % | 1.33 | % | |||||||||||||||
Net assets, end of period (000) | $ | 415,144 | $ | 333,481 | $ | 245,948 | $ | 210,845 | $ | 222,017 | $ | 228,334 | |||||||||||||||
Ratio of net expenses to average net assets | 1.07 | %(c) | 1.13 | % | 1.16 | % | 1.16 | % | 1.18 | % | 1.15 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.07 | %(c) | 1.13 | % | 1.16 | % | 1.16 | % | 1.18 | % | 1.15 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.73 | %(c) | 2.37 | % | 2.98 | % | 2.58 | % | 2.87 | % | 3.17 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 33.3 | % | 70.7 | % | 36.7 | % | 73.2 | % | 55.7 | % | 43.8 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
229
Calamos Convertible Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.48 | $ | 17.27 | $ | 17.92 | $ | 18.09 | $ | 15.79 | $ | 16.41 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.12 | 0.32 | 0.39 | 0.34 | 0.36 | 0.37 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 4.99 | 4.93 | 0.99 | 0.12 | 2.14 | (0.28 | ) | ||||||||||||||||||||
Total from investment operations | 5.11 | 5.25 | 1.38 | 0.46 | 2.50 | 0.09 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | (0.04 | ) | (0.21 | ) | (0.10 | ) | (0.20 | ) | (0.44 | ) | ||||||||||||||||
Dividends from net realized gains | (1.54 | ) | — | (1.82 | ) | (0.53 | ) | — | (0.27 | ) | |||||||||||||||||
Total distributions** | (1.54 | ) | (0.04 | ) | (2.03 | ) | (0.63 | ) | (0.20 | ) | (0.71 | ) | |||||||||||||||
Net asset value, end of period | $ | 26.05 | $ | 22.48 | $ | 17.27 | $ | 17.92 | $ | 18.09 | $ | 15.79 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 22.95 | % | 30.53 | % | 9.21 | % | 2.65 | % | 15.99 | % | 0.62 | % | |||||||||||||||
Net assets, end of period (000) | $ | 70,687 | $ | 56,935 | $ | 56,070 | $ | 128,920 | $ | 147,112 | $ | 193,339 | |||||||||||||||
Ratio of net expenses to average net assets | 1.82 | %(c) | 1.88 | % | 1.91 | % | 1.91 | % | 1.93 | % | 1.90 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.82 | %(c) | 1.88 | % | 1.91 | % | 1.91 | % | 1.93 | % | 1.90 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.98 | %(c) | 1.65 | % | 2.34 | % | 1.85 | % | 2.14 | % | 2.40 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS ANNUAL REPORT
230
Calamos Convertible Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.05 | $ | 15.38 | $ | 16.23 | $ | 16.45 | $ | 14.38 | $ | 15.03 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.22 | 0.46 | 0.49 | 0.47 | 0.48 | 0.49 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 4.44 | 4.39 | 0.88 | 0.13 | 1.95 | (0.27 | ) | ||||||||||||||||||||
Total from investment operations | 4.66 | 4.85 | 1.37 | 0.60 | 2.43 | 0.22 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.07 | ) | (0.18 | ) | (0.40 | ) | (0.29 | ) | (0.36 | ) | (0.60 | ) | |||||||||||||||
Dividends from net realized gains | (1.54 | ) | — | (1.82 | ) | (0.53 | ) | — | (0.27 | ) | |||||||||||||||||
Total distributions** | (1.61 | ) | (0.18 | ) | (2.22 | ) | (0.82 | ) | (0.36 | ) | (0.87 | ) | |||||||||||||||
Net asset value, end of period | $ | 23.10 | $ | 20.05 | $ | 15.38 | $ | 16.23 | $ | 16.45 | $ | 14.38 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 23.53 | % | 31.91 | % | 10.31 | % | 3.73 | % | 17.14 | % | 1.64 | % | |||||||||||||||
Net assets, end of period (000) | $ | 1,086,750 | $ | 773,460 | $ | 442,907 | $ | 275,776 | $ | 233,077 | $ | 238,309 | |||||||||||||||
Ratio of net expenses to average net assets | 0.82 | %(c) | 0.88 | % | 0.91 | % | 0.91 | % | 0.93 | % | 0.90 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 0.82 | %(c) | 0.88 | % | 0.91 | % | 0.91 | % | 0.93 | % | 0.90 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.96 | %(c) | 2.60 | % | 3.21 | % | 2.83 | % | 3.12 | % | 3.48 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
231
Calamos Global Convertible Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.48 | $ | 11.08 | $ | 10.81 | $ | 11.24 | $ | 9.89 | $ | 9.93 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.10 | 0.24 | 0.10 | 0.33 | 0.25 | 0.26 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.29 | 2.37 | 0.70 | (0.34 | ) | 1.21 | (0.14 | ) | |||||||||||||||||||
Total from investment operations | 2.39 | 2.61 | 0.80 | (0.01 | ) | 1.46 | 0.12 | ||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.01 | ) | (0.06 | ) | (0.22 | ) | (0.08 | ) | (0.11 | ) | (0.16 | ) | |||||||||||||||
Dividends from net realized gains | (1.13 | ) | (0.15 | ) | (0.31 | ) | (0.34 | ) | — | — | |||||||||||||||||
Total distributions** | (1.14 | ) | (0.21 | ) | (0.53 | ) | (0.42 | ) | (0.11 | ) | (0.16 | ) | |||||||||||||||
Net asset value, end of period | $ | 14.73 | $ | 13.48 | $ | 11.08 | $ | 10.81 | $ | 11.24 | $ | 9.89 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 17.90 | % | 23.93 | % | 7.90 | % | (0.09 | %) | 14.86 | % | 1.27 | % | |||||||||||||||
Net assets, end of period (000) | $ | 17,110 | $ | 11,231 | $ | 8,998 | $ | 11,184 | $ | 12,713 | $ | 29,037 | |||||||||||||||
Ratio of net expenses to average net assets | 1.24 | %(c) | 1.33 | % | 1.32 | % | 1.34 | % | 1.35 | % | 1.35 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.24 | %(c) | 1.34 | % | 1.32 | % | 1.35 | % | 1.45 | % | 1.46 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.32 | %(c) | 1.96 | % | 0.91 | % | 2.98 | % | 2.46 | % | 2.64 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 27.8 | % | 47.7 | % | 45.4 | % | 32.0 | % | 52.2 | % | 38.4 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS ANNUAL REPORT
232
Calamos Global Convertible Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.25 | $ | 10.93 | $ | 10.69 | $ | 11.14 | $ | 9.85 | $ | 9.90 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.04 | 0.14 | 0.02 | 0.24 | 0.16 | 0.18 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.25 | 2.35 | 0.69 | (0.33 | ) | 1.21 | (0.13 | ) | |||||||||||||||||||
Total from investment operations | 2.29 | 2.49 | 0.71 | (0.09 | ) | 1.37 | 0.05 | ||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | (0.02 | ) | (0.16 | ) | (0.02 | ) | (0.08 | ) | (0.10 | ) | ||||||||||||||||
Dividends from net realized gains | (1.13 | ) | (0.15 | ) | (0.31 | ) | (0.34 | ) | — | — | |||||||||||||||||
Total distributions** | (1.13 | ) | (0.17 | ) | (0.47 | ) | (0.36 | ) | (0.08 | ) | (0.10 | ) | |||||||||||||||
Net asset value, end of period | $ | 14.41 | $ | 13.25 | $ | 10.93 | $ | 10.69 | $ | 11.14 | $ | 9.85 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 17.46 | % | 23.09 | % | 7.01 | % | (0.77 | %) | 13.95 | % | 0.50 | % | |||||||||||||||
Net assets, end of period (000) | $ | 5,711 | $ | 4,824 | $ | 3,409 | $ | 3,884 | $ | 2,887 | $ | 2,440 | |||||||||||||||
Ratio of net expenses to average net assets | 1.99 | %(c) | 2.08 | % | 2.07 | % | 2.09 | % | 2.10 | % | 2.10 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.99 | %(c) | 2.09 | % | 2.07 | % | 2.10 | % | �� | 2.19 | % | 2.21 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.58 | %(c) | 1.21 | % | 0.16 | % | 2.21 | % | 1.54 | % | 1.89 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
233
Calamos Global Convertible Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.50 | $ | 11.08 | $ | 10.82 | $ | 11.24 | $ | 9.92 | $ | 9.95 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.11 | 0.26 | 0.12 | 0.36 | 0.26 | 0.28 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.29 | 2.39 | 0.70 | (0.33 | ) | 1.21 | (0.13 | ) | |||||||||||||||||||
Total from investment operations | 2.40 | 2.65 | 0.82 | 0.03 | 1.47 | 0.15 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.03 | ) | (0.08 | ) | (0.25 | ) | (0.11 | ) | (0.15 | ) | (0.18 | ) | |||||||||||||||
Dividends from net realized gains | (1.13 | ) | (0.15 | ) | (0.31 | ) | (0.34 | ) | — | — | |||||||||||||||||
Total distributions** | (1.16 | ) | (0.23 | ) | (0.56 | ) | (0.45 | ) | (0.15 | ) | (0.18 | ) | |||||||||||||||
Net asset value, end of period | $ | 14.74 | $ | 13.50 | $ | 11.08 | $ | 10.82 | $ | 11.24 | $ | 9.92 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 17.98 | % | 24.36 | % | 8.09 | % | 0.24 | % | 14.98 | % | 1.60 | % | |||||||||||||||
Net assets, end of period (000) | $ | 249,879 | $ | 192,475 | $ | 120,526 | $ | 121,170 | $ | 91,086 | $ | 47,637 | |||||||||||||||
Ratio of net expenses to average net assets | 0.99 | %(c) | 1.08 | % | 1.07 | % | 1.09 | % | 1.10 | % | 1.10 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 0.99 | %(c) | 1.09 | % | 1.07 | % | 1.10 | % | 1.18 | % | 1.21 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.56 | %(c) | 2.19 | % | 1.16 | % | 3.22 | % | 2.47 | % | 2.88 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS ANNUAL REPORT
234
Calamos Timpani Small Cap Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A* | |||||||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | May 31, 2019 through October 31, | July 1, 2018 through May 31, | Year Ended June 30, | |||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2019† | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.18 | $ | 22.31 | $ | 22.51 | $ | 25.02 | $ | 18.54 | $ | 14.62 | $ | 18.48 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.23 | ) | (0.28 | ) | (0.11 | ) | (0.29 | ) | (0.28 | ) | (0.18 | ) | (0.18 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 13.11 | 8.29 | (0.09 | ) | (0.80 | ) | 6.76 | 4.10 | (3.68 | ) | |||||||||||||||||||||
Total from investment operations | 12.88 | 8.01 | (0.20 | ) | (1.09 | ) | 6.48 | 3.92 | (3.86 | ) | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Dividends from net realized gains | (1.37 | ) | (1.14 | ) | — | (1.42 | ) | — | — | — | |||||||||||||||||||||
Total distributions** | (1.37 | ) | (1.14 | ) | — | (1.42 | ) | — | — | — | |||||||||||||||||||||
Net asset value, end of period | $ | 40.69 | $ | 29.18 | $ | 22.31 | $ | 22.51 | $ | 25.02 | $ | 18.54 | $ | 14.62 | |||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||||||
Total return(b) | 44.69 | % | 37.60 | % | (0.89 | %) | (3.52 | %) | 34.95 | % | 26.81 | % | (20.84 | %) | |||||||||||||||||
Net assets, end of period (000) | $ | 26,000 | $ | 9,313 | $ | 6,857 | $ | 5,551 | $ | 5,890 | $ | 3,954 | $ | 3,369 | |||||||||||||||||
Ratio of net expenses to average net assets | 1.30 | %(c) | 1.30 | % | 1.30 | %(c) | 1.50 | %(c) | 1.50 | % | 1.50 | % | 1.50 | % | |||||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.31 | %(c) | 1.40 | % | 1.35 | %(c) | 1.71 | %(c) | 1.74 | % | 1.75 | % | 1.70 | % | |||||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.20 | %)(c) | (1.16 | %) | (1.18 | %)(c) | (1.31 | %)(c) | (1.33 | %) | (1.10 | %) | (1.16 | %) | |||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | May 31, 2019 through October 31, | July 1, 2018 through May 31, | Year Ended June 30, | |||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Portfolio turnover rate | 74.2 | % | 180.9 | % | 141.7 | % | 112.3 | % | 126.0 | % | 179.0 | % | 156.0 | % |
* Prior to May 31, 2019, Class A shares were Class Y shares of the predecessor fund.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
† Pursuant to the Reorganization of the Predecessor Fund into the Fund, Class Y shareholders of the Predecessor Fund received Class A shares of the Fund, and Service Class and Institutional Class shareholders of the Predecessor Fund each received Class I shares of the Fund. As a result of the Reorganization, the Fund adopted the performance and financial history of the Predecessor Fund. Accordingly, the data shown for periods prior to May 31, 2019 is the data of the Predecessor Fund.
www.calamos.com
235
Calamos Timpani Small Cap Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I* | |||||||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | May 31, 2019 through October 31, | July 1, 2018 through May 31, | Year Ended June 30, | |||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2019† | 2018 | 2017 | 2016 | |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 29.99 | $ | 22.85 | $ | 23.02 | $ | 25.47 | $ | 18.80 | $ | 14.77 | $ | 18.58 | |||||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.18 | ) | (0.23 | ) | (0.09 | ) | (0.20 | ) | (0.20 | ) | (0.10 | ) | (0.12 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 13.48 | 8.51 | (0.08 | ) | (0.83 | ) | 6.87 | 4.13 | (3.69 | ) | |||||||||||||||||||||
Total from investment operations | 13.30 | 8.28 | (0.17 | ) | (1.03 | ) | 6.67 | 4.03 | (3.81 | ) | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | — | ||||||||||||||||||||||||
Dividends from net realized gains | (1.37 | ) | (1.14 | ) | — | (1.42 | ) | — | — | — | |||||||||||||||||||||
Total distributions** | (1.37 | ) | (1.14 | ) | — | (1.42 | ) | — | — | — | |||||||||||||||||||||
Net asset value, end of period | $ | 41.92 | $ | 29.99 | $ | 22.85 | $ | 23.02 | $ | 25.47 | $ | 18.80 | $ | 14.77 | |||||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||||||
Total return(b) | 44.89 | % | 37.90 | % | (0.74 | %) | (3.21 | %) | 35.48 | % | 27.29 | % | (20.51 | %) | |||||||||||||||||
Net assets, end of period (000) | $ | 280,098 | $ | 124,867 | $ | 72,539 | $ | 68,510 | $ | 69,095 | $ | 43,833 | $ | 52,595 | |||||||||||||||||
Ratio of net expenses to average net assets | 1.05 | %(c) | 1.05 | % | 1.05 | %(c) | 1.10 | %(c) | 1.10 | % | 1.10 | % | 1.10 | % | |||||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.06 | %(c) | 1.16 | % | 1.11 | %(c) | 1.34 | %(c) | 1.36 | % | 1.36 | % | 1.32 | % | |||||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.95 | %)(c) | (0.92 | %) | (0.93 | %)(c) | (0.92 | %)(c) | (0.92 | %) | (0.64 | %) | (0.77 | %) |
* Prior to May 31, 2019, Class I shares were Institutional Class shares or Service Class shares of the predecessor fund. Results shown are exclusive of the Service Class shares.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
† Pursuant to the Reorganization of the Predecessor Fund into the Fund, Class Y shareholders of the Predecessor Fund received Class A shares of the Fund, and Service Class and Institutional Class shareholders of the Predecessor Fund each received Class I shares of the Fund. As a result of the Reorganization, the Fund adopted the performance and financial history of the Predecessor Fund. Accordingly, the data shown for periods prior to May 31, 2019 is the data of the Predecessor Fund.
CALAMOS OPEN-END FAMILY OF FUNDS ANNUAL REPORT
236
Calamos Timpani Small Cap Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS R6 | |||||||||||||||
(Unaudited) Six Months Ended April 30, 2021 | Year Ended October 31, 2020 | May 31, 2019• through October 31, 2019 | |||||||||||||
Net asset value, beginning of period | $ | 30.02 | $ | 22.86 | $ | 23.02 | |||||||||
Income from investment operations: | |||||||||||||||
Net investment income (loss)(a) | (0.18 | ) | (0.21 | ) | (0.08 | ) | |||||||||
Net realized and unrealized gain (loss) | 13.52 | 8.51 | (0.08 | ) | |||||||||||
Total from investment operations | 13.34 | 8.30 | (0.16 | ) | |||||||||||
Distributions: | |||||||||||||||
Dividends from net investment income | — | — | — | ||||||||||||
Dividends from net realized gains | (1.37 | ) | (1.14 | ) | — | ||||||||||
Total distributions** | (1.37 | ) | (1.14 | ) | — | ||||||||||
Net asset value, end of period | $ | 41.99 | $ | 30.02 | $ | 22.86 | |||||||||
Ratios and supplemental data: | |||||||||||||||
Total return(b) | 44.98 | % | 37.98 | % | (0.70 | %) | |||||||||
Net assets, end of period (000) | $ | 18,420 | $ | 1,562 | $ | 1,063 | |||||||||
Ratio of net expenses to average net assets | 0.98 | %(c) | 0.98 | % | 1.00 | %(c) | |||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.00 | %(c) | 1.09 | % | 0.96 | %(c) | |||||||||
Ratio of net investment income (loss) to average net assets | (0.90 | %)(c) | (0.84 | %) | (0.84 | %)(c) |
• Commencement of operations.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year.
(c) Annualized.
www.calamos.com
237
Calamos Timpani SMID Growth Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||
(Unaudited) Six Months Ended April 30, 2021 | Year Ended October 31, 2020 | July 31, 2019• through October 31, 2019 | |||||||||||||
Net asset value, beginning of period | $ | 12.34 | $ | 9.01 | $ | 10.00 | |||||||||
Income from investment operations: | |||||||||||||||
Net investment income (loss)(a) | (0.10 | ) | (0.13 | ) | (0.03 | ) | |||||||||
Net realized and unrealized gain (loss) | 4.56 | 3.46 | (0.96 | ) | |||||||||||
Total from investment operations | 4.46 | 3.33 | (0.99 | ) | |||||||||||
Distributions: | |||||||||||||||
Dividends from net investment income | — | — | — | ||||||||||||
Dividends from net realized gains | — | — | — | ||||||||||||
Total distributions** | — | — | — | ||||||||||||
Net asset value, end of period | $ | 16.80 | $ | 12.34 | $ | 9.01 | |||||||||
Ratios and supplemental data: | |||||||||||||||
Total return(b) | 36.03 | % | 36.96 | % | (9.90 | )% | |||||||||
Net assets, end of period (000) | $ | 406 | $ | 182 | $ | 9 | |||||||||
Ratio of net expenses to average net assets 1.35%(c) | 1.35 | % | 1.37 | % | (c) | ||||||||||
Ratio of gross expenses to average net assets prior to expense reductions 1.79%(c) | 2.45 | % | 3.42 | % | (c) | ||||||||||
Ratio of net investment income (loss) to average net assets | (1.23 | %)(c) | (1.21 | %) | (1.11 | %)(c) | |||||||||
(Unaudited) Six Months Ended April 30, 2021 | Year Ended October 31, 2020 | August 1, 2019• through October 31, 2019 | |||||||||||||
Portfolio turnover rate | 91.6 | % | 200.6 | % | 55.0 | % |
• Commencement of operations.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
238
Calamos Timpani SMID Growth Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||
(Unaudited) Six Months Ended April 30, 2021 | Year Ended October 31, 2020 | July 31, 2019• through October 31, 2019 | |||||||||||||
Net asset value, beginning of period | $ | 12.38 | $ | 9.02 | $ | 10.00 | |||||||||
Income from investment operations: | |||||||||||||||
Net investment income (loss)(a) | (0.08 | ) | (0.10 | ) | (0.02 | ) | |||||||||
Net realized and unrealized gain (loss) | 4.58 | 3.46 | (0.96 | ) | |||||||||||
Total from investment operations | 4.50 | 3.36 | (0.98 | ) | |||||||||||
Distributions: | |||||||||||||||
Dividends from net investment income | — | — | — | ||||||||||||
Dividends from net realized gains | — | — | — | ||||||||||||
Total distributions** | — | — | — | ||||||||||||
Net asset value, end of period | $ | 16.88 | $ | 12.38 | $ | 9.02 | |||||||||
Ratios and supplemental data: | |||||||||||||||
Total return(b) | 36.24 | % | 37.25 | % | (9.80 | %) | |||||||||
Net assets, end of period (000) | $ | 23,960 | $ | 16,877 | $ | 9,348 | |||||||||
Ratio of net expenses to average net assets | 1.10 | %(c) | 1.10 | % | 1.10 | %(c) | |||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.54 | %(c) | 2.25 | % | 3.17 | %(c) | |||||||||
Ratio of net investment income (loss) to average net assets | (0.98 | %)(c) | (0.94 | %) | (0.85 | %)(c) |
• Commencement of operations.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year.
(c) Annualized.
www.calamos.com
239
Calamos Timpani SMID Growth Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS R6 | |||||||||||||||
(Unaudited) Six Months Ended April 30, 2021 | Year Ended October 31, 2020 | July 31, 2019• through October 31, 2019 | |||||||||||||
Net asset value, beginning of period | $ | 12.38 | $ | 9.02 | $ | 10.00 | |||||||||
Income from investment operations: | |||||||||||||||
Net investment income (loss)(a) | (0.08 | ) | (0.09 | ) | (0.02 | ) | |||||||||
Net realized and unrealized gain (loss) | 4.58 | 3.45 | (0.96 | ) | |||||||||||
Total from investment operations | 4.50 | 3.36 | (0.98 | ) | |||||||||||
Distributions: | |||||||||||||||
Dividends from net investment income | — | — | — | ||||||||||||
Dividends from net realized gains | — | — | — | ||||||||||||
Total distributions** | — | — | — | ||||||||||||
Net asset value, end of period | $ | 16.88 | $ | 12.38 | $ | 9.02 | |||||||||
Ratios and supplemental data: | |||||||||||||||
Total return(b) | 36.24 | % | 37.25 | % | (9.80 | )% | |||||||||
Net assets, end of period (000) | $ | 17 | $ | 12 | $ | 9 | |||||||||
Ratio of net expenses to average net assets | 1.08 | %(c) | 1.06 | % | 1.07 | %(c) | |||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.53 | %(c) | 2.25 | % | 3.16 | %(c) | |||||||||
Ratio of net investment income (loss) to average net assets | (0.96 | %)(c) | (0.90 | %) | (0.81 | %)(c) |
• Commencement of operations.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
240
Calamos Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 34.96 | $ | 32.23 | $ | 33.14 | $ | 35.54 | $ | 30.12 | $ | 42.80 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.15 | ) | (0.14 | ) | (0.04 | ) | (0.08 | ) | (0.17 | ) | (0.07 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 9.98 | 5.90 | 3.53 | 2.15 | 6.79 | (1.67 | ) | ||||||||||||||||||||
Total from investment operations | 9.83 | 5.76 | 3.49 | 2.07 | 6.62 | (1.74 | ) | ||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | |||||||||||||||||||||
Dividends from net realized gains | (4.19 | ) | (3.03 | ) | (4.40 | ) | (4.47 | ) | (1.20 | ) | (10.94 | ) | |||||||||||||||
Total distributions** | (4.19 | ) | (3.03 | ) | (4.40 | ) | (4.47 | ) | (1.20 | ) | (10.94 | ) | |||||||||||||||
Net asset value, end of period | $ | 40.60 | $ | 34.96 | $ | 32.23 | $ | 33.14 | $ | 35.54 | $ | 30.12 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 29.23 | % | 19.11 | % | 13.97 | % | 6.12 | % | 22.79 | % | (4.76 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 1,333,456 | $ | 1,093,909 | $ | 1,066,939 | $ | 851,590 | $ | 967,725 | $ | 1,017,541 | |||||||||||||||
Ratio of net expenses to average net assets | 1.30 | %(c) | 1.34 | % | 1.34 | % | 1.29 | % | 1.39 | % | 1.34 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.30 | %(c) | 1.34 | % | 1.34 | % | 1.29 | % | 1.39 | % | 1.34 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.76 | %)(c) | (0.45 | %) | (0.12 | %) | (0.22 | %) | (0.52 | %) | (0.21 | %) | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 23.4 | % | 114.5 | % | 68.9 | % | 71.7 | % | 104.4 | % | 90.0 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
241
Calamos Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.18 | $ | 18.26 | $ | 21.00 | $ | 24.26 | $ | 21.08 | $ | 33.48 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.14 | ) | (0.20 | ) | (0.13 | ) | (0.22 | ) | (0.28 | ) | (0.21 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 4.99 | 3.15 | 1.79 | 1.43 | 4.66 | (1.25 | ) | ||||||||||||||||||||
Total from investment operations | 4.85 | 2.95 | 1.66 | 1.21 | 4.38 | (1.46 | ) | ||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | |||||||||||||||||||||
Dividends from net realized gains | (4.19 | ) | (3.03 | ) | (4.40 | ) | (4.47 | ) | (1.20 | ) | (10.94 | ) | |||||||||||||||
Total distributions** | (4.19 | ) | (3.03 | ) | (4.40 | ) | (4.47 | ) | (1.20 | ) | (10.94 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.84 | $ | 18.18 | $ | 18.26 | $ | 21.00 | $ | 24.26 | $ | 21.08 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 28.74 | % | 18.23 | % | 13.18 | % | 5.34 | % | 21.85 | % | (5.45 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 26,629 | $ | 35,843 | $ | 50,442 | $ | 329,883 | $ | 398,115 | $ | 540,422 | |||||||||||||||
Ratio of net expenses to average net assets | 2.05 | %(c) | 2.09 | % | 2.11 | % | 2.04 | % | 2.14 | % | 2.09 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 2.05 | %(c) | 2.10 | % | 2.12 | % | 2.04 | % | 2.14 | % | 2.09 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.47 | %)(c) | (1.17 | %) | (0.73 | %) | (0.97 | %) | (1.26 | %) | (0.96 | %) |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS ANNUAL REPORT
242
Calamos Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 49.25 | $ | 44.13 | $ | 43.48 | $ | 45.18 | $ | 37.88 | $ | 50.84 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.14 | ) | (0.09 | ) | 0.06 | 0.02 | (0.11 | ) | 0.02 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 14.24 | 8.24 | 4.99 | 2.75 | 8.61 | (2.04 | ) | ||||||||||||||||||||
Total from investment operations | 14.10 | 8.15 | 5.05 | 2.77 | 8.50 | (2.02 | ) | ||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | |||||||||||||||||||||
Dividends from net realized gains | (4.19 | ) | (3.03 | ) | (4.40 | ) | (4.47 | ) | (1.20 | ) | (10.94 | ) | |||||||||||||||
Total distributions** | (4.19 | ) | (3.03 | ) | (4.40 | ) | (4.47 | ) | (1.20 | ) | (10.94 | ) | |||||||||||||||
Net asset value, end of period | $ | 59.16 | $ | 49.25 | $ | 44.13 | $ | 43.48 | $ | 45.18 | $ | 37.88 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 29.43 | % | 19.39 | % | 14.24 | % | 6.41 | % | 23.09 | % | (4.51 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 357,735 | $ | 291,027 | $ | 280,294 | $ | 282,061 | $ | 301,237 | $ | 327,872 | |||||||||||||||
Ratio of net expenses to average net assets | 1.05 | %(c) | 1.09 | % | 1.09 | % | 1.04 | % | 1.14 | % | 1.09 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.05 | %(c) | 1.09 | % | 1.09 | % | 1.04 | % | 1.14 | % | 1.09 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.50 | %)(c) | (0.20 | %) | 0.15 | % | 0.03 | % | (0.27 | %) | 0.04 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
243
Calamos Growth and Income Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.26 | $ | 33.43 | $ | 32.53 | $ | 33.15 | $ | 30.17 | $ | 31.68 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.11 | 0.30 | 0.32 | 0.25 | 0.49 | 0.48 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 9.44 | 3.74 | 2.99 | 1.41 | 4.53 | 0.16 | |||||||||||||||||||||
Total from investment operations | 9.55 | 4.04 | 3.31 | 1.66 | 5.02 | 0.64 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.18 | ) | (0.41 | ) | (0.50 | ) | (0.38 | ) | (0.84 | ) | (0.84 | ) | |||||||||||||||
Dividends from net realized gains | (0.89 | ) | (0.80 | ) | (1.91 | ) | (1.90 | ) | (1.20 | ) | (1.31 | ) | |||||||||||||||
Total distributions** | (1.07 | ) | (1.21 | ) | (2.41 | ) | (2.28 | ) | (2.04 | ) | (2.15 | ) | |||||||||||||||
Net asset value, end of period | $ | 44.74 | $ | 36.26 | $ | 33.43 | $ | 32.53 | $ | 33.15 | $ | 30.17 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 26.65 | % | 12.43 | % | 11.51 | % | 5.20 | % | 17.39 | % | 2.26 | % | |||||||||||||||
Net assets, end of period (000) | $ | 1,443,835 | $ | 1,163,876 | $ | 1,129,201 | $ | 832,433 | $ | 918,695 | $ | 930,625 | |||||||||||||||
Ratio of net expenses to average net assets | 1.06 | %(c) | 1.08 | % | 1.09 | % | 1.09 | % | 1.11 | % | 1.11 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.06 | %(c) | 1.08 | % | 1.09 | % | 1.09 | % | 1.11 | % | 1.11 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.53 | %(c) | 0.86 | % | 1.01 | % | 0.77 | % | 1.58 | % | 1.59 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 13.1 | % | 34.9 | % | 18.5 | % | 25.3 | % | 31.6 | % | 23.5 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
244
Calamos Growth and Income Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 36.57 | $ | 33.68 | $ | 32.69 | $ | 33.30 | $ | 30.28 | $ | 31.81 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.04 | ) | 0.04 | 0.12 | 0.01 | 0.27 | 0.25 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 9.52 | 3.79 | 2.98 | 1.41 | 4.54 | 0.14 | |||||||||||||||||||||
Total from investment operations | 9.48 | 3.83 | 3.10 | 1.42 | 4.81 | 0.39 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | (0.14 | ) | (0.20 | ) | (0.13 | ) | (0.59 | ) | (0.61 | ) | ||||||||||||||||
Dividends from net realized gains | (0.89 | ) | (0.80 | ) | (1.91 | ) | (1.90 | ) | (1.20 | ) | (1.31 | ) | |||||||||||||||
Total distributions** | (0.89 | ) | (0.94 | ) | (2.11 | ) | (2.03 | ) | (1.79 | ) | (1.92 | ) | |||||||||||||||
Net asset value, end of period | $ | 45.16 | $ | 36.57 | $ | 33.68 | $ | 32.69 | $ | 33.30 | $ | 30.28 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 26.19 | % | 11.62 | % | 10.68 | % | 4.42 | % | 16.54 | % | 1.39 | % | |||||||||||||||
Net assets, end of period (000) | $ | 88,053 | $ | 101,490 | $ | 136,333 | $ | 502,593 | $ | 574,455 | $ | 739,780 | |||||||||||||||
Ratio of net expenses to average net assets | 1.81 | %(c) | 1.84 | % | 1.85 | % | 1.84 | % | 1.86 | % | 1.86 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.81 | %(c) | 1.84 | % | 1.85 | % | 1.84 | % | 1.86 | % | 1.86 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.18 | %)(c) | 0.13 | % | 0.37 | % | 0.02 | % | 0.85 | % | 0.84 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
245
Calamos Growth and Income Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 34.68 | $ | 32.03 | $ | 31.28 | $ | 31.96 | $ | 29.15 | $ | 30.71 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.15 | 0.36 | 0.39 | 0.32 | 0.55 | 0.53 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 9.03 | 3.58 | 2.85 | 1.37 | 4.38 | 0.14 | |||||||||||||||||||||
Total from investment operations | 9.18 | 3.94 | 3.24 | 1.69 | 4.93 | 0.67 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.23 | ) | (0.49 | ) | (0.58 | ) | (0.47 | ) | (0.92 | ) | (0.92 | ) | |||||||||||||||
Dividends from net realized gains | (0.89 | ) | (0.80 | ) | (1.91 | ) | (1.90 | ) | (1.20 | ) | (1.31 | ) | |||||||||||||||
Total distributions** | (1.12 | ) | (1.29 | ) | (2.49 | ) | (2.37 | ) | (2.12 | ) | (2.23 | ) | |||||||||||||||
Net asset value, end of period | $ | 42.74 | $ | 34.68 | $ | 32.03 | $ | 31.28 | $ | 31.96 | $ | 29.15 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 26.82 | % | 12.72 | % | 11.81 | % | 5.45 | % | 17.71 | % | 2.43 | % | |||||||||||||||
Net assets, end of period (000) | $ | 1,080,563 | $ | 818,641 | $ | 735,329 | $ | 643,422 | $ | 554,490 | $ | 513,604 | |||||||||||||||
Ratio of net expenses to average net assets | 0.81 | %(c) | 0.83 | % | 0.85 | % | 0.84 | % | 0.86 | % | 0.86 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 0.81 | %(c) | 0.83 | % | 0.85 | % | 0.84 | % | 0.86 | % | 0.86 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.78 | %(c) | 1.11 | % | 1.27 | % | 1.01 | % | 1.83 | % | 1.84 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
246
Calamos Growth and Income Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS R6 | |||||||||||
(Unaudited) Six Months Ended April 30, 2021 | June 23, 2020• through October 31, 2020 | ||||||||||
Net asset value, beginning of period | $ | 34.69 | $ | 33.24 | |||||||
Income from investment operations: | |||||||||||
Net investment income (loss)(a) | 0.12 | 0.12 | |||||||||
Net realized and unrealized gain (loss) | 9.07 | 1.42 | |||||||||
Total from investment operations | 9.19 | 1.54 | |||||||||
Distributions: | |||||||||||
Dividends from net investment income | (0.24 | ) | (0.09 | ) | |||||||
Dividends from net realized gains | (0.89 | ) | — | ||||||||
Total distributions** | (1.13 | ) | (0.09 | ) | |||||||
Net asset value, end of period | $ | 42.75 | $ | 34.69 | |||||||
Ratios and supplemental data: | |||||||||||
Total return(b) | 26.85 | % | 4.63 | % | |||||||
Net assets, end of period (000) | $ | 5,177 | $ | 15 | |||||||
Ratio of net expenses to average net assets | 0.74 | %(c) | 0.71 | %(c) | |||||||
Ratio of gross expenses to average net assets prior to expense reductions | 0.74 | %(c) | 0.71 | %(c) | |||||||
Ratio of net investment income (loss) to average net assets | 0.60 | %(c) | 0.99 | %(c) |
• Commencement of operations.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized
www.calamos.com
247
Calamos Dividend Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.04 | $ | 13.37 | $ | 12.34 | $ | 12.73 | $ | 10.38 | $ | 10.52 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.00 | * | 0.05 | 0.07 | 0.07 | 0.10 | 0.10 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.65 | 1.13 | 1.50 | 0.57 | 2.30 | 0.11 | |||||||||||||||||||||
Total from investment operations | 3.65 | 1.18 | 1.57 | 0.64 | 2.40 | 0.21 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.02 | ) | (0.06 | ) | (0.08 | ) | (0.05 | ) | (0.05 | ) | (0.08 | ) | |||||||||||||||
Dividends from net realized gains | (1.13 | ) | (1.45 | ) | (0.46 | ) | (0.98 | ) | — | (0.27 | ) | ||||||||||||||||
Total distributions** | (1.15 | ) | (1.51 | ) | (0.54 | ) | (1.03 | ) | (0.05 | ) | (0.35 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.54 | $ | 13.04 | $ | 13.37 | $ | 12.34 | $ | 12.73 | $ | 10.38 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 29.20 | % | 9.20 | % | 13.63 | % | 5.26 | % | 23.17 | % | 2.17 | % | |||||||||||||||
Net assets, end of period (000) | $ | 4,445 | $ | 3,534 | $ | 3,638 | $ | 2,347 | $ | 2,031 | $ | 23,157 | |||||||||||||||
Ratio of net expenses to average net assets | 1.35 | %(c) | 1.35 | % | 1.35 | % | 1.35 | % | 1.35 | % | 1.33 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 2.07 | %(c) | 2.15 | % | 1.94 | % | 1.83 | % | 1.87 | % | 1.73 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.01 | %(c) | 0.40 | % | 0.60 | % | 0.55 | % | 0.93 | % | 0.95 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 15.3 | % | 21.6 | % | 15.4 | % | 10.7 | % | 15.3 | % | 11.5 | % |
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
248
Calamos Dividend Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.67 | $ | 13.07 | $ | 12.09 | $ | 12.52 | $ | 10.26 | $ | 10.41 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.06 | ) | (0.04 | ) | (0.01 | ) | (0.02 | ) | 0.00 | * | 0.02 | ||||||||||||||||
Net realized and unrealized gain (loss) | 3.55 | 1.09 | 1.45 | 0.57 | 2.28 | 0.12 | |||||||||||||||||||||
Total from investment operations | 3.49 | 1.05 | 1.44 | 0.55 | 2.28 | 0.14 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.01 | ) | — | — | — | (0.02 | ) | (0.02 | ) | ||||||||||||||||||
Dividends from net realized gains | (1.13 | ) | (1.45 | ) | (0.46 | ) | (0.98 | ) | — | (0.27 | ) | ||||||||||||||||
Total distributions** | (1.14 | ) | (1.45 | ) | (0.46 | ) | (0.98 | ) | (0.02 | ) | (0.29 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.02 | $ | 12.67 | $ | 13.07 | $ | 12.09 | $ | 12.52 | $ | 10.26 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 28.77 | % | 8.35 | % | 12.74 | % | 4.56 | % | 22.26 | % | 1.42 | % | |||||||||||||||
Net assets, end of period (000) | $ | 1,828 | $ | 685 | $ | 659 | $ | 1,028 | $ | 1,039 | $ | 969 | |||||||||||||||
Ratio of net expenses to average net assets | 2.10 | %(c) | 2.11 | % | 2.10 | % | 2.10 | % | 2.10 | % | 2.08 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 2.80 | %(c) | 2.91 | % | 2.65 | % | 2.59 | % | 2.73 | % | 2.48 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.79 | %)(c) | (0.36 | %) | (0.06 | %) | (0.19 | %) | 0.00 | %^ | 0.17 | % |
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
^ Amounts are less than 0.005%.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
249
Calamos Dividend Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.03 | $ | 13.36 | $ | 12.33 | $ | 12.71 | $ | 10.39 | $ | 10.55 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.02 | 0.08 | 0.11 | 0.10 | 0.11 | 0.12 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.64 | 1.12 | 1.49 | 0.58 | 2.32 | 0.12 | |||||||||||||||||||||
Total from investment operations | 3.66 | 1.20 | 1.60 | 0.68 | 2.43 | 0.24 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.02 | ) | (0.08 | ) | (0.11 | ) | (0.08 | ) | (0.11 | ) | (0.13 | ) | |||||||||||||||
Dividends from net realized gains | (1.13 | ) | (1.45 | ) | (0.46 | ) | (0.98 | ) | — | (0.27 | ) | ||||||||||||||||
Total distributions** | (1.15 | ) | (1.53 | ) | (0.57 | ) | (1.06 | ) | (0.11 | ) | (0.40 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.54 | $ | 13.03 | $ | 13.36 | $ | 12.33 | $ | 12.71 | $ | 10.39 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 29.33 | % | 9.46 | % | 13.93 | % | 5.61 | % | 23.46 | % | 2.39 | % | |||||||||||||||
Net assets, end of period (000) | $ | 10,686 | $ | 8,974 | $ | 12,986 | $ | 20,585 | $ | 22,201 | $ | 7,989 | |||||||||||||||
Ratio of net expenses to average net assets | 1.10 | %(c) | 1.10 | % | 1.10 | % | 1.10 | % | 1.10 | % | 1.08 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.83 | %(c) | 1.88 | % | 1.67 | % | 1.60 | % | 1.80 | % | 1.48 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.26 | %(c) | 0.67 | % | 0.92 | % | 0.82 | % | 0.89 | % | 1.17 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
250
Calamos Select Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.93 | $ | 14.21 | $ | 15.37 | $ | 15.21 | $ | 12.60 | $ | 13.61 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.02 | ) | 0.07 | 0.15 | 0.10 | 0.15 | 0.21 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 4.44 | 0.74 | 0.95 | 0.58 | 2.56 | (0.15 | ) | ||||||||||||||||||||
Total from investment operations | 4.42 | 0.81 | 1.10 | 0.68 | 2.71 | 0.06 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | (0.09 | ) | (0.06 | ) | (0.05 | ) | (0.10 | ) | (0.16 | ) | ||||||||||||||||
Dividends from net realized gains | (0.81 | ) | — | (2.20 | ) | (0.47 | ) | — | (0.91 | ) | |||||||||||||||||
Total distributions** | (0.81 | ) | (0.09 | ) | (2.26 | ) | (0.52 | ) | (0.10 | ) | (1.07 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.54 | $ | 14.93 | $ | 14.21 | $ | 15.37 | $ | 15.21 | $ | 12.60 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 30.30 | % | 5.71 | % | 10.14 | % | 4.53 | % | 21.56 | % | 0.76 | % | |||||||||||||||
Net assets, end of period (000) | $ | 13,091 | $ | 10,595 | $ | 11,363 | $ | 21,349 | $ | 21,894 | $ | 32,350 | |||||||||||||||
Ratio of net expenses to average net assets | 1.15 | %(c) | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.12 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.62 | %(c) | 1.64 | % | 1.62 | % | 1.60 | % | 1.67 | % | 1.57 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.19 | %)(c) | 0.49 | % | 1.06 | % | 0.64 | % | 1.10 | % | 1.67 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 17.6 | % | 136.2 | % | 77.7 | % | 119.3 | % | 104.7 | % | 40.7 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
251
Calamos Select Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.97 | $ | 12.36 | $ | 13.77 | $ | 13.74 | $ | 11.39 | $ | 12.38 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.07 | ) | (0.01 | ) | 0.02 | (0.01 | ) | 0.04 | 0.10 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 3.84 | 0.62 | 0.83 | 0.51 | 2.32 | (0.13 | ) | ||||||||||||||||||||
Total from investment operations | 3.77 | 0.61 | 0.85 | 0.50 | 2.36 | (0.03 | ) | ||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | (0.06 | ) | — | (0.01 | ) | (0.05 | ) | ||||||||||||||||||
Dividends from net realized gains | (0.81 | ) | — | (2.20 | ) | (0.47 | ) | — | (0.91 | ) | |||||||||||||||||
Total distributions** | (0.81 | ) | — | (2.26 | ) | (0.47 | ) | (0.01 | ) | (0.96 | ) | ||||||||||||||||
Net asset value, end of period | $ | 15.93 | $ | 12.97 | $ | 12.36 | $ | 13.77 | $ | 13.74 | $ | 11.39 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 29.95 | % | 4.85 | % | 9.33 | % | 3.77 | % | 20.70 | % | (0.04 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 960 | $ | 1,056 | $ | 5,274 | $ | 4,318 | $ | 4,728 | $ | 4,915 | |||||||||||||||
Ratio of net expenses to average net assets | 1.90 | %(c) | 1.90 | % | 1.90 | % | 1.90 | % | 1.90 | % | 1.87 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 2.38 | %(c) | 2.40 | % | 2.35 | % | 2.35 | % | 2.42 | % | 2.32 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.91 | %)(c) | (0.11 | %) | 0.15 | % | (0.10 | %) | 0.31 | % | 0.91 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
252
Calamos Select Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.36 | $ | 14.62 | $ | 15.80 | $ | 15.63 | $ | 12.94 | $ | 13.96 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.10 | 0.16 | 0.14 | 0.18 | 0.24 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 4.57 | 0.76 | 1.01 | 0.59 | 2.64 | (0.14 | ) | ||||||||||||||||||||
Total from investment operations | 4.58 | 0.86 | 1.17 | 0.73 | 2.82 | 0.10 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | (0.12 | ) | (0.15 | ) | (0.09 | ) | (0.13 | ) | (0.21 | ) | ||||||||||||||||
Dividends from net realized gains | (0.81 | ) | — | (2.20 | ) | (0.47 | ) | — | (0.91 | ) | |||||||||||||||||
Total distributions** | (0.81 | ) | (0.12 | ) | (2.35 | ) | (0.56 | ) | (0.13 | ) | (1.12 | ) | |||||||||||||||
Net asset value, end of period | $ | 19.13 | $ | 15.36 | $ | 14.62 | $ | 15.80 | $ | 15.63 | $ | 12.94 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 30.50 | % | 5.92 | % | 10.43 | % | 4.78 | % | 21.92 | % | 0.98 | % | |||||||||||||||
Net assets, end of period (000) | $ | 35,503 | $ | 36,075 | $ | 28,389 | $ | 21,892 | $ | 25,669 | $ | 16,672 | |||||||||||||||
Ratio of net expenses to average net assets | 0.90 | %(c) | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.87 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.37 | %(c) | 1.39 | % | 1.36 | % | 1.36 | % | 1.42 | % | 1.32 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.08 | %(c) | 0.69 | % | 1.13 | % | 0.90 | % | 1.28 | % | 1.91 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
253
Calamos International Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.96 | $ | 17.97 | $ | 18.10 | $ | 21.55 | $ | 16.65 | $ | 17.27 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.02 | (0.04 | ) | 0.09 | 0.15 | 0.07 | 0.05 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 6.03 | 5.03 | 1.80 | (2.78 | ) | 4.83 | (0.65 | ) | |||||||||||||||||||
Total from investment operations | 6.05 | 4.99 | 1.89 | (2.63 | ) | 4.90 | (0.60 | ) | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | |||||||||||||||||||||
Dividends from net realized gains | (1.47 | ) | — | (2.02 | ) | (0.82 | ) | — | (0.02 | ) | |||||||||||||||||
Return of capital | — | — | — | — | — | (0.00 | )* | ||||||||||||||||||||
Total distributions** | (1.47 | ) | — | (2.02 | ) | (0.82 | ) | — | (0.02 | ) | |||||||||||||||||
Net asset value, end of period | $ | 27.54 | $ | 22.96 | $ | 17.97 | $ | 18.10 | $ | 21.55 | $ | 16.65 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 26.82 | % | 27.82 | % | 13.07 | % | (12.70 | %) | 29.43 | % | (3.46 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 77,572 | $ | 60,527 | $ | 53,950 | $ | 59,566 | $ | 72,491 | $ | 111,036 | |||||||||||||||
Ratio of net expenses to average net assets | 1.10 | %(c) | 1.10 | % | 1.10 | % | 1.33 | % | 1.40 | % | 1.38 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.55 | %(c) | 1.52 | % | 1.48 | % | 1.51 | % | 1.46 | % | 1.39 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.15 | %(c) | (0.20 | %) | 0.51 | % | 0.71 | % | 0.41 | % | 0.32 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 53.2 | % | 85.2 | % | 80.7 | % | 111.8 | % | 100.4 | % | 69.0 | % |
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
254
Calamos International Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.17 | $ | 15.91 | $ | 16.38 | $ | 19.72 | $ | 15.35 | $ | 16.04 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.09 | ) | (0.16 | ) | (0.05 | ) | (0.03 | ) | (0.05 | ) | (0.07 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 5.30 | 4.42 | 1.60 | (2.49 | ) | 4.42 | (0.60 | ) | |||||||||||||||||||
Total from investment operations | 5.21 | 4.26 | 1.55 | (2.52 | ) | 4.37 | (0.67 | ) | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | |||||||||||||||||||||
Dividends from net realized gains | (1.47 | ) | — | (2.02 | ) | (0.82 | ) | — | (0.02 | ) | |||||||||||||||||
Return of capital | — | — | — | — | — | (0.00 | )* | ||||||||||||||||||||
Total distributions** | (1.47 | ) | — | (2.02 | ) | (0.82 | ) | — | (0.02 | ) | |||||||||||||||||
Net asset value, end of period | $ | 23.91 | $ | 20.17 | $ | 15.91 | $ | 16.38 | $ | 19.72 | $ | 15.35 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 26.34 | % | 26.84 | % | 12.21 | % | (13.35 | %) | 28.47 | % | (4.16 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 4,075 | $ | 6,344 | $ | 9,022 | $ | 20,449 | $ | 27,840 | $ | 35,537 | |||||||||||||||
Ratio of net expenses to average net assets | 1.85 | %(c) | 1.85 | % | 1.85 | % | 2.06 | % | 2.15 | % | 2.13 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 2.30 | %(c) | 2.27 | % | 2.26 | % | 2.26 | % | 2.21 | % | 2.14 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.79 | %)(c) | (0.95 | %) | (0.35 | %) | (0.17 | %) | (0.33 | %) | (0.46 | %) |
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
255
Calamos International Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.73 | $ | 18.53 | $ | 18.55 | $ | 22.01 | $ | 16.96 | $ | 17.54 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.05 | 0.01 | 0.13 | 0.18 | 0.12 | 0.09 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 6.23 | 5.19 | 1.87 | (2.82 | ) | 4.93 | (0.65 | ) | |||||||||||||||||||
Total from investment operations | 6.28 | 5.20 | 2.00 | (2.64 | ) | 5.05 | (0.56 | ) | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.00 | )* | — | — | — | — | — | ||||||||||||||||||||
Dividends from net realized gains | (1.47 | ) | — | (2.02 | ) | (0.82 | ) | — | (0.02 | ) | |||||||||||||||||
Return of capital | — | — | — | — | — | (0.00 | )* | ||||||||||||||||||||
Total distributions** | (1.47 | ) | — | (2.02 | ) | (0.82 | ) | — | (0.02 | ) | |||||||||||||||||
Net asset value, end of period | $ | 28.54 | $ | 23.73 | $ | 18.53 | $ | 18.55 | $ | 22.01 | $ | 16.96 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 26.99 | % | 28.06 | % | 13.32 | % | (12.48 | %) | 29.78 | % | (3.18 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 201,415 | $ | 156,321 | $ | 134,562 | $ | 153,312 | $ | 175,070 | $ | 213,166 | |||||||||||||||
Ratio of net expenses to average net assets | 0.85 | %(c) | 0.85 | % | 0.85 | % | 1.06 | % | 1.15 | % | 1.13 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.30 | %(c) | 1.28 | % | 1.23 | % | 1.26 | % | 1.21 | % | 1.14 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.39 | %(c) | 0.05 | % | 0.75 | % | 0.85 | % | 0.66 | % | 0.53 | % |
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
256
Calamos International Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS R6 | |||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | September 17, 2018• through October 31, | |||||||||||||||||
2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net asset value, beginning of period | $ | 23.93 | $ | 18.67 | $ | 18.66 | $ | 20.89 | |||||||||||
Income from investment operations: | |||||||||||||||||||
Net investment income (loss)(a) | 0.07 | 0.05 | 0.20 | 0.01 | |||||||||||||||
Net realized and unrealized gain (loss) | 6.28 | 5.21 | 1.83 | (2.24 | ) | ||||||||||||||
Total from investment operations | 6.35 | 5.26 | 2.03 | (2.23 | ) | ||||||||||||||
Distributions: | |||||||||||||||||||
Dividends from net investment income | (0.02 | ) | — | — | — | ||||||||||||||
Dividends from net realized gains | (1.47 | ) | — | (2.02 | ) | — | |||||||||||||
Total distributions** | (1.49 | ) | — | (2.02 | ) | — | |||||||||||||
Net asset value, end of period | $ | 28.79 | $ | 23.93 | $ | 18.67 | $ | 18.66 | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Total return(b) | 27.02 | % | 28.23 | % | 13.41 | % | (10.67 | %) | |||||||||||
Net assets, end of period (000) | $ | 1,430 | $ | 1,012 | $ | 7,463 | $ | 22 | |||||||||||
Ratio of net expenses to average net assets | 0.77 | %(c) | 0.76 | % | 0.77 | % | 0.76 | %(c) | |||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.22 | %(c) | 1.17 | % | 1.15 | % | 1.21 | %(c) | |||||||||||
Ratio of net investment income (loss) to average net assets | 0.48 | %(c) | 0.24 | % | 1.13 | % | 0.34 | %(c) |
• Commencement of operations.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
257
Calamos Evolving World Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.60 | $ | 14.12 | $ | 12.54 | $ | 14.83 | $ | 12.11 | $ | 12.11 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.03 | ) | (0.07 | ) | 0.09 | (0.01 | ) | 0.05 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 3.83 | 5.66 | 1.49 | (2.28 | ) | 2.67 | (0.02 | ) | |||||||||||||||||||
Total from investment operations | 3.80 | 5.59 | 1.58 | (2.29 | ) | 2.72 | 0.01 | ||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | (0.11 | ) | — | (0.00 | )* | — | (0.01 | ) | ||||||||||||||||||
Dividends from net realized gains | (0.45 | ) | — | — | — | — | — | ||||||||||||||||||||
Return of capital | — | — | — | (0.00 | )* | — | (0.00 | )* | |||||||||||||||||||
Total distributions** | (0.45 | ) | (0.11 | ) | — | (0.00 | )* | — | (0.01 | ) | |||||||||||||||||
Net asset value, end of period | $ | 22.95 | $ | 19.60 | $ | 14.12 | $ | 12.54 | $ | 14.83 | $ | 12.11 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 19.52 | % | 39.81 | % | 12.60 | % | (15.43 | %) | 22.46 | % | 0.08 | % | |||||||||||||||
Net assets, end of period (000) | $ | 71,445 | $ | 31,015 | $ | 28,168 | $ | 34,678 | $ | 68,142 | $ | 102,545 | |||||||||||||||
Ratio of net expenses to average net assets | 1.30 | %(c) | 1.56 | % | 1.64 | % | 1.63 | % | 1.67 | % | 1.64 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.51 | %(c) | 1.64 | % | 1.64 | % | 1.63 | % | 1.67 | % | 1.64 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.28 | %)(c) | (0.47 | %) | 0.63 | % | (0.08 | %) | 0.40 | % | 0.23 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 55.1 | % | 125.4 | % | 77.9 | % | 97.3 | % | 104.8 | % | 87.4 | % |
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
258
Calamos Evolving World Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.26 | $ | 13.16 | $ | 11.78 | $ | 14.03 | $ | 11.55 | $ | 11.62 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.11 | ) | (0.18 | ) | (0.01 | ) | (0.12 | ) | (0.03 | ) | (0.06 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 3.57 | 5.28 | 1.39 | (2.13 | ) | 2.51 | (0.01 | ) | |||||||||||||||||||
Total from investment operations | 3.46 | 5.10 | 1.38 | (2.25 | ) | 2.48 | (0.07 | ) | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | |||||||||||||||||||||
Dividends from net realized gains | (0.45 | ) | — | — | — | — | — | ||||||||||||||||||||
Return of capital | — | — | — | — | — | (0.00 | )* | ||||||||||||||||||||
Total distributions** | (0.45 | ) | — | — | — | — | — | ||||||||||||||||||||
Net asset value, end of period | $ | 21.27 | $ | 18.26 | $ | 13.16 | $ | 11.78 | $ | 14.03 | $ | 11.55 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 19.08 | % | 38.75 | % | 11.71 | % | (16.04 | %) | 21.47 | % | (0.60 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 19,189 | $ | 13,183 | $ | 13,478 | $ | 17,739 | $ | 24,846 | $ | 31,231 | |||||||||||||||
Ratio of net expenses to average net assets | 2.05 | %(c) | 2.32 | % | 2.39 | % | 2.38 | % | 2.41 | % | 2.39 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 2.26 | %(c) | 2.39 | % | 2.39 | % | 2.38 | % | 2.41 | % | 2.39 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.08 | %)(c) | (1.23 | %) | (0.11 | %) | (0.85 | %) | (0.29 | %) | (0.54 | %) |
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
259
Calamos Evolving World Growth Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.78 | $ | 14.26 | $ | 12.63 | $ | 14.96 | $ | 12.19 | $ | 12.19 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.00 | * | (0.03 | ) | 0.12 | 0.02 | 0.09 | 0.06 | |||||||||||||||||||
Net realized and unrealized gain (loss) | 3.87 | 5.71 | 1.51 | (2.29 | ) | 2.68 | (0.01 | ) | |||||||||||||||||||
Total from investment operations | 3.87 | 5.68 | 1.63 | (2.27 | ) | 2.77 | 0.05 | ||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.01 | ) | (0.16 | ) | — | (0.06 | ) | — | (0.05 | ) | |||||||||||||||||
Dividends from net realized gains | (0.45 | ) | — | — | — | — | — | ||||||||||||||||||||
Return of capital | — | — | — | (0.00 | )* | — | (0.00 | )* | |||||||||||||||||||
Total distributions** | (0.46 | ) | (0.16 | ) | — | (0.06 | ) | — | (0.05 | ) | |||||||||||||||||
Net asset value, end of period | $ | 23.19 | $ | 19.78 | $ | 14.26 | $ | 12.63 | $ | 14.96 | $ | 12.19 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 19.63 | % | 40.16 | % | 12.91 | % | (15.21 | %) | 22.72 | % | 0.38 | % | |||||||||||||||
Net assets, end of period (000) | $ | 605,128 | $ | 193,243 | $ | 120,318 | $ | 152,114 | $ | 225,339 | $ | 255,965 | |||||||||||||||
Ratio of net expenses to average net assets | 1.05 | %(c) | 1.30 | % | 1.39 | % | 1.38 | % | 1.41 | % | 1.39 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.26 | %(c) | 1.39 | % | 1.39 | % | 1.38 | % | 1.41 | % | 1.39 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.00 | %)(c) | (0.22 | %) | 0.91 | % | 0.14 | % | 0.72 | % | 0.50 | % |
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
260
Calamos Global Equity Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.05 | $ | 11.64 | $ | 13.61 | $ | 15.63 | $ | 12.74 | $ | 13.19 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.04 | ) | (0.07 | ) | (0.01 | ) | 0.00 | * | (0.00 | )* | 0.01 | ||||||||||||||||
Net realized and unrealized gain (loss) | 3.95 | 3.37 | 0.79 | (0.63 | ) | 3.45 | (0.21 | ) | |||||||||||||||||||
Total from investment operations | 3.91 | 3.30 | 0.78 | (0.63 | ) | 3.45 | (0.20 | ) | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | |||||||||||||||||||||
Dividends from net realized gains | (1.06 | ) | (0.89 | ) | (2.75 | ) | (1.39 | ) | (0.56 | ) | (0.25 | ) | |||||||||||||||
Total distributions** | (1.06 | ) | (0.89 | ) | (2.75 | ) | (1.39 | ) | (0.56 | ) | (0.25 | ) | |||||||||||||||
Net asset value, end of period | $ | 16.90 | $ | 14.05 | $ | 11.64 | $ | 13.61 | $ | 15.63 | $ | 12.74 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 28.56 | % | 30.07 | % | 10.28 | % | (4.59 | %) | 28.42 | % | (1.47 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 31,148 | $ | 21,814 | $ | 20,236 | $ | 27,489 | $ | 26,957 | $ | 29,314 | |||||||||||||||
Ratio of net expenses to average net assets | 1.40 | %(c) | 1.40 | % | 1.40 | % | 1.40 | % | 1.40 | % | 1.38 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.56 | %(c) | 1.65 | % | 1.51 | % | 1.56 | % | 1.53 | % | 1.50 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.47 | %)(c) | (0.59 | %) | (0.08 | %) | 0.03 | % | (0.02 | %) | 0.06 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 37.7 | % | 71.3 | % | 72.4 | % | 81.3 | % | 102.0 | % | 64.6 | % |
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
261
Calamos Global Equity Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.03 | $ | 10.15 | $ | 12.34 | $ | 14.40 | $ | 11.86 | $ | 12.39 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.09 | ) | (0.14 | ) | (0.09 | ) | (0.10 | ) | (0.09 | ) | (0.08 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 3.36 | 2.91 | 0.65 | (0.57 | ) | 3.19 | (0.20 | ) | |||||||||||||||||||
Total from investment operations | 3.27 | 2.77 | 0.56 | (0.67 | ) | 3.10 | (0.28 | ) | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | |||||||||||||||||||||
Dividends from net realized gains | (1.06 | ) | (0.89 | ) | (2.75 | ) | (1.39 | ) | (0.56 | ) | (0.25 | ) | |||||||||||||||
Total distributions** | (1.06 | ) | (0.89 | ) | (2.75 | ) | (1.39 | ) | (0.56 | ) | (0.25 | ) | |||||||||||||||
Net asset value, end of period | $ | 14.24 | $ | 12.03 | $ | 10.15 | $ | 12.34 | $ | 14.40 | $ | 11.86 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 28.00 | % | 29.19 | % | 9.36 | % | (5.31 | %) | 27.53 | % | (2.23 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 2,068 | $ | 4,635 | $ | 8,011 | $ | 10,887 | $ | 13,769 | $ | 16,375 | |||||||||||||||
Ratio of net expenses to average net assets | 2.15 | %(c) | 2.15 | % | 2.15 | % | 2.15 | % | 2.15 | % | 2.13 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 2.33 | %(c) | 2.40 | % | 2.26 | % | 2.32 | % | 2.27 | % | 2.25 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.37 | %)(c) | (1.31 | %) | (0.86 | %) | (0.76 | %) | (0.76 | %) | (0.68 | %) |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
262
Calamos Global Equity Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.59 | $ | 12.02 | $ | 13.93 | $ | 15.95 | $ | 12.95 | $ | 13.38 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.02 | ) | (0.04 | ) | 0.02 | 0.03 | 0.03 | 0.04 | |||||||||||||||||||
Net realized and unrealized gain (loss) | 4.10 | 3.50 | 0.82 | (0.64 | ) | 3.53 | (0.22 | ) | |||||||||||||||||||
Total from investment operations | 4.08 | 3.46 | 0.84 | (0.61 | ) | 3.56 | (0.18 | ) | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | (0.02 | ) | — | — | ||||||||||||||||||||
Dividends from net realized gains | (1.06 | ) | (0.89 | ) | (2.75 | ) | (1.39 | ) | (0.56 | ) | (0.25 | ) | |||||||||||||||
Total distributions** | (1.06 | ) | (0.89 | ) | (2.75 | ) | (1.41 | ) | (0.56 | ) | (0.25 | ) | |||||||||||||||
Net asset value, end of period | $ | 17.61 | $ | 14.59 | $ | 12.02 | $ | 13.93 | $ | 15.95 | $ | 12.95 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 28.67 | % | 30.46 | % | 10.52 | % | (4.38 | %) | 28.82 | % | (1.30 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 101,400 | $ | 65,062 | $ | 52,619 | $ | 58,078 | $ | 86,429 | $ | 87,605 | |||||||||||||||
Ratio of net expenses to average net assets | 1.15 | %(c) | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.13 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.31 | %(c) | 1.40 | % | 1.26 | % | 1.31 | % | 1.28 | % | 1.25 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.22 | %)(c) | (0.34 | %) | 0.14 | % | 0.18 | % | 0.23 | % | 0.33 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
263
Calamos Global Equity Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS R6 | |||||||||||
(Unaudited) Six Months Ended April 30, 2021 | June 23, 2020• through October 31, 2020 | ||||||||||
Net asset value, beginning of period | $ | 14.59 | $ | 13.19 | |||||||
Income from investment operations: | |||||||||||
Net investment income (loss)(a) | (0.02 | ) | (0.02 | ) | |||||||
Net realized and unrealized gain (loss) | 4.11 | 1.42 | |||||||||
Total from investment operations | 4.09 | 1.40 | |||||||||
Distributions: | |||||||||||
Dividends from net investment income | — | — | |||||||||
Dividends from net realized gains | (1.06 | ) | — | ||||||||
Total distributions | (1.06 | ) | — | ||||||||
Net asset value, end of period | $ | 17.62 | $ | 14.59 | |||||||
Ratios and supplemental data: | |||||||||||
Total return(b) | 28.74 | % | 10.61 | % | |||||||
Net assets, end of period (000) | $ | 154 | $ | 120 | |||||||
Ratio of net expenses to average net assets | 1.11 | %(c) | 1.09 | %(c) | |||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.27 | %(c) | 1.36 | %(c) | |||||||
Ratio of net investment income (loss) to average net assets | (0.20 | %)(c) | (0.45 | %)(c) |
• Commencement of operations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
264
Calamos Global Opportunities Fund Financial Highlights
(formerly, Global Growth and Income Fund)
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.02 | $ | 8.51 | $ | 8.99 | $ | 9.85 | $ | 8.47 | $ | 8.63 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.00 | 0.07 | 0.10 | 0.09 | 0.10 | 0.09 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.48 | 1.55 | 0.37 | (0.35 | ) | 1.35 | (0.14 | ) | |||||||||||||||||||
Total from investment operations | 2.48 | 1.62 | 0.47 | (0.26 | ) | 1.45 | (0.05 | ) | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.04 | ) | (0.02 | ) | (0.07 | ) | (0.03 | ) | (0.01 | ) | — | ||||||||||||||||
Dividends from net realized gains | (0.63 | ) | (0.09 | ) | (0.88 | ) | (0.57 | ) | (0.06 | ) | (0.11 | ) | |||||||||||||||
Total distributions** | (0.67 | ) | (0.11 | ) | (0.95 | ) | (0.60 | ) | (0.07 | ) | (0.11 | ) | |||||||||||||||
Net asset value, end of period | $ | 11.83 | $ | 10.02 | $ | 8.51 | $ | 8.99 | $ | 9.85 | $ | 8.47 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 25.28 | % | 19.09 | % | 6.67 | % | (2.91 | %) | 17.16 | % | (0.59 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 115,835 | $ | 88,618 | $ | 83,069 | $ | 63,069 | $ | 78,196 | $ | 84,648 | |||||||||||||||
Ratio of net expenses to average net assets | 1.40 | %(c) | 1.53 | % | 1.49 | % | 1.50 | % | 1.54 | % | 1.46 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.44 | %(c) | 1.53 | % | 1.49 | % | 1.50 | % | 1.54 | % | 1.46 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.03 | %)(c) | 0.78 | % | 1.20 | % | 0.93 | % | 1.16 | % | 1.09 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 49.4 | % | 118.7 | % | 68.8 | % | 75.0 | % | 100.2 | % | 58.0 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
265
Calamos Global Opportunities Fund Financial Highlights
(formerly, Global Growth and Income Fund)
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.71 | $ | 7.45 | $ | 7.98 | $ | 8.84 | $ | 7.65 | $ | 7.87 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | (0.04 | ) | 0.00 | 0.04 | 0.02 | 0.04 | 0.03 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.15 | 1.35 | 0.31 | (0.31 | ) | 1.21 | (0.14 | ) | |||||||||||||||||||
Total from investment operations | 2.11 | 1.35 | 0.35 | (0.29 | ) | 1.25 | (0.11 | ) | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | — | — | — | — | — | — | |||||||||||||||||||||
Dividends from net realized gains | (0.63 | ) | (0.09 | ) | (0.88 | ) | (0.57 | ) | (0.06 | ) | (0.11 | ) | |||||||||||||||
Total distributions** | (0.63 | ) | (0.09 | ) | (0.88 | ) | (0.57 | ) | (0.06 | ) | (0.11 | ) | |||||||||||||||
Net asset value, end of period | $ | 10.19 | $ | 8.71 | $ | 7.45 | $ | 7.98 | $ | 8.84 | $ | 7.65 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 24.82 | % | 18.22 | % | 5.87 | % | (3.61 | %) | 16.41 | % | (1.42 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 7,859 | $ | 8,946 | $ | 14,742 | $ | 54,425 | $ | 70,210 | $ | 90,640 | |||||||||||||||
Ratio of net expenses to average net assets | 2.16 | %(c) | 2.28 | % | 2.28 | % | 2.25 | % | 2.29 | % | 2.21 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 2.19 | %(c) | 2.28 | % | 2.28 | % | 2.25 | % | 2.29 | % | 2.21 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.78 | %)(c) | 0.01 | % | 0.50 | % | 0.18 | % | 0.44 | % | 0.34 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
266
Calamos Global Opportunities Fund Financial Highlights
(formerly, Global Growth and Income Fund)
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.36 | $ | 8.79 | $ | 9.25 | $ | 10.11 | $ | 8.70 | $ | 8.84 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.01 | 0.09 | 0.13 | 0.12 | 0.13 | 0.11 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 2.58 | 1.60 | 0.38 | (0.36 | ) | 1.38 | (0.14 | ) | |||||||||||||||||||
Total from investment operations | 2.59 | 1.69 | 0.51 | (0.24 | ) | 1.51 | (0.03 | ) | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.05 | ) | (0.03 | ) | (0.09 | ) | (0.05 | ) | (0.04 | ) | — | ||||||||||||||||
Dividends from net realized gains | (0.63 | ) | (0.09 | ) | (0.88 | ) | (0.57 | ) | (0.06 | ) | (0.11 | ) | |||||||||||||||
Total distributions** | (0.68 | ) | (0.12 | ) | (0.97 | ) | (0.62 | ) | (0.10 | ) | (0.11 | ) | |||||||||||||||
Net asset value, end of period | $ | 12.27 | $ | 10.36 | $ | 8.79 | $ | 9.25 | $ | 10.11 | $ | 8.70 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 25.55 | % | 19.33 | % | 6.95 | % | (2.65 | %) | 17.51 | % | (0.35 | %) | |||||||||||||||
Net assets, end of period (000) | $ | 116,103 | $ | 65,909 | $ | 53,594 | $ | 72,843 | $ | 73,361 | $ | 124,175 | |||||||||||||||
Ratio of net expenses to average net assets | 1.14 | %(c) | 1.28 | % | 1.25 | % | 1.25 | % | 1.29 | % | 1.21 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.18 | %(c) | 1.28 | % | 1.25 | % | 1.25 | % | 1.29 | % | 1.21 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.21 | %(c) | 1.01 | % | 1.47 | % | 1.18 | % | 1.43 | % | 1.34 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
267
Calamos Total Return Bond Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.85 | $ | 10.53 | $ | 9.81 | $ | 10.39 | $ | 10.54 | $ | 10.51 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.09 | 0.21 | 0.27 | 0.25 | 0.22 | 0.24 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.21 | ) | 0.33 | 0.72 | (0.49 | ) | (0.13 | ) | 0.20 | ||||||||||||||||||
Total from investment operations | (0.12 | ) | 0.54 | 0.99 | (0.24 | ) | 0.09 | 0.44 | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.13 | ) | (0.22 | ) | (0.27 | ) | (0.26 | ) | (0.23 | ) | (0.28 | ) | |||||||||||||||
Dividends from net realized gains | (0.01 | ) | — | — | (0.05 | ) | (0.01 | ) | (0.13 | ) | |||||||||||||||||
Return of capital | — | — | — | (0.03 | ) | — | — | ||||||||||||||||||||
Total distributions** | (0.14 | ) | (0.22 | ) | (0.27 | ) | (0.34 | ) | (0.24 | ) | (0.41 | ) | |||||||||||||||
Net asset value, end of period | $ | 10.59 | $ | 10.85 | $ | 10.53 | $ | 9.81 | $ | 10.39 | $ | 10.54 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | (0.97 | %) | 5.18 | % | 10.24 | % | (2.30 | %) | 0.92 | % | 4.35 | % | |||||||||||||||
Net assets, end of period (000) | $ | 24,689 | $ | 24,376 | $ | 22,565 | $ | 17,109 | $ | 21,707 | $ | 57,339 | |||||||||||||||
Ratio of net expenses to average net assets | 0.90 | %(c) | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.88 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.00 | %(c) | 1.03 | % | 1.09 | % | 1.05 | % | 1.14 | % | 1.07 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.77 | %(c) | 2.00 | % | 2.67 | % | 2.44 | % | 2.14 | % | 2.25 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 32.0 | % | 61.2 | % | 63.8 | % | 64.3 | % | 79.1 | % | 54.0 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
268
Calamos Total Return Bond Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.85 | $ | 10.53 | $ | 9.81 | $ | 10.39 | $ | 10.54 | $ | 10.51 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.05 | 0.14 | 0.20 | 0.17 | 0.14 | 0.16 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.21 | ) | 0.32 | 0.72 | (0.48 | ) | (0.12 | ) | 0.20 | ||||||||||||||||||
Total from investment operations | (0.16 | ) | 0.46 | 0.92 | (0.31 | ) | 0.02 | 0.36 | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.09 | ) | (0.14 | ) | (0.20 | ) | (0.20 | ) | (0.16 | ) | (0.20 | ) | |||||||||||||||
Dividends from net realized gains | (0.01 | ) | — | — | (0.05 | ) | (0.01 | ) | (0.13 | ) | |||||||||||||||||
Return of capital | — | — | — | (0.02 | ) | — | — | ||||||||||||||||||||
Total distributions** | (0.10 | ) | (0.14 | ) | (0.20 | ) | (0.27 | ) | (0.17 | ) | (0.33 | ) | |||||||||||||||
Net asset value, end of period | $ | 10.59 | $ | 10.85 | $ | 10.53 | $ | 9.81 | $ | 10.39 | $ | 10.54 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | (1.43 | %) | 4.40 | % | 9.42 | % | (3.03 | %) | 0.17 | % | 3.57 | % | |||||||||||||||
Net assets, end of period (000) | $ | 967 | $ | 1,777 | $ | 2,929 | $ | 6,413 | $ | 9,334 | $ | 16,340 | |||||||||||||||
Ratio of net expenses to average net assets | 1.65 | %(c) | 1.65 | % | 1.65 | % | 1.65 | % | 1.65 | % | 1.63 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.75 | %(c) | 1.77 | % | 1.84 | % | 1.80 | % | 1.89 | % | 1.82 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.02 | %(c) | 1.28 | % | 1.98 | % | 1.69 | % | 1.38 | % | 1.51 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
269
Calamos Total Return Bond Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.85 | $ | 10.54 | $ | 9.81 | $ | 10.39 | $ | 10.54 | $ | 10.51 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.11 | 0.24 | 0.30 | 0.27 | 0.24 | 0.26 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.21 | ) | 0.32 | 0.73 | (0.48 | ) | (0.12 | ) | 0.21 | ||||||||||||||||||
Total from investment operations | (0.10 | ) | 0.56 | 1.03 | (0.21 | ) | 0.12 | 0.47 | |||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.14 | ) | (0.25 | ) | (0.30 | ) | (0.29 | ) | (0.26 | ) | (0.31 | ) | |||||||||||||||
Dividends from net realized gains | (0.01 | ) | — | — | (0.05 | ) | (0.01 | ) | (0.13 | ) | |||||||||||||||||
Return of capital | — | — | — | (0.03 | ) | — | — | ||||||||||||||||||||
Total distributions** | (0.15 | ) | (0.25 | ) | (0.30 | ) | (0.37 | ) | (0.27 | ) | (0.44 | ) | |||||||||||||||
Net asset value, end of period | $ | 10.60 | $ | 10.85 | $ | 10.54 | $ | 9.81 | $ | 10.39 | $ | 10.54 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | (0.94 | %) | 5.34 | % | 10.62 | % | (2.06 | %) | 1.18 | % | 4.60 | % | |||||||||||||||
Net assets, end of period (000) | $ | 47,456 | $ | 60,602 | $ | 35,570 | $ | 32,888 | $ | 40,290 | $ | 22,067 | |||||||||||||||
Ratio of net expenses to average net assets | 0.65 | %(c) | 0.65 | % | 0.65 | % | 0.65 | % | 0.65 | % | 0.63 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 0.75 | %(c) | 0.77 | % | 0.84 | % | 0.80 | % | 0.90 | % | 0.82 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 2.02 | %(c) | 2.21 | % | 2.92 | % | 2.69 | % | 2.32 | % | 2.49 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
270
Calamos High Income Opportunities Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.96 | $ | 8.34 | $ | 8.37 | $ | 8.87 | $ | 8.62 | $ | 8.63 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.18 | 0.43 | 0.48 | 0.47 | 0.40 | 0.40 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.64 | (0.35 | ) | (0.01 | ) | (0.45 | ) | 0.26 | 0.03 | ||||||||||||||||||
Total from investment operations | 0.82 | 0.08 | 0.47 | 0.02 | 0.66 | 0.43 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.21 | ) | (0.46 | ) | (0.50 | ) | (0.52 | ) | (0.41 | ) | (0.44 | ) | |||||||||||||||
Dividends from net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions** | (0.21 | ) | (0.46 | ) | (0.50 | ) | (0.52 | ) | (0.41 | ) | (0.44 | ) | |||||||||||||||
Net asset value, end of period | $ | 8.57 | $ | 7.96 | $ | 8.34 | $ | 8.37 | $ | 8.87 | $ | 8.62 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 10.30 | % | 1.13 | % | 5.85 | % | 0.25 | % | 7.82 | % | 5.26 | % | |||||||||||||||
Net assets, end of period (000) | $ | 32,809 | $ | 30,580 | $ | 35,124 | $ | 32,282 | $ | 36,351 | $ | 41,046 | |||||||||||||||
Ratio of net expenses to average net assets | 1.00 | %(c) | 1.00 | % | 1.00 | % | 1.00 | % | 1.29 | % | 1.33 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.34 | %(c) | 1.37 | % | 1.23 | % | 1.46 | % | 1.43 | % | 1.33 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 4.29 | %(c) | 5.34 | % | 5.71 | % | 5.41 | % | 4.57 | % | 4.81 | % | |||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Portfolio turnover rate | 25.0 | % | 51.8 | % | 45.6 | % | 55.5 | % | 93.1 | % | 44.4 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
www.calamos.com
271
Calamos High Income Opportunities Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS C | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.45 | $ | 8.82 | $ | 8.82 | $ | 9.31 | $ | 9.03 | $ | 9.03 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.16 | 0.40 | 0.45 | 0.42 | 0.35 | 0.36 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.67 | (0.38 | ) | (0.02 | ) | (0.46 | ) | 0.27 | 0.01 | ||||||||||||||||||
Total from investment operations | 0.83 | 0.02 | 0.43 | (0.04 | ) | 0.62 | 0.37 | ||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.17 | ) | (0.39 | ) | (0.43 | ) | (0.45 | ) | (0.34 | ) | (0.37 | ) | |||||||||||||||
Dividends from net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions** | (0.17 | ) | (0.39 | ) | (0.43 | ) | (0.45 | ) | (0.34 | ) | (0.37 | ) | |||||||||||||||
Net asset value, end of period | $ | 9.11 | $ | 8.45 | $ | 8.82 | $ | 8.82 | $ | 9.31 | $ | 9.03 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 9.88 | % | 0.38 | % | 5.04 | % | (0.42 | %) | 6.97 | % | 4.35 | % | |||||||||||||||
Net assets, end of period (000) | $ | 671 | $ | 981 | $ | 1,887 | $ | 9,772 | $ | 13,286 | $ | 17,479 | |||||||||||||||
Ratio of net expenses to average net assets | 1.75 | %(c) | 1.75 | % | 1.75 | % | 1.75 | % | 2.05 | % | 2.08 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 2.09 | %(c) | 2.11 | % | 2.08 | % | 2.22 | % | 2.18 | % | 2.08 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 3.54 | %(c) | 4.67 | % | 5.16 | % | 4.66 | % | 3.80 | % | 4.07 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
272
Calamos High Income Opportunities Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | ||||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.96 | $ | 8.34 | $ | 8.37 | $ | 8.86 | $ | 8.61 | $ | 8.63 | |||||||||||||||
Income from investment operations: | |||||||||||||||||||||||||||
Net investment income (loss)(a) | 0.19 | 0.44 | 0.50 | 0.49 | 0.43 | 0.42 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 0.64 | (0.34 | ) | (0.01 | ) | (0.44 | ) | 0.25 | 0.02 | ||||||||||||||||||
Total from investment operations | 0.83 | 0.10 | 0.49 | 0.05 | 0.68 | 0.44 | |||||||||||||||||||||
Distributions: | |||||||||||||||||||||||||||
Dividends from net investment income | (0.22 | ) | (0.48 | ) | (0.52 | ) | (0.54 | ) | (0.43 | ) | (0.46 | ) | |||||||||||||||
Dividends from net realized gains | — | — | — | — | — | — | |||||||||||||||||||||
Total distributions** | (0.22 | ) | (0.48 | ) | (0.52 | ) | (0.54 | ) | (0.43 | ) | (0.46 | ) | |||||||||||||||
Net asset value, end of period | $ | 8.57 | $ | 7.96 | $ | 8.34 | $ | 8.37 | $ | 8.86 | $ | 8.61 | |||||||||||||||
Ratios and supplemental data: | |||||||||||||||||||||||||||
Total return(b) | 10.44 | % | 1.38 | % | 6.11 | % | 0.62 | % | 8.09 | % | 5.41 | % | |||||||||||||||
Net assets, end of period (000) | $ | 8,602 | $ | 6,716 | $ | 7,003 | $ | 7,706 | $ | 10,026 | $ | 15,183 | |||||||||||||||
Ratio of net expenses to average net assets | 0.75 | %(c) | 0.75 | % | 0.75 | % | 0.75 | % | 1.02 | % | 1.08 | % | |||||||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 1.09 | %(c) | 1.12 | % | 0.99 | % | 1.21 | % | 1.18 | % | 1.08 | % | |||||||||||||||
Ratio of net investment income (loss) to average net assets | 4.54 | %(c) | 5.56 | % | 5.97 | % | 5.65 | % | 4.84 | % | 5.07 | % |
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
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273
Calamos Short-Term Bond Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS A | |||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | September 19, 2018• through October 31, | |||||||||||||||||
2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net asset value, beginning of period | $ | 10.23 | $ | 10.20 | $ | 9.98 | $ | 10.00 | |||||||||||
Income from investment operations: | |||||||||||||||||||
Net investment income (loss)(a) | 0.09 | 0.21 | 0.25 | 0.03 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.01 | 0.12 | 0.23 | (0.02 | ) | ||||||||||||||
Total from investment operations | 0.10 | 0.33 | 0.48 | 0.01 | |||||||||||||||
Distributions: | |||||||||||||||||||
Dividends from net investment income | (0.25 | ) | (0.25 | ) | (0.26 | ) | (0.03 | ) | |||||||||||
Dividends from net realized gains | (0.09 | ) | (0.05 | ) | (0.00 | )* | — | ||||||||||||
Total distributions** | (0.34 | ) | (0.30 | ) | (0.26 | ) | (0.03 | ) | |||||||||||
Net asset value, end of period | $ | 9.99 | $ | 10.23 | $ | 10.20 | $ | 9.98 | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Total return(b) | 1.01 | % | 3.24 | % | 4.84 | % | 0.12 | % | |||||||||||
Net assets, end of period (000) | $ | 3,398 | $ | 3,225 | $ | 601 | $ | 25 | |||||||||||
Ratio of net expenses to average net assets | 0.65 | %(c) | 0.65 | % | 0.65 | % | 0.66 | %(c) | |||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 0.66 | %(c) | 0.68 | % | 0.74 | % | 48.01 | %(c) | |||||||||||
Ratio of net investment income (loss) to average net assets | 1.70 | %(c) | 2.12 | % | 2.47 | % | 2.55 | %(c) | |||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | September 19, 2018• through October 31, | |||||||||||||||||
2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Portfolio turnover rate | 24.0 | % | 41.4 | % | 132.0 | % | 3.3 | % |
• Commencement of operations.
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
274
Calamos Short-Term Bond Fund Financial Highlights
Selected data for a share outstanding throughout each period were as follows:
CLASS I | |||||||||||||||||||
(Unaudited) Six Months Ended April 30, | Year Ended October 31, | September 19, 2018• through October 31, | |||||||||||||||||
2021 | 2020 | 2019 | 2018 | ||||||||||||||||
Net asset value, beginning of period | $ | 10.23 | $ | 10.20 | $ | 9.98 | $ | 10.00 | |||||||||||
Income from investment operations: | |||||||||||||||||||
Net investment income (loss)(a) | 0.10 | 0.25 | 0.28 | 0.04 | |||||||||||||||
Net realized and unrealized gain (loss) | — | 0.10 | 0.22 | (0.02 | ) | ||||||||||||||
Total from investment operations | 0.10 | 0.35 | 0.50 | 0.02 | |||||||||||||||
Distributions: | |||||||||||||||||||
Dividends from net investment income | (0.26 | ) | (0.27 | ) | (0.28 | ) | (0.04 | ) | |||||||||||
Dividends from net realized gains | (0.09 | ) | (0.05 | ) | (0.00 | )* | — | ||||||||||||
Total distributions** | (0.35 | ) | (0.32 | ) | (0.28 | ) | (0.04 | ) | |||||||||||
Net asset value, end of period | $ | 9.98 | $ | 10.23 | $ | 10.20 | $ | 9.98 | |||||||||||
Ratios and supplemental data: | |||||||||||||||||||
Total return(b) | 1.04 | % | 3.49 | % | 5.09 | % | 0.16 | % | |||||||||||
Net assets, end of period (000) | $ | 182,691 | $ | 176,439 | $ | 217,552 | $ | 15,118 | |||||||||||
Ratio of net expenses to average net assets | 0.40 | %(c) | 0.40 | % | 0.40 | % | 0.42 | %(c) | |||||||||||
Ratio of gross expenses to average net assets prior to expense reductions | 0.41 | %(c) | 0.42 | % | 0.47 | % | 2.13 | %(c) | |||||||||||
Ratio of net investment income (loss) to average net assets | 1.95 | %(c) | 2.44 | % | 2.73 | % | 3.22 | %(c) |
• Commencement of operations.
* Amounts are less than $0.005.
** Distribution for annual periods determined in accordance with federal income tax regulations.
(a) Net investment income (loss) allocated based on average shares method.
(b) Total return measures net investment income (loss) and capital gain or loss from portfolio investments assuming reinvestment of dividends and capital gains distributions. Total return is not annualized for periods that are less than a full year, does not reflect the effect of sales charge for Class A shares nor the contingent deferred sales charge for Class C shares and does not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.
(c) Annualized.
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275
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of Calamos Investment Trust
Results of Review of Interim Financial Information
We have reviewed the accompanying statements of assets and liabilities, including the schedules of investments, of Calamos Investment Trust (the "Trust"), including Calamos Growth Fund, Calamos Select Fund, Calamos Dividend Growth Fund, Calamos International Growth Fund, Calamos Evolving World Growth Fund, Calamos Global Equity Fund, Calamos Growth and Income Fund, Calamos Global Opportunities Fund (formerly, Calamos Global Growth and Income Fund), Calamos Convertible Fund, Calamos Global Convertible Fund, Calamos Total Return Bond Fund, Calamos High Income Opportunities Fund, Calamos Market Neutral Income Fund, Calamos Hedged Equity Fund, Calamos Phineus Long/Short Fund, Calamos Short-Term Bond Fund, Calamos Timpani Small Cap Growth Fund, and Calamos Timpani SMID Growth Fund (the "Funds"), as of April 30, 2021, the related statements of operations, changes in net assets, and the financial highlights for the six month period then ended, and the related notes (collectively referred to as the "interim financial information"). Based on our reviews, we are not aware of any material modifications that should be made to the accompanying interim financial information for it 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 statements of changes in net assets of the Funds and the financial highlights for each of the periods listed in the table below; and in our report dated December 18, 2020, we expressed an unqualified opinion on such statements of changes in net assets and financial highlights.
Individual Fund Comprising the Calamos Investment Trust | Statement of Changes in Net Assets | Financial Highlights | |||||||||
Calamos Growth Fund, Calamos Select Fund, Calamos Dividend Growth Fund, Calamos International Growth Fund, Calamos Evolving World Growth Fund, Calamos Global Equity Fund, Calamos Growth and Income Fund, Calamos Global Opportunities Fund (formerly, Calamos Global Growth and Income Fund), Calamos Convertible Fund, Calamos Total Return Bond Fund, Calamos High Income Opportunities Fund, Calamos Market Neutral Income Fund, Calamos Global Convertible Fund, Calamos Hedged Equity Fund | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020, 2019, 2018, 2017, and 2016 | |||||||||
Calamos Phineus Long/Short Fund | For the years ended October 31, 2020 and 2019 | For the years ended October 31, 2020, 2019, 2018, 2017, and the period from April 5, 2016 (commencement of operations) through October 31, 2016 | |||||||||
Calamos Short-Term Bond Fund | For the year ended October 31, 2020 and 2019 | For the year ended October 31, 2020, 2019, and the period from September 19, 2018 (commencement of operations) through October 31, 2018 | |||||||||
Calamos Timpani Small Cap Growth Fund | For the year ended October 31, 2020 and the period from May 31, 2019 (commencement of operations) through October 31, 2019 | ||||||||||
Calamos Timpani SMID Growth Fund | For the year ended October 31, 2020 and the period from July 31, 2019 (commencement of operations) through October 31, 2019 | ||||||||||
Frontier Timpani Small Cap Growth Fund | For the period from July 1, 2018 through May 31, 2019 |
The financial highlights for the year ended June 30, 2018, 2017, and 2016 of Frontier Timpani Small Cap Growth Fund were audited by other auditors whose report dated August 27, 2018, expressed an unqualified opinion on those financial statements and financial highlights.
Basis for Review Results
This interim financial information is the responsibility of the Funds' management. We are a public accounting firm registered with the PCAOB and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
276
Report of Independent Registered Public Accounting Firm
We conducted our reviews in accordance with 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 and financial highlights taken as a whole. Accordingly, we do not express such an opinion.
June 18, 2021
Chicago, Illinois
We have served as the auditor of one or more Calamos investment companies since 2003.
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277
Liquidity Risk Management Program
Consistent with Rule 22e-4 under the Investment Company Act of 1940, as amended, Calamos Investment Trust (the "Trust"), on behalf of each series (each a "Fund" and collectively, the "Funds"), has established a liquidity risk management program to govern each Fund's approach to managing liquidity risk (the "Program"). The Program is overseen by the Liquidity Committee, a committee comprised of representatives of the Trust's investment adviser, Calamos Advisors LLC. The Trust's Board of Trustees (the "Board") has approved the designation of the Liquidity Committee to oversee the Program.
The Program's principal objectives include supporting the Funds' compliance with limits on investments in illiquid assets and mitigating the risk that each Fund will be unable to meet its redemption obligations in a timely manner. The Program also includes a number of elements that support the management and assessment of liquidity risk, including an annual assessment of factors that influence each Fund's liquidity and the periodic classification and re-classification of each Fund's investments into groupings that reflect the Liquidity Committee's assessment of their relative liquidity under current market conditions.
At a meeting of the Board held on December 15, 2020, the Trustees received an annual report from the Liquidity Committee regarding the design and operational effectiveness of the Program. The Liquidity Committee determined, and reported to the Board, that the Program is reasonably designed to assess and manage each Fund's liquidity risk and has operated adequately and effectively to manage each Fund's liquidity risk. The Liquidity Committee reported that during the period covered by the report, there were no liquidity events that impacted the Funds or their ability to timely meet redemptions without dilution to existing shareholders. Among other things, the Board noted that the Funds are not required to have a highly liquid investment minimum based on their liquidity classifications. The Board further noted that no material changes have been made to the Program since its implementation.
There can be no assurance that the Program will achieve its objectives in the future. Please refer to the Funds' prospectus for more information regarding the Funds' exposure to liquidity risk and other principal risks to which an investment in the Funds may be subject.
CALAMOS OPEN-END FAMILY OF FUNDS SEMIANNUAL REPORT
278
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MANAGING YOUR CALAMOS FUNDS INVESTMENTS
Calamos Investments offers several convenient means to monitor, manage and feel confident about your Calamos investment choice.
24-HOUR AUTOMATED SHAREHOLDER ASSISTANCE: 800.823.7386
Through a single toll-free number, Calamos 24-Hour Shareholder Assistance is fast and easy. Get fund prices and account balances, review recent transactions, order statements, literature and more.
PERSONAL ASSISTANCE: 800.582.6959
Dial this toll-free number to speak with a knowledgeable Client Services Representative who can help answer questions or address issues concerning your Calamos Fund.
ONLINE ACCOUNT MANAGEMENT:
www.calamos.com
Manage your personal account of Calamos Funds online at www.calamos.com. On your account access page, you can view account history and download data.
YOUR FINANCIAL ADVISOR
We encourage you to talk to your financial advisor to determine how the Calamos Funds can benefit your investment portfolio based on your financial goals, risk tolerance, time horizon and income needs.
This report, including the audited financial statements contained herein, is submitted for general information for the shareholders of the Funds. The report is not authorized for distribution to prospective investors in the Funds unless accompanied by a currently effective prospectus of the Funds. The views expressed in this report reflect those of Calamos Advisors LLC only through April 30, 2021.
A description of the Calamos Proxy Voting Policies and Procedures and the Funds' 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 at www.calamos.com, or by writing Calamos at: Calamos Investments, Attn: Client Services, 2020 Calamos Court, Naperville, IL 60563. The Funds' proxy voting record is also available free of charge by visiting the SEC Web site at www.sec.gov.
The Funds file a complete list of their portfolio holdings with the SEC for the first and third quarters each fiscal year as an exhibit to its reports on Form N-PORT. The Forms N-PORT are available free of charge, upon request, by calling or writing Calamos Investments at the phone number or address provided above or by visiting the SEC Web site at www.sec.gov. You may also review or, for a fee, copy the forms at the SEC's Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 800.732.0330.
FOR 24-HOUR AUTOMATED SHAREHOLDER ASSISTANCE: 800.823.7386
TO OBTAIN INFORMATION ABOUT YOUR INVESTMENTS: 800.582.6959
VISIT OUR WEB SITE: www.calamos.com
INVESTMENT ADVISER:
Calamos Advisors LLC
2020 Calamos Court
Naperville, IL 60563-2787
CUSTODIAN AND FUND ACCOUNTING AGENT:
State Street Bank and Trust Company
Boston, MA
TRANSFER AGENT:
U.S. Bank Global Fund Services
615 E. Michigan St., 3rd Floor
Milwaukee, WI 53202
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM:
Deloitte & Touche LLP
Chicago, IL
LEGAL COUNSEL:
Ropes & Gray LLP
Chicago, IL
Visit our Web site for timely fund performance, detailed fund profiles, fund news and insightful market commentary.
2020 Calamos Court
Naperville, IL 60563-2787
800.582.6959
www.calamos.com
© 2021 Calamos Investments LLC. All Rights Reserved. Calamos® and Calamos Investments® are registered trademarks of Calamos Investments LLC.
MFSAN 1631 2021
Item 1(b). Registrant has included in its Rule 30e-3(c) notice only the disclosures specified by Rule 30e-3(c)(1) and (2). Therefore, Registrant has not included a copy of the notice herewith.
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
(a) Included in the Report to Shareholders in Item 1.
(b) Not applicable.
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 timely reported.
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 Investment Trust
By: | /s/ John P. Calamos, Sr. | |
Name: | John P. Calamos, Sr. | |
Title: | Principal Executive Officer | |
Date: | June 25, 2021 |
By: | /s/ Thomas E. Herman | |
Name: | Thomas E. Herman | |
Title: | Principal Financial Officer | |
Date: | June 25, 2021 |
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.
By: | /s/ John P. Calamos, Sr. | |
Name: | John P. Calamos, Sr. | |
Title: | Principal Executive Officer | |
Date: | June 25, 2021 |
By: | /s/ Thomas E. Herman | |
Name: | Thomas E. Herman | |
Title: | Principal Financial Officer | |
Date: | June 25, 2021 |