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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: 811-21484
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Strategic Total
Return Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville,
Illinois 60563-2787
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
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, 2006
DATE OF REPORTING PERIOD: November 1, 2004 through April 30, 2006
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ITEM 1. REPORTS TO SHAREHOLDERS
Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1
under the Act (17 CFR 270.30e-1).
[PICTURE]
CALAMOS(R) STRATEGIC TOTAL RETURN FUND (CSQ)
Semianuual Report April 30, 2006
[CALAMOS INVESTEMENTS LOGO]
[PHOTO]
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Table of Contents
Letter to Shareholders................................................. 1
Investment Team Interview.............................................. 5
Schedule of Investments................................................ 10
Statement of Assets and Liabilities.................................... 32
Statement of Operations................................................ 33
Statements of Changes In Net Assets.................................... 34
Notes to Financial Statements.......................................... 35
Financial Highlights................................................... 45
Report of Independent Registered Public Accounting Firm................ 46
Other Information...................................................... 47
About Closed-End Funds................................................. 49
Leverage............................................................... 50
Level Rate Distribution Policy......................................... 51
Automatic Dividend Reinvestment Plan................................... 52
Calamos Closed-End Funds............................................... 53
Letter to Shareholders
[PHOTO OF JOHN P. CALAMOS]
Dear Fellow Shareholders:
Thank you for your investment in CALAMOS STRATEGIC TOTAL RETURN FUND (CSQ).
We submit for your review this semiannual shareholder report for the six-month
period ended April 30, 2006.
For the period covered by this report, the Fund produced a total return of
11.87% based on net asset value (NAV), which compared favorably with the total
return of the equity markets represented by the S&P 500 Index's(1) total return
of 9.64%. During the past six months, there was a great deal of market price
volatility in the equity-based, closed-end fund market, which culminated in a
sell-off at year-end as an oversupply of new funds along with retail investor
tax selling pushed prices lower. For the period, the total return on the market
price was up 5.52%. As a shareholder, it's important for you to understand why
there is this difference between the NAV and the price at which the fund is
trading.
Closed-end funds (CEFs) are complex because unlike open-end mutual funds, they
are traded on an exchange, making their market price subject to supply and
demand. Like an open-end mutual fund, CEFs have a portfolio of securities that
are priced daily. The value of the securities in the fund portfolio, divided by
the number of shares outstanding is called its net asset value per share or NAV.
There can be, and often is, a difference between the NAV and the trading market
price of the fund. When the fund price is higher than the NAV, the fund is said
to be trading at a premium; when the market price is below NAV, it is at a
discount. Since many CEFs are bond funds, their pricing on the exchange is
primarily based on their distribution yield to shareholders, similar to
individual bonds rather than the value of the portfolio securities.
CSQ takes the closed-end fund complexity to another level. In addition to
producing an income stream from interest and dividends, the portfolio's holdings
in common stocks and
Strategic Total Return Fund
Letter to Shareholders SEMIANNUAL REPORT 1
Letter to Shareholders
equity-related securities can also generate capital gains. The potential for
capital gains on equity-based CEFs is often ignored by the market, causing a
price discount relative to the NAV. Notice in the chart below that the actual
portfolio value NAV has performed well as the market price of the fund has not,
creating a discount to NAV. The discount is an embedded value in the fund that,
once capital gains are realized, must be paid out to investors in the Fund as
dividends. We believe that the market ignores the embedded value and treats CSQ
as if it were strictly a bond fund, subject to interest rates with no
capital-gain opportunity.
SINCE INCEPTION NAV AND MARKET PRICE HISTORY AS OF APRIL 30, 2006
[LINE GRAPH]
CSQ DAILY NAV AND MARKET PRICE
Date NAV Market
---------- ------ ------
3/26/2004 14.310 15.000
3/29/2004 14.310 15.040
3/30/2004 14.310 15.040
3/31/2004 14.310 15.050
4/1/2004 14.340 15.200
4/2/2004 14.340 15.150
4/5/2004 14.390 15.110
4/6/2004 14.380 15.010
4/7/2004 14.340 15.100
4/8/2004 14.300 15.070
4/12/2004 14.330 15.050
4/13/2004 14.210 15.000
4/14/2004 14.170 15.000
4/15/2004 14.200 15.000
4/16/2004 14.250 15.000
4/19/2004 14.250 15.010
4/20/2004 14.150 15.000
4/21/2004 14.160 14.800
4/22/2004 14.260 14.800
4/23/2004 14.230 14.800
4/26/2004 14.230 14.760
4/27/2004 14.260 14.750
4/28/2004 14.150 14.750
4/29/2004 14.080 14.700
4/30/2004 14.050 14.550
5/3/2004 14.110 14.550
5/4/2004 14.130 13.980
5/5/2004 14.140 14.000
5/6/2004 14.040 13.450
5/7/2004 13.800 13.530
5/10/2004 13.590 12.600
5/11/2004 13.660 13.200
5/12/2004 13.670 13.500
5/13/2004 13.620 13.490
5/14/2004 13.620 13.650
5/17/2004 13.500 13.100
5/18/2004 13.570 13.260
5/19/2004 13.570 13.140
5/20/2004 13.590 13.060
5/21/2004 13.690 13.180
5/24/2004 13.720 12.930
5/25/2004 13.860 13.200
5/26/2004 13.920 13.470
5/27/2004 14.010 13.550
5/28/2004 13.990 13.790
6/1/2004 13.990 13.980
6/2/2004 14.000 13.820
6/3/2004 13.900 13.950
6/4/2004 13.940 14.030
6/7/2004 14.140 13.970
6/8/2004 14.170 14.000
6/9/2004 14.010 13.670
6/10/2004 14.070 13.550
6/14/2004 13.910 13.400
6/15/2004 14.030 13.400
6/16/2004 14.030 13.400
6/17/2004 14.040 13.330
6/18/2004 14.070 13.350
6/21/2004 14.040 13.290
6/22/2004 14.070 13.150
6/23/2004 14.190 13.000
6/24/2004 14.170 13.300
6/25/2004 14.090 13.300
6/28/2004 14.080 13.240
6/29/2004 14.080 13.190
6/30/2004 14.150 13.220
7/1/2004 14.020 13.260
7/2/2004 14.040 13.190
7/6/2004 13.950 13.180
7/7/2004 13.990 13.200
7/8/2004 13.900 13.140
7/9/2004 13.950 13.060
7/12/2004 13.980 13.140
7/13/2004 13.920 13.050
7/14/2004 13.900 12.990
7/15/2004 13.830 12.860
7/16/2004 13.840 12.930
7/19/2004 13.840 12.830
7/20/2004 13.870 12.890
7/21/2004 13.750 12.950
7/22/2004 13.770 12.990
7/23/2004 13.710 12.830
7/26/2004 13.690 12.680
7/27/2004 13.780 12.590
7/28/2004 13.820 12.690
7/29/2004 13.830 13.020
7/30/2004 13.830 13.170
8/2/2004 13.910 13.100
8/3/2004 13.860 13.350
8/4/2004 13.860 13.350
8/5/2004 13.710 13.270
8/6/2004 13.580 13.070
8/9/2004 13.570 12.990
8/10/2004 13.710 13.170
8/11/2004 13.700 13.120
8/12/2004 13.560 12.890
8/13/2004 13.580 12.790
8/16/2004 13.710 12.980
8/17/2004 13.740 12.950
8/18/2004 13.870 13.350
8/19/2004 13.830 13.270
8/20/2004 13.920 13.260
8/23/2004 13.900 13.020
8/24/2004 13.910 13.040
8/25/2004 13.990 13.180
8/26/2004 13.990 13.290
8/27/2004 14.040 13.420
8/30/2004 13.980 13.520
8/31/2004 14.070 13.580
9/1/2004 14.070 13.760
9/2/2004 14.210 13.790
9/3/2004 14.210 13.850
9/7/2004 14.310 13.930
9/8/2004 14.310 13.750
9/9/2004 14.290 13.920
9/10/2004 14.350 13.930
9/13/2004 14.330 13.770
9/14/2004 14.360 13.740
9/15/2004 14.250 13.550
9/16/2004 14.320 13.580
9/17/2004 14.370 13.760
9/20/2004 14.270 13.550
9/21/2004 14.350 13.400
9/22/2004 14.180 13.330
9/23/2004 14.120 13.270
9/24/2004 14.120 13.270
9/27/2004 14.060 13.330
9/28/2004 14.140 13.460
9/29/2004 14.180 13.580
9/30/2004 14.080 13.730
10/1/2004 14.260 13.760
10/4/2004 14.330 13.750
10/5/2004 14.320 13.790
10/6/2004 14.380 13.770
10/7/2004 14.270 13.890
10/8/2004 14.220 13.800
10/11/2004 14.240 13.700
10/12/2004 14.210 13.690
10/13/2004 14.040 13.590
10/14/2004 13.920 13.350
10/15/2004 14.020 13.460
10/18/2004 14.080 13.500
10/19/2004 13.980 13.430
10/20/2004 13.960 13.360
10/21/2004 13.980 13.400
10/22/2004 13.890 13.240
10/25/2004 13.850 13.130
10/26/2004 13.980 13.090
10/27/2004 14.150 13.310
10/28/2004 14.210 13.240
10/29/2004 14.230 13.340
11/1/2004 14.240 13.580
11/2/2004 14.240 13.700
11/3/2004 14.400 13.650
11/4/2004 14.620 13.850
11/5/2004 14.670 13.630
11/8/2004 14.650 13.550
11/9/2004 14.670 13.480
11/10/2004 14.620 13.390
11/11/2004 14.730 13.560
11/12/2004 14.890 13.730
11/15/2004 14.870 13.700
11/16/2004 14.810 13.570
11/17/2004 14.880 13.620
11/18/2004 14.890 13.620
11/19/2004 14.780 13.560
11/22/2004 14.830 13.450
11/23/2004 14.830 13.460
11/24/2004 14.890 13.540
11/26/2004 14.940 13.600
11/29/2004 14.910 13.500
11/30/2004 14.860 13.500
12/1/2004 15.020 13.570
12/2/2004 15.020 13.650
12/3/2004 15.040 13.840
12/6/2004 15.020 13.720
12/7/2004 14.910 13.580
12/8/2004 14.960 13.610
12/9/2004 14.930 13.420
12/10/2004 14.940 13.430
12/13/2004 15.060 13.450
12/14/2004 15.130 13.410
12/15/2004 15.190 13.440
12/16/2004 15.200 13.490
12/17/2004 15.130 13.480
12/20/2004 15.130 13.490
12/21/2004 15.230 13.570
12/22/2004 15.320 13.530
12/23/2004 15.340 13.550
12/27/2004 15.290 13.780
12/28/2004 15.310 13.870
12/29/2004 15.330 13.920
12/30/2004 15.340 14.040
12/31/2004 15.320 14.010
1/3/2005 15.210 14.030
1/4/2005 15.070 14.140
1/5/2005 14.960 14.050
1/6/2005 14.970 14.100
1/7/2005 14.940 14.160
1/10/2005 14.950 14.100
1/11/2005 14.860 14.060
1/12/2005 14.910 13.990
1/13/2005 14.810 13.870
1/14/2005 14.870 13.900
1/15/1900 14.980 14.000
1/19/2005 14.890 13.920
1/20/2005 14.760 13.790
1/21/2005 14.690 13.690
1/24/2005 14.640 13.720
1/25/2005 14.680 13.760
1/26/2005 14.780 13.810
1/27/2005 14.780 13.880
1/28/2005 14.740 13.900
1/31/2005 14.840 14.110
2/1/2005 14.940 14.060
2/2/2005 15.010 13.990
2/3/2005 15.010 13.940
2/4/2005 15.130 14.080
2/7/2005 15.130 14.080
2/8/2005 15.150 14.030
2/9/2005 15.040 14.070
2/10/2005 15.000 14.090
2/11/2005 15.120 14.240
2/14/2005 15.170 14.140
2/15/2005 15.210 14.130
2/16/2005 15.250 14.050
2/17/2005 15.160 13.920
2/18/2005 15.230 13.880
2/22/2005 15.080 13.710
2/23/2005 15.150 13.780
2/24/2005 15.270 13.930
2/25/2005 15.390 14.070
2/28/2005 15.340 14.040
3/1/2005 15.400 14.150
3/2/2005 15.380 14.140
3/3/2005 15.360 14.070
3/4/2005 15.480 14.070
3/7/2005 15.530 14.050
3/8/2005 15.480 14.030
3/9/2005 15.320 13.850
3/10/2005 15.250 13.860
3/11/2005 15.200 13.790
3/14/2005 15.250 13.820
3/15/2005 15.140 13.680
3/16/2005 14.980 13.380
3/17/2005 14.970 13.410
3/18/2005 14.950 13.290
3/21/2005 14.830 13.100
3/22/2005 14.690 12.900
3/23/2005 14.640 12.810
3/24/2005 14.660 13.000
3/28/2005 14.670 12.650
3/29/2005 14.560 13.000
3/30/2005 14.720 13.370
3/31/2005 14.740 13.310
4/1/2005 14.670 13.210
4/4/2005 14.660 13.120
4/5/2005 14.720 13.350
4/6/2005 14.790 13.590
4/7/2005 14.880 13.630
4/8/2005 14.790 13.610
4/11/2005 14.730 13.440
4/12/2005 14.760 13.650
4/13/2005 14.570 13.290
4/14/2005 14.420 13.240
4/15/2005 14.190 13.230
4/18/2005 14.210 13.390
4/19/2005 14.300 13.340
4/20/2005 14.200 13.150
4/21/2005 14.420 13.160
4/22/2005 14.420 13.210
4/25/2005 14.520 13.310
4/26/2005 14.430 13.200
4/27/2005 14.420 13.430
4/28/2005 14.290 13.480
4/29/2005 14.420 13.570
5/2/2005 14.480 13.348
5/3/2005 14.470 13.370
5/4/2005 14.630 13.700
5/5/2005 14.580 13.670
5/6/2005 14.540 13.660
5/9/2005 14.620 13.720
5/10/2005 14.500 13.660
5/11/2005 14.390 13.520
5/12/2005 14.250 13.330
5/13/2005 14.130 13.260
5/16/2005 14.240 13.280
5/17/2005 14.250 13.480
5/18/2005 14.400 13.450
5/19/2005 14.460 13.560
5/20/2005 14.500 13.400
5/23/2005 14.600 13.500
5/24/2005 14.590 13.380
5/25/2005 14.580 13.380
5/26/2005 14.680 13.670
5/27/2005 14.740 13.850
5/31/2005 14.700 13.810
6/1/2005 14.790 13.900
6/2/2005 14.870 13.990
6/3/2005 14.830 13.990
6/6/2005 14.810 13.920
6/7/2005 14.800 13.880
6/8/2005 14.800 13.830
6/9/2005 14.830 13.910
6/10/2005 14.860 13.890
6/13/2005 14.800 13.840
6/14/2005 14.870 13.840
6/15/2005 14.920 13.840
6/16/2005 14.990 13.830
6/17/2005 15.080 13.900
6/20/2005 15.060 13.890
6/21/2005 15.040 13.860
6/22/2005 15.010 13.790
6/23/2005 14.880 13.740
6/24/2005 14.800 13.650
6/27/2005 14.790 13.660
6/28/2005 14.890 13.940
6/29/2005 14.890 13.970
6/30/2005 14.810 13.950
7/1/2005 14.890 13.950
7/5/2005 15.020 13.920
7/6/2005 14.910 13.980
7/7/2005 14.900 14.040
7/8/2005 15.040 14.160
7/11/2005 15.150 14.240
7/12/2005 15.220 14.250
7/13/2005 15.130 14.230
7/14/2005 15.180 14.280
7/15/2005 15.200 14.270
7/18/2005 15.130 14.250
7/19/2005 15.190 14.350
7/20/2005 15.230 14.270
7/21/2005 15.140 14.250
7/22/2005 15.230 14.200
7/25/2005 15.210 14.140
7/26/2005 15.230 14.290
7/27/2005 15.330 14.400
7/28/2005 15.390 14.500
7/29/2005 15.340 14.470
8/1/2005 15.360 14.410
8/2/2005 15.440 14.420
8/3/2005 15.450 14.420
8/4/2005 15.380 14.380
8/5/2005 15.260 14.350
8/8/2005 15.220 14.120
8/9/2005 15.290 14.230
8/10/2005 15.310 14.280
8/11/2005 15.300 14.270
8/12/2005 15.230 14.230
8/15/2005 15.250 14.190
8/16/2005 15.140 14.160
8/17/2005 15.110 14.140
8/18/2005 15.060 14.100
8/19/2005 15.070 14.090
8/22/2005 15.100 14.190
8/23/2005 15.050 14.110
8/24/2005 14.990 14.060
8/25/2005 15.010 14.050
8/26/2005 14.920 14.030
8/29/2005 15.000 14.270
8/30/2005 14.970 14.350
8/31/2005 15.110 14.400
9/1/2005 15.160 14.260
9/2/2005 15.150 14.140
9/6/2005 15.280 14.380
9/7/2005 15.330 14.380
9/8/2005 15.280 14.410
9/9/2005 15.400 14.490
9/12/2005 15.350 14.390
9/13/2005 15.170 14.220
9/14/2005 15.140 14.070
9/15/2005 15.140 14.070
9/16/2005 15.250 14.090
9/19/2005 15.180 13.980
9/20/2005 15.080 13.900
9/21/2005 14.980 13.790
9/22/2005 14.950 13.700
9/23/2005 14.980 13.800
9/26/2005 15.030 13.680
9/27/2005 15.020 13.470
9/28/2005 15.020 13.870
9/29/2005 15.120 14.030
9/30/2005 15.130 13.990
10/3/2005 15.110 13.990
10/4/2005 14.970 13.940
10/5/2005 14.720 13.820
10/6/2005 14.600 13.650
10/7/2005 14.600 13.850
10/10/2005 14.490 13.750
10/11/2005 14.450 13.780
10/12/2005 14.260 13.390
10/13/2005 14.170 13.180
10/14/2005 14.270 13.620
10/17/2005 14.350 13.590
10/18/2005 14.190 13.350
10/19/2005 14.300 13.440
10/20/2005 14.090 13.240
10/21/2005 14.070 13.210
10/24/2005 14.280 13.450
10/25/2005 14.320 13.400
10/26/2005 14.300 13.380
10/27/2005 14.150 13.460
10/28/2005 14.310 13.700
10/31/2005 14.440 13.710
11/1/2005 14.350 13.620
11/2/2005 14.460 13.500
11/3/2005 14.520 13.470
11/4/2005 14.490 13.390
11/7/2005 14.480 13.370
11/8/2005 14.450 13.350
11/9/2005 14.460 13.240
11/10/2005 14.470 13.180
11/11/2005 14.530 13.270
11/14/2005 14.410 13.120
11/15/2005 14.360 12.940
11/16/2005 14.340 13.040
11/17/2005 14.450 13.010
11/18/2005 14.580 13.250
11/21/2005 14.650 13.200
11/22/2005 14.720 13.120
11/23/2005 14.780 13.180
11/25/2005 14.800 13.280
11/28/2005 14.700 13.160
11/29/2005 14.700 13.170
11/30/2005 14.620 13.200
12/1/2005 14.800 13.260
12/2/2005 14.790 13.240
12/5/2005 14.770 13.100
12/6/2005 14.780 13.070
12/7/2005 14.710 13.070
12/8/2005 14.700 13.070
12/9/2005 14.730 13.110
12/12/2005 14.730 12.990
12/13/2005 14.750 12.960
12/14/2005 14.840 12.880
12/15/2005 14.810 12.980
12/16/2005 14.800 12.990
12/19/2005 14.760 12.970
12/20/2005 14.730 12.920
12/21/2005 14.770 13.060
12/22/2005 14.810 13.320
12/23/2005 14.800 13.430
12/27/2005 14.690 13.420
12/28/2005 14.620 13.480
12/29/2005 14.600 13.450
12/30/2005 14.560 13.510
1/3/2006 14.810 13.710
1/4/2006 14.920 13.820
1/5/2006 14.950 13.710
1/6/2006 15.090 13.760
1/9/2006 15.150 14.010
1/10/2006 15.150 14.040
1/11/2006 15.230 14.080
1/12/2006 15.160 13.970
1/13/2006 15.160 14.060
1/17/2006 15.120 14.050
1/18/2006 15.040 14.140
1/19/2006 15.150 14.050
1/20/2006 14.960 13.920
1/23/2006 15.010 13.860
1/24/2006 15.030 13.890
1/25/2006 15.050 13.880
1/26/2006 15.170 13.910
1/27/2006 15.330 13.980
1/30/2006 15.340 14.000
1/31/2006 15.310 14.040
2/1/2006 15.340 14.010
2/2/2006 15.180 13.970
2/3/2006 15.090 13.910
2/6/2006 15.140 14.010
2/7/2006 14.980 14.000
2/8/2006 15.080 13.970
2/9/2006 14.970 13.930
2/10/2006 14.960 13.920
2/13/2006 14.910 13.950
2/14/2006 15.030 14.000
2/15/2006 15.110 14.090
2/16/2006 15.210 14.020
2/17/2006 15.240 14.070
2/21/2006 15.250 14.120
2/22/2006 15.320 14.220
2/23/2006 15.270 14.260
2/24/2006 15.290 14.220
2/27/2006 15.300 14.190
2/28/2006 15.170 14.270
3/1/2006 15.260 14.300
3/2/2006 15.240 14.200
3/3/2006 15.210 14.210
3/6/2006 15.110 14.100
3/7/2006 15.020 14.130
3/8/2006 15.030 14.150
3/9/2006 14.890 14.060
3/10/2006 14.970 13.990
3/13/2006 15.030 13.900
3/14/2006 15.150 13.950
3/15/2006 15.210 14.060
3/16/2006 15.290 14.060
3/17/2006 15.300 14.140
3/20/2006 15.270 14.120
3/21/2006 15.200 14.200
3/22/2006 15.350 14.280
3/23/2006 15.330 14.270
3/24/2006 15.380 14.240
3/27/2006 15.350 14.110
3/28/2006 15.270 14.030
3/29/2006 15.360 14.100
3/30/2006 15.330 14.020
3/31/2006 15.270 14.040
4/3/2006 15.310 14.090
4/4/2006 15.400 14.080
4/5/2006 15.470 14.140
4/6/2006 15.450 14.090
4/7/2006 15.290 14.080
4/10/2006 15.280 14.070
4/11/2006 15.100 13.870
4/12/2006 15.100 13.900
4/13/2006 15.090 13.910
4/17/2006 15.120 13.770
4/18/2006 15.380 13.880
4/19/2006 15.430 13.930
4/20/2006 15.470 14.000
4/21/2006 15.470 14.000
4/24/2006 15.400 14.100
4/25/2006 15.350 14.050
4/26/2006 15.440 13.970
4/27/2006 15.480 13.930
4/28/2006 15.510 13.890
THE DIVIDEND REINVESTMENT PROGRAM
This is an efficient method for purchasing additional shares with a potential
for cost savings. Please see the Fund's dividend reinvestment plan on our
website (www.calamos.com) for more information.
INVESTMENT OBJECTIVE
As a reminder, the Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of
equity, convertible and high-yield securities. This delicate blend between
income producing securities and common stock as well as the use of leverage
creates the potential for capital gains. With convertible and high-yield
securities tending to follow the movement of their companies' equity
counterparts more than traditional fixed-income securities, rising stock prices
can positively affect these securities, independent of the movement of general
interest rates.
We believe that the closed-end fund marketplace values high current income, and
will pay premium prices for higher yields. CSQ is total-return focused and is
based
Strategic Total Return Fund
2 SEMIANNUAL REPORT Letter to Shareholders
Letter to Shareholders
on a defensive approach to equity exposure, combining large-stock allocation
with convertible bonds and corporate securities. Although this approach has
produced a solid total return, the marketplace has focused on yield and has, to
date, priced the fund at a discount.
DUAL LISTING AND LEVEL DISTRIBUTION POLICY
In our effort to better serve our shareholders, we listed the Fund on NASDAQ in
addition to the NYSE March of this year. By making it available on both
exchanges, we hope to expand the Fund's potential set of investors.
The Fund's distribution policy is also a key consideration for our shareholders
and potential shareholders. Last year we announced the Fund's adoption of a
level rate distribution policy. We believe that closed-end fund investors value
an attractive and stable monthly distribution. Our level distribution policy
seeks to manage and optimize total return through net investment income, net
realized short-term capital gains potential and return of capital, if deemed
appropriate to optimize shareholder returns. The Board has the flexibility to
increase the distribution to encompass short-term capital gains as appropriate.
In fact, the performance of the underlying portfolio allowed the Board to raise
the fund's distribution by $0.0100 to $0.0975 per share in December, which
became effective in January, 2006. This was the second increase since the Fund
was issued in March 2004.
OUR HISTORY OF INNOVATION
CALAMOS INVESTMENTS has a history of producing innovative closed-end fund
vehicles that offer a dynamic approach to asset allocation. We were one of the
first firms to introduce closed-end fund investors to the merits of combining
convertible securities with other securities such as stocks and corporate bonds,
aiming to provide total return with current income in a risk-managed framework.
Calamos is dedicated to superior investment performance. CALAMOS STRATEGIC TOTAL
RETURN FUND (CSQ) is just one example of the way we have created new strategies
based on our core expertise to help you achieve and benefit from greater
portfolio diversification and to aid you in reducing some of the risk that comes
with investing.
We regard ourselves first and foremost as risk managers. The surest way of
building wealth is protecting principle. We believe that by combining
convertible- and corporate fixed-income securities that provide significant
income as well as exposure to the equity market's upside potential, we can offer
our shareholders the potential for long-term wealth creation in a manner
consistent with our focus on risk management. Talk to your Financial Advisor
about other Calamos strategies that may fit your investment objectives.
Strategic Total Return Fund
Letter to Shareholders SEMIANNUAL REPORT 3
Letter to Shareholders
STAY CONNECTED WITH CALAMOS
I welcome the opportunity to address shareholders in these reports but urge you
to stay connected with Calamos via our website www.calamos.com where you will
find timely portfolio details, our outlook and special reports.
Thank you for the confidence you have placed in our team, investment process and
the CALAMOS STRATEGIC TOTAL RETURN FUND (CSQ). We will do our utmost to continue
to earn your trust and look forward to serving your long-term investment plan.
Sincerely,
/S/ John P. Calamos
--------------------------
JOHN P. CALAMOS, SR.
Chairman, CEO and Co-CIO
Calamos Advisors LLC
(1)The S&P 500 Index is an unmanaged index generally considered representative
of the U.S. stock market. Source: Lipper Analytical Services.
This report is presented for informational purposes and should not be considered
investment advice.
Strategic Total Return Fund
4 SEMIANNUAL REPORT Letter to Shareholders
Investment Team Interview
WITH THE CALAMOS INVESTMENT TEAM LED BY CO-CHIEF INVESTMENT OFFICERS, JOHN P.
CALAMOS, SR. AND NICK P. CALAMOS
HOW DOES THE FUND FIT IN AN INVESTOR'S OVERALL ASSET ALLOCATION?
FUND ASSET ALLOCATION AS OF APRIL 30, 2006
[PIE CHART]
COMMON STOCK 42.3%
CONVERTIBLE SECURITIES 30.8%
HIGH YIELD/CORPORATE BONDS 25.7%
SHORT-TERM INVESTMENTS 1.2%
The Fund should be considered as a defensive approach to equity participation,
offering investors the potential for significant long-term total return while
they receive an attractive monthly distribution. By combining equities,
convertibles and high-yield corporate securities, the Fund has the capacity to
generate capital gains as well as income, taking advantage of its flexibility to
manage risk and reward over the full course of a market cycle. Because
convertible and high-yield securities tend to follow the movements of their
companies' equity counterparts, more so than traditional fixed income
securities, the Fund can be viewed as having substantial equity sensitivity, yet
with significant income potential. In effect, the Fund seeks to participate in
the long-term upward trend of the equity markets, but with the added
benefit--and potential downside protection--of a stable monthly distribution.
HOW DID THE FUND PERFORM OVER THE REPORTING PERIOD?
The Fund's underlying portfolio performed well over the six-month period, with a
total return on net asset value (NAV) of 11.87%, compared with the S&P 500
Index's gain of 9.64%. Based on its market price, the Fund's total return was
5.52% for the period, resulting in the Fund's market price trading at a discount
to its
TOTAL RETURN* AS OF APRIL 30, 2006
COMMON SHARES -- INCEPTION 3/26/04 6 MONTHS 1 YEAR SINCE INCEPTION**
---------------------------------- -------- ------ -----------------
On Share Price 5.52% 10.66% 3.01%
On NAV 11.87 16.28 10.98
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. You can purchase or sell
common shares daily. Like any other stock, market price will fluctuate with the
market. Upon sale, your shares may have a market price that is above or below
net asset value and may be worth more or less than your original investment.
Due to on going market volatility, performance is subject to substantial
short-term fluctuations.
*Total return measures net investment income and capital gain or loss from
portfolio investments, assuming reinvestment of income and capital gains
distributions.
**Annualized since inception.
Strategic Total Return Fund
Investment Team Interview SEMIANNUAL REPORT 5
Investment Team Interview
strong-performing NAV (discussed below). As part of its total return, the Fund
delivered an attractive monthly distribution of $0.0975 per share, or an 8.42%
annualized distribution based on the closing market price on April 30, 2006. The
current distribution has been in effect since January 2006, when the Fund raised
its distribution by $0.01 per share to this attractive level.
WHY DIDN'T THE CSQ MARKET PRICE REFLECT THE STRONG PERFORMANCE OF THE
PORTFOLIO'S NAV?
While a great deal of attention tends to be given to a fund's current
distribution rate, we view CSQ's capital-gain potential along with its
attractive annualized distribution rate of 8.42% as a significant advantage in
portfolios that seek an income component. This capital gains potential is a
hallmark of the CSQ's strategy, and in our opinion, has been undervalued by the
marketplace. With this potential, we give up a small degree of income capacity
to increase the portfolio's capacity for solid capital gains. Although this
approach means that our monthly distribution rate is lower than income-only
vehicles, the portfolio offers significantly more exposure to equities' upside
potential--and seeks to provide a distribution significantly higher than
equity dividend rates.
Although the closed-end fund universe tends to be focused on yield, we believe
that CSQ, with its flexible portfolio, judicious use of leverage and
total-return focus offers closed-end fund investors a unique opportunity to
capitalize on the closed-end fund structure, while enjoying the potential for
both a sizable distribution as well as the potential for significant long-term
total returns. As portfolio managers, our goal is to focus on the capital
appreciation and income that the portfolio can produce, and deliver to the
Fund's shareholders a steady source of income with ample exposure to equity
upside potential, which we believe to be a formula for long-term wealth
creation. We will continue to strive to achieve our objective, and will continue
to make efforts to help market participants realize the potential value of this
investment to long-term shareholders.
SPEAKING OF LEVERAGE, INTEREST RATES CONTINUED TO MOVE HIGHER OVER THE PERIOD,
WITH THE FEDERAL FUNDS RATE MOVING FROM 4.00% AT THE BEGINNING OF THE PERIOD TO
4.75% AT THE END OF APRIL 2006. HOW DID THIS RISING-RATE ENVIRONMENT IMPACT THE
PORTFOLIO?
Rising short-term interest rates had a moderate impact on the Fund's cost of
leverage. Many closed-end funds leverage the portfolio by borrowing funds at
short-term rates. As short-term interest rates rise, this increases the cost of
leverage and
Strategic Total Return Fund
6 SEMIANNUAL REPORT Investment Team Interview
Investment Team Interview
can impact the yield and total return of the portfolio. While the Fund does
employ leverage, the cost of leverage was locked in for longer periods at an
earlier point in the interest rate cycle, when rates were lower. As of the end
of April 2006, 46% of the leverage for CSQ was locked in longer-term rates and
not susceptible to rising short-term interest rates. By locking in the cost of
leverage longer term, the negative effect of rising short-term interest rates is
reduced.
Long-term interest rates also rose over the period, with the yield on the
10-year Treasury moving from 4.57% at the beginning of the period to 5.07% at
the end of April 2006. Rising long-term interest rates tend to negatively affect
traditional high-quality fixed-income securities. As noted above, this portfolio
combines equities, high-yield corporate bonds and convertible bonds that tend to
be more economically sensitive and much less interest rate sensitive. This is
shown by the positive performance delivered over the period as the portfolio
benefited from continued economic expansion and a rising equity market.
TEN YEAR TREASURY AS OF APRIL 30, 2006
[LINE GRAPH]
31 OCT. 05 4.57%
NOV. 05 4.49%
DEC. 05 4.39%
JAN. 06 4.53%
FEB. 06 4.55%
MARCH 06 4.86%
APRIL 06 5.07%
Furthermore, as noted above the portfolio provided an attractive yield for
shareholders: CSQ's monthly distribution equated to an 8.42% annualized
distribution rate based on the market price as of April 30, 2006.
HOW DID THE FUND BENEFIT FROM POSITIONING DURING THE REPORTING PERIOD? WHAT
HELPED OR HURT THE PORTFOLIO'S PERFORMANCE?
The portfolio's gains were the result of proper positioning based on our
long-term outlook. Of particular note was the positive performance from sectors
such as Health Care and Technology, as well as an overweighting in the Energy
sector.
Strategic Total Return Fund
Investment Team Interview SEMIANNUAL REPORT 7
Investment Team Interview
Overall, performance during the period was helped by the Fund's equity
sensitivity, reflected in its stock and convertible security allocations. On a
relative basis, the Fund's allocation to Materials and Consumer Discretionary
sectors had a negative impact for the period.
SECTOR ALLOCATION
--------------------------
Financials 21.1%
Consumer Discretionary 14.3
Health Care 13.1
Energy 11.3
Industrials 10.5
Information Technology 9.2
Telecommunication Services 6.9
Consumer Staples 6.7
Materials 3.7
Utilities 3.2
Sector allocations are based on total investments (excluding security lending
collateral and short-term investments) and may vary over time.
DO YOU ANTICIPATE MAKING ANY CHANGES WITHIN THE PORTFOLIO GOING FORWARD?
The portfolio continues to be actively managed and seeks to take advantage of
opportunities in the marketplace. Through extensive fundamental analysis, we are
focusing on issues that have stable growth prospects and solid balance sheets,
which could benefit from the current economic backdrop. For example, during a
slow-but-stable growth phase of the economy, larger companies tend to
outperform, as do sectors such as Consumer Staples.
The Fund's higher exposure to larger-capitalized holdings reflects our move into
a more stable growth positioning as the economic cycle ages. It is also
important to note that we believe large-cap growth stocks offer the best
relative valuation opportunity in a generation. While current convertible
valuations remain attractive, should valuations improve, the allocation to
convertible securities would likely be reduced. We will continue to make use of
our fundamental research as we look for securities with stable growth prospects,
solid balance sheets and good risk/reward profiles.
WHAT IS YOUR MARKET OUTLOOK AND HOW IS THE PORTFOLIO POSITIONED TO TAKE
ADVANTAGE OF THIS ENVIRONMENT?
We believe the economy is in the mid-cycle growth phase characterized by:
- Positive but slowing gross domestic product growth
- Strong corporate earnings, albeit slowing
- High household net worth and wage growth
- Strong corporate balance sheets that support increased capital
expenditures
Strategic Total Return Fund
8 SEMIANNUAL REPORT Investment Team Interview
Investment Team Interview
We believe the portfolio is positioned to continue to perform well in this
environment. The equity-sensitive nature of the Fund can benefit from a positive
environment for equity securities. Another positive factor for equity-sensitive
holdings may materialize should the Fed complete this cycle of raising interest
rates. In the past, this has triggered renewed excitement for stocks, and the
Fund--unlike traditional fixed-income holdings--has the potential to
significantly benefit from such enthusiasm.
As active investors ourselves, we view any opportunity to purchase assets 1)
with capital appreciation potential, 2) that are managed with consistent, sound
management and 3) trading at a discount, to be an enticing prospect.
Strategic Total Return Fund
Investment Team Interview SEMIANNUAL REPORT 9
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------------------- --------------
CORPORATE BONDS (37.0%)
CONSUMER DISCRETIONARY (10.5%)
$ 4,047,000 Asbury Automotive Group, Inc.
8.000%, 03/15/14 $ 4,097,588
6,474,000 Aztar Corp.@
7.875%, 06/15/14 7,040,475
9,190,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 9,615,037
4,047,000 Boyd Gaming Corp.
7.750%, 12/15/12 4,218,998
3,440,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 3,693,700
12,544,000 EchoStar Communications Corp.*
7.125%, 02/01/16 12,308,800
1,780,000 EchoStar DBS Corporation
6.625%, 10/01/14 1,719,925
5,261,000 GBP EMI Group, PLC
9.750%, 05/20/08 10,324,734
12,140,000 General Motors Corp.@
7.200%, 01/15/11 9,620,950
16,186,000 Goodyear Tire & Rubber Company@
7.857%, 08/15/11 16,024,140
7,284,000 GSC Holdings Corp.*@
8.000%, 10/01/12 7,329,525
7,284,000 Hovnanian Enterprises, Inc.@
7.750%, 05/15/13 7,256,685
5,665,000 IMAX Corp.@
9.625%, 12/01/10 6,075,713
7,688,000 Intrawest Corp.@
7.500%, 10/15/13 7,822,540
6,158,000 Jarden Corp.@
9.750%, 05/01/12 6,435,110
2,625,000 Kellwood Company
7.625%, 10/15/17 2,430,755
6,070,000 Landry's Restaurants, Inc.@
7.500%, 12/15/14 5,857,550
13,961,000 Linens 'n Things, Inc.*@++
10.702%, 01/15/14 14,205,317
Mandalay Resort Group@
11,771,000 10.250%, 08/01/07 12,388,977
5,261,000 7.625%, 07/15/13 5,366,220
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
10 SEMIANNUAL REPORT Schedule of Investments
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------- -----------------
$ 10,521,000 Meritage Corp.@
7.000%, 05/01/14 $ 10,021,252
4,856,000 NCL Holding, ASA
10.625%, 07/15/14 4,928,840
4,047,000 Oxford Industries, Inc.
8.875%, 06/01/11 4,198,763
Pinnacle Entertainment, Inc.
7,284,000 8.250%, 03/15/12 7,648,200
4,164,000 8.750%, 10/01/13@ 4,497,120
8,105,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 7,942,900
5,261,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 4,969,493
10,521,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 10,793,547
4,047,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 4,016,648
12,140,000 Standard Pacific Corp.
9.250%, 04/15/12 12,564,900
4,047,000 Vail Resorts, Inc.
6.750%, 02/15/14 3,930,649
Warner Music Group
14,972,000 7.375%, 04/15/14 14,822,280
2,023,000 GBP 8.125%, 04/15/14 3,845,825
809,000 William Lyon Homes, Inc.
10.750%, 04/01/13 813,045
1,780,000 Wynn Las Vegas, LLC@
6.625%, 12/01/14 1,739,950
-----------------
250,566,151
-----------------
CONSUMER STAPLES (3.0%)
6,879,000 Central Garden & Pet Company
9.125%, 02/01/13 7,343,332
11,937,000 Chiquita Brands International, Inc.@
7.500%, 11/01/14 10,385,190
9,307,000 Del Monte Foods Company
8.625%, 12/15/12 9,818,885
13,758,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 12,966,915
8,902,000 NBTY, Inc.*
7.125%, 10/01/15 8,456,900
5,099,000 Revlon, Inc.@
9.500%, 04/01/11 5,022,515
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 11
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------------- -------------
Spectrum Brands, Inc.@
$ 11,330,000 7.375%, 02/01/15 $ 9,573,850
4,856,000 8.500%, 10/01/13 4,309,700
3,805,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 4,090,375
-------------
71,967,662
-------------
ENERGY (4.6%)
9,712,000 Arch Western Finance, LLC@
6.750%, 07/01/13 9,663,440
Chesapeake Energy Corp.
5,665,000 6.875%, 01/15/16@ 5,608,350
3,237,000 7.500%, 06/15/14 3,342,203
4,358,000 Comstock Resources, Inc.
6.875%, 03/01/12 4,281,735
1,780,000 Energy Partners, Ltd.
8.750%, 08/01/10 1,828,950
11,978,000 Giant Industries, Inc.
8.000%, 05/15/14 12,367,285
4,047,000 Houston Exploration Company
7.000%, 06/15/13 3,966,060
4,047,000 KCS Energy, Inc.
7.125%, 04/01/12 4,097,588
809,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 847,428
Petroleo Brasileiro, SA@
13,354,000 9.125%, 07/02/13 15,524,025
12,544,000 8.375%, 12/10/18 14,112,000
1,619,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 1,702,990
9,165,000 Swift Energy Company@
9.375%, 05/01/12 9,783,637
6,110,000 Whiting Petroleum Corp.@
7.250%, 05/01/12 6,140,550
16,186,000 Williams Companies, Inc.
7.750%, 06/15/31 16,975,067
-------------
110,241,308
-------------
FINANCIALS (3.5%)
32,372,000 Dow Jones TRAC-X North America High Yield Series
6 June 2011 Trust *@[ ]
8.125%, 06/29/11 32,493,395
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
12 SEMIANNUAL REPORT Schedule of Investments
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------- -------------
E*TRADE Financial Corporation
$ 15,668,000 7.375%, 09/15/13 $ 16,020,530
10,804,000 7.875%, 12/01/15@ 11,398,220
2,752,000 8.000%, 06/15/11 2,855,200
12,140,000 Leucadia National Corp.
7.000%, 08/15/13 12,109,650
8,498,000 Senior Housing Properties Trust
8.625%, 01/15/12 9,347,800
--------------
84,224,795
--------------
HEALTH CARE (3.3%)
4,047,000 Ameripath, Inc.@
10.500%, 04/01/13 4,320,173
2,954,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 2,836,067
4,047,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 4,168,410
4,654,000 Biovail Corp.@
7.875%, 04/01/10 4,723,810
1,780,000 DaVita, Inc.@
7.250%, 03/15/15 1,788,900
1,295,000 Omnicare, Inc.@
6.875%, 12/15/15 1,286,906
8,902,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 9,169,060
15,377,000 Service Corp. International@
6.750%, 04/01/16 14,915,690
14,325,000 Tenet Healthcare Corp.*@
9.250%, 02/01/15 14,647,313
10,521,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 10,468,395
10,926,000 Vanguard Health Systems, Inc.@
9.000%, 10/01/14 11,335,725
--------------
79,660,449
--------------
INDUSTRIALS (3.7%)
4,451,000 Accuride Corp.@
8.500%, 02/01/15 4,417,617
5,382,000 American Airlines, Inc.
7.250%, 02/05/09 5,422,365
2,428,000 Armor Holdings, Inc.
8.250%, 08/15/13 2,604,030
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 13
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
------------- --------------
$ 13,354,000 CNH Global, NV
9.250%, 08/01/11 $ 14,255,395
2,833,000 Columbus McKinnon Corp.@
8.875%, 11/01/13 2,974,650
10,926,000 Cummins, Inc.@
9.500%, 12/01/10 11,704,477
4,047,000 Gardner Denver, Inc.
8.000%, 05/01/13 4,269,585
7,688,000 General Cable Corp.@
9.500%, 11/15/10 8,341,480
4,047,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 4,254,409
1,780,000 Hexcel Corporation
6.750%, 02/01/15 1,757,750
3,039,000 Manitowoc Company, Inc.
10.500%, 08/01/12 3,327,705
4,047,000 Monitronics International, Inc.
11.750%, 09/01/10 4,036,883
2,428,000 Orbital Sciences Corp.
9.000%, 07/15/11 2,604,030
4,047,000 Sequa Corp.
8.875%, 04/01/08 4,239,232
4,654,000 Trinity Industries, Inc.
6.500%, 03/15/14 4,502,745
4,047,000 Wesco Distribution, Inc.*
7.500%, 10/15/17 4,148,175
Williams Scotsman International, Inc.
3,642,000 8.500%, 10/01/15 3,760,365
809,000 8.500%, 10/01/15* 835,293
--------------
87,456,186
--------------
INFORMATION TECHNOLOGY (2.2%)
14,789,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 15,528,450
1,780,000 Avago Technologies*@
11.875%, 12/01/15 1,966,900
6,879,000 Celestica, Inc.@
7.875%, 07/01/11 7,033,778
4,047,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 4,168,410
4,047,000 Liberty Media Corp.
8.250%, 02/01/30 3,898,386
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
14 SEMIANNUAL REPORT Schedule of Investments
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- -------------
$ 890,000 Sanmina-SCI Corporation
8.125%, 03/01/16 $ 907,800
8,498,000 SunGard Data Systems, Inc.*@
9.125%, 08/15/13 9,114,105
12,140,000 Telcordia Technologies*
10.000%, 03/15/13 11,168,800
------------
53,786,629
------------
MATERIALS (3.3%)
Aleris International, Inc.@
10,116,000 10.375%, 10/15/10 11,152,890
1,619,000 9.000%, 11/15/14 1,699,950
2,428,000 Century Aluminum Company
7.500%, 08/15/14 2,537,260
7,065,000 Freeport-McMoRan Copper & Gold, Inc.@
10.125%, 02/01/10 7,612,537
1,780,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 1,820,050
Ineos Group Holdings, PLC*
10,926,000 EUR 7.875%, 02/15/16 13,267,337
2,023,000 8.500%, 02/15/16@ 1,931,965
8,093,000 IPSCO, Inc.
8.750%, 06/01/13 8,821,370
6,474,000 U.S. Concrete, Inc.@
8.375%, 04/01/14 6,684,405
Union Carbide Corp.
8,862,000 7.875%, 04/01/23@ 9,373,683
7,001,000 7.500%, 06/01/25 7,321,884
5,948,000 Westlake Chemical Corporation@
6.625%, 01/15/16 5,754,690
------------
77,978,021
------------
TELECOMMUNICATION SERVICES (1.9%)
Alamosa Holdings, Inc.
10,521,000 8.500%, 01/31/12 11,323,226
4,047,000 11.000%, 07/31/10 4,497,229
17,805,000 AT&T Corp.@
9.750%, 11/15/31 21,161,100
1,376,000 Citizens Communications Company@
9.000%, 08/15/31 1,482,640
3,642,000 IPCS Escrow Company
11.500%, 05/01/12 4,142,775
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT Fund 15
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
$ 4,047,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 $ 4,057,118
------------
46,664,088
------------
UTILITIES (1.0%)
9,712,000 Edison International
7.730%, 06/15/09 9,991,220
14,568,000 TXU Corp.@
6.500%, 11/15/24 13,336,159
------------
23,327,379
------------
TOTAL CORPORATE BONDS
(Cost $883,368,439) 885,872,668
============
CONVERTIBLE BONDS (14.2%)
CONSUMER DISCRETIONARY (2.4%)
7,000,000 General Motors Corp.
6.250%, 03/06/32 5,098,800
9,500,000 GBP Punch Taverns Redwood Jersey Co. Ltd.
5.000%, 12/14/10 18,564,515
32,000,000 Walt Disney Company@
2.125%, 04/15/23 34,160,000
------------
57,823,315
------------
ENERGY (1.5%)
10,500,000 Helix Energy Solutions Group*
3.250%, 12/15/25 15,185,625
15,000,000 Petroleos Mexicanos (Repsol YpF, S.A.) [ ]
4.500%, 01/26/11 20,176,689
------------
35,362,314
------------
FINANCIALS (1.7%)
13,500,000 Deutsche Bank Luxembourg S.A. (USA Interactive)*++[ ]
5.349%, 05/01/12 16,132,500
4,350,000 Host Marriott Corp.*
3.250%, 04/15/24 5,540,813
18,750,000 Travelers Property Casualty Corp.
4.500%, 04/15/32 18,495,000
------------
40,168,313
------------
HEALTH Care (0.9%)
20,000,000 Wyeth++
4.239%, 01/15/24 21,292,000
------------
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
16 SEMIANNUAL REPORT Schedule of Investments
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
INDUSTRIALS (2.4%)
$20,000,000 Allied Waste Industries, Inc.@
4.250%, 04/15/34 $ 19,650,000
9,000,000 GATX Corp.
7.500%, 02/01/07 12,768,750
16,000,000 Lockheed Martin Corp.++
4.499%, 08/15/33 18,625,600
4,500,000 Quanta Services, Inc.
4.500%, 10/01/23 7,081,875
------------
58,126,225
------------
INFORMATION TECHNOLOGY (2.6%)
6,625,000 Conexant Systems, Inc.*@
4.000%, 03/01/26 6,939,688
14,500,000 DST Systems, Inc.
4.125%, 08/15/23 19,738,125
17,000,000 Electronic Data Systems Corp.
3.875%, 07/15/23 17,743,750
17,000,000 Vishay Intertechnology, Inc.
3.625%, 08/01/23 17,637,500
------------
62,059,063
------------
MATERIALS (0.9%)
10,700,000 Freeport-McMoRan Copper & Gold, Inc.@
7.000%, 02/11/11 23,165,500
------------
UTILITIES (1.8%)
20,000,000 CenterPoint Energy, Inc.@
3.750%, 05/15/23 22,325,000
8,750,000 GBP Scottish and Southern Energy, PLC
3.750%, 10/29/09 20,536,602
------------
42,861,602
------------
TOTAL CONVERTIBLE BONDS
(Cost $316,716,450) 340,858,332
============
SYNTHETIC CONVERTIBLE SECURITIES (10.2%)
CORPORATE BONDS (8.7%)
CONSUMER DISCRETIONARY (2.5%)
953,000 Asbury Automotive Group, Inc.
8.000%, 03/15/14 964,913
1,526,000 Aztar Corp.@
7.875%, 06/15/14 1,659,525
2,165,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 2,265,131
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 17
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- -----------
$ 953,000 Boyd Gaming Corp.
7.750%, 12/15/12 $ 993,503
810,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 869,738
2,956,000 EchoStar Communications Corp.*
7.125%, 02/01/16 2,900,575
420,000 EchoStar DBS Corporation
6.625%, 10/01/14 405,825
1,239,000 GBP EMI Group, PLC
9.750%, 05/20/08 2,431,543
2,860,000 General Motors Corp.@
7.200%, 01/15/11 2,266,550
3,814,000 Goodyear Tire & Rubber Company@
7.857%, 08/15/11 3,775,860
1,716,000 GSC Holdings Corp.*@
8.000%, 10/01/12 1,726,725
1,716,000 Hovnanian Enterprises, Inc.@
7.750%, 05/15/13 1,709,565
1,335,000 IMAX Corp.@
9.625%, 12/01/10 1,431,787
1,812,000 Intrawest Corp.@
7.500%, 10/15/13 1,843,710
1,451,000 Jarden Corp.@
9.750%, 05/01/12 1,516,295
618,000 Kellwood Company
7.625%, 10/15/17 572,269
1,430,000 Landry's Restaurants, Inc.@
7.500%, 12/15/14 1,379,950
3,289,000 Linens 'n Things, Inc.*@++
10.702%, 01/15/14 3,346,557
Mandalay Resort Group@
2,774,000 10.250%, 08/01/07 2,919,635
1,239,000 7.625%, 07/15/13 1,263,780
2,479,000 Meritage Corp.@
7.000%, 05/01/14 2,361,247
1,144,000 NCL Holding, ASA
10.625%, 07/15/14 1,161,160
953,000 Oxford Industries, Inc.
8.875%, 06/01/11 988,738
Pinnacle Entertainment, Inc.
1,716,000 8.250%, 03/15/12 1,801,800
981,000 8.750%, 10/01/13@ 1,059,480
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
18 SEMIANNUAL REPORT Schedule of Investments
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- -----------
$1,910,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 $ 1,871,800
1,239,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 1,170,348
2,479,000 Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 2,543,218
953,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 945,853
2,860,000 Standard Pacific Corp.
9.250%, 04/15/12 2,960,100
953,000 Vail Resorts, Inc.
6.750%, 02/15/14 925,601
Warner Music Group
3,528,000 7.375%, 04/15/14 3,492,720
477,000 GBP 8.125%, 04/15/14 906,801
191,000 William Lyon Homes, Inc.
10.750%, 04/01/13 191,955
420,000 Wynn Las Vegas, LLC@
6.625%, 12/01/14 410,550
-----------
59,034,807
-----------
CONSUMER STAPLES (0.7%)
1,621,000 Central Garden & Pet Company
9.125%, 02/01/13 1,730,418
2,813,000 Chiquita Brands International, Inc.@
7.500%, 11/01/14 2,447,310
2,193,000 Del Monte Foods Company
8.625%, 12/15/12 2,313,615
3,242,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 3,055,585
2,098,000 NBTY, Inc.*
7.125%, 10/01/15 1,993,100
1,201,000 Revlon, Inc.@
9.500%, 04/01/11 1,182,985
Spectrum Brands, Inc.@
2,670,000 7.375%, 02/01/15 2,256,150
1,144,000 8.500%, 10/01/13 1,015,300
897,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 964,275
-----------
16,958,738
-----------
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 19
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- ------------
ENERGY (1.1%)
$ 2,288,000 Arch Western Finance, LLC@
6.750%, 07/01/13 $ 2,276,560
Chesapeake Energy Corp.
1,335,000 6.875%, 01/15/16@ 1,321,650
763,000 7.500%, 06/15/14 787,798
1,027,000 Comstock Resources, Inc.
6.875%, 03/01/12 1,009,027
420,000 Energy Partners, Ltd.
8.750%, 08/01/10 431,550
2,822,000 Giant Industries, Inc.
8.000%, 05/15/14 2,913,715
953,000 Houston Exploration Company
7.000%, 06/15/13 933,940
953,000 KCS Energy, Inc.
7.125%, 04/01/12 964,912
191,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 200,073
Petroleo Brasileiro, SA@
3,146,000 9.125%, 07/02/13 3,657,225
2,956,000 8.375%, 12/10/18 3,325,500
381,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 400,766
2,160,000 Swift Energy Company@
9.375%, 05/01/12 2,305,800
1,440,000 Whiting Petroleum Corp.@
7.250%, 05/01/12 1,447,200
3,814,000 Williams Companies, Inc.
7.750%, 06/15/31 3,999,932
------------
25,975,648
------------
FINANCIALS (0.8%)
7,628,000 Dow Jones TRAC-X North America High Yield Series
6 June 2011 Trust *@[ ]
8.125%, 06/29/11 7,656,605
E*TRADE Financial Corporation
3,692,000 7.375%, 09/15/13 3,775,070
2,546,000 7.875%, 12/01/15@ 2,686,030
648,000 8.000%, 06/15/11 672,300
2,860,000 Leucadia National Corp.
7.000%, 08/15/13 2,852,850
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
20 SEMIANNUAL REPORT Schedule of Investments
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------- ------------
$ 2,002,000 Senior Housing Properties Trust
8.625%, 01/15/12 $ 2,202,200
------------
19,845,055
------------
HEALTH CARE (0.8%)
953,000 Ameripath, Inc.@
10.500%, 04/01/13 1,017,327
696,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 668,214
953,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 981,590
1,096,000 Biovail Corp.@
7.875%, 04/01/10 1,112,440
420,000 DaVita, Inc.@
7.250%, 03/15/15 422,100
305,000 Omnicare, Inc.@
6.875%, 12/15/15 303,094
2,098,000 Psychiatric Solutions, Inc.
7.750%, 07/15/15 2,160,940
3,623,000 Service Corp. International@
6.750%, 04/01/16 3,514,310
3,375,000 Tenet Healthcare Corp.*@
9.250%, 02/01/15 3,450,937
2,479,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 2,466,605
2,574,000 Vanguard Health Systems, Inc.@
9.000%, 10/01/14 2,670,525
------------
18,768,082
------------
INDUSTRIALS (0.9%)
1,049,000 Accuride Corp.@
8.500%, 02/01/15 1,041,132
1,268,000 American Airlines, Inc.
7.250%, 02/05/09 1,277,510
572,000 Armor Holdings, Inc.
8.250%, 08/15/13 613,470
3,146,000 CNH Global, NV
9.250%, 08/01/11 3,358,355
667,000 Columbus McKinnon Corp.@
8.875%, 11/01/13 700,350
2,574,000 Cummins, Inc.@
9.500%, 12/01/10 2,757,397
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 21
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- -----------
$ 953,000 Gardner Denver, Inc.
8.000%, 05/01/13 $ 1,005,415
1,812,000 General Cable Corp.@
9.500%, 11/15/10 1,966,020
953,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 1,001,841
420,000 Hexcel Corporation
6.750%, 02/01/15 414,750
716,000 Manitowoc Company, Inc.
10.500%, 08/01/12 784,020
953,000 Monitronics International, Inc.
11.750%, 09/01/10 950,618
572,000 Orbital Sciences Corp.
9.000%, 07/15/11 613,470
953,000 Sequa Corp.
8.875%, 04/01/08 998,268
1,096,000 Trinity Industries, Inc.
6.500%, 03/15/14 1,060,380
953,000 Wesco Distribution, Inc.*
7.500%, 10/15/17 976,825
Williams Scotsman International, Inc.
858,000 8.500%, 10/01/15 885,885
191,000 8.500%, 10/01/15* 197,208
-----------
20,602,914
-----------
INFORMATION TECHNOLOGY (0.5%)
3,484,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 3,658,200
420,000 Avago Technologies*@
11.875%, 12/01/15 464,100
1,621,000 Celestica, Inc.@
7.875%, 07/01/11 1,657,472
953,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 981,590
953,000 Liberty Media Corp.
8.250%, 02/01/30 918,004
210,000 Sanmina-SCI Corporation
8.125%, 03/01/16 214,200
2,002,000 SunGard Data Systems, Inc.*@
9.125%, 08/15/13 2,147,145
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
22 SEMIANNUAL REPORT Schedule of Investments
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- -------------
$2,860,000 Telcordia Technologies*
10.000%, 03/15/13 $ 2,631,200
-------------
12,671,911
-------------
Materials (0.8%)
Aleris International, Inc.@
2,384,000 10.375%, 10/15/10 2,628,360
381,000 9.000%, 11/15/14 400,050
572,000 Century Aluminum Company
7.500%, 08/15/14 597,740
1,665,000 Freeport-McMoRan Copper & Gold, Inc.@
10.125%, 02/01/10 1,794,038
420,000 Gibraltar Industries, Inc.*
8.000%, 12/01/15 429,450
Ineos Group Holdings, PLC*
2,574,000 EUR 7.875%, 02/15/16 3,125,583
477,000 8.500%, 02/15/16@ 455,535
1,907,000 IPSCO, Inc.
8.750%, 06/01/13 2,078,630
1,526,000 U.S. Concrete, Inc.@
8.375%, 04/01/14 1,575,595
Union Carbide Corp.
2,088,000 7.875%, 04/01/23@ 2,208,559
1,649,000 7.500%, 06/01/25 1,724,580
1,402,000 Westlake Chemical Corporation@
6.625%, 01/15/16 1,356,435
-------------
18,374,555
-------------
Telecommunication Services (0.4%)
Alamosa Holdings, Inc.
2,479,000 8.500%, 01/31/12 2,668,024
953,000 11.000%, 07/31/10 1,059,021
4,195,000 AT&T Corp.@
9.750%, 11/15/31 4,985,724
324,000 Citizens Communications Company@
9.000%, 08/15/31 349,110
858,000 IPCS Escrow Company
11.500%, 05/01/12 975,975
953,000 Syniverse Technologies, Inc.
7.750%, 08/15/13 955,383
-------------
10,993,237
-------------
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 23
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- -------------
UTILITIES (0.2%)
$ 2,288,000 Edison International
7.730%, 06/15/09 $ 2,353,780
3,432,000 TXU Corp.@
6.500%, 11/15/24 3,141,797
-------------
5,495,577
-------------
TOTAL CORPORATE BONDS 208,720,524
-------------
NUMBER OF
CONTRACTS VALUE
--------- ----------
OPTIONS (1.5%)
CONSUMER DISCRETIONARY (0.3%)
1,600 eBay, Inc.#
Call, 01/20/07, Strike 42.50 240,000
320 Garmin, Ltd.#
Call, 01/19/08, Strike 85.00 457,600
7,450 Home Depot, Inc.#
Call, 01/20/07, Strike 40.00 2,607,500
370 Lowe's Companies, Inc.#
Call, 01/19/08, Strike 70.00 255,300
760 Office Depot, Inc.#
Call, 01/19/08, Strike 40.00 562,400
525 Tiffany & Co.#
Call, 01/19/08, Strike 40.00 199,500
6,000 YUM! Brands, Inc.#
Call, 01/20/07, Strike 50.00 3,330,000
----------
7,652,300
----------
CONSUMER STAPLES (0.1%)
3,000 Altria Group, Inc.#
Call, 01/20/07, Strike 65.00 3,270,000
1,500 Kroger Company#
Call, 01/19/08, Strike 20.00 450,000
635 PepsiCo, Inc.#
Call, 01/19/08, Strike 60.00 330,200
----------
4,050,200
----------
ENERGY (0.3%)
600 Amerada Hess Corp.#
Call, 01/20/07, Strike 125.00 1,722,000
230 Anadarko Petroleum Corp.#
Call, 01/19/08, Strike 95.00 568,100
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
24 SEMIANNUAL REPORT Schedule of Investments
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
--------- -----------
315 BJ Services Company#
Call, 01/19/08, Strike 40.00 $ 231,525
3,800 Chevrontexaco Corp.#
Call, 01/20/07, Strike 60.00 1,976,000
300 Devon Energy (Chevron) Corp.#
Call, 01/19/08, Strike 65.00 298,500
240 Diamond Offshore Drilling, Inc.#
Call, 01/19/08, Strike 85.00 528,000
500 Nabors Industries Ltd.#
Call, 01/19/08, Strike 37.50 390,000
215 Petroleo Brasileiro, SA#
Call, 01/19/08, Strike 90.00 514,925
360 Schlumberger, Ltd.#
Call, 01/19/08, Strike 65.00 568,800
230 Sunoco, Inc.#
Call, 01/19/08, Strike 75.00 449,650
500 Weatherford International, Ltd.#
Call, 01/19/08, Strike 45.00 770,000
-----------
8,017,500
-----------
FINANCIALS (0.2%)
575 Aon Corp.#
Call, 01/19/08, Strike 35.00 615,250
1,460 Charles Schwab Corp.#
Call, 01/19/08, Strike 15.00 708,100
50 Chicago Mercantile Exchange Holdings, Inc.#
Call, 01/19/08, Strike 420.00 559,000
420 CIT Group, Inc.#
Call, 01/19/08, Strike 50.00 424,200
650 E*TRADE Financial Corporation#
Call, 01/19/08, Strike 25.00 325,000
170 Goldman Sachs Group, Inc.#
Call, 01/19/08, Strike 160.00 430,100
220 Legg Mason, Inc.#
Call, 01/20/07, Strike 120.00 256,300
180 Lehman Brothers Holdings, Inc.#
Call, 01/19/08, Strike 150.00 450,000
430 Merrill Lynch & Company, Inc.#
Call, 01/19/08, Strike 70.00 593,400
320 Prudential Financial, Inc.#
Call, 01/19/08, Strike 75.00 395,200
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 25
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
--------- -----------
550 State Street Corp.#
Call, 01/19/08, Strike 60.00 $ 660,000
-----------
5,416,550
-----------
HEALTH CARE (0.1%)
500 Aetna, Inc.#
Call, 01/19/08, Strike 50.00 165,000
215 Allergan, Inc.#
Call, 01/19/08, Strike 110.00 277,350
590 AmerisourceBergen Corp.#
Call, 01/19/08, Strike 47.50 277,300
240 Express Scripts, Inc.#
Call, 01/19/08, Strike 90.00 235,200
520 Teva Pharmaceutical Industries, Ltd.#
Call, 01/19/08, Strike 45.00 241,800
-----------
1,196,650
-----------
INDUSTRIALS (0.0%)
310 Burlington Northern Santa Fe Corp.#
Call, 01/19/08, Strike 80.00 423,150
-----------
INFORMATION TECHNOLOGY (0.3%)
550 Agilent Technologies, Inc.#
Call, 01/19/08, Strike 35.00 481,250
1,750 Apple Computer, Inc.#
Call, 01/19/08, Strike 75.00 2,695,000
1,225 Electronic Data Systems Corp.#
Call, 01/19/08, Strike 25.00 679,875
820 Hewlett-Packard Company#
Call, 01/19/08, Strike 30.00 612,540
475 Intuit, Inc.#
Call, 01/19/08, Strike 55.00 413,250
300 Marvell Technology Group, Ltd.#
Call, 01/19/08, Strike 65.00 327,000
800 Motorola, Inc.#
Call, 01/19/08, Strike 22.50 256,000
570 National Semiconductor Corp.#
Call, 01/19/08, Strike 25.00 527,250
580 NVIDIA Corp.#
Call, 01/19/08, Strike 30.00 388,600
740 Paychex, Inc.#
Call, 01/19/08, Strike 40.00 458,800
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
26 SEMIANNUAL REPORT Schedule of Investments
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
--------- -----------
230 Sandisk Corp.#
Call, 01/19/08, Strike 65.00 $ 402,500
-----------
7,242,065
-----------
MATERIALS (0.1%)
625 Goldcorp, Inc.#
Call, 01/19/08, Strike 27.50 793,750
849 Harmony Gold Mining Co, Ltd.#
Call, 01/19/08, Strike 15.00 458,460
260 Phelps Dodge Corp.#
Call, 01/19/08, Strike 72.50 551,200
-----------
1,803,410
-----------
TELECOMMUNICATION SERVICES (0.1%)
500 America Movil S.A. de C.V.#
Call, 01/19/08, Strike 30.00 560,000
300 NII Holdings, Inc.#
Call, 01/19/08, Strike 55.00 472,500
-----------
1,032,500
-----------
TOTAL OPTIONS 36,834,325
-----------
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $248,264,716) 245,554,849
===========
NUMBER OF
SHARES VALUE
---------- ----------
CONVERTIBLE PREFERRED STOCKS (19.8%)
CONSUMER DISCRETIONARY (3.1%)
Ford Motor Company Capital
2,652,400 Trust II
6.500% 74,001,960
----------
CONSUMER STAPLES (1.5%)
1,500,000 Albertson's, Inc.
7.250% 37,050,000
----------
ENERGY (1.8%)
110,000 Amerada Hess Corp.
7.000% 13,267,100
210,700 Chesapeake Energy Corp.*
5.000% 29,155,611
----------
42,422,711
----------
FINANCIALS (10.1%)
Fortis Insurance, N.V.
27,600,000 (Assurant, Inc.)*
7.750% 36,225,000
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 27
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
--------- ---------------
650,000 Genworth Financial, Inc.
6.000% $ 23,575,500
Hartford Financial Services
515,000 Group, Inc.
7.000% 42,008,550
725,000 Lazard, Ltd.
6.625% 28,659,250
Lehman Brothers Holdings,
1,950,000 Inc. (General Mills, Inc.) [ ]
6.250% 50,719,500
Merrill Lynch & Co., Inc.
460,000 (Nuveen Investments, Inc.) [ ]
6.750% 19,827,380
675,000 MetLife, Inc.
6.375% 18,913,500
470,000 National Australia Bank, Ltd.
7.875% 22,019,500
---------------
241,948,180
---------------
HEALTH CARE (1.4%)
639,000 Schering-Plough Corp.
6.000% 32,704,020
---------------
INDUSTRIALS (1.0%)
6,500,000 GBP BAE Systems, PLC
7.750% 24,011,517
---------------
UTILITIES (0.9%)
Southern Union Company
200,000 5.000% 10,254,000
150,000 5.750% 11,555,250
---------------
21,809,250
---------------
TOTAL CONVERTIBLE PREFERRED
STOCKS
(Cost $463,802,933) 473,947,638
===============
COMMON STOCKS (60.8%)
CONSUMER DISCRETIONARY (1.5%)
880,000 Grupo Televisa, SA@ 18,656,000
Reader's Digest Association,
300,000 Inc. 4,134,000
375,000 Tupperware Corporation@ 7,912,500
58,604 Whirlpool Corporation@ 5,259,709
---------------
35,962,209
---------------
CONSUMER STAPLES (4.1%)
320,000 Altria Group, Inc.@ 23,411,200
700,000 Conagra Foods, Inc. 15,876,000
420,000 Reynolds American Inc.@ 46,053,000
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
28 SEMIANNUAL REPORT Schedule of Investments
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
--------- --------------
696,200 Sara Lee Corp.@ $ 12,441,094
--------------
97,781,294
--------------
ENERGY (6.8%)
775,000 Chevron Corp. 47,290,500
550,000 ConocoPhillips<> 36,795,000
250,000 Marathon Oil Corp. 19,840,000
360,000 EUR OMV,AG 25,001,454
295,000 PetroChina Company, Ltd.@ 33,158,000
--------------
162,084,954
--------------
FINANCIALS (13.7%)
1,372,000 Citigroup, Inc. 68,531,400
250,000 Federal Home Loan Mortgage Corp.@ 15,265,000
777,000 Federal National Mortgage Association 39,316,200
568,700 General Growth Properties, Inc.@ 26,700,465
400,000 J.P. Morgan Chase & Company 18,152,000
158,074 Lincoln National Corp.@ 9,180,938
292,445 State Street Corp.@ 19,102,507
360,000 Wachovia Corp.@ 21,546,000
2,428,000 Washington Mutual, Inc. 109,405,680
--------------
327,200,190
--------------
HEALTH CARE (12.2%)
4,146,000 Bristol-Myers Squibb Company@ 105,225,480
300,000 Eli Lilly & Company 15,876,000
1,300,000 Johnson & Johnson 76,193,000
1,755,000 Merck & Company, Inc. 60,407,100
1,407,000 Pfizer, Inc. 35,639,310
293,340,890
INDUSTRIALS (7.0%)
630,000 Caterpillar, Inc. 47,716,200
819,000 General Electric Company 28,329,210
450,000 Masco Corp.@ 14,355,000
350,000 R.R. Donnelley & Sons Company 11,791,500
435,000 Raytheon Company 19,257,450
1,250,000 Waste Management, Inc. 46,825,000
--------------
168,274,360
--------------
INFORMATION TECHNOLOGY (7.3%)
1,000,000 Dell, Inc.#@ 26,200,000
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 29
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
--------- ---------------
615,000 Electronic Data Systems Corp.@ $ 16,654,200
850,000 Hewlett-Packard Company 27,599,500
1,382,000 Intel Corp. 27,612,360
650,000 Microsoft Corp. 15,697,500
2,725,000 Nokia Corp.@ 61,748,500
---------------
175,512,060
---------------
MATERIALS (0.2%)
270,000 RPM International, Inc.@ 4,968,000
---------------
TELECOMMUNICATION SERVICES (7.4%)
3,071,000 AT&T Inc.@ 80,490,910
900,000CAD BCE Inc. 22,177,005
1,185,000 Bellsouth Corp.@ 40,029,300
1,039,000 Verizon Communications, Inc.@ 34,318,170
---------------
177,015,385
---------------
UTILITIES (0.6%)
950,000 Teco Energy, Inc. 15,181,000
---------------
TOTAL COMMON STOCKS
(Cost $1,376,154,967) 1,457,320,342
===============
PRINCIPAL
AMOUNT VALUE
--------- ----------
SHORT-TERM INVESTMENTS (1.7%)
$ 1,061,000 Citigroup, Inc.
4.770%, 05/01/06 1,061,000
40,000,000 UBS Finance, Inc.
4.770%, 05/01/06 40,000,000
----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $41,061,000) 41,061,000
==========
NUMBER OF
SHARES VALUE
--------- -------------
INVESTMENT OF CASH COLLATERAL
FOR SECURITIES ON LOAN (19.1%)
457,238,590 Bank of New York Institutional Cash Reserve Fund
current rate 4.894%
(Cost $457,238,590) 457,238,590
-------------
TOTAL INVESTMENTS (162.8%)
(Cost $3,786,607,095) 3,901,853,419
-------------
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
30 SEMIANNUAL REPORT Schedule of Investments
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
--------- ---------------
WRITTEN OPTIONS (-0.1%)
1,300 ConocoPhillips#
Call, 05/20/06, Strike 60.00 $ (936,000)
---------------
TOTAL WRITTEN OPTIONS
(Premium $438,086) (936,000)
===============
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-19.1%) (457,238,590)
---------------
OTHER ASSETS, LESS LIABILITIES (1.5%) 34,783,465
---------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-45.1%) (1,081,222,759)
---------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $ 2,397,239,535
===============
NOTES TO SCHEDULE OF INVESTMENTS
Note: Value for Securities denominated in foreign currencies are shown in U.S.
dollars. The principal amount for such securities is shown in the
respective foreign currency. The date shown 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.
* 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 or excepted from such registration requirements. At
April 30, 2006, the market value of 144A securities that could not be
exchanged to the registered form is $230,033,420 or 9.6% of net assets.
@ Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate security. The interest rate shown is the rate in effect at
April 30, 2006.
<> Security position is held in a segregated account as collateral for
written options aggregating a total market value of $28,098,000.
[ ] Securities exchangeable or convertible into securities of an entity
different than the issuer. Such entity is identified in the paranthetical.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
See accompanying Notes to Financial Statements.
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 31
Statement of Assets and Liabilities
APRIL 30, 2006 (UNAUDITED)
--------------------------
ASSETS
Investments, at value* (cost $3,786,607,095) $ 3,901,853,419
Cash with custodian (interest bearing) 5,857,695
Restricted cash for open options (interest bearing) 151,000
Accrued interest and dividends receivables 35,688,349
Unrealized appreciation on interest rate swaps 8,176,189
Prepaid expenses 72,792
Other assets 34,229
-----------------
Total assets 3,951,833,673
-----------------
LIABILITIES
Options written, at value (premium $438,086) 936,000
Payable upon return of securities loaned 457,238,590
Payable for investments purchased 10,782,591
Payable for income distribution 1,380,183
Payable to investment advisor 2,829,009
Payable to financial accountant 31,938
Payable for deferred compensation to Trustees 34,229
Other accounts payable and accrued liabilities 138,839
-----------------
Total liabilities 473,371,379
-----------------
PREFERRED SHARES
$25,000 liquidation value per share applicable to 43,200 shares, including dividends
payable 1,081,222,759
-----------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 2,397,239,535
=================
COMPOSITION OF NET ASSETS APPLICABLE TO
COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized 154,514,000 shares
issued and outstanding $ 2,200,733,859
Undistributed net investment income (loss) (21,624,131)
Accumulated net realized gain (loss) on investments, written options, foreign currency
transactions and interest rate swaps 95,140,376
Net unrealized appreciation (depreciation) on investments, written options, foreign
currency translations and interest rate swaps 122,989,431
-----------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 2,397,239,535
=================
Net asset value per common share based on 154,514,000 shares issued and outstanding $ 15.51
=================
*Includes $446,686,941 of securities loaned.
See accompanying Notes to Financial Statements.
Strategic Total Return Fund
32 SEMIANNUAL REPORT Statement of Assets and Liabilities
Statement of Operations
SIX MONTHS ENDED APRIL 30, 2006 (UNAUDITED)
-------------------------------------------
INVESTMENT INCOME
Interest $ 49,224,743
Dividends (net of foreign taxes withheld of $227,956) 37,981,473
Securities lending income 568,977
-------------
Total investment income 87,775,193
=============
EXPENSES
Investment advisory fees 16,846,602
Financial accounting fees 190,502
Auction agent and rating agency fees 1,351,675
Accounting fees 235,352
Printing and mailing fees 164,852
Custodian fees 86,147
Registration fees 71,304
Audit and legal fees 63,125
Trustees' fees and officer compensation 33,561
Transfer agent fees 18,486
Other 48,400
-------------
Total expenses 19,110,006
=============
NET INVESTMENT INCOME(LOSS) 68,665,187
=============
REALIZED AND UNREALIZED GAIN(LOSS) FROM
INVESTMENTS, WRITTEN OPTIONS, FOREIGN CURRENCY
AND INTEREST RATE SWAPS
NET REALIZED GAIN (LOSS) FROM:
Investments 100,017,378
Written options (963,039)
Foreign currency transactions 461,191
Interest rate swaps 1,783,375
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments 115,266,331
Written options (749,341)
Foreign currency translations 65,627
Interest rate swaps (8,117,129)
-------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS,
WRITTEN OPTIONS, FOREIGN CURRENCY AND INTEREST RATE SWAPS 207,764,393
=============
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 276,429,580
=============
DIVIDENDS TO PREFERRED SHAREHOLDERS FROM
Net investment income (23,237,682)
-------------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS RESULTING FROM OPERATIONS $ 253,191,898
=============
See accompanying Notes to Financial Statements.
Strategic Total Return Fund
Statement of Operations SEMIANNUAL REPORT 33
Statements of Changes in Net Assets
Six Months Ended
April 30, 2006 Year Ended
(unaudited) October 31, 2005
----------- ----------------
OPERATIONS
Net investment income (loss) $ 68,665,187 $ 143,752,406
Net realized gain (loss) from investments, written options,
foreign currency transactions and interest rate swaps 101,298,905 63,608,151
Change in net unrealized appreciation/depreciation on
investments, written options, foreign currency translations
and interest rate swaps 106,465,488 9,671,607
Distributions to preferred shareholders from
Net investment income (23,237,682) (32,330,741)
-------------- --------------
Net increase (decrease) in net assets applicable to common
shareholders resulting from operations 253,191,898 184,701,423
-------------- --------------
DISTRIBUTIONS TO COMMON
SHAREHOLDERS FROM
Net investment income (76,175,406) (108,979,250)
Capital gains (11,125,009) (43,603,336)
-------------- --------------
Net (decrease) in net assets from distributions to common
shareholders (87,300,415) (152,582,586)
-------------- --------------
CAPITAL STOCK TRANSACTIONS
Net increase (decrease) in net assets from capital stock
transactions -- --
-------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE
TO COMMON SHAREHOLDERS 165,891,483 32,118,837
-------------- --------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS
Beginning of period 2,231,348,052 2,199,229,215
-------------- --------------
End of period $2,397,239,535 $2,231,348,052
============== ==============
Undistributed net investment income (loss) $ (21,624,131) $ 9,123,770
See accompanying Notes to Financial Statements.
Strategic Total Return Fund
34 SEMIANNUAL REPORT Statements of Changes in Net Assets
Notes to Financial Statements (Unaudited)
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION. CALAMOS Strategic Total Return Fund (the "Fund") was organized as
a Delaware statutory trust on December 31, 2003 and is registered under the
Investment Company Act of 1940 (the "1940 Act") as a diversified, closed-end
management investment company. The Fund commenced operations on March 26, 2004.
The Fund's investment objective is to provide total return through a combination
of capital appreciation and current income. Under normal circumstances, the Fund
will invest primarily in common and preferred stocks and income producing
securities such as investment grade and below investment grade debt securities.
PORTFOLIO VALUATION. In computing the Fund's net asset value, portfolio
securities that are traded on a securities exchange in the United States, except
for option securities, are valued at the last reported sale price as of the
time of valuation, or lacking any current reported sale at the time of
valuation, at the mean between the most recent bid and asked quotations. Each
option security traded on a securities exchange in the United States is valued
at the last current reported sale price as of the time of valuation if the last
current reported sale price falls within the consolidated bid/ask quote for the
option security. If the last current reported sale price as of the time of
valuation does not fall within the consolidated bid/ask quote for the option
security, the security is valued at the mid-point of the consolidated bid/ask
quote for the option security. Each security traded in the over-the-counter
market and quoted on the NASDAQ National Market System, is valued at the NASDAQ
Official Closing Price ("NOCP"), as determined by NASDAQ, or lacking an NOCP,
the last current reported sale price as of the time of valuation by NASDAQ, or
lacking any current reported sale on NASDAQ at the time of valuation, at the
mean between the most recent bid and asked quotations. Each over-the-counter
option that is not traded through the Options Clearing Corporation is valued by
the counterparty, or if the counterparty's price is not readily available then
by using the Black-Scholes method. Each other security traded over-the-counter
is valued at the mean between the most recent bid and asked quotations.
Short-term securities with maturities of 60 days or less are valued at amortized
cost, which approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of a fair value of the security, the security
is valued at a fair value following procedures and/or guidelines approved by the
Board of Trustees, which may include utilizing a systematic fair valuation model
provided by an independent pricing system. The Fund may also use fair value
pricing, if the
Strategic Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 35
Notes to Financial Statements (Unaudited)
value of a security it holds is, pursuant to Board of Trustees' guidelines,
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 traded.
These 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 is employed, the value of the portfolio security used to calculate
the Fund's net asset value may differ from quoted or official closing prices.
Securities that are principally traded in a foreign market are valued at the
last current sale price at the time of valuation or lacking any current or
reported sale, at the time of valuation, at the mean between the most recent bid
and asked quotations as of the close of the appropriate exchange or other
designated time. Trading in securities on European and Far Eastern securities
exchanges and over-the-counter markets is normally completed at various times
before the close of business on each day on which the New York Stock Exchange
("NYSE") is open. Trading of these 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 Fund's net
asset value is not calculated. As stated above, if the market prices are not
readily available or are not reflective of the fair value of the security, the
security will be priced at a fair value following procedures approved by the
Board of Trustees. In light of the judgment involved in fair value decisions,
there can be no assurance that a fair value assigned to a particular security is
accurate.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. Short-term investment
transactions are recorded on a trade date basis. Long-term investment
transactions are recorded on a trade date plus one basis, except for fiscal
quarter ends, which are recorded on trade date. 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.
FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by
a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
quoted by any major bank or dealer in the particular currency market, as
reported by a recognized quotation dissemination service.
Strategic Total Return Fund
36 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (Unaudited)
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of
foreign currency, the difference 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.
OPTION TRANSACTIONS. For hedging and investment purposes, the Fund may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option is that the Fund pays a premium whether or not the option
is exercised. Additionally, the Fund bears the risk of loss of premium and
change in market value should the counterparty not perform under the contract.
Put and call options purchased are accounted for in the same manner as portfolio
securities. The cost of securities acquired through the exercise of purchased
call options is increased by premiums paid. The proceeds from securities sold
through the exercise of purchased put options are decreased by the premiums
paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from written options. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a written call
option is exercised, the premium is added to the proceeds from the sale of the
underlying security or currency in determining whether the Fund has realized a
gain or loss. If a written put option is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. The Fund as writer of an option
bears the market risk of an unfavorable change in the price of the security
underlying the written option.
USE OF ESTIMATES. The preparation of financial statements in conformity with
U.S. generally accepted accounting principles requires management to make
estimates and assumptions that affect the amounts reported in the financial
statements and accompanying notes. Actual results may differ from those
estimates.
Strategic Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 37
Notes to Financial Statements (Unaudited)
INCOME TAXES. No provision has been made for U.S. income taxes because the
Fund's policy is to continue to qualify as a regulated investment company under
Internal Revenue Code of 1986, as amended (the "Code") and distribute to
shareholders substantially all of its taxable income and net realized gains.
Dividends and distributions paid to shareholders are recorded on the ex-dividend
date. The amount of dividends and distributions from net investment income and
net realized capital gains is determined in accordance with federal income tax
regulations, which may differ from U.S. generally accepted accounting
principles. To the extent these "book/tax" differences are permanent in nature,
such amounts are reclassified within the capital accounts based on their federal
tax-basis treatment. These differences are primarily due to differing treatments
for foreign currency transactions, contingent payment debt instruments and
methods of amortizing and accreting fixed income securities. Financial records
are not adjusted for temporary differences.
INDEMNIFICATIONS. Under the Fund's organizational documents, its officers and
trustees are indemnified against certain liabilities incurred by them by reason
of having been an officer or trustee of the Fund. In addition, in the normal
course of business, the Fund enters into contracts that provide general
indemnifications to other parties. The 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. However, the Fund has not had prior
claims or losses pursuant to these contracts and expects the risk of loss to be
remote.
NOTE 2 - INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with Calamos Advisors LLC ("Calamos
Advisors"), the Fund pays an annual fee, payable monthly, equal to 1.00% based
on the average weekly managed assets. "Managed assets" means the Fund's total
assets (including any assets attributable to any leverage that may be
outstanding) minus total liabilities (other than debt representing financial
leverage).
Calamos Advisors receives a fee payable monthly at the annual rate of 0.0175% on
the first $1 billion of combined assets; 0.0150% on the next $1 billion of
combined assets; and 0.0110% on combined assets above $2 billion for financial
accounting services (for purposes of this calculation "combined assets" means
the total of the
Strategic Total Return Fund
38 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (Unaudited)
average daily net assets of Calamos Investment Trust and Calamos Advisors Trust
and the average weekly managed assets of Calamos Convertible and High Income
Fund, Calamos Convertible Opportunities and Income Fund, Calamos Strategic Total
Return Fund and Calamos Global Total Return Fund). Financial accounting services
include, but are not limited to, the following: managing expenses and expense
payment processing; monitoring the calculation of expense accrual amounts;
calculating, tracking, and reporting tax adjustments on all assets and
liabilities and monitoring trustee deferred compensation plan accruals and
valuations. The Fund will pay its pro rata share of the financial accounting
service fee payable to Calamos Advisors based on the Fund's relative portion of
combined assets.
Effective August 1, 2005, the Fund began reimbursing the advisor for a portion
of compensation paid to the Fund's Chief Compliance Officer. This compensation
is reported as part of "Trustees' fees and officer compensation" expenses on the
Statement of Operations.
Certain officers and trustees of the Fund are also officers and directors of
Calamos Financial Services LLC ("CFS") and Calamos Advisors. All officers and
affiliated Trustees serve without direct compensation from the Fund, except for
the Chief Compliance Officer as described above.
The Fund 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) of CFS
or Calamos Advisors and has elected to participate in the Plan (a "participating
trustee") may defer receipt of all or a portion of his compensation from the
Fund. 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 the account increases
with contributions to the account or with increases in the value of the
measuring shares, and the value of the account decreases with withdrawals from
the account or with declines in the value of the measuring shares. Deferred
compensation of $34,229 is included in "Other assets" on the Statement of Assets
and Liabilities at April 30, 2006. The 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 Statement of Assets and Liabilities at
April 30, 2006.
Strategic Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 39
Notes to Financial Statements (Unaudited)
NOTE 3 - INVESTMENTS
Purchases and sales of investments, other than short-term obligations, for the
six months ended April 30, 2006 were as follows:
Purchases $ 825,617,763
Proceeds from sales 1,375,194,469
The cost basis of investments for Federal income tax purposes at April 30, 2006
was as follows:
Cost basis of investments $ 3,797,090,591
----------------
Gross unrealized appreciation 247,664,027
Gross unrealized depreciation (142,901,199)
----------------
Net unrealized appreciation (depreciation) $ 104,762,828
================
NOTE 4 - INCOME TAXES
Distributions during the fiscal year ended October 31, 2005 were characterized
for Federal income tax purposes as follows:
DISTRIBUTIONS PAID FROM:
Ordinary income $ 184,587,693
Long-term capital gains --
As of October 31, 2005, the components of accumulated earnings on a tax basis
were as follows:
Undistributed ordinary income $ 28,407,130
Undistributed capital gains --
-------------
Total undistributed earnings 28,407,130
Accumulated capital and other losses --
-------------
Net unrealized gains 6,674,743
-------------
Total accumulated earnings 35,081,873
Other (4,467,680)
Paid-in capital 2,200,733,859
-------------
Net assets applicable to common shareholders $ 2,231,348,052
===============
For the tax year ended October 31, 2005, the Fund utilized capital losses of
$10,531,150. As of October 31, 2005, the Fund had no capital loss carryforwards.
Strategic Total Return Fund
40 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (Unaudited)
NOTE 5 - COMMON STOCK
There are unlimited common shares of beneficial interest authorized and
154,514,000 shares outstanding at April 30, 2006. Calamos Advisors owned 43,200
of the outstanding shares at April 30, 2006. Transactions in common shares were
as follows:
FOR THE SIX FOR THE
MONTHS ENDED YEAR ENDED
APRIL 30, 2006 OCTOBER 31, 2005
-------------- ----------------
Beginning shares 154,514,000 154,514,000
Shares sold -- --
Shares issued through reinvestment of
distributions -- --
-------------- ----------------
Ending shares 154,514,000 154,514,000
============== ================
NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS
The 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. The net unrealized gain, if any, represents the
credit risk to the Fund on a forward foreign currency contract. The contracts
are valued daily at forward exchange rates, and an unrealized gain or loss is
recorded. The Fund realizes a gain or loss when a position is closed or upon
settlement of the contracts. There were no open forward foreign currency
contracts at April 30, 2006.
NOTE 7 - SYNTHETIC CONVERTIBLE SECURITIES
The Fund may establish a "synthetic" convertible instrument by combining
separate securities that possess the economic characteristics similar to a
convertible security, i.e., fixed-income securities ("fixed-income component")
and the right to acquire equity securities ("convertible component"). The
fixed-income component is achieved by investing in non-convertible, fixed income
securities such as bonds, preferred stocks and money market instruments. The
convertible component is achieved by investing in warrants or options to buy
common stock at a certain exercise price, or options on a stock index. In
establishing a synthetic instrument, the Fund may pool a basket of fixed-income
securities and a basket of warrants or
Strategic Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 41
Notes to Financial Statements (Unaudited)
options that produce the economic characteristics similar to a convertible
security. Within each basket of fixed-income securities and warrants or options,
different companies may issue the fixed-income and convertible components, which
may be purchased separately and at different times.
The Fund may purchase synthetic convertible instruments created by other
parties, typically investment banks, including convertible structured notes.
Convertible structured notes are fixed-income debentures linked to equity.
Convertible structured notes have the attributes of a convertible security;
however, the investment bank that issued the convertible note assumes the credit
risk associated with the investment, rather than the issuer of the underlying
common stock into which the note is convertible. Purchasing synthetic
convertible securities may offer more flexibility than purchasing a convertible
security. Different companies may issue the fixed-income and convertible
components, which may be purchased separately and at different times.
NOTE 8 - WRITTEN OPTIONS TRANSACTIONS
The Fund may engage in options transactions and in doing so achieve the similar
objectives to what it would achieve through the sale or purchase of individual
securities. Transactions in options written during the six months ended April
30, 2006 were as follows:
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
--------- ----------
Options outstanding at October 31, 2005 2,100 $ 387,677
Options written 2,900 977,270
Options closed (2,700) (852,120)
Options expired (1,000) (74,741)
Options exercised -- --
--------- ----------
Options outstanding at April 30, 2006 1,300 $ (438,086)
========= ==========
NOTE 9 - PREFERRED SHARES
There are unlimited shares of Auction Rate Cumulative Preferred Shares
("Preferred Shares") authorized. The Preferred Shares have rights as determined
by the Board of Trustees. The 43,200 shares of Preferred Shares outstanding
consist of seven series, 7,040 shares of M, 7,040 shares of TU, 7,040 shares of
W, 7,040 shares of TH, 7,040 shares of F, 4,000 shares of A, and 4,000 shares of
B. The Preferred Shares have a liquidation value of $25,000 per share plus any
accumulated but unpaid dividends, whether or not declared.
Strategic Total Return Fund
42 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (Unaudited)
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven or twenty-eight days based on the results of an auction. Dividend rates
ranged from 3.75% to 5.05% for the six months ended April 30, 2006. Under the
1940 Act, the Fund may not declare dividends or make other distributions on
shares of common stock or purchase any such shares if, at the time of the
declaration, distribution or purchase, asset coverage with respect to the
outstanding Preferred Shares would be less than 200%.
The Preferred Shares are redeemable at the Fund's option, in whole or in part,
on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or the holders of common shares.
NOTE 10 - INTEREST RATE TRANSACTIONS
The Fund may enter into interest rate swap or cap transactions to attempt to
protect itself from increasing dividend or interest expense on its leverage
resulting from increasing short-term interest rates. A decline in interest rates
may result in a decline in the value of the swap or cap, which may result in a
decline in the Fund's net asset value. In addition, if the counterparty to an
interest rate swap or cap defaults, the Fund would not be able to use the
anticipated receipts under the swap or cap to offset the dividend or interest
payments on the Fund's leverage. At the time an interest rate swap or cap
reaches its scheduled termination, there is a risk that the Fund would not be
able to obtain a replacement transaction or that the terms of the replacement
would not be as favorable as on the expiring transaction. In addition, if the
Fund is required to terminate any swap or cap early due to the Fund failing to
maintain a required 200% asset coverage of the liquidation value of the
outstanding Preferred Shares or the Fund loses its credit rating on its
Preferred Shares, then the Fund could be required to make a termination payment,
in addition to redeeming all or some of the Preferred Shares. Net unrealized
gains are reported as an asset and net unrealized losses are reported as a
liability on the Statement of Assets and Liabilities. The change in the value of
the swaps, including
Strategic Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 43
Notes to Financial Statements (Unaudited)
periodic amounts of interest to be paid or received on swaps is reported as
unrealized gains or losses in the Statement of Operations. A realized gain or
loss is recorded upon payment or termination of swap agreements. Details of the
swap agreements outstanding as April 30, 2006 were as follows:
UNREALIZED
TERMINATION NOTIONAL FIXED RATE FLOATING RATE APPRECIATION
COUNTERPARTY DATE AMOUNT (000) (FUND PAYS) (FUND RECEIVES) (DEPRECIATION)
------------ ----------- ----------- ----------- --------------- --------------
Citibank NA June 4,2006 $150,000 3.04% 1 month LIBOR $ 474,767
Citibank NA June 4,2007 150,000 3.61% 1 month LIBOR 2,687,474
Citibank NA June 4,2009 200,000 4.34% 1 month LIBOR 5,013,948
--------------
$ 8,176,189
==============
NOTE 11 - SECURITIES LENDING
During the six months ended April 30, 2006, the Fund loaned certain of their
securities to broker-dealers and banks. Any such loan must be continuously
secured by collateral in cash or cash equivalents maintained on a current basis
in an amount at least equal to the market value of the securities loaned by the
Fund. The Fund continues to receive the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receives an additional
return that may be in the form of a fixed fee or a percentage of the collateral.
The Fund may pay reasonable fees to persons unaffiliated with the Fund for
services in arranging these loans. The Fund has the right to call the loan and
obtain the securities loaned at any time on notice of not more than five
business days. The Fund does not have the right to vote the securities during
the existence of the loan but could call the loan in an attempt to permit voting
of the securities in certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
In the event of bankruptcy or other default of the borrower, the Fund 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
Fund seeks 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 its rights. In an effort to reduce these risks, Calamos Advisors and
the security lending agent will monitor the creditworthiness of the firms to
which the Fund lends securities. At April 30, 2006, the Fund had securities
valued at $ 446,686,941 that were on loan to broker-dealers and banks and
$457,238,590 in cash or cash equivalent collateral.
Strategic Total Return Fund
44 SEMIANNUAL REPORT Notes to Financial Statements
Financial Highlights
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
Six Months Ended For the March 26, 2004*
April 30, Year Ended through
(Unaudited) October 31 October 31
---------------- ---------- ---------------
2006 2005 2004
---------------- ---------- ---------------
Net asset value, beginning of period $ 14.44 $ 14.23 $ 14.32(a)
Income from investment operations:
Net investment income (loss) 0.44 0.93 0.51
---------------- ---------- --------------
Net realized and unrealized gain (loss) from
investments,written options,foreign currency
and interest rate swaps 1.34 0.48 (0.09)
Dividends to preferred shareholders from:
Net investment income (common share equivalent (0.15) (0.21) (0.06)
basis)
Total from investment operations 1.63 1.20 0.36
Less dividends to common shareholders from:
Net investment income (0.49) (0.71) (0.37)
Capital gains (0.07) (0.28) --
Capital charge resulting from issuance of
common and preferred shares -- -- (0.08)
Net asset value,end of period $ 15.51 $ 14.44 $14.23
Market value,end of period $ 13.89 $ 13.71 $13.34
Total investment return based on(b):
Net asset value 11.87% 8.95% 2.10%
---------------- ---------- --------------
Market value 5.52% 10.35% (8.59)%
Ratios and supplemental data:
Net assets applicable to common
shareholders,end of period (000's omitted) $ 2,397,240 $2,231,348 $ 2,199,229
Preferred shares,at redemption value ($25,000
per share liquidation preference) (000's omitted) $ 1,080,000 $1,080,000 $ 1,080,000
Ratios to average net assets applicable to
common shareholders:
Net expenses(c)(d) 1.66% 1.67% 1.61%
---------------- ---------- --------------
Net investment income (loss)(c)(d) 5.97% 6.25% 6.27%
---------------- ---------- --------------
Preferred share dividends(c) 2.02% 1.40% 0.67%
Net investment income (loss), net of preferred
share dividends(c) 3.95% 4.85% 5.60%
Portfolio turnover rate 25% 71% 11%
Average commission rate paid $ 0.0363 $ 0.0381 $ 0.0197
Asset coverage per preferred share,at end of
period (e) $ 80,519 $ 76,667 $ 75,916
-------------------
* Commencement of operations.
(a) Net of sales load of $0.675 on initial shares issued and beginning net
asset value of $14.325.
(b) Total investment return is calculated assuming a purchase of common stock
on the opening of the first day and a sale on the closing of the last day
of the period reported. Dividends and distributions are assumed, for
purposes of this calculation, to be reinvested at prices obtained under
the Fund's dividend reinvestment plan. Total return is not annualized for
periods less than one year. Brokerage commissions are not reflected. NAV
per share is determined by dividing the value of the Fund's portfolio
securities, cash and other assets, less all liabilities, by the total
number of common shares outstanding. The common share market price is the
price the market is willing to pay for shares of the Fund at a given time.
Common share market price is influenced by a range of factors, including
supply and demand and market conditions.
(c) Annualized for periods less than one year.
(d) Does not reflect the effect of dividend payments to Preferred
Shareholders.
(e) Calculated by subtracting the Fund's total liabilities (not including
Preferred Shares) from the Fund's total assets and dividing this by the
number of Preferred Shares outstanding.
Strategic Total Return Fund
Financial Highlights SEMIANNUAL REPORT 45
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
CALAMOS Strategic Total Return Fund
We have reviewed the accompanying statement of assets and liabilities, including
the schedule of investments, of CALAMOS Strategic Total Return Fund (the "Fund")
as of April 30, 2006, and the related statements of operations and changes in
net assets and the financial highlights for the semi-annual period then ended.
These interim financial statements and financial highlights are the
responsibility of the Fund's management.
We conducted our review in accordance with the standards of the Public Company
Accounting Oversight Board (United States). 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 Public Company Accounting Oversight Board (United States), the
objective of which is the expression of an opinion regarding the financial
statements taken as a whole. Accordingly, we do not express such an opinion.
Based on our review, we are not aware of any material modifications that should
be made to such interim financial statements and financial highlights for them
to be in conformity with accounting principles generally accepted in the United
States of America.
We have previously audited, in accordance with the standards of the Public
Company Accounting Oversight Board (United States), the statement of changes in
net assets for the year ended October 31, 2005 and the financial highlights for
the year ended October 31, 2005 and for the period from March 26, 2004
(commencement of operations) through October 31, 2004; and in our report dated
December 16, 2005, we expressed an unqualified opinion on such statement of
changes in net assets and financial highlights.
/s/ (DELOITTE & TOUCHE LLP)
------------------------------
Chicago, Illinois
June 21, 2006
Strategic Total Return Fund
46 SEMIANNUAL REPORT Report of Independent Registered Public Accounting Firm
Other Information (Unaudited)
RESULTS OF SHAREHOLDER MEETING. The Annual Meeting of Shareholders of the Fund
was held on March 30, 2006 where shareholders voted on the elections of
trustees. With regard to the election, each trustee standing for election was
elected by the shareholders as follows:
# OF COMMON
TRUSTEES AND PREFERRED SHARES
---------------- ----------- ---------
FOR WITHHELD
----------- ---------
Joe F. Hanauer 143,687,211 2,530,995
John E. Neal 143,827,738 2,390,468
David D. Tripple 143,802,114 2,416,092
The other trustees of the Fund whose terms did not expire in 2006 are John P.
Calamos, Sr., Nick P. Calamos, Weston W. Marsh, William R. Rybak, and Stephen
B. Timbers.
Strategic Total Return Fund
Other Information SEMIANNUAL REPORT 47
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About Closed-End Funds
WHAT IS A CLOSED-END FUND?
A closed-end fund is a publicly traded investment company that raises its
initial investment capital through the issuance of a fixed number of shares to
investors in a public offering. Shares of a closed-end fund are listed on a
stock exchange or traded in the over-the-counter market. Like all investment
companies, a closed-end fund is professionally managed and offers investors a
unique investment solution based on its investment objective approved by the
fund's Board of Directors.
ADVANTAGES OF CLOSED-END FUND INVESTING
- DEFINED ASSET POOL ALLOWS EFFICIENT PORTFOLIO MANAGEMENT -- Although
closed-end fund shares trade actively on a securities exchange, this
doesn't affect the closed-end fund manager because there are no new
investors buying into or selling out of the fund's portfolio.
- MORE FLEXIBILITY IN THE TIMING AND PRICE OF TRADES -- Investors can
purchase and sell shares of closed-end funds throughout the trading day,
just like the shares of other publicly traded securities.
- LOWER EXPENSE RATIOS -- The expense ratios of closed-end funds are
oftentimes less than those of mutual funds. Over time, a lower expense
ratio could enhance investment performance.
- CLOSED-END STRUCTURE MAKES SENSE FOR LESS-LIQUID ASSET CLASSES -- A
closed-end structure makes sense for investors considering less-liquid
asset classes, such as high-yield bonds or micro-cap stocks.
- ABILITY TO PUT LEVERAGE TO WORK -- Closed-end funds may issue senior
securities (such as preferred stock or debentures) or borrow money to
"leverage" their investment positions.
- NO MINIMUM INVESTMENT REQUIREMENTS
Strategic Total Return Fund
About Closed-End Funds SEMIANNUAL REPORT 49
Leverage
USING LEVERAGE TO ENHANCE TOTAL RETURN
Closed-end funds can use leverage which utilizes borrowed money to increase the
return on invested capital. The Fund will invest the borrowed assets into
securities, which we believe will provide a greater total return to investors
than the cost of the borrowing.
HIGHLIGHTS ON LEVERAGE
- Leveraging the portfolio allows the investment team to potentially enhance
the income and total returns of the Fund.
- In a rising-rate environment, the cost of leverage often increase;
however, the investment team has locked in the cost of leverage for a
longer term. In leveraged closed-end funds that invest in interest-rate
sensitive securities (high-quality traditional fixed income), rising rates
can hurt a fund in two ways: first, the cost of leverage increases;
second, the value of securities drops.
- This portfolio does not have notable sensitivity to rising interest rates.
Much of the cost of leverage has been locked in, and the portfolio seeks
to invest in securities that should be more economically sensitive and
less interest rate-sensitive.
MANAGING THE INTEREST RATE RISK OF LEVERAGE
In general, leverage can expose a closed-end fund to the risk of fluctuations in
short-term interest rates. As we discussed in the Investment Team Interview,
Calamos Investments has taken steps to mitigate some of this risk to our
shareholders. Specifically, we hedged the Fund's preferred shares (used these
shares as principal) to enter into interest rate swap agreements. In its
simplest form, an interest rate swap involves two parties agreeing to exchange
or "swap" one set of cash flows for another set. In essence, the agreement
allows a party that desires to avoid a variable rate (Calamos) to pay a fixed
rate to a party that desires variability.
THE DEALER MARKET FOR INTEREST RATE SWAPS
[Flow Chart]
Under these agreements, the Fund pays a potentially higher rate for borrowing
initially, but that rate is fixed for a period of three to five years, thereby
potentially reducing the interest costs that the Fund would otherwise pay over
the period based on a floating or variable rate. To learn more about the use of
leverage and interest rate swaps, visit our special report titled "Using
Leverage and Interest Rate Swaps in Today's Market" at
www.calamos.com/closedend.aspx.
Strategic Total Return Fund
50 SEMIANNUAL REPORT Leverage
Level Rate Distribution Policy
USING A LEVEL RATE DISTRIBUTION POLICY TO PROMOTE
DEPENDABLE INCOME AND TOTAL RETURN
The goal of the level rate distribution policy is to provide investors a
predictable, though not assured, level of cash flow, which can either serve as a
stable income stream or, through reinvestment, contribute significantly to
long-term total return.
We understand the importance that investors place on the stability of dividends
and their ability to contribute to long-term total return, which is why we have
instituted a level rate distribution policy for the Fund. Under the policy,
monthly distributions paid may include net investment income, net realized
short-term capital gains and, if necessary, return of capital. In addition, a
limited number of distributions per calendar year may include net realized
long-term capital gains. There is no guarantee that the Fund will realize
capital gains in any given year. Distributions are subject to
re-characterization for tax purposes after the end of the fiscal year. All
shareholders with taxable accounts will receive written notification regarding
the components and tax treatment for distributions via Form 1099-DIV.
Distributions from the Fund are generally subject to Federal income taxes. For
purposes of maintaining the level rate distribution policy, the Fund may realize
short-term capital gains on securities that, if sold at a later date, would have
resulted in long-term capital gains. Maintenance of a level rate distribution
policy may increase transaction and tax costs associated with the Fund.
Strategic Total Return Fund
Level Rate Distribution Policy SEMIANNUAL REPORT 51
Automatic Dividend Reinvestment Plan
MAXIMIZING INVESTMENT WITH AN AUTOMATIC DIVIDEND REINVESTMENT PLAN
The Automatic Dividend Reinvestment Plan offers a simple, cost-efficient and
convenient way to reinvest your dividends and capital gains distributions in
additional shares of the Fund, allowing you to increase your investment in the
Fund.
BENEFITS
- COMPOUNDED GROWTH: By automatically reinvesting with the Plan, you gain
the potential to allow your dividends and capital gains to compound over
time.
- POTENTIAL FOR LOWER COMMISSION COSTS: Additional shares are purchased in
large blocks, with brokerage commissions shared among all plan
participants. There is no cost to enroll in the Plan.
- CONVENIENCE: After enrollment, the Plan is automatic and includes detailed
statements for participants. Participants can terminate their enrollment
at any time.
For additional information about the Plan, please contact the Plan Agent, The
Bank of New York, at 800-432-8224 or visit us on the web at
www.calamos.com/csq.aspx. If you wish to participate in the Plan and your shares
are held in your own name, simply call the Plan Agent. If your shares are not
held in your name, please contact your brokerage firm, bank, or other nominee to
request that they participate in the Plan on your behalf. If your brokerage
firm, bank, or other nominee is unable to participate on your behalf, you may
request that your shares be re-registered in your own name.
We're pleased to provide our shareholders with the additional benefit of the
Fund's Dividend Reinvestment Plan and hope that it may serve your financial
plan.
Strategic Total Return Fund
52 SEMIANNUAL REPORT Automatic Dividend Reinvestment Plan
Calamos Closed-End Funds
INTELLIGENT ASSET ALLOCATION IN FOUR DISTINCT CLOSED-END FUNDS
Depending on which Calamos closed-end fund you currently own, you may want to
consider one or more of our other closed-end strategies to help further
diversify your investment portfolio.
Seek the advice of your financial advisor, who can help you determine your
financial goals, risk tolerance, time horizon and income needs. To learn more,
you can also visit our website at www.calamos.com.
FUND ASSET ALLOCATION AS OF 4/30/06 FUND PROFILE
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND (CHI)
[PIE CHART]
CONVERTIBLE SECURITIES 46.3%
HIGH YIELD/CORPORATE BONDS 53.5%
SHORT-TERM INVESTMENTS 0.2%
PROVIDING ENHANCED FIXED INCOME
OBJECTIVE: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of
convertible securities and below investment-grade (high-yield) fixed-income
securities.
CALAMOS CONVERTIBLE AND HIGH INCOME FUND (CHY)
[PIE CHART]
CONVERTIBLE SECURITIES 40.3%
HIGH YIELD/CORPORATE BONDS 58.5%
SHORT-TERM INVESTMENTS 1.2%
PROVIDING ENHANCED FIXED INCOME
OBJECTIVE: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of
convertible securities and below investment-grade (high-yield) fixed-income
securities.
CALAMOS STRATEGIC TOTAL RETURN FUND (CSQ)
[PIE CHART]
COMMON STOCK 42.3%
CONVERTIBLE SECURITIES 30.8%
HIGH YIELD/CORPORATE BONDS 25.7%
SHORT-TERM INVESTMENTS 1.2%
PROVIDING DEFENSIVE EQUITY
OBJECTIVE: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of
equity, convertible and high-yield securities.
CALAMOS GLOBAL TOTAL RETURN FUND (CGO)
[PIE CHART]
COMMON STOCK 54.0%
CONVERTIBLE SECURITIES 17.4%
HIGH YIELD/CORPORATE BONDS 28.3%
SHORT-TERM INVESTMENTS 0.3%
PROVIDING DEFENSIVE GLOBAL EQUITY
OBJECTIVE: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of
global equity, global convertible and high-yield securities.
Strategic Total Return Fund
Calamos Closed-End Funds SEMIANNUAL REPORT 53
[CALAMOS INVESTMENTS LOGO]
CALAMOS INVESTMENTS | 2020 CALAMOS COURT | NAPERVILLE, IL 60563-2787
800.582.6959 | www.calamos.com
A description of the Calamos Proxy Voting Policies and Procedures is available
free of charge upon request by calling (800) 582-6959, by visiting the Calamos
website at www.calamos.com, by writing Calamos at: Calamos Investments, Attn:
Client Services, 2020 Calamos Court, Naperville, IL 60563 and by visiting the
SEC's Web site at www.sec.gov. The Fund's proxy voting record for the twelve
month period ended June 30, 2005, is also available free of charge upon request
by calling or writing Calamos Investments and by visiting the SEC Web site at
www.sec.gov.
The Fund files a complete list of its portfolio holdings with the
SEC for the first and third quarters each fiscal year on Form N-Q. The Form N-Q
is available free of charge, upon request, by calling or writing Calamos
Investments or by visiting the SEC website. You may also review or, for a fee,
copy the forms at the SEC's Public Reference Room in Washington, D.C. (202)
942-8090.
FOR 24 HOUR SHAREHOLDER ASSISTANCE
800.432.8224
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB SITE
www.calamos.com
INVESTMENT ADVISOR
Calamos Advisors LLC
2020 Calamos Court
Naperville, IL 60563-2787
FUND ACCOUNTING AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02111
CUSTODIAN AND TRANSFER AGENT
The Bank of New York
P.O. Box 11258
Church Street Station
New York, NY 10286
800.524.4458
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Deloitte & Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
(C) 2006 Calamos Holdings LLC. All Rights Reserved.
Calamos(R), CALAMOS INVESTMENTS(R), Strategies for Serious Money(R)
and the Calamos(R) logo are registered trademarks of Calamos Holdings LLC.
CSQSAN 1946 2006
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in the Report to Shareholders in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
(c) TOTAL
NUMBER OF (d) MAXIMUM
(a) SHARES (OR NUMBER (OR
TOTAL (b) UNITS) APPROXIMATE
NUMBER AVERAGE PURCHASED AS DOLLAR VALUE) OF
OF PRICE PART OF SHARES (OR UNITS)
SHARES PAID PER PUBLICLY THAT MAY YET BE
(OR SHARE ANNOUNCED PURCHASED UNDER
UNITS) (OR PLANS OR THE PLANS OR
PERIOD PURCHASED UNIT) PROGRAMS PROGRAMS
------------------------- ----------- -------- ------------ -----------------
November 1 to November 30 N/A N/A N/A N/A
December 1 to December 31 N/A N/A N/A N/A
January 1 to January 31 N/A N/A N/A N/A
February 1 to February 28 N/A N/A N/A N/A
March 1 to March 31 N/A N/A N/A N/A
April 1 to April 30 N/A N/A N/A N/A
------ ------ ------- ----------
Total N/A N/A N/A N/A
------ ------ ------- ----------
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
No material changes.
ITEM 11. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-CSR was recorded,
processed, summarized, and reported timely.
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 second fiscal quarter of 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. EXHIBITS.
(a)(1) Code of Ethics -- NOT APPLICABLE
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) Certification of Principal Financial Officer.
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 Strategic Total Return Fund
By: /s/ John P. Calamos, Sr.
------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: June 29, 2006
By: /s/ Patrick H. Dudasik
------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: June 29, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Strategic Total Return Fund
By: /s/ John P. Calamos, Sr.
------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: June 29, 2006
By: /s/ Patrick H. Dudasik
------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: June 29, 2006