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, 2005
DATE OF REPORTING PERIOD: November 1, 2004 through October 31, 2005
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).
CALAMOS STRATEGIC TOTAL RETURN FUND
Annual Report October 31, 2005
(LOGO)
CALAMOS INVESTMENTS(R)
Table of Contents
President's Letter.................................... 1
Performance........................................... 3
Schedule of Investments............................... 5
Statement of Assets and Liabilities................... 13
Statement of Operations............................... 14
Statement of Changes In Net Assets.................... 15
Notes to Financial Statements......................... 16
Financial Highlights.................................. 23
Report of Independent Registered Public
Accounting Firm...................................... 24
Tax Information....................................... 25
Trustee Approval of Management
Agreement............................................ 26
Trustees & Officers................................... 29
President's Letter
[PHOTO OF JOHN P. CALAMOS]
---------------------------
"The Fund is well suited for investors
who value consistent monthly income,
but still desire exposure to the upside
potential of the equity markets."
---------------------------
---------------------------
"Since supply and demand determine
the market price of the Fund it is
important to understand the many
factors that may influence this dynamic."
---------------------------
---------------------------
"...we believe that portfolio performance is a
key consideration to market participants, and
we will continue to strive to deliver such out-
performance to our shareholders..."
---------------------------
--------------------------------------------------------------------------------
For up-to-date information on Calamos Strategic Total Return Fund,
please visit www.calamos.com. Here you will find timely portfolio details, our
outlook, and special reports.
--------------------------------------------------------------------------------
Dear Shareholder:
Thank you for your investment in the CALAMOS STRATEGIC TOTAL RETURN FUND (CSQ).
We submit for your review this annual shareholder report for the 12-month period
ended October 31, 2005.
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. Because convertible and
high-yield securities tend to follow the movements of their companies' equity
counterparts more than traditional fixed income securities, the Fund can be
viewed as having substantial equity sensitivity, yet with a significant income
component. It is thus well suited for investors who value consistent monthly
income, but still desire exposure to the upside potential of the equity markets.
FUND STRUCTURE
The Fund is structured as a closed end fund listed on the NYSE. Closed end funds
are complex in that while the actual fund value is calculated on a share basis
and reflected in its Net Asset Value (NAV), the fund itself is the traded on the
NYSE, where its market price is determined by buyers and sellers like many other
securities. A closed-end fund's NAV and market price may be similar or different
from each other, depending on the various factors that affect them. When there
is a difference between the two, the fund is said to be trading at a premium
(when its market price is higher than its NAV) or at a discount (when its market
price is lower than its NAV). Since supply and demand determine the market price
of the Fund it is important to understand the many factors that may influence
this dynamic. In our opinion, some of the key factors that may affect the market
price of a closed-end fund are the performance of the underlying portfolio as
reflected in its NAV, its distribution rate, and general market conditions,
including the trend of equity markets and comparative current yields.
FUND DISCOUNT TO NAV AND PORTFOLIO PERFORMANCE
The Fund has been trading at a discount to NAV, despite its outperformance
relative to the equity markets. During the 12-month period, the Fund produced a
total return of 8.95% at net asset value (NAV), comparing favorably with the
total return of the equity market, represented by the S&P 500 Index's total
return of 8.72%. The Fund's market price surpassed these annual returns with a
total return gain of 10.35%, which effectively narrowed the discount that was
present at the beginning of the period. Given the difficulties that the equity
markets experienced during this period, the Fund's capacity to produce gains and
distributions to shareholders is all the more distinguishing. As noted above, we
believe that portfolio performance is a key consideration to market
participants, and we will continue to strive to deliver such outperformance to
our shareholders, and believe a record of success may positively affect the
Fund's market recognition.
LEVEL DISTRIBUTION POLICY
The Fund's distribution policy is also a key consideration for our
shareholders--and potential shareholders. In April 2005, we announced the Fund's
adoption of a level rate distribution policy. Also at that time, the Fund
announced a 16.7% increase in its monthly distribution rate compared with its
prior rate. As of October 31, 2005, the Fund's monthly distribution of $0.0875
per share equated to an annualized yield of 7.66% based on the Fund's market
price (and an annualized yield of 7.27% based on
Strategic Total Return Fund
President's Letter ANNUAL REPORT 1
President's Letter
---------------------------
"In our opinion, a level rate policy
combined with an attractive monthly
distribution will benefit long-term
investors in the Fund,..."
---------------------------
---------------------------
"The portfolio is positioned to participate
in the mid-growth phase of a healthy
economy, in what we feel is a favorable
market environment."
---------------------------
---------------------------
"Looking ahead, we will strive
to deliver market-like returns with
significantly more income than a
pure equity portfolio,..."
---------------------------
CALAMOS STRATEGIC TOTAL RETURN FUND
The views expressed in this report reflect those
of Calamos Advisors LLC through December 16, 2005.
The manager's views are subject to change at any
time based on market and other conditions. This
report is submitted for general information for
the shareholders of the fund.
the Fund's NAV). In our opinion, a level rate policy combined with an attractive
monthly distribution will benefit long-term investors in the Fund, as we believe
that closed-end fund investors consider consistent and significant distributions
to be an important component of their long-term total-return goals. Since the
Fund's focus on total return includes aiming for both income and capital
appreciation, we expect the distribution to, at times, include realized capital
gains. If any distribution exceeds the Fund's net investment company taxable
income, the excess will generally be a tax-free return of capital, however we
have not had to use this flexibility during this reporting period. During this
period, the Fund delivered $0.9875 per share in distributions to shareholders,
comprised of earned income as well as short-term and long-term capital gains.
GENERAL MARKET CONDITIONS
The impact of general market conditions to the Fund's portfolio performance is
obviously an important factor. The portfolio is positioned to participate in
rising equity markets. Unfortunately the vagaries of the markets are such that
performance in the stock markets typically comes in spikes rather than
consistent returns week to week or month to month. It's important to emphasize a
key distinction of the Fund, namely its total return objective and focus on
capital appreciation. The portfolio is positioned to participate in the mid-
growth phase of a healthy economy, in what we feel is a favorable market
environment. We believe that the Fed is near the end of the interest rate hikes
and that the economy remains strong. Historically, this stage of the economic
cycle has typically resulted in increasing earnings and cash flow, often
resulting in higher equity values. For the Fund this presents the potential for
capital gains, and, if realized ultimately should benefit our long-term
investors. However, past performance of the market is no guarantee of future
performance.
Looking ahead, we will strive to deliver market-like returns with significantly
more income than a pure equity portfolio, while providing timely and relevant
communications to aid in market recognition. In the meantime, we believe it's
worth reminding investors that buying discounted shares provides a yield higher
than that calculated at NAV.
A convenient means to accumulate more shares is via the Fund's dividend
reinvestment plan. The plan offers current shareholders an efficient method of
purchasing additional shares with a potential for cost savings. For example, if
the Fund's shares are trading at a premium, dividends will be automatically
reinvested through the plan at NAV or 95% of the market price, whichever is
greater; if shares are trading at a discount, dividends will be reinvested by
purchasing shares at the market price, below NAV. Please see the Fund's dividend
reinvestment plan for more information.
We appreciate your investment in the CALAMOS STRATEGIC TOTAL RETURN FUND, and
look forward to serving your long-term investment plan in the coming months and
years ahead. For up-to-date information on the Fund, details of its dividend
reinvestment plan, and other information including our market outlook, please
visit www.calamos.com.
Sincerely,
/s/ JOHN P. CALAMOS, SR.
JOHN P. CALAMOS, SR.
Chairman, Chief Executive Officer and Co-Chief Investment Officer
Strategic Total Return Fund
2 ANNUAL REPORT President's Letter
Performance
LONG-TERM PERFORMANCE: TOTAL RETURN AS OF OCTOBER 31, 2005
[BAR CHART]
1 year (as of 10/31/05) Since Inception
----------------------- ---------------
CSQ Market Price 10.35% 0.54%
CSQ NAV 8.95% 6.87%
S&P 500(1) 8.72% 6.32%
VXAO(2) 4.49% 2.19%
CSHY(3) 3.53% 6.10%
* Since inception index data shown above is from 4/1/2004, because
comparative index data is available only for full monthly periods. The
Fund's since inception data is from the Fund's actual inception date,
3/26/2004.
(1) The S&P 500 Index (S&P 500) is an unmanaged index generally considered
representative of the U.S. stock market. Source: Lipper Analytical
Services.
(2) The Merrill Lynch All U.S. Convertibles Index (VXA0) is comprised of
approximately 500 issues of convertible bonds and preferred stock of all
qualities. Source: Russell/Mellon Analytical Services LLC.
(3) The CSFB High Yield Index (CSHY) is an unmanaged index of high yield debt
securities. Source: Russell/Mellon Analytical Services LLC.
SINCE INCEPTION NAV AND MARKET PRICE HISTORY AS OF OCTOBER 31, 2005
[LINE GRAPH]
NAV MARKET PRICE
03/26/04 14.31 03/26/04 15.00
03/29/04 14.31 03/29/04 15.04
03/30/04 14.31 03/30/04 15.04
03/31/04 14.31 03/31/04 15.05
04/01/04 14.34 04/01/04 15.20
04/02/04 14.34 04/02/04 15.15
04/05/04 14.39 04/05/04 15.11
04/06/04 14.38 04/06/04 15.01
04/07/04 14.34 04/07/04 15.10
04/08/04 14.30 04/08/04 15.07
04/12/04 14.33 04/12/04 15.05
04/13/04 14.21 04/13/04 15.00
04/14/04 14.17 04/14/04 15.00
04/15/04 14.20 04/15/04 15.00
04/16/04 14.25 04/16/04 15.00
04/19/04 14.25 04/19/04 15.01
04/20/04 14.15 04/20/04 15.00
04/21/04 14.16 04/21/04 14.80
04/22/04 14.26 04/22/04 14.80
04/23/04 14.23 04/23/04 14.80
04/26/04 14.23 04/26/04 14.76
04/27/04 14.26 04/27/04 14.75
04/28/04 14.15 04/28/04 14.75
04/29/04 14.08 04/29/04 14.70
04/30/04 14.05 04/30/04 14.55
05/03/04 14.11 05/03/04 14.55
NAV MARKET PRICE
05/04/04 14.13 05/04/04 13.98
05/05/04 14.14 05/05/04 14.00
05/06/04 14.04 05/06/04 13.45
05/07/04 13.80 05/07/04 13.53
05/10/04 13.59 05/10/04 12.60
05/11/04 13.66 05/11/04 13.20
05/12/04 13.67 05/12/04 13.50
05/13/04 13.62 05/13/04 13.49
05/14/04 13.62 05/14/04 13.65
05/17/04 13.50 05/17/04 13.10
05/18/04 13.57 05/18/04 13.26
05/19/04 13.57 05/19/04 13.14
05/20/04 13.59 05/20/04 13.06
05/21/04 13.69 05/21/04 13.18
05/24/04 13.72 05/24/04 12.93
05/25/04 13.86 05/25/04 13.20
05/26/04 13.92 05/26/04 13.47
05/27/04 14.01 05/27/04 13.55
05/28/04 13.99 05/28/04 13.79
06/01/04 13.99 06/01/04 13.98
06/02/04 14.00 06/02/04 13.82
06/03/04 13.90 06/03/04 13.95
06/04/04 13.94 06/04/04 14.03
06/07/04 14.14 06/07/04 13.97
06/08/04 14.17 06/08/04 14.00
06/09/04 14.01 06/09/04 13.67
06/10/04 14.07 06/10/04 13.55
06/14/04 13.91 06/14/04 13.40
06/15/04 14.03 06/15/04 13.40
06/16/04 14.03 06/16/04 13.40
06/17/04 14.04 06/17/04 13.33
06/18/04 14.07 06/18/04 13.35
06/21/04 14.04 06/21/04 13.29
06/22/04 14.07 06/22/04 13.15
NAV MARKET PRICE
06/23/04 14.19 06/23/04 13.00
06/24/04 14.17 06/24/04 13.30
06/25/04 14.09 06/25/04 13.30
06/28/04 14.08 06/28/04 13.24
06/29/04 14.08 06/29/04 13.19
06/30/04 14.15 06/30/04 13.22
07/01/04 14.02 07/01/04 13.26
07/02/04 14.04 07/02/04 13.19
07/06/04 13.95 07/06/04 13.18
07/07/04 13.99 07/07/04 13.20
07/08/04 13.90 07/08/04 13.14
07/09/04 13.95 07/09/04 13.06
07/12/04 13.98 07/12/04 13.14
07/13/04 13.92 07/13/04 13.05
07/14/04 13.90 07/14/04 12.99
07/15/04 13.83 07/15/04 12.86
07/16/04 13.84 07/16/04 12.93
07/19/04 13.84 07/19/04 12.83
07/20/04 13.87 07/20/04 12.89
07/21/04 13.75 07/21/04 12.95
07/22/04 13.77 07/22/04 12.99
07/23/04 13.71 07/23/04 12.83
07/26/04 13.69 07/26/04 12.68
07/27/04 13.78 07/27/04 12.59
07/28/04 13.82 07/28/04 12.69
07/29/04 13.83 07/29/04 13.02
07/30/04 13.83 07/30/04 13.17
08/02/04 13.91 08/02/04 13.10
08/03/04 13.86 08/03/04 13.35
08/04/04 13.86 08/04/04 13.35
08/05/04 13.71 08/05/04 13.27
08/06/04 13.58 08/06/04 13.07
08/09/04 13.57 08/09/04 12.99
08/10/04 13.71 08/10/04 13.17
NAV MARKET PRICE
08/11/04 13.70 08/11/04 13.12
08/12/04 13.56 08/12/04 12.89
08/13/04 13.58 08/13/04 12.79
08/16/04 13.71 08/16/04 12.98
08/17/04 13.74 08/17/04 12.95
08/18/04 13.87 08/18/04 13.35
08/19/04 13.83 08/19/04 13.27
08/20/04 13.92 08/20/04 13.26
08/23/04 13.90 08/23/04 13.02
08/24/04 13.91 08/24/04 13.04
08/25/04 13.99 08/25/04 13.18
08/26/04 13.99 08/26/04 13.29
08/27/04 14.04 08/27/04 13.42
08/30/04 13.98 08/30/04 13.52
08/31/04 14.07 08/31/04 13.58
09/01/04 14.07 09/01/04 13.76
09/02/04 14.21 09/02/04 13.79
09/03/04 14.21 09/03/04 13.85
09/07/04 14.31 09/07/04 13.93
09/08/04 14.31 09/08/04 13.75
09/09/04 14.29 09/09/04 13.92
09/10/04 14.35 09/10/04 13.93
09/13/04 14.33 09/13/04 13.77
09/14/04 14.36 09/14/04 13.74
09/15/04 14.25 09/15/04 13.55
09/16/04 14.32 09/16/04 13.58
09/17/04 14.37 09/17/04 13.76
09/20/04 14.27 09/20/04 13.55
09/21/04 14.35 09/21/04 13.40
09/22/04 14.18 09/22/04 13.33
09/23/04 14.12 09/23/04 13.27
09/24/04 14.12 09/24/04 13.27
09/27/04 14.06 09/27/04 13.33
09/28/04 14.14 09/28/04 13.46
NAV MARKET PRICE
09/29/04 14.18 09/29/04 13.58
09/30/04 14.08 09/30/04 13.73
10/01/04 14.26 10/01/04 13.76
10/04/04 14.33 10/04/04 13.75
10/05/04 14.32 10/05/04 13.79
10/06/04 14.38 10/06/04 13.77
10/07/04 14.27 10/07/04 13.89
10/08/04 14.22 10/08/04 13.80
10/11/04 14.24 10/11/04 13.70
10/12/04 14.21 10/12/04 13.69
10/13/04 14.04 10/13/04 13.59
10/14/04 13.92 10/14/04 13.35
10/15/04 14.02 10/15/04 13.46
10/18/04 14.08 10/18/04 13.50
10/19/04 13.98 10/19/04 13.43
10/20/04 13.96 10/20/04 13.36
10/21/04 13.98 10/21/04 13.40
10/22/04 13.89 10/22/04 13.24
10/25/04 13.85 10/25/04 13.13
10/26/04 13.98 10/26/04 13.09
10/27/04 14.15 10/27/04 13.31
10/28/04 14.21 10/28/04 13.24
10/29/04 14.23 10/29/04 13.34
11/01/04 14.24 11/01/04 13.58
11/02/04 14.24 11/02/04 13.70
11/03/04 14.40 11/03/04 13.65
11/04/04 14.62 11/04/04 13.85
11/05/04 14.67 11/05/04 13.63
11/08/04 14.65 11/08/04 13.55
11/09/04 14.67 11/09/04 13.48
11/10/04 14.62 11/10/04 13.39
11/11/04 14.73 11/11/04 13.56
11/12/04 14.89 11/12/04 13.73
11/15/04 14.87 11/15/04 13.70
NAV MARKET PRICE
11/16/04 14.81 11/16/04 13.57
11/17/04 14.88 11/17/04 13.62
11/18/04 14.89 11/18/04 13.62
11/19/04 14.78 11/19/04 13.56
11/22/04 14.83 11/22/04 13.45
11/23/04 14.83 11/23/04 13.46
11/24/04 14.89 11/24/04 13.54
11/26/04 14.94 11/26/04 13.60
11/29/04 14.91 11/29/04 13.50
11/30/04 14.86 11/30/04 13.50
12/01/04 15.02 12/01/04 13.57
12/02/04 15.02 12/02/04 13.65
12/03/04 15.04 12/03/04 13.84
NAV MARKET PRICE
12/06/04 15.02 12/06/04 13.72
12/07/04 14.91 12/07/04 13.58
12/08/04 14.96 12/08/04 13.61
12/09/04 14.93 12/09/04 13.42
12/10/04 14.94 12/10/04 13.43
12/13/04 15.06 12/13/04 13.45
12/14/04 15.13 12/14/04 13.41
12/15/04 15.19 12/15/04 13.44
12/16/04 15.20 12/16/04 13.49
12/17/04 15.13 12/17/04 13.48
12/20/04 15.13 12/20/04 13.49
12/21/04 15.23 12/21/04 13.57
12/22/04 15.32 12/22/04 13.53
12/23/04 15.34 12/23/04 13.55
12/27/04 15.29 12/27/04 13.78
12/28/04 15.31 12/28/04 13.87
12/29/04 15.33 12/29/04 13.92
12/30/04 15.34 12/30/04 14.04
12/31/04 15.32 12/31/04 14.01
01/03/05 15.21 01/03/05 14.03
01/04/05 15.07 01/04/05 14.14
01/05/05 14.96 01/05/05 14.05
01/06/05 14.97 01/06/05 14.10
01/07/05 14.94 01/07/05 14.16
01/10/05 14.95 01/10/05 14.10
01/11/05 14.86 01/11/05 14.06
01/12/05 14.91 01/12/05 13.99
01/13/05 14.81 01/13/05 13.87
01/14/05 14.87 01/14/05 13.90
01/15/05 14.98 01/15/05 14.00
01/19/05 14.89 01/19/05 13.92
01/20/05 14.76 01/20/05 13.79
01/21/05 14.69 01/21/05 13.69
01/24/05 14.64 01/24/05 13.72
NAV MARKET PRICE
01/25/05 14.68 01/25/05 13.76
01/26/05 14.78 01/26/05 13.81
01/27/05 14.78 01/27/05 13.88
01/28/05 14.74 01/28/05 13.90
01/31/05 14.84 01/31/05 14.11
02/01/05 14.94 02/01/05 14.06
02/02/05 15.01 02/02/05 13.99
02/03/05 15.01 02/03/05 13.94
02/04/05 15.13 02/04/05 14.08
02/07/05 15.13 02/07/05 14.08
02/08/05 15.15 02/08/05 14.03
02/09/05 15.04 02/09/05 14.07
02/10/05 15.00 02/10/05 14.09
02/11/05 15.12 02/11/05 14.24
02/14/05 15.17 02/14/05 14.14
02/15/05 15.21 02/15/05 14.13
02/16/05 15.25 02/16/05 14.05
02/17/05 15.16 02/17/05 13.92
02/18/05 15.23 02/18/05 13.88
02/22/05 15.08 02/22/05 13.71
02/23/05 15.15 02/23/05 13.78
02/24/05 15.27 02/24/05 13.93
02/25/05 15.39 02/25/05 14.07
02/28/05 15.34 02/28/05 14.04
03/01/05 15.40 03/01/05 14.15
03/02/05 15.38 03/02/05 14.14
03/03/05 15.36 03/03/05 14.07
03/04/05 15.48 03/04/05 14.07
03/07/05 15.53 03/07/05 14.05
03/08/05 15.48 03/08/05 14.03
03/09/05 15.32 03/09/05 13.85
03/10/05 15.25 03/10/05 13.86
03/11/05 15.20 03/11/05 13.79
03/14/05 15.25 03/14/05 13.82
NAV MARKET PRICE
03/15/05 15.14 03/15/05 13.68
03/16/05 14.98 03/16/05 13.38
03/17/05 14.97 03/17/05 13.41
03/18/05 14.95 03/18/05 13.29
03/21/05 14.83 03/21/05 13.10
03/22/05 14.69 03/22/05 12.90
03/23/05 14.64 03/23/05 12.81
03/24/05 14.66 03/24/05 13.00
03/28/05 14.67 03/28/05 12.65
03/29/05 14.56 03/29/05 13.00
03/30/05 14.72 03/30/05 13.37
03/31/05 14.74 03/31/05 13.31
04/01/05 14.67 04/01/05 13.21
04/04/05 14.66 04/04/05 13.12
04/05/05 14.72 04/05/05 13.35
04/06/05 14.79 04/06/05 13.59
04/07/05 14.88 04/07/05 13.63
04/08/05 14.79 04/08/05 13.61
04/11/05 14.73 04/11/05 13.44
04/12/05 14.76 04/12/05 13.65
04/13/05 14.57 04/13/05 13.29
04/14/05 14.42 04/14/05 13.24
04/15/05 14.19 04/15/05 13.23
04/18/05 14.21 04/18/05 13.39
04/19/05 14.30 04/19/05 13.34
04/20/05 14.20 04/20/05 13.15
04/21/05 14.42 04/21/05 13.16
04/22/05 14.42 04/22/05 13.21
04/25/05 14.52 04/25/05 13.31
04/26/05 14.43 04/26/05 13.20
04/27/05 14.42 04/27/05 13.43
04/28/05 14.29 04/28/05 13.48
04/29/05 14.42 04/29/05 13.57
05/02/05 14.48 05/02/05 13.35
NAV MARKET PRICE
05/03/05 14.47 05/03/05 13.37
05/04/05 14.63 05/04/05 13.70
05/05/05 14.58 05/05/05 13.67
05/06/05 14.54 05/06/05 13.66
05/09/05 14.62 05/09/05 13.72
05/10/05 14.50 05/10/05 13.66
05/11/05 14.39 05/11/05 13.52
05/12/05 14.25 05/12/05 13.33
05/13/05 14.13 05/13/05 13.26
05/16/05 14.24 05/16/05 13.28
05/17/05 14.25 05/17/05 13.48
05/18/05 14.40 05/18/05 13.45
05/19/05 14.46 05/19/05 13.56
05/20/05 14.50 05/20/05 13.40
05/23/05 14.60 05/23/05 13.50
05/24/05 14.59 05/24/05 13.38
05/25/05 14.58 05/25/05 13.38
05/26/05 14.68 05/26/05 13.67
05/27/05 14.74 05/27/05 13.85
05/31/05 14.70 05/31/05 13.81
06/01/05 14.79 06/01/05 13.90
06/02/05 14.87 06/02/05 13.99
06/03/05 14.83 06/03/05 13.99
06/06/05 14.81 06/06/05 13.92
06/07/05 14.80 06/07/05 13.88
06/08/05 14.80 06/08/05 13.83
06/09/05 14.83 06/09/05 13.91
06/10/05 14.86 06/10/05 13.89
06/13/05 14.80 06/13/05 13.84
06/14/05 14.87 06/14/05 13.84
06/15/05 14.92 06/15/05 13.84
06/16/05 14.99 06/16/05 13.83
06/17/05 15.08 06/17/05 13.90
06/20/05 15.06 06/20/05 13.89
NAV MARKET PRICE
06/21/05 15.04 06/21/05 13.86
06/22/05 15.01 06/22/05 13.79
06/23/05 14.88 06/23/05 13.74
06/24/05 14.80 06/24/05 13.65
06/27/05 14.79 06/27/05 13.66
06/28/05 14.89 06/28/05 13.94
06/29/05 14.89 06/29/05 13.97
06/30/05 14.81 06/30/05 13.95
07/01/05 14.89 07/01/05 13.95
07/05/05 15.02 07/05/05 13.92
07/06/05 14.91 07/06/05 13.98
07/07/05 14.90 07/07/05 14.04
07/08/05 15.04 07/08/05 14.16
07/11/05 15.15 07/11/05 14.24
07/12/05 15.22 07/12/05 14.25
07/13/05 15.13 07/13/05 14.23
07/14/05 15.18 07/14/05 14.28
07/15/05 15.20 07/15/05 14.27
07/18/05 15.13 07/18/05 14.25
07/19/05 15.19 07/19/05 14.35
07/20/05 15.23 07/20/05 14.27
07/21/05 15.14 07/21/05 14.25
07/22/05 15.23 07/22/05 14.20
07/25/05 15.21 07/25/05 14.14
07/26/05 15.23 07/26/05 14.29
07/27/05 15.33 07/27/05 14.40
07/28/05 15.39 07/28/05 14.50
07/29/05 15.34 07/29/05 14.47
08/01/05 15.36 08/01/05 14.41
08/02/05 15.44 08/02/05 14.42
08/03/05 15.45 08/03/05 14.42
08/04/05 15.38 08/04/05 14.38
08/05/05 15.26 08/05/05 14.35
08/08/05 15.22 08/08/05 14.12
NAV MARKET PRICE
08/09/05 15.29 08/09/05 14.23
08/10/05 15.31 08/10/05 14.28
08/11/05 15.30 08/11/05 14.27
08/12/05 15.23 08/12/05 14.23
08/15/05 15.25 08/15/05 14.19
08/16/05 15.14 08/16/05 14.16
08/17/05 15.11 08/17/05 14.14
08/18/05 15.06 08/18/05 14.10
08/19/05 15.07 08/19/05 14.09
08/22/05 15.10 08/22/05 14.19
08/23/05 15.05 08/23/05 14.11
08/24/05 14.99 08/24/05 14.06
08/25/05 15.01 08/25/05 14.05
08/26/05 14.92 08/26/05 14.03
08/29/05 15.00 08/29/05 14.27
08/30/05 14.97 08/30/05 14.35
08/31/05 15.11 08/31/05 14.40
09/01/05 15.16 09/01/05 14.26
09/02/05 15.15 09/02/05 14.14
09/06/05 15.28 09/06/05 14.38
09/07/05 15.33 09/07/05 14.38
09/08/05 15.28 09/08/05 14.41
09/09/05 15.40 09/09/05 14.49
09/12/05 15.35 09/12/05 14.39
09/13/05 15.17 09/13/05 14.22
09/14/05 15.14 09/14/05 14.07
09/15/05 15.14 09/15/05 14.07
09/16/05 15.25 09/16/05 14.09
09/19/05 15.18 09/19/05 13.98
09/20/05 15.08 09/20/05 13.90
09/21/05 14.98 09/21/05 13.79
09/22/05 14.95 09/22/05 13.70
09/23/05 14.98 09/23/05 13.80
09/26/05 15.03 09/26/05 13.68
NAV MARKET PRICE
09/27/05 15.02 09/27/05 13.47
09/28/05 15.02 09/28/05 13.87
09/29/05 15.12 09/29/05 14.03
09/30/05 15.13 09/30/05 13.99
10/03/05 15.11 10/03/05 13.99
10/04/05 14.97 10/04/05 13.94
10/05/05 14.72 10/05/05 13.82
10/06/05 14.60 10/06/05 13.65
10/07/05 14.60 10/07/05 13.85
10/10/05 14.49 10/10/05 13.75
10/11/05 14.45 10/11/05 13.78
10/12/05 14.26 10/12/05 13.39
10/13/05 14.17 10/13/05 13.18
10/14/05 14.27 10/14/05 13.62
10/17/05 14.35 10/17/05 13.59
10/18/05 14.19 10/18/05 13.35
10/19/05 14.30 10/19/05 13.44
10/20/05 14.09 10/20/05 13.24
10/21/05 14.07 10/21/05 13.21
10/24/05 14.28 10/24/05 13.45
10/25/05 14.32 10/25/05 13.40
10/26/05 14.30 10/26/05 13.38
10/27/05 14.15 10/27/05 13.46
10/28/05 14.31 10/28/05 13.70
10/31/05 14.44 10/31/05 13.71
AVERAGE ANNUAL TOTAL RETURN+ AS OF OCTOBER 31, 2005
[Graphic Appears Here]
COMMON SHARES -- INCEPTION 3/26/2004 1 YEAR SINCE INCEPTION
------------------------------------ ------ ---------------
On Market Price 10.35% 0.54%
On NAV 8.95% 6.87%
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 ongoing 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.
Strategic Total Return Fund
Performance ANNUAL REPORT 3
Performance
FUND SECTOR ALLOCATION AS OF OCTOBER 31, 2005
[BAR CHART]
FINANCIALS 20.2%
CONSUMER DISCRETIONARY 15.1%
HEALTH CARE 14.7%
ENERGY 13.2%
INDUSTRIALS 9.1%
TELECOMMUNICATION SERVICES 7.6%
CONSUMER STAPLES 6.8%
INFORMATION TECHNOLOGY 6.7%
MATERIALS 4.0%
UTILITIES 2.6%
Sector allocations are based on total investments (excluding security lending
collateral and short-term investments) and may vary over time.
FUND ASSET ALLOCATION AS OF OCTOBER 31, 2005
[PIE CHART]
Strategic Total Return Fund
4 ANNUAL REPORT Performance
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
--------- ----------------
CORPORATE BONDS (40.0 % )
CONSUMER DISCRETIONARY (10.4%)
$4,352,000 Asbury Automotive Group, Inc.
8.000%, 03/15/14 $ 4,025,600
6,964,000 Aztar Corp.+
7.875%, 06/15/14 7,207,740
9,885,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 10,144,481
4,352,000 Boyd Gaming Corp.
7.750%, 12/15/12 4,547,840
7,399,000 GBP EMI Group, PLC
9.750%, 05/20/08 14,184,520
17,410,000 Goodyear Tire & Rubber Company+
7.857%, 08/15/11 16,713,600
2,437,000 GSC Holdings Corp. (Gamestop, Inc.)*+
8.000%, 10/01/12 2,382,168
7,834,000 Hovnanian Enterprises, Inc.+
7.750%, 05/15/13 7,794,830
6,093,000 IMAX Corp.+
9.625%, 12/01/10 6,549,975
8,270,000 Intrawest Corp.
7.500%, 10/15/13 8,456,075
6,624,000 Jarden Corp.
9.750%, 05/01/12 6,723,360
2,823,000 Kellwood Company
7.625%, 10/15/17 2,535,619
6,529,000 Landry's Restaurants, Inc.+
7.500%, 12/15/14 6,039,325
18,755,000 Mandalay Resort Group+
10.250%, 08/01/07 20,067,850
5,658,000 7.625%, 07/15/13 5,841,885
11,316,000 Meritage Corp.
7.000%, 05/01/14 10,467,300
5,223,000 NCL Holding, ASA*
10.625%, 07/15/14 5,392,748
4,352,000 Oxford Industries, Inc.
8.875%, 06/01/11 4,482,560
Pinnacle Entertainment, Inc.+
7,834,000 8.250%, 03/15/12 7,814,415
4,479,000 8.750%, 10/01/13 4,607,771
8,718,000 Reader's Digest Association, Inc.+
6.500%, 03/01/11 8,750,692
5,658,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 4,972,151
8,705,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 7,904,591
11,316,000 Royal Caribbean Cruises, Ltd.+
7.500%, 10/15/27 11,740,350
4,352,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 4,471,680
13,057,000 Standard Pacific Corp.
9.250%, 04/15/12 13,513,995
4,352,000 Vail Resorts, Inc.
6.750%, 02/15/14 4,352,000
Warner Music Group
16,104,000 7.375%, 04/15/14 15,781,920
2,176,000 GBP 8.125%, 04/15/14 3,976,693
----------------
231,443,734
----------------
CONSUMER STAPLES (3.5%)
7,399,000 Central Garden & Pet Company+
9.125%, 02/01/13 7,805,945
12,840,000 Chiquita Brands International, Inc.+
7.500%, 11/01/14 12,165,900
10,011,000 Del Monte Foods Company
8.625%, 12/15/12 10,711,770
14,798,000 Jean Coutu Group, Inc.+
8.500%, 08/01/14 13,799,135
9,575,000 NBTY, Inc.*+
7.125%, 10/01/15 9,383,500
5,484,000 Revlon, Inc.+
9.500%, 04/01/11 5,168,670
Spectrum Brands, Inc.+
12,187,000 7.375%, 02/01/15 10,587,456
5,223,000 8.500%, 10/01/13 4,752,930
4,093,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 4,461,370
----------------
78,836,676
----------------
ENERGY (5.2%)
10,446,000 Arch Western Finance, LLC+
6.750%, 07/01/13 10,550,460
Chesapeake Energy Corp.
6,093,000 6.875%, 01/15/16+ 6,199,628
3,482,000 7.500%, 06/15/14 3,708,330
3,482,000 Comstock Resources, Inc.
6.875%, 03/01/12 3,455,885
12,883,000 Giant Industries, Inc.+
8.000%, 05/15/14 13,398,320
4,352,000 Houston Exploration Company
7.000%, 06/15/13 4,384,640
4,352,000 KCS Energy, Inc.
7.125%, 04/01/12 4,460,800
870,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 922,200
Petroleo Brasileiro, SA
14,363,000 9.125%, 07/02/13 16,445,635
13,493,000 8.375%, 12/10/18 14,909,765
1,741,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 1,862,870
9,858,000 Swift Energy Company+
9.375%, 05/01/12 10,597,350
6,572,000 Whiting Petroleum Corp.
7.250%, 05/01/12 6,654,150
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments ANNUAL REPORT 5
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
--------- -----------------
$17,410,000 Williams Companies, Inc.
7.750%, 06/15/31 $ 18,476,362
-----------------
116,026,395
-----------------
FINANCIALS (3.5%)
34,820,000 Dow Jones TRAC-X
North America High Yield Series 5
December 2010 Trust 3*+
8.250%, 12/29/10 34,384,750
E*TRADE Financial Corporation*
16,853,000 7.375%, 09/15/13+ 16,684,470
2,960,000 8.000%, 06/15/11 3,019,200
13,057,000 Leucadia National Corp.
7.000%, 08/15/13 13,187,570
9,140,000 Senior Housing Properties Trust
8.625%, 01/15/12 10,099,700
-----------------
77,375,690
-----------------
HEALTH CARE (4.1%)
1,915,000 Alpharma, Inc.
8.625%, 05/01/11 2,058,625
4,352,000 Ameripath, Inc.
10.500%, 04/01/13 4,547,840
3,177,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 3,365,733
12,187,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 13,405,700
8,587,000 MedCath Corp.
9.875%, 07/15/12 9,145,155
6,093,000 Psychiatric Solutions, Inc.+
7.750%, 07/15/15 6,306,255
4,352,000 Quintiles Transnational Corp.
10.000%, 10/01/13 4,825,280
16,539,000 Service Corp. International
6.750%, 04/01/16 16,332,263
15,408,000 Tenet Healthcare Corp.*+
9.250%, 02/01/15 14,676,120
5,658,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 5,544,840
11,752,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 12,310,220
-----------------
92,518,031
-----------------
INDUSTRIALS (3.9%)
4,788,000 Accuride Corp.
8.500%, 02/01/15 4,548,600
5,789,000 American Airlines, Inc.+
7.250%, 02/05/09 5,470,605
2,611,000 Armor Holdings, Inc.+
8.250%, 08/15/13 2,832,935
14,363,000 CNH Global, NV
9.250%, 08/01/11 15,188,872
3,047,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 3,077,470
11,752,000 Cummins, Inc.+
9.500%, 12/01/10 12,604,020
4,352,000 Gardner Denver, Inc.*
8.000%, 05/01/13 4,547,840
8,270,000 General Cable Corp.+
9.500%, 11/15/10 8,766,200
4,352,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 4,493,440
3,269,000 Manitowoc Company, Inc.
10.500%, 08/01/12 3,677,625
4,352,000 Monitronics International, Inc.
11.750%, 09/01/10 4,303,040
5,223,000 Navistar International Corp.+
7.500%, 06/15/11 4,987,965
2,611,000 Orbital Sciences Corp.
9.000%, 07/15/11 2,839,463
4,352,000 Sequa Corp.
8.875%, 04/01/08 4,482,560
4,352,000 Wesco Distribution Inc.*+
7.500%, 10/15/17 4,368,320
-----------------
86,188,955
-----------------
INFORMATION TECHNOLOGY (3.2%)
20,892,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 20,996,460
7,399,000 Celestica, Inc.+
7.875%, 07/01/11 7,362,005
4,352,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 4,585,920
Lucent Technologies, Inc.
11,055,000 6.500%, 01/15/28 9,452,025
5,680,000 6.450%, 03/15/29+ 4,884,800
4,352,000 Stratus Technologies, Inc.
10.375%, 12/01/08 4,417,280
9,140,000 SunGard Data Systems Inc.*+
9.125%, 08/15/13 9,322,800
13,057,000 Telcordia Technologies*
10.000%, 03/15/13 11,555,445
-----------------
72,576,735
-----------------
MATERIALS (3.6%)
Aleris International, Inc.
10,881,000 10.375%, 10/15/10 11,941,897
1,741,000 9.000%, 11/15/14 1,784,525
2,611,000 Century Aluminum Company+
7.500%, 08/15/14 2,591,418
13,693,000 Freeport-McMoRan Copper & Gold, Inc.+
10.125%, 02/01/10 15,130,765
8,270,000 Georgia-Pacific Corp.+
7.375%, 12/01/25 8,259,663
8,705,000 IPSCO, Inc.
8.750%, 06/01/13 9,662,550
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
6 ANNUAL REPORT Schedule of Investments
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
--------- ---------------
Steel Dynamics, Inc.
$ 4,788,000 9.500%, 03/15/09 $ 5,075,280
6,964,000 U.S. Concrete, Inc.+
8.375%, 04/01/14 6,990,115
Union Carbide Corp.
9,532,000 7.875%, 04/01/23+ 10,305,407
7,530,000 7.500%, 06/01/25 7,919,745
---------------
79,661,365
---------------
TELECOMMUNICATION SERVICES (2.1%)
Alamosa Holdings, Inc.
11,316,000 8.500%, 01/31/12 11,796,930
4,352,000 11.000%, 07/31/10 4,841,600
19,151,000 AT&T Corp.
9.750%, 11/15/31 23,412,097
3,917,000 IPCS Escrow Company
11.500%, 05/01/12 4,406,625
1,741,000 Syniverse Technologies, Inc.*
7.750%, 08/15/13 1,762,763
---------------
46,220,015
---------------
UTILITIES (0.5%)
10,446,000 Edison International+
7.730%, 06/15/09 10,889,955
---------------
TOTAL CORPORATE BONDS
(Cost $893,993,694) 891,737,551
===============
CONVERTIBLE BONDS (14.3 % )
CONSUMER DISCRETIONARY (1.9%)
280,000 General Motors Corp.
6.250%, 03/06/32 5,138,000
4,462,000 Lions Gate Entertainment Corp.+<>
3.625%, 03/15/25 4,238,900
32,000,000 Walt Disney Company+
2.125%, 04/15/23 32,600,000
---------------
41,976,900
---------------
ENERGY (1.5%)
10,500,000 Cal Dive International, Inc.*
3.250%, 12/15/25 12,993,750
15,000,000 Repsol Ypf, SA
4.500%, 01/26/11 19,989,133
---------------
32,982,883
---------------
FINANCIALS (1.0%)
4,350,000 Host Marriott Corp.*
3.250%, 04/15/24 4,752,375
750,000 Travelers Property Casualty Corp.
4.500%, 04/15/32 18,712,500
---------------
23,464,875
---------------
HEALTH CARE (3.2%)
17,000,000 Emdeon Corp.*+
3.125%, 09/01/25
15,002,500
19,000,000 Invitrogen Corp.*+
3.250%, 06/15/25 17,931,250
20,000,000 LifePoint Hospitals, Inc.*+
3.250%, 08/15/25 19,000,000
20,000,000 Wyeth+++
3.320%, 01/15/24 20,601,800
---------------
72,535,550
---------------
INDUSTRIALS (1.5%)
9,000,000 GATX Corp.+
7.500%, 02/01/07 10,833,750
16,000,000 Lockheed Martin Corp.+++
3.540%, 08/15/33 16,869,440
4,500,000 Quanta Services, Inc.+
4.500%, 10/01/23 5,428,125
---------------
33,131,315
---------------
INFORMATION TECHNOLOGY (2.5%)
16,500,000 Advanced Micro Devices, Inc.+++
4.750%, 02/01/22 18,150,000
14,500,000 DST Systems, Inc.
4.125%, 08/15/23 18,523,750
19,500,000 LSI Logic Corp.+
4.000%, 05/15/10 19,036,875
---------------
55,710,625
---------------
MATERIALS (0.8%)
10,700,000 Freeport-McMoRan Copper & Gold, Inc.+
7.000%, 02/11/11 18,123,125
UTILITIES (1.9%)
20,000,000 CenterPoint Energy, Inc.
3.750%, 05/15/23 24,425,000
8,750,000GBP Scottish and Southern Energy, PLC
3.750%, 10/29/09 17,735,013
---------------
42,160,013
---------------
TOTAL CONVERTIBLE BONDS
(Cost $320,949,811) 320,085,286
===============
SYNTHETIC CONVERTIBLE SECURITIES (7.0 % )
CORPORATE BONDS (5.9%)
CONSUMER DISCRETIONARY (1.5%)
648,000 Asbury Automotive Group, Inc.
8.000%, 03/15/14 599,400
1,036,000 Aztar Corp.+
7.875%, 06/15/14 1,072,260
1,470,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 1,508,587
648,000 Boyd Gaming Corp.
7.750%, 12/15/12 677,160
1,101,000 GBP EMI Group, PLC
9.750%, 05/20/08 2,110,712
2,590,000 Goodyear Tire & Rubber Company+
7.860%, 08/15/11 2,486,400
363,000 GSC Holdings Corp. (Gamestop, Inc.)*+
8.000%, 10/01/12 354,833
1,166,000 Hovnanian Enterprises, Inc.+
7.750%, 05/15/13 1,160,170
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments ANNUAL REPORT 7
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
----------- ---------------
$ 907,000 IMAX Corp.+
9.625%, 12/01/10 $ 975,025
1,230,000 Intrawest Corp.
7.500%, 10/15/13 1,257,675
985,000 Jarden Corp.
9.750%, 05/01/12 999,775
420,000 Kellwood Company
7.625%, 10/15/17 377,244
971,000 Landry's Restaurants, Inc.+
7.500%, 12/15/14 898,175
Mandalay Resort Group+
2,790,000 10.250%, 08/01/07 2,985,300
842,000 7.625%, 07/15/13 869,365
1,684,000 Meritage Corp.
7.000%, 05/01/14 1,557,700
777,000 NCL Holding, ASA*
10.625%, 07/15/14 802,252
648,000 Oxford Industries, Inc.
8.875%, 06/01/11 667,440
Pinnacle Entertainment, Inc.+
1,166,000 8.250%, 03/15/12 1,163,085
666,000 8.750%, 10/01/13 685,147
1,297,000 Reader's Digest Association,
Inc.+
6.500%, 03/01/11 1,301,864
842,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 739,935
1,295,0 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 1,175,927
1,684,000 Royal Caribbean Cruises, Ltd.+
7.500%, 10/15/27 1,747,150
648,000 Speedway Motorsports, Inc.
6.750%, 06/01/13 665,820
1,943,000 Standard Pacific Corp.
9.250%, 04/15/12 2,011,005
648,000 Vail Resorts, Inc.
6.750%, 02/15/14 648,000
Warner Music Group
2,396,000 7.375%, 04/15/14 2,348,080
324,000 GBP 8.125%, 04/15/14 592,118
---------------
34,437,604
---------------
CONSUMER STAPLES (0.5%)
1,101,000 Central Garden & Pet Company+
9.125%, 02/01/13 1,161,555
1,910,000 Chiquita Brands International,
Inc.+
7.500%, 11/01/14 1,809,725
1,489,000 Del Monte Foods Company
8.625%, 12/15/12 1,593,230
2,202,000 Jean Coutu Group, Inc.+
8.500%, 08/01/14 2,053,365
1,425,000 NBTY, Inc.*+
7.125%, 10/01/15 1,396,500
816,000 Revlon, Inc.+
9.500%, 04/01/11 769,080
Spectrum Brands, Inc.+
1,813,000 7.375%, 02/01/15 1,575,044
777,000 8.500%, 10/01/13 707,070
609,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 663,810
---------------
11,729,379
---------------
ENERGY (0.8%)
1,554,000 Arch Western Finance, LLC+
6.750%, 07/01/13 1,569,540
Chesapeake Energy Corp.
907,000 6.875%, 01/15/16+ 922,873
518,000 7.500%, 06/15/14 551,670
518,000 Comstock Resources, Inc.
6.875%, 03/01/12 514,115
1,917,000 Giant Industries, Inc.+
8.000%, 05/15/14 1,993,680
648,000 Houston Exploration Company
7.000%, 06/15/13 652,860
648,000 KCS Energy, Inc.
7.125%, 04/01/12 664,200
130,000 Lone Star Technologies, Inc.
9.000%, 06/01/11 137,800
Petroleo Brasileiro, SA
2,137,000 9.125%, 07/02/13 2,446,865
2,007,000 8.375%, 12/10/18 2,217,735
259,000 Premcor Refining Group, Inc.
7.500%, 06/15/15 277,130
1,467,000 Swift Energy Company+
9.375%, 05/01/12 1,577,025
978,000 Whiting Petroleum Corp.
7.250%, 05/01/12 990,225
2,590,000 Williams Companies, Inc.
7.750%, 06/15/31 2,748,637
---------------
17,264,355
---------------
FINANCIALS (0.5%)
5,180,000 Dow Jones TRAC-X North
America High Yield Series 5
December 2010 Trust 3*+
8.250%, 12/29/10 5,115,250
E*TRADE Financial Corporation*
2,507,000 7.375%, 09/15/13+ 2,481,930
440,000 8.000%, 06/15/11 448,800
1,943,000 Leucadia National Corp.
7.000%, 08/15/13 1,962,430
1,360,000 Senior Housing Properties Trust
8.625%, 01/15/12 1,502,800
---------------
11,511,210
---------------
HEALTH CARE (0.6%)
285,000 Alpharma, Inc.
8.625%, 05/01/11 306,375
648,000 Ameripath, Inc.
10.500%, 04/01/13 677,160
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
8 ANNUAL REPORT Schedule of Investments
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
----------- -------------------
$ 473,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 $ 501,099
1,813,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 1,994,300
1,278,000 MedCath Corp.
9.875%, 07/15/12 1,361,070
907,000 Psychiatric Solutions, Inc.+
7.750%, 07/15/15 938,745
648,000 Quintiles Transnational Corp.
10.000%, 10/01/13 718,470
2,461,000 Service Corp. International
6.750%, 04/01/16 2,430,238
2,292,000 Tenet Healthcare Corp.*+
9.250%, 02/01/15 2,183,130
842,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 825,160
1,748,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 1,831,030
-----------------
13,766,777
-----------------
INDUSTRIALS (0.6%)
712,000 Accuride Corp.
8.500%, 02/01/15 676,400
861,000 American Airlines, Inc.+
7.250%, 02/05/09 813,645
389,000 Armor Holdings, Inc.+
8.250%, 08/15/13 422,065
2,137,000 CNH Global, NV
9.250%, 08/01/11 2,259,877
453,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 457,530
1,748,000 Cummins, Inc.+
9.500%, 12/01/10 1,874,730
648,000 Gardner Denver, Inc.*
8.000%, 05/01/13 677,160
1,230,000 General Cable Corp.+
9.500%, 11/15/10 1,303,800
648,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 669,060
486,000 Manitowoc Company, Inc.
10.500%, 08/01/12 546,750
648,000 Monitronics International, Inc.
11.750%, 09/01/10 640,710
777,000 Navistar International Corp.+
7.500%, 06/15/11 742,035
389,000 Orbital Sciences Corp.
9.000%, 07/15/11 423,038
648,000 Sequa Corp.
8.875%, 04/01/08 667,440
648,000 Wesco Distribution Inc.*+
7.500%, 10/15/17 650,430
-----------------
12,824,670
-----------------
INFORMATION TECHNOLOGY (0.5%)
3,108,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 3,123,540
1,101,000 Celestica, Inc.+
7.875%, 07/01/11 1,095,495
648,000 Freescale Semiconductor, Inc.
7.125%, 07/15/14 682,830
Lucent Technologies, Inc.
1,645,000 6.500%, 01/15/28 1,406,475
845,000 6.450%, 03/15/29+ 726,700
648,000 Stratus Technologies, Inc.
10.375%, 12/01/08 657,720
1,360,000 SunGard Data Systems Inc.*+
9.125%, 08/15/13 1,387,200
1,943,000 Telcordia Technologies*
10.000%, 03/15/13 1,719,555
-----------------
10,799,515
-----------------
MATERIALS (0.5%)
Aleris International, Inc.
1,619,000 10.375%, 10/15/10 1,776,852
259,000 9.000%, 11/15/14 265,475
389,000 Century Aluminum Company+
7.500%, 08/15/14 386,083
2,037,000 Freeport-McMoRan Copper & Gold, Inc.+
10.125%, 02/01/10 2,250,885
1,230,000 Georgia-Pacific Corp.+
7.375%, 12/01/25 1,228,462
1,295,000 IPSCO, Inc.
8.750%, 06/01/13 1,437,450
Steel Dynamics, Inc.
712,000 9.500%, 03/15/09 754,720
1,036,000 U.S. Concrete, Inc.+
8.375%, 04/01/14 1,039,885
Union Carbide Corp.
1,418,000 7.875%, 04/01/23+ 1,533,054
1,120,000 7.500%, 06/01/25 1,177,970
-----------------
11,850,836
-----------------
TELECOMMUNICATION SERVICES (0.3%)
Alamosa Holdings, Inc.
1,684,000 8.500%, 01/31/12 1,755,570
648,000 11.000%, 07/31/10 720,900
2,849,000 AT&T Corp.
9.750%, 11/15/31 3,482,902
583,000 IPCS Escrow Company
11.500%, 05/01/12 655,875
259,000 Syniverse Technologies, Inc.*
7.750%, 08/15/13 262,238
-----------------
6,877,485
-----------------
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments ANNUAL REPORT 9
Schedule of Investments
OCTOBER 31, 2005
PRINCIPAL
AMOUNT VALUE
------------------------ -------------
UTILITIES (0.1%)
$ 1,554,000 Edison International+
7.730%, 06/15/09 $ 1,620,045
-------------
TOTAL CORPORATE BONDS 132,681,876
=============
NUMBER OF
CONTRACTS VALUE
------------------------ -----------
OPTIONS (1.1%)
CONSUMER DISCRETIONARY (0.4%)
1,600 eBay, Inc.#
Call, 01/20/07, Strike 42.50 896,000
7,450 Home Depot, Inc.#
Call, 01/20/07, Strike 40.00 4,246,500
6,000 YUM! Brands, Inc.#
Call, 01/20/07, Strike 50.00 4,170,000
-----------
9,312,500
-----------
CONSUMER STAPLES (0.2%)
3,000 Altria Group, Inc.#
Call, 01/20/07, Strike 65.00 4,095,000
ENERGY (0.2%)
750 Amerada Hess Corp.#
Call, 01/20/07, Strike 100.00 2,655,000
3,800 Chevrontexaco Corp.#
Call, 01/20/07, Strike 60.00 1,900,000
-----------
4,555,000
-----------
FINANCIALS (0.1%)
1,500 Allstate Corp.#
Call, 01/20/07, Strike 55.00 675,000
-----------
INFORMATION TECHNOLOGY (0.2%)
2,850 Apple Computer, Inc.#
Call, 01/19/08, Strike 55.00 4,773,750
-----------
TOTAL OPTIONS 23,411,250
-----------
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES
(Cost $154,382,801) 156,093,126
===========
NUMBER OF
SHARES VALUE
------------------------ -----------
CONVERTIBLE PREFERRED STOCKS (23.3%)
CONSUMER DISCRETIONARY (3.8%)
2,652,400 Ford Motor Company Capital Trust II
6.500% 84,585,036
-----------
CONSUMER STAPLES (1.6%)
1,500,000 Albertson's, Inc.
7.250% 36,300,000
-----------
ENERGY (1.9%)
110,000 Amerada Hess Corp.
7.000% 11,721,600
210,700 Chesapeake Energy Corp.*
5.000% 30,656,850
-----------
42,378,450
-----------
FINANCIALS (11.2%)
1,325,000 Chubb Corp.
7.000% 44,559,750
27,600,000 Fortis, NV (Assurant)*
7.750% 30,601,500
650,000 Genworth Financial, Inc.
6.000% 22,769,500
515,000 Hartford Financial Services Group, Inc.
7.000% 36,863,700
725,000 Lazard Ltd.
6.625% 18,480,250
1,250,000 Lehman Brothers Holdings, Inc.
6.250% 32,662,500
460,000 Merrill Lynch & Company, Inc.
6.750% 17,652,500
675,000 Metlife, Inc.
6.375% 18,461,250
470,000 National Australia Bank, Ltd.
7.875% 19,110,200
35,000 State Street Corp.
13.500% 8,540,000
-----------
249,701,150
-----------
HEALTH CARE (3.1%)
635,000 Baxter International, Inc.
3.500% 34,397,950
639,000 Schering-Plough Corp.
6.000% 33,688,080
-----------
68,086,030
-----------
INDUSTRIALS (0.8%)
6,500,000 GBP BAE Systems, PLC
7.750% 18,958,989
UTILITIES (0.9%)
Southern Union Company
200,000 5.000% 9,890,000
150,000 2.875% 10,744,500
-----------
20,634,500
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $510,111,821) 520,644,155
===========
NUMBER OF
SHARES VALUE
------------------------ -----------
COMMON STOCKS (60.6%)
CONSUMER DISCRETIONARY (3.0%)
227,706 Federated Department Stores, Inc.+ <> 13,974,317
577,000 General Motors Corp.+ 15,809,800
500,000 SEK Hennes & Mauritz, AB 16,225,987
490,000 Maytag Corp.+ 8,437,800
300,000 Reader's Digest Association, Inc. 4,596,000
375,000 Tupperware Corporation+ 8,598,750
-----------
67,642,654
-----------
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
10 ANNUAL REPORT Schedule of Investments
Schedule of Investments
OCTOBER 31, 2005
NUMBER OF
SHARES VALUE
-------------- --------------
CONSUMER STAPLES (4.0%)
320,000 Altria Group, Inc.+ $ 24,016,000
700,000 Conagra Foods, Inc. 16,289,000
420,000 Reynolds American, Inc.+ 35,700,000
696,200 Sara Lee Corp.+ 12,427,170
--------------
88,432,170
--------------
ENERGY (9.6%)
1,040,000 Chevrontexaco Corp. 59,352,800
732,000 ConocoPhillips 47,858,160
455,000 Kerr-Mcgee Corp.+ 38,693,200
325,000 Marathon Oil Corporation 19,552,000
360,000 EUR OMV, AG 19,424,089
395,000 PetroChina Company, Ltd.+ 30,308,350
--------------
215,188,599
--------------
FINANCIALS (12.9%)
980,000 Bank of America Corp.+ 42,865,200
1,372,000 Citigroup, Inc. 62,810,160
477,000 Federal National Mortgage Association 22,667,040
568,700 General Growth Properties, Inc.+ 24,158,376
176,000 Jefferson-Pilot Corp. 9,658,880
559,600 Mills Corp.+ 29,938,600
2,428,000 Washington Mutual, Inc. 96,148,800
--------------
288,247,056
--------------
HEALTH CARE (11.2%)
4,146,000 Bristol-Myers Squibb Company+ 87,770,820
1,300,000 Johnson & Johnson 81,406,000
1,755,000 Merck & Company, Inc.+ 49,526,100
1,407,000 Pfizer, Inc. 30,588,180
--------------
249,291,100
--------------
INDUSTRIALS (6.5%)
630,000 Caterpillar, Inc.+ 33,131,700
819,000 General Electric Company 27,772,290
450,000 Masco Corp.+ 12,825,000
350,000 R.R. Donnelley & Sons Company+ 12,257,000
870,000 Raytheon Company+ 32,146,500
920,000 Waste Management, Inc. 27,149,200
--------------
145,281,690
--------------
INFORMATION TECHNOLOGY (3.3%)
1,382,000 Intel Corp. 32,477,000
650,000 Microsoft Corp. 16,705,000
1,500,000 Nokia Corp.+ 25,230,000
--------------
74,412,000
--------------
MATERIALS (1.0%)
400,000 Lubrizol Corp. 16,636,000
270,000 RPM International, Inc.+ 5,027,400
--------------
21,663,400
--------------
TELECOMMUNICATION SERVICES (8.7%)
900,000 CAD BCE Inc. 22,219,964
1,185,000 Bellsouth Corp.+ 30,833,700
3,071,000 SBC Communications, Inc.+ 73,243,350
1,465,000 Sprint Nextel Corp.+ 34,149,150
1,039,000 Verizon Communications, Inc. 32,738,890
--------------
193,185,054
--------------
UTILITIES (0.4%)
500,000 Teco Energy, Inc. 8,650,000
--------------
TOTAL COMMON STOCKS
(Cost $1,361,135,721) 1,351,993,723
==============
NUMBER OF
SHARES VALUE
------------ --------------
SHORT-TERM INVESTMENTS (1.3 % )
$ 17,972,000 Citigroup, Inc.
3.940%, 11/01/05 17,972,000
10,000,000 UBS Finance, Inc.
3.940%, 11/01/05 10,000,000
--------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $27,972,000) 27,972,000
==============
NUMBER OF
SHARES VALUE
------------ --------------
INVESTMENT OF CASH COLLATERAL
FOR SECURITIES ON LOAN (24.5 % )
547,802,375 Bank of New York Institutional
Cash Reserve Fund
current rate 4.023%
(Cost $547,802,375) 547,802,375
--------------
TOTAL INVESTMENTS (171.0 % )
(Cost $3,816,348,223) 3,816,328,216
==============
NUMBER OF
CONTRACTS VALUE
--------- ----------------
WRITTEN OPTIONS (-0.1 % )
CONSUMER DISCRETIONARY (-0.1%)
1,100 Federated Department Stores, Inc.
Call, 01/21/06, Strike 70.00 (96,250)
1,000 Lions Gate Entertainment Corp.
Call, 12/17/05, Strike 10.00 (40,000)
================
TOTAL WRITTEN OPTIONS
(Premium $387,677) (136,250)
================
PAYABLE UPON RETURN OF SECURITIES
ON LOAN (-24.6%) (547,802,375)
----------------
OTHER ASSETS, LESS LIABILITIES (2.1%) 43,622,227
----------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING
DIVIDENDS PAYABLE (-48.4%) (1,080,663,766)
----------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0 % ) $ 2,231,348,052
================
See accompanying Notes to Schedule of Investments.
Strategic Total Return Fund
Schedule of Investments ANNUAL REPORT 11
Schedule of Investments
OCTOBER 31, 2005
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market 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.
* 144A securities are those that are exempt from registration under Rule
144A of the Securities Act of 1933, as amended. These securities are
generally issued to qualified institutional buyers ("QIBs"), such as the
Fund. Any resale of these securities generally must be effected through a
sale that is exempt from registration (e.g. a sale to another QIB), or
the security must be registered for public sale. At October 31, 2005, the
market value of 144A securities that could not be exchanged to the
registered form is $188,850,775 or 8.5% of net assets applicable to
common shareholders of the Fund.
+ 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
October 31, 2005.
<> Security position is held in a segregated account as collateral for
written options aggregating to a total market value of $8,110,150.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
EUR European Monetary Unit
GBP British Pound Sterling
SEK Swedish Krona
See accompanying Notes to Financial Statements.
Strategic Total Return Fund
12 ANNUAL REPORT Schedule of Investments
Statement of Assets and Liabilities
OCTOBER 31, 2005
ASSETS
Investments, at value* (cost $3,816,348,223) $3,816,328,216
Cash with custodian (interest bearing) 3,471
Restricted cash for open options (interest bearing) 150,000
Foreign currency (cost $290,390) 290,390
Unrealized appreciation on interest rate swaps 16,293,318
Accrued interest and dividends receivable 33,710,986
Prepaid expenses 64,814
Other assets 18,793
--------------
Total assets 3,866,859,988
--------------
LIABILITIES
Options written, at value (premium $387,677) 136,250
Payable upon return of securities loaned 547,802,375
Payable for income distribution 3,767,521
Payable to investment advisor 2,819,894
Payable to financial accountant 32,064
Payable for deferred compensation to Trustees 18,793
Other accounts payable and accrued liabilities 271,273
--------------
Total liabilities 554,848,170
--------------
PREFERRED SHARES
$25,000 liquidation value per share applicable to 43,200 shares,
including dividends payable 1,080,663,766
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 2,231,348,052
==============
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) 9,123,770
Accumulated net realized gain (loss) on investments, options, foreign
currency transactions and interest rate swaps 4,966,480
Net unrealized appreciation (depreciation) on investments, options,
foreign currency translation and interest rate swaps 16,523,943
--------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $2,231,348,052
==============
Net asset value per common share based on 154,514,000 shares issued
and outstanding $ 14.44
==============
---------
* Includes $536,098,533 of securities loaned, at value.
See accompanying Notes to Financial Statements.
Strategic Total Return Fund
Statement of Assets and Liabilities ANNUAL REPORT 13
Statement of Operations
YEAR ENDED OCTOBER 31, 2005
INVESTMENT INCOME
Interest $ 99,618,268
Dividends (net of foreign taxes withheld of $309,782) 80,004,908
Securities lending income 2,637,068
---------------
Total investment income 182,260,244
---------------
EXPENSES
Investment advisory fees 33,816,296
Financial accounting fees 384,123
Auction agent and rating agency fees 2,767,200
Accounting fees 469,774
Printing and mailing fees 345,138
Audit and legal fees 244,078
Custodian fees 184,715
Registration fees 134,805
Trustees' fees 41,510
Transfer agent fees 34,457
Other 85,742
---------------
Total expenses 38,507,838
---------------
NET INVESTMENT INCOME (LOSS) 143,752,406
===============
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, WRITTEN OPTIONS,
FOREIGN CURRENCY AND INTEREST RATE SWAPS
NET REALIZED GAIN (LOSS) FROM:
Investments 71,184,566
Written options 286,065
Foreign currency transactions (445,506)
Interest rate swaps (7,416,974)
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments (17,002,524)
Written options (13,971)
Foreign currency translation (55,244)
Interest rate swaps 26,743,346
---------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS,
WRITTEN OPTIONS, FOREIGN CURRENCY AND INTEREST RATE SWAPS 73,279,758
===============
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 217,032,164
===============
DIVIDENDS TO PREFERRED SHAREHOLDERS FROM
Net investment income (32,330,741)
---------------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS RESULTING FROM OPERATIONS $ 184,701,423
===============
See accompanying Notes to Financial Statements.
Strategic Total Return Fund
14 ANNUAL REPORT Statement of Operations
Statement of Changes in Net Assets
Year Ended October 31,
2005 2004*
-------------- ---------------
OPERATIONS
Net investment income (loss) $ 143,752,406 $ 79,377,024
Net realized gain (loss) from investments, written options, foreign
currency transactions and interest rate swaps 63,608,151 (21,276,962)
Change in net unrealized appreciation/depreciation on investments, written
options, foreign currency translation and interest rate swaps 9,671,607 6,852,336
Dividends to preferred shareholders from
Net investment income (32,330,741) (8,528,292)
-------------- ---------------
Net increase (decrease) in net assets applicable to common shareholders
resulting from operations 184,701,423 56,424,106
-------------- ---------------
DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM
Net investment income (108,979,250) (57,942,750)
Capital gains (43,603,336) --
-------------- ---------------
Net (decrease) in net assets from distributions to common shareholders (152,582,586) (57,942,750)
-------------- ---------------
CAPITAL STOCK TRANSACTIONS
Proceeds from initial offering -- 2,213,412,630
Offering costs on common shares -- (1,329,771)
Offering costs on preferred shares -- (11,335,000)
Net increase (decrease) in net assets from capital stock transactions -- 2,200,747,859
-------------- ---------------
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 32,118,837 2,199,229,215
-------------- ---------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS
Beginning of period 2,199,229,215 --
-------------- ---------------
End of period $2,231,348,052 $ 2,199,229,215
============== ===============
Undistributed net investment income (loss) $ 9,123,770 $ 6,048,858
-------
* The Fund commenced operations on March 26, 2004.
See accompanying Notes to Financial Statements.
Strategic Total Return Fund
Statement of Changes in Net Assets ANNUAL REPORT 15
Notes to Financial Statements
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 the fair value of the security, the
security is priced 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 Funds' may also
use fair value pricing if the value of a security it holds is, pursuant to Board
of Trustees' guidelines, materially affected by events occurring before the
Funds' 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 Funds' 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
Strategic Total Return Fund
16 ANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements
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
selected by the advisor from rates quoted by any major bank or dealer in the
particular currency market, as reported by a recognized quotation dissemination
service.
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, foreign currency gains or losses realized between the trade
and settlement dates on securities transactions, and the difference between the
amounts of dividends, interest and foreign withholding taxes recorded on the
Fund's books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized foreign currency appreciation
and depreciation 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 among others, 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 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 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.
INCOME TAXES. No provision has been made for income taxes because the Fund's
policy is to qualify as a regulated investment company under Subchapter M of the
Internal Revenue Code and distribute to shareholders substantially all of its
taxable income and 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.
Strategic Total Return Fund
Notes to Financial Statements ANNUAL REPORT 17
Notes to Financial Statements
Effective April 1, 2005, the Fund adopted a level rate monthly distribution to
common shareholders, which may be modified by the Board of Trustees from time to
time. Monthly distributions may include net investment income, net realized
short-term capital gains and, if necessary, return of capital. In addition,
distributions may include net realized long-term capital gains to the extent
permitted by the 1940 Act.
In order to make these monthly distributions, the Fund might have to sell a
portion of its investment portfolio at a time when independent investment
judgment might not dictate such action. Also, for purposes of maintaining level
rate distributions 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 level rate distributions may increase transaction and tax costs
associated with the Fund.
INDEMNIFICATIONS. Under the Fund's organizational documents, its Officers and
Trustees are indemnified against certain liabilities arising out of the
performance of their duties to 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 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
the compensation paid to the Chief Compliance Officer of the Trust. This
compensation is reported as part of "Other" 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.
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 a participating
trustee's deferred compensation account at any time is equal to what would be
the value if the amounts credited to the account had instead been invested in
shares of one or more of the Funds of the Calamos Investment Trust as designated
by the trustee. Thus, 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. If a participating trustee
retires, the trustee may elect to receive payments under the plan in a lump sum
or in
Strategic Total Return Fund
18 ANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements
equal installments over a period of five years. If a participating trustee dies,
any amount payable under the Plan will be paid to the trustee's beneficiaries.
Deferred compensation investments of $18,793 are included in "Other assets" on
the Statement of Assets and Liabilities at October 31, 2005. 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 October 31, 2005.
NOTE 3 - INVESTMENTS
Purchases and sales of investments, other than short-term obligations, for the
year ended October 31, 2005 were as follows:
Purchases $ 2,356,158,553
Proceeds from sales 2,408,437,660
The following information is presented on an income tax basis as of October 31,
2005. Differences between amounts for financial statements and Federal income
tax purposes are primarily due to timing differences.
The cost basis of investments for federal income tax purposes at October 31,
2005 was as follows:
Cost basis of investments $ 3,826,167,866
---------------
Gross unrealized appreciation 200,554,378
Gross unrealized depreciation (210,394,028)
---------------
Net unrealized appreciation (depreciation) $ (9,839,650)
---------------
NOTE 4 - INCOME TAXES
For the year ended October 31, 2005, the Fund recorded the following permanent
reclassifications to reflect tax character. Results of operations and net assets
were not affected by these reclassifications.
Paid-in capital $ --
Undistributed net investment income (loss) 632,497
Accumulated net realized gain (loss) on investments, options, foreign
currency transactions and interest rate swaps (632,497)
As of October 31, 2005, the components of net assets 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 --
Unrealized gains/(losses) 6,674,743
---------------
Total accumulated earnings/(losses) 35,081,873
Other (4,467,680)
Paid-in capital 2,200,733,859
---------------
Net assets applicable to common shareholders $ 2,231,348,052
---------------
Distributions during the fiscal years ended October 31, 2005 and October 31,
2004 were characterized for income tax purposes:
2005 2004*
------------- ------------
DISTRIBUTIONS PAID FROM:
Ordinary income $ 184,587,693 $ 62,365,389
Long-Term capital gain -- --
--------
* The Fund commenced operations on March 26, 2004.
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
Notes to Financial Statements ANNUAL REPORT 19
Notes to Financial Statements
NOTE 5 - COMMON STOCK
There are unlimited common shares of beneficial interest authorized and
154,514,000 shares outstanding at October 31, 2005. Calamos Advisors owned
15,450 of the outstanding shares at October 31, 2005. Transactions in common
shares were as follows:
FOR THE PERIOD ENDED FOR THE PERIOD ENDED
OCTOBER 31, 2005 OCTOBER 31, 2004*
-------------------- --------------------
Beginning shares 154,514,000 --
Shares sold -- 154,514,000
Shares issued through reinvestment of distributions -- --
----------- -----------
Ending shares 154,514,000 154,514,000
=========== ===========
--------
* The Fund commenced operations on March 26, 2004.
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 upon settlement of the contracts.
There were no open forward foreign currency contracts at October 31, 2005.
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 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 securities 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.
Strategic Total Return Fund
20 ANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements
NOTE 8 - OPTIONS TRANSACTIONS
The Fund may engage in options transactions and in doing so achieve similar
objectives to what it would achieve through the sale or purchase of individual
securities. Transactions in options written during the year ended October 31,
2005 were as follows:
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
--------- ----------
Options outstanding at October 31, 2004 6,900 $1,127,898
Options written 107,461 8,037,670
Options closed (72,360) (6,296,540)
Options expired (34,790) (1,615,436)
Options exercised (5,111) (865,915)
--------- ----------
Options outstanding at October 31, 2005 2,100 $ 387,677
========= ==========
NOTE 9 - PREFERRED SHARES
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.
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 1.81% to 3.96% for the year ended October 31, 2005. Under the 1940
Act, the Fund may not declare dividends or make other distributions on shares of
common stock or purchases 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 or net unrealized losses are reported as a
liability on the
Strategic Total Return Fund
Notes to Financial Statements ANNUAL REPORT 21
Notes to Financial Statements
Statement of Assets and Liabilities. The change in the value of the swaps,
including 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 October 31, 2005 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% 1month LIBOR $ 1,357,148
Citibank NA February 4, 2007 150,000 3.68% 1month LIBOR 1,804,322
Citibank NA June 4, 2007 150,000 3.61% 1month LIBOR 2,484,689
Citibank NA February 4, 2008 150,000 3.88% 1month LIBOR 2,731,238
Citibank NA June 4, 2009 200,000 4.34% 1month LIBOR 2,812,447
Citibank NA February 4, 2010 200,000 4.14% 1month LIBOR 5,103,474
---------------
$ 16,293,318
===============
NOTE 11 - SECURITIES LENDING
During the year ended October 31, 2005 the Fund lent certain of its 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 October 31, 2005, the Fund had securities valued at
$536,098,533 that were on loan to broker-dealers and banks and $547,802,375 in
cash or cash equivalent collateral.
Strategic Total Return Fund
22 ANNUAL REPORT Notes to Financial Statements
Financial Highlights
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
For the March
Year 26, 2004*
Ended through
October October
31, 2005 31, 2004
----------- -----------
Net asset value, beginning of period $ 14.23 $ 14.32(a)
Income from investment operations:
Net investment income (loss) 0.93 0.51
Net realized and unrealized gain (loss) from investments, options, foreign currency and
interest rate swaps 0.48 (0.09)
Dividends to preferred shareholders from:
Net investment income (common share equivalent basis) (0.21) (0.06)
Total from investment operations 1.20 0.36
Less dividends to common shareholders from :
Net investment income (0.71) (0.37)
Capital gains (0.28) --
Capital charge resulting from issuance of common and preferred shares -- (0.08)
Net asset value, end of period $ 14.44 $ 14.23
Market value, end of period $ 13.71 $ 13.34
Total investment return based on (b):
Net asset value 8.95% 2.10%
Market value 10.35% (8.59)%
Ratios and supplemental data:
Net assets applicable to common shareholders, end of period (000's omitted) $ 2,231,348 $ 2,199,229
Preferred shares, at redemption value ($25,000 per share liquidation preference) (000's omitted) $ 1,080,000 $ 10,080,00
Ratios to average net assets applicable to common shareholders:
Net expenses(c)(d) 1.67% 1.61%
Net investment income (loss) (c)(d) 6.25% 6.27%
Preferred share dividends(c) 1.40% 0.67%
Net investment income (loss), net of preferred share dividends (c) 4.85% 5.60%
Portfolio turnover rate 71% 11%
Average commission rate paid $ 0.0381 $ 0.0197
Asset coverage per preferred share, at end of period (e) $ 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.
See accompanying Notes to Financial Statements
Strategic Total Return Fund
Financial Highlights ANNUAL REPORT 23
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Calamos Strategic Total Return Fund
We have audited the accompanying statement of assets and liabilities, including
the schedule of investments, of Calamos Strategic Total Return Fund (the "Fund")
as of October 31, 2005, the related statement of operations for the year then
ended, and the statements of changes in net assets and the financial highlights
for the year then ended and for the period from March 26, 2004 (commencement of
operations) through October 31, 2004. These financial statements and financial
highlights are the responsibility of the Fund's management. Our responsibility
is to express an opinion on these financial statements and financial highlights
based on our audit.
We conducted our audit in accordance with the standards of the Public Company
Accounting Oversight Board (United States). Those standards require that we plan
and perform the audit to obtain reasonable assurance about whether the financial
statements and financial highlights are free of material misstatement. The Fund
is not required to have, nor were we engaged to perform, an audit of its
internal control over financial reporting. Our audit included consideration of
internal control over financial reporting as a basis for designing audit
procedures that are appropriate in the circumstances, but not for the purpose of
expressing an opinion on the effectiveness of the Fund's internal control over
financial reporting. Accordingly, we express no such opinion. An audit also
includes examining, on a test basis, evidence supporting the amounts and
disclosures in the financial statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the
overall financial statement presentation. Our procedures included confirmation
of securities owned as of October 31, 2005, by correspondence with the Fund's
custodian and brokers. We believe that our audit provides a reasonable basis for
our opinion.
In our opinion, the financial statements and financial highlights referred to
above present fairly, in all material respects, the financial position of the
Fund as of October 31, 2005, the results of its operations for the year then
ended, and the changes in its net assets and the financial highlights for the
year then ended and for the period from March 26, 2004 (commencement of
operations) through October 31, 2004, in conformity with accounting principles
generally accepted in the United States of America.
/s/ [DELOITTE & TOUCHE LLP]
Chicago Illinois
December 16, 2005
Strategic Total Return Fund
24 ANNUAL REPORT Report of Independent Registered Public Accounting Firm
Tax Information (unaudited)
We are providing this information as required by the Internal Revenue Code
(Code). The amounts shown may differ from those elsewhere in this report due to
differences between tax and financial reporting requirements. In January 2006,
shareholders will receive Form 1099-DIV which will include their share of
qualified dividends and capital gains distributed during the calendar year 2005.
Shareholders are advised to check with their tax advisors for information on the
treatment of these amounts on their individual income tax returns.
Under Section 854(b)(2) of the Code, the Fund hereby designates $57,326,514, or
the maximum amount allowable under the Code, as qualified dividends for the
fiscal year ended October 31, 2005.
Under Section 854(b)(2) of the Code, the Fund hereby designates 27.26% of the
ordinary income dividends as income qualifying for the corporate dividends
received deduction for the fiscal year ended October 31, 2005.
Strategic Total Return Fund
Tax Information ANNUAL REPORT 25
Trustee Approval of Management Agreement (unaudited)
The Board of Trustees of the Fund oversees the Fund's management and, as
required by law, determines annually whether to continue the Fund's management
agreement with Calamos Advisors under which Calamos Advisors serves as the
investment manager for the Fund.
In connection with their most recent consideration of that agreement, the
Trustees received and reviewed information provided by Calamos Advisors in
response to detailed requests of the Independent Trustees and their independent
legal counsel and discussed with representatives of Calamos Advisors' the Fund's
operations and the nature and quality of the advisory and other services
provided by Calamos Advisors to the Fund. The Trustees also received and
reviewed a memorandum from counsel to the Independent Trustees regarding the
Trustee's responsibilities in evaluating the management agreement. In the course
of their consideration of the agreement the Independent Trustees were advised by
their counsel, and in addition to meeting with management of Calamos Advisors,
they met separately in executive session with their counsel.
At a meeting on June 30, 2005, based on their evaluation of the information
referred to above and other information, the Trustees determined that the
overall arrangements between the Fund and Calamos Advisors were fair and
reasonable in light of the nature and quality of the services provided by
Calamos Advisors and its affiliates, the fees charged for those services and
other matters that the Trustees considered relevant in the exercise of their
business judgment. At that meeting the Trustees, including all of the
Independent Trustees, unanimously approved continuation of the management
agreement through August 1, 2006, subject to earlier termination as provided in
the agreement.
In considering the continuation of the management agreement, the Trustees
reviewed and analyzed various factors that they determined were relevant,
including the factors described below, none of which by itself was considered
dispositive. However, the material factors and conclusions that formed the basis
for the Trustees' determination to approve the continuation of the management
agreement are discussed separately below.
NATURE, QUALITY AND EXTENT OF SERVICES
The Trustees reviewed the nature, extent and quality of Calamos Advisors'
services to the Fund, taking into account the investment objective and strategy
of the Fund and the knowledge of the Trustees gained from their regular meetings
with management on at least a quarterly basis. In addition, the Trustees
reviewed Calamos Advisors' resources and key personnel, especially those who
provide investment management services to the Fund. The Trustees also considered
other services provided to the Fund by Calamos Advisors, such as managing the
execution of portfolio transactions and the selection of broker-dealers for
those transactions, monitoring adherence to the Fund's investment restrictions,
producing shareholder reports, providing support services for the Board and
Board committees, communicating with shareholders and overseeing the activities
of other service providers, including monitoring compliance with various Fund
policies and procedures and with applicable securities laws and regulations.
The Trustees concluded that the nature and extent of the services provided by
Calamos Advisors to the Fund were appropriate and consistent with the terms of
the management agreement, that the quality of those services had been consistent
with or superior to quality norms in the industry and that the Fund was likely
to benefit from the continued provision of those services. They also concluded
that Calamos Advisors had sufficient personnel, with the appropriate education
and experience, to serve the Fund effectively and had demonstrated its
continuing ability to attract and retain well qualified personnel.
PERFORMANCE
The Trustees considered the Fund's performance results over various time
periods. They reviewed information comparing the Fund's performance with the
performance of comparable funds and peer groups identified by Lipper Inc., an
independent provider of investment company data, and with the Fund's benchmark.
The Trustees noted that the Fund had less than three years of performance data,
and thus did not have a long-term performance record. The Trustees concluded
that given the short performance history, performance was not the most important
factor in the Trustees' evaluation of the quality of services provided by
Calamos Advisors under the management agreement.
Strategic Total Return Fund
26 ANNUAL REPORT Trustee Approval of Management Agreement
Trustee Approval of Management Agreement (unaudited)
COSTS OF SERVICES AND PROFITS REALIZED BY CALAMOS ADVISORS
The Trustees examined information on fees and expenses of the Fund in comparison
to information for other comparable funds as provided by Lipper. Also, the
Trustees reviewed information on fees and expenses for additional funds
identified by Calamos Advisors. The Trustees noted that the contractual rate of
management fees, the actual management fees after fee waivers and the overall
expense ratios for the Fund were greater than the median management fees of its
Lipper peer group.
The Trustees considered the methodology used by Calamos Advisors in determining
compensation payable to portfolio managers, the very competitive environment for
investment management talent, and the competitive market for mutual funds in
different distribution channels.
The Trustees reviewed information on the profitability of Calamos Advisors in
serving as the Fund's investment manager and of Calamos Advisors and its
affiliates in all of their relationships with the Fund, as well as an
explanation of the methodology utilized in allocating various expenses among the
Fund and other business units. The Trustees recognized that profitability
comparisons among fund managers are difficult because very little comparative
information is publicly available and profitability of any manager is affected
by numerous factors, including the organizational structure of the particular
manager, the types of funds and other accounts it manages, possible other lines
of business, the methodology for allocating expenses and the manager's capital
structure and cost of capital. However, based on the information available and
taking those factors into account, the Trustees concluded that the profitability
of Calamos Advisors regarding the Fund in relation to the services rendered was
not unreasonable.
The Trustees also reviewed Calamos Advisors' management fees for its
institutional separate accounts and for its subadvised funds (for which Calamos
Advisors provides portfolio management services only). Although in most
instances its sub-advisory, and in many instances its institutional separate
account, fees for various investment strategies are lower than the management
fees charged to the Fund, the Trustees noted that Calamos Advisors performs
significant additional services for the Fund that it does not provide to those
other clients, including oversight of the Funds' other service providers,
trustee support, regulatory compliance and numerous other services.
Finally, the Trustees considered Calamos Advisors' financial condition, which
they found to be sound.
The Trustees concluded that the management fee and other compensation payable by
the Fund to Calamos Advisors and its affiliates were reasonable in relation to
the nature and quality of the services to be provided, taking into account the
fees charged by other advisors for managing comparable mutual funds with similar
strategies and the fees Calamos Advisors charges to other clients. The Trustees
also concluded that the Fund's estimated overall expense ratios, taking into
account quality of services provided by Calamos Advisors, the Fund's investment
performance of the Funds' and the expense limitations agreed to by Calamos
Advisors, were also reasonable.
ECONOMIES OF SCALE
In reviewing the Fund's fees and expenses, the Trustees examined the potential
benefits of economies of scale, and whether any economies of scale should be
reflected in the Fund's fee structure. They noted that the Fund has had a
relatively stable asset base since commencement of operations and that there do
not appear to have been significant economies of scale realized since that time.
Strategic Total Return Fund
Trustee Approval of Management Agreement ANNUAL REPORT 27
Trustee Approval of Management Agreement (unaudited)
OTHER BENEFITS TO CALAMOS ADVISORS
The Trustees also considered benefits that accrue to Calamos Advisors and its
affiliates from their relationship with the Fund. The Trustees concluded that,
other than the services to be provided by Calamos Advisors and its affiliates
pursuant to the management agreement and the fees payable by the Fund therefor,
the Fund and Calamos Advisors may potentially benefit from their relationship
with each other in other ways. The Trustees also considered Calamos Advisors'
use of commissions to be paid by the Fund on its portfolio brokerage
transactions to obtain proprietary research products and services benefiting the
Fund and/or other clients of Calamos Advisors. The Trustees concluded that
Calamos Advisors' use of "soft" commission dollars to obtain research products
and services was consistent with regulatory requirements and is beneficial to
the Fund. They concluded that, although Calamos Advisors derives or may derive
additional benefits through the use of soft dollars from the Fund's portfolio
transactions, the Fund also benefits from the receipt of research products and
services to be acquired through commissions paid on the portfolio transactions
of other clients of Calamos Advisors. They also concluded that the Fund's
success could attract other business to Calamos Advisors or its other funds and
that Calamos Advisors' success could enhance its ability to serve the Fund.
After full consideration of the above factors as well as other factors that were
instructive in analyzing the management arrangements, the Trustees, including
all of the Independent Trustees, concluded that the continuation of the
management agreement was in the best interest of the Fund and its shareholders.
Strategic Total Return Fund
28 ANNUAL REPORT Trustee Approval of Management Agreement
Trustees & Officers (unaudited)
The management of the Trust*, including general supervision of duties performed
for the Fund under the Investment Management Agreement, is the responsibility of
its board of trustees.
The following table sets forth, as of October 31, 2005, each Trustee's
position(s) with the Trust, age, principal occupation during the past five
years, number of portfolios overseen, other directorships, and the date on which
the Trustee first became a trustee of the Trust.
POSITION(S) HELD WITH TRUST NUMBER OF PORTFOLIOS PRINCIPAL OCCUPATION(S) DURING
NAME AND AGE AT AND DATE FIRST ELECTED IN FUND COMPLEX** PAST 5 YEARS AND OTHER
OCTOBER 31, 2005 OR APPOINTED TO OFFICE OVERSEEN BY TRUSTEE DIRECTORSHIPS HELD
--------------------------- -------------------------------------- -------------------- ----------------------------------------
TRUSTEES WHO ARE INTERESTED PERSONS OF TRUST:
John P. Calamos, Sr., 65*** Trustee and President (since 2004) 14 President and CEO, Calamos Asset
Management, Inc.("CAM"), Calamos Holdings
LLC ("CHLLC"), Calamos Advisors LLC and
its predecessor ("Calamos Advisors"),
and Calamos Financial Services LLC and
its predecessor ("CFS"); Director, CAM
Nick P. Calamos, 44*** Trustee and Vice President (since 2004) 14 Senior Executive Vice President, CAM,
CHLLC, Calamos Advisors, and CFS;
Director, CAM
TRUSTEES WHO ARE NOT INTERESTED PERSONS OF TRUST:
Joe F. Hanauer, 68 Trustee (since 2004) 14 Private Investor; Director, MAF Bancorp
(banking),Chairman and Director,
Homestore.com, Inc., (Internet
provider of real estate information
and products); Director, Combined
Investments, L.P. (investment management)
Weston W. Marsh, 55 Trustee (since 2004) 14 Partner, Freeborn & Peters (law firm)
John E. Neal, 55 Trustee (since 2004) 14 Private Investor; Managing Director, Bank
One Capital Markets, Inc. (investment
banking) (June 2004); Executive Vice
President and Head of Real Estate
Department, Bank One (1998-2000);
Director, The Brickman Group, Ltd.
(landscaping company)
William R. Rybak, 54 Trustee (since 2004) 14 Private investor; formerly Executive Vice
President and CFO, Van Kampen
Investments, Inc. (investment
management) prior thereto; Director, Howe
Barnes Investments (investment services
firm); Director, Private Bancorp, Inc.
Stephen B. Timbers, 61 Trustee (since 2004) 14 Private investor; formerly Vice Chairman,
Northern Trust Corporation (bank holding
company); President and Chief Executive
Officer, Northern Trust Global
Investments, N.A. (investment management)
; formerly President, Northern Trust
Global Investments, a division
of Northern Trust Corporation,
and Executive Vice
President, The Northern Trust
Corporation; Trustee,
Northern Mutual Fund Complex+(registered
investment companies)
* The Trust is defined as the CALAMOS Strategic Total Return Fund.
** The Fund Complex consists of CALAMOS Investment Trust, CALAMOS Advisors
Trust, CALAMOS Convertible Opportunities and Income Fund, CALAMOS
Convertible and High Income Fund, CALAMOS Strategic Total Return Fund and
CALAMOS Global Total Return Fund.
*** John P. Calamos and Nick P. Calamos are Trustees who are "interested
persons" of the Trust as defined in the Investment Company Act of 1940
(the "1940 Act") because of their position with Calamos.
+ Overseeing 53 portfolios in fund complex.
Strategic Total Return Fund
Trustees & Officers ANNUAL REPORT 29
Trustees & Officers (unaudited)
OFFICERS. Messrs. John Calamos and Nick Calamos are president and vice president
of the Trust, respectively. The preceding table gives more information about
Messrs. John Calamos and Nick Calamos. The following table sets forth as of
October 31, 2005 each other officer's name, position with the Trust, age,
principal occupation during the past five years, other directorships, and the
date on which he or she first became and officer of the Trust. Each officer
serves until his or her successor is chosen and qualified or until his or her
resignation or removal by the Board of Trustees.
POSITION(S) HELD WITH TRUST AND PRINCIPAL OCCUPATION(S)
NAME AND AGE AT DATE FIRST ELECTED OR DURING PAST 5 YEARS
OCTOBER 31, 2005 APPOINTED TO OFFICE AND OTHER DIRECTORSHIPS HELD
--------------------- ------------------------------- ---------------------------------------------------------------------
Nimish S. Bhatt, 42 Treasurer (since 2004) Senior Vice President and Director of Operations, CAM, CHLLC, and
Calamos Advisors (since 2004); Senior Vice President, Alternative
Investments and Tax Services of BISYS, prior thereto
Patrick H. Dudasik, 50 Vice President (since 2004) Executive Vice President, Chief Financial Officer and Administrative
Officer, and Treasurer of CAM and CHLLC (since 2004), Calamos Advisors
and CFS (since 2001); Chief Financial Officer, David Gomez and Assoc.,
Inc. (1998-2001); and Chief Financial Officer, Scudder Kemper
Investments, Inc., prior thereto
James S. Hamman, Jr.,36 Secretary (since 2004) Executive Vice President, Secretary, and General Counsel, CAM and
CHLLC (since 2004), Calamos Advisors and CFS (since 1998)
Moses Kovalchuk, 38 Assistant Treasurer (since 2005) Vice President of Mutual Fund Operations, Calamos (since 2005); Vice
President of Fund Accounting, J.P. Morgan Chase (2002-2005); Vice
President of Fund Accounting, Deutsche Asset Management (2000-2002)
Kevin S. Woodard, 39 Assistant Secretary (since 2005) Senior Vice President and Associate General Counsel, Calamos
(since 2005) Vice President and Counsel, Fifth Third Bank (1997-2005)
Mark Mickey, 54 Chief Compliance Officer (since 2005) Chief Compliance Officer, Calamos (since 2005); Director of Risk
Assessment and Internal Audit, Calamos (2003-2005); President, Mark
Mickey Consulting (2002-2003); Executive Vice President and Head of
Compliance, ABN AMRO, Inc., prior thereto
The Fund's statement of additional information contains additional information
about the Trustees and is available free of charge upon request by calling
Calamos Investments at (800) 582-6959.
The mailing address of the Trustees and Officers is Calamos Funds; Attn:
Secretary, 2020 Calamos Court, Naperville, IL 60563-2787.
Strategic Total Return Fund
30 ANNUAL REPORT Trustees & Officers
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[CALAMOS INVESTMENTS GRAPH]
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.
On May 3, 2005, the Fund submitted a CEO annual certification to the NYSE on
which the Fund's chief executive officer certified that he was not aware, as of
that date, of any violation by the Fund of the NYSE's corporate governance
listing standards. In addition, the Fund's report to the SEC on Form N-CSR
contains certifications by the fund's principal executive officer and principal
financial officer as required by Rule 30a-2(a) under the 1940 Act, relating to,
among other things, the quality of the Fund's disclosure controls and procedures
and internal control over financial reporting.
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 and Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
(C) 2005 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.
CSQANR 1946 2005
ITEM 2. CODE OF ETHICS.
(a) The registrant has adopted a code of ethics (the "Code of Ethics") that
applies to its principal executive officer, principal financial officer,
principal accounting officer or controller, or person performing similar
functions.
(b) Not applicable.
(c) The registrant has not amended its Code of Ethics during the period covered
by the shareholder report presented in Item 1 hereto.
(d) The registrant has not granted a waiver or an implicit waiver from its Code
of Ethics during the period covered by the shareholder report presented in Item
1 hereto.
(e) Not applicable.
(f) (1) The registrant's Code of Ethics is attached as an Exhibit hereto.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrant's Board of Trustees has determined that, for the period covered
by the shareholder report presented in Item 1 hereto, it has three audit
committee financial experts serving on its audit committee, each of whom is an
independent Trustee for purpose of this N-CSR item: John E. Neal, Stephen B.
Timbers and William Rybak. Under applicable securities laws, a person who is
determined to be an audit committee financial expert will not be deemed an
"expert" for any purpose, including without limitation for the purposes of
Section 11 of the Securities Act of 1933, as a result of being designated or
identified as an audit committee financial expert. The designation or
identification of a person as an audit committee financial expert does not
impose on such person any duties, obligation, or liabilities that are greater
than the duties, obligations and liabilities imposed on such person as a member
of audit committee and Board of Trustees in the absence of such designation or
identification.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
a) Audit Fee - $34,500 and $34,717 are the aggregate fees billed in each of the
last two fiscal years for professional services rendered by the principal
accountant to the registrant for the audit of the registrant's annual financial
statements or services that are normally provided by the accountant in
connection with statutory and regulatory filings or engagements for those fiscal
years.
(b) Audit-Related Fees - $49,917 and $27,192 are the aggregate fees billed in
each of the last two fiscal years for assurance and related services rendered by
the principal accountant to the registrant that are reasonably related to the
performance of the audit of the registrant's financial statements and are not
reported under paragraph (a) of this Item 4.
There were no fees billed in each of the last two fiscal years for
assurance and related services rendered by the principal accountant to the
investment adviser that are reasonably related to the performance of the audit
of the registrant's financial statements that were required to be pre-approved
by the audit committee.
(c) Tax Fees - $4,667 and $4,850 are the aggregate fees billed in each of the
last two fiscal years for professional services rendered by the principal
accountant to the registrant for tax compliance, tax advice, tax planning and
tax return preparation.
There were no fees billed in each of the last two fiscal years for
professional services rendered by the principal accountant to the investment
adviser for tax compliance, tax advice and tax planning that were required to be
pre-approved by the audit committee as described in paragraph (e)(1) of this
Item 4.
(d) All Other Fees - $2,500 and $101,848 are the aggregate fees billed in each
of the last two fiscal years for products and services provided by the principal
accountant to the registrant, other than the services reported in paragraph
(a)-(c) of this Item 4.
There were no fees billed in each of the last two fiscal years for products
and services provided by the principal accountant to the investment adviser,
other than the services reported in paragraphs (a)-
(c) of this Item 4, that were required to be pre-approved by the audit committee
as described in paragraph (e)(1) of this Item 4.
(e) (1) Registrant's audit committee meets with the principal accountants and
management to review and pre-approve all audit services to be provided by the
principal accountants.
The audit committee shall pre-approve all non-audit services to be provided
by the principal accountants to the registrant, including the fees and other
compensation to be paid to the principal accountants; provided that the
pre-approval of non-audit services is waived if (i) the services were not
recognized by management at the time of the engagement as non-audit services,
(ii) the aggregate fees for all non-audit services provided to the registrant
are less than 5% of the total fees paid by the registrant to its principal
accountants during the fiscal year in which the non-audit services are provided,
and (iii) such services are promptly brought to the attention of the audit
committee by management and the audit committee approves them prior to the
completion of the audit.
The audit committee shall pre-approve all non-audit services to be provided
by the principal accountants to the investment adviser or any entity
controlling, controlled by or under common control with the adviser that
provides ongoing services to the registrant if the engagement relates directly
to the operations or financial reporting of the registrant, including the fees
and other compensation to be paid to the principal accountants; provided that
pre-approval of non-audit services to the adviser or an affiliate of the adviser
is not required if (i) the services were not recognized by management at the
time of the engagement as non-audit services, (ii) the aggregate fees for all
non-audit services provided to the adviser and all entities controlling,
controlled by or under common control with the adviser are less than 5% of the
total fees for non-audit services requiring pre-approval under paragraph (e)(1)
of this Item 4 paid by the registrant, the adviser or its affiliates to the
registrant's principal accountants during the fiscal year in which the non-audit
services are provided, and (iii) such services are promptly brought to the
attention of the audit committee by management and the audit committee approves
them prior to the completion of the audit.
(2) 100% of the services provided to the registrant described in paragraphs
(b)-(d) of this Item 4 were pre-approved by the audit committee pursuant to
paragraphs (e)(1) of this Item 4. There were no services provided to the
investment adviser or any entity controlling, controlled by or under common
control with the adviser described in paragraphs (b)-(d) of this Item 4 that
were required pre-approved by the audit committee.
(f) No disclosures are required by this Item 4(f).
(g) $7,167 and $106,698 are the aggregate non-audit fees billed in each of the
last two fiscal years for services rendered by the principal accountant to the
registrant. $58,000 and $31,256 are the aggregate non-audit fees billed in each
of the last two fiscal years for services rendered by the principal accountant
to the investment adviser or any entity controlling, controlled by or under
common control with the adviser.
The registrant's audit committee did approve such non-audit services.
(h) No disclosures are required by this Item 4(h).
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately-designated standing audit committee. The members
of the registrant's audit committee are John E. Neal, Joe F. Hanauer, Weston W.
Marsh, William R. Rybak and Stephen B. Timbers.
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.
The registrant has delegated the voting of proxies relating to its voting
securities to its investment adviser, Calamos Advisors LLC ("Calamos"). A
description of Proxy Voting Policies and Procedures of ("Calamos") are included
as an Exhibit hereto.
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
SHARES (OR NUMBER (OR
(b) UNITS) APPROXIMATE
AVERAGE PURCHASED AS DOLLAR VALUE) OF
(a) TOTAL PRICE PART OF SHARES (OR UNITS)
NUMBER OF PAID PER PUBLICLY THAT MAY YET BE
SHARES (OR SHARE ANNOUNCED PURCHASED UNDER
UNITS) (OR PLANS OR THE PLANS OR
PERIOD PURCHASED UNIT) PROGRAMS PROGRAMS
------ ---------- -------- ------------ -----------------
May 1 to May 31 N/A N/A N/A N/A
June 1 to June 30 N/A N/A N/A N/A
July 1 to July 31 N/A N/A N/A N/A
August 1 to August 31 N/A N/A N/A N/A
September 1 to
September 30 N/A N/A N/A N/A
October 1 to
October 31 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
(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: December 21, 2005
By: /s/ Patrick H. Dudasik
----------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: December 21, 2005
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: December 21, 2005
By: /s/ Patrick H. Dudasik
----------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: December 21, 2005