UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR/A
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-05443
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Investment Trust
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville
Illinois 60563
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors LLC
2020 Calamos Court,
Naperville, Illinois
60563
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: March 31, 2006
DATE OF REPORTING PERIOD: April 1, 2005 through September 30, 2005
Calamos International Growth Fund
Supplement to the Calamos Family of Funds Semiannual report dated September 30,
2005. Page 8 of the semiannual report is deleted and replaced with this page:
The vertical scale on the chart has been corrected.
PRIMARY OBJECTIVE: Long-term capital growth
GROWTH OF $10,000
Based on a hypothetical investment made in the Fund
A SHARES from 03/16/05 through 09/30/05
(PERFORMANCE GRAPH)
INVESTMENT VALUE TABLE
CALAMOS INTERNATIONAL GROWTH FUND - CLASS A
Instrument Inception (3/16/2005 to 9/30/2005)
Initial Investment: 10,000
Intervals: Monthly
Currency: United States dollar
Fund Number: 0645
CALAMOS INTERNATIONAL
GROWTH FUND - CLASS A
DATE LOAD EAFE EAFE GROWTH
---- --------------------- ------ -----------
03/16/2005 9,524 10,000 10,000
03/31/2005 9,295 9,693 9,699
04/30/2005 9,010 9,476 9,519
05/31/2005 9,219 9,491 9,555
06/30/2005 9,543 9,621 9,635
07/31/2005 10,133 9,916 9,929
08/31/2005 10,381 10,170 10,215
09/30/2005 10,914 10,625 10,647
A SHARES
CIGRX
INCEPTION
March 16, 2005
NOTES:
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. The graphs and table do not reflect the deduction of taxes that
you would pay on fund distributions or the redemption of fund shares.
Fund performance includes reinvestment of dividends and adjustment for the
maximum sales charge for Class A shares.
* The MSCI EAFE Growth Index measures developed market growth equity
performance (excluding the U.S. and Canada). Source: Lipper Analytical
Services.
** The MSCI EAFE Index measures developed market equity performance (excluding
the U.S. and Canada). Source: Lipper Analytical Services.
8 SEMIANNUAL REPORT Calamos International Growth Fund
ITEM 1. REPORT TO SHAREHOLDERS.
(PHOTO)
CALAMOS(R) FAMILY OF FUNDS
SEMIANNUAL REPORT SEPTEMBER 30, 2005
Calamos Growth Fund
Calamos Blue Chip Fund
Calamos Value Fund
Calamos International Growth Fund
Calamos Global Growth and Income Fund
Calamos Growth and Income Fund
Calamos High Yield Fund
Calamos Convertible Fund
Calamos Market Neutral Fund
(CALAMOS INVESTMENTS(R) LOGO)
Table of Contents
President's Letter ....................................................... 1
Calamos Growth Fund ...................................................... 2
Calamos Blue Chip Fund ................................................... 4
Calamos Value Fund ....................................................... 6
Calamos International Growth Fund ........................................ 8
Calamos Global Growth and Income Fund .................................... 10
Calamos Growth and Income Fund ........................................... 12
Calamos High Yield Fund .................................................. 14
Calamos Convertible Fund ................................................. 16
Calamos Market Neutral Fund .............................................. 18
Expense Overview ......................................................... 20
Schedule of Investments .................................................. 22
Statements of Assets and Liabilities ..................................... 52
Statements of Operations ................................................. 54
Statements of Changes In Net Assets ...................................... 56
Notes to Financial Statements ............................................ 61
Financial Highlights ..................................................... 73
Trustee Approval of Management Agreement ................................. 103
President's Letter
(JOHN P. CALAMOS, SR. PHOTO)
Dear Shareholder:
Thank you for your interest in the Calamos Family of Funds, as we welcome the
opportunity to be a part of your long-term financial plan. Inside this
semi-annual report you will find performance, sector allocation, holdings and
financial highlights for all of Calamos Investment Trust portfolios, including
the newest portfolio, the Calamos International Growth Fund.
Here at Calamos Investments, we manage all of our funds to seek solid long-term
risk-adjusted performance. One of the keys to our investment process is to
concentrate not on short-term market fluctuations, but to position our
portfolios for where we believe the market is headed, not where it has been.
Although our family of funds range from more aggressive to more conservative
investment approaches, each portfolio's holding is assessed on its potential
downside versus its upside, and then adjusted when necessary in anticipation of
our economic and market outlook. Currently, we believe that we are in the middle
phase of the economic cycle, and have strived to position each portfolio for a
period of slow, but stable growth, generally favoring higher quality,
often larger-sized companies.
We consider our communications to shareholders to be a critical part of our
customer service orientation and urge you to review the quarterly fund reviews
and market commentaries for further information regarding our outlook and
positioning. Remember that our Web site (www.calamos.com) can provide you with
market updates, current fund performance, portfolio information and more. For
example, we have recently added a tax center to assist you as tax season
approaches. The center includes fund income and capital gain distributions,
qualified dividend data, a tax calendar and a guide to tax forms. All data will
be updated for 2005 as it becomes available.
If you have any questions about your account or investment, you can contact your
financial advisor, visit us at www. calamos.com or contact a Calamos Client
Service Representative at 800.582.6959 Monday thorough Friday, 8 a.m. to 6 p.m
(Central Time). Once again, thank you for your confidence in Calamos Investments
and the Calamos Family of Funds. We look forward to being part of your long-term
investment plan in the months and years ahead.
Sincerely,
/s/ JOHN P. CALAMOS, SR.
- -------------------------------------
JOHN P. CALAMOS, SR.
Chairman, CEO and Co-CIO
CALAMOS INVESTMENT TRUST
The views expressed in this report reflect those of Calamos Advisors LLC through
September 30, 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 funds.
President's Letter SEMIANNUAL REPORT 1
Calamos Growth Fund
PRIMARY OBJECTIVE: Long-term capital growth
GROWTH OF $10,000
Based on a hypothetical
investment made in the Fund
CLASS A SHARES from 09/30/95 through 09/30/05
(PERFORMANCE GRAPH)
INVESTMENT VALUE TABLE
CALAMOS GROWTH FUND - CLASS A
Previous 10 Years (9/30/1995 to 9/30/2005)
Initial Investment: 10,000
Intervals: Monthly
Currency: United States dollar
Fund Number: 0606
CALAMOS GROWTH FUND RUSSELL MIDCAP GROWTH TOTAL S&P 500 INDEX* - DIVS
DATE LOAD RETURN REINVESTED
- ---------- ------------------- ---------------------------- ---------------------
09/30/1995 9,526 10,000 10,000
10/31/1995 9,096 9,747 9,964
11/30/1995 9,214 10,183 10,402
12/31/1995 9,392 10,188 10,602
01/31/1996 9,133 10,368 10,963
02/29/1996 9,776 10,761 11,065
03/31/1996 10,224 10,845 11,171
04/30/1996 11,581 11,369 11,336
05/31/1996 12,413 11,601 11,628
06/30/1996 11,785 11,251 11,672
07/31/1996 10,714 10,377 11,157
08/31/1996 11,518 10,938 11,392
09/30/1996 12,223 11,633 12,033
10/31/1996 12,243 11,497 12,365
11/30/1996 12,615 12,174 13,300
12/31/1996 12,953 11,969 13,036
01/31/1997 13,261 12,499 13,851
02/28/1997 12,603 12,223 13,959
03/31/1997 12,175 11,533 13,386
04/30/1997 12,553 11,815 14,185
05/31/1997 13,725 12,874 15,048
06/30/1997 14,678 13,230 15,723
07/31/1997 16,168 14,497 16,974
08/31/1997 16,699 14,355 16,023
09/30/1997 17,919 15,082 16,900
10/31/1997 17,127 14,326 16,336
11/30/1997 16,125 14,477 17,092
12/31/1997 16,090 14,667 17,386
01/31/1998 16,258 14,403 17,578
02/28/1998 17,885 15,757 18,846
03/31/1998 18,755 16,418 19,811
04/30/1998 18,661 16,641 20,010
05/31/1998 17,764 15,956 19,666
06/30/1998 19,101 16,408 20,465
07/31/1998 18,240 15,705 20,247
08/31/1998 14,370 12,707 17,320
09/30/1998 15,604 13,669 18,429
10/31/1998 16,230 14,675 19,928
11/30/1998 17,951 15,665 21,136
12/31/1998 20,484 17,287 22,354
01/31/1999 22,457 17,805 23,289
02/28/1999 20,755 16,935 22,565
03/31/1999 21,980 17,878 23,468
04/30/1999 21,971 18,692 24,377
05/31/1999 21,541 18,452 23,801
06/30/1999 24,467 19,740 25,122
07/31/1999 23,626 19,112 24,338
08/31/1999 24,383 18,913 24,217
09/30/1999 24,551 18,752 23,553
10/31/1999 26,281 20,202 25,044
11/30/1999 29,619 22,294 25,553
12/31/1999 36,400 26,154 27,058
01/31/2000 35,748 26,149 25,698
02/29/2000 50,579 31,646 25,212
03/31/2000 49,101 31,679 27,678
04/30/2000 49,519 28,604 26,846
05/31/2000 44,259 26,519 26,295
06/30/2000 51,883 29,333 26,943
07/31/2000 45,931 27,475 26,522
08/31/2000 54,197 31,619 28,169
09/30/2000 53,260 30,073 26,682
10/31/2000 49,916 28,015 26,569
11/30/2000 42,927 21,927 24,475
12/31/2000 46,078 23,081 24,594
01/31/2001 45,441 24,400 25,467
02/28/2001 43,553 20,179 23,145
03/31/2001 42,131 17,291 21,679
04/30/2001 45,191 20,174 23,363
05/31/2001 45,111 20,079 23,520
06/30/2001 44,759 20,089 22,947
07/31/2001 43,371 18,735 22,721
08/31/2001 41,506 17,377 21,299
09/30/2001 37,923 14,505 19,579
10/31/2001 39,458 16,030 19,952
11/30/2001 41,267 17,755 21,483
12/31/2001 42,541 18,430 21,671
01/31/2002 42,768 17,832 21,355
02/28/2002 41,494 16,821 20,943
03/31/2002 42,814 18,105 21,731
04/30/2002 43,325 17,146 20,413
05/31/2002 42,734 16,635 20,263
06/30/2002 40,914 14,799 18,820
07/31/2002 37,570 13,361 17,353
08/31/2002 37,923 13,315 17,466
09/30/2002 36,421 12,257 15,568
10/31/2002 37,069 13,206 16,938
11/30/2002 38,196 14,240 17,935
12/31/2002 35,784 13,379 16,882
01/31/2003 35,306 13,248 16,440
02/28/2003 34,965 13,133 16,193
03/31/2003 36,034 13,377 16,350
04/30/2003 38,127 14,288 17,697
05/31/2003 41,142 15,663 18,629
06/30/2003 41,858 15,886 18,867
07/31/2003 44,281 16,454 19,200
08/31/2003 46,590 17,360 19,574
09/30/2003 46,294 17,024 19,366
10/31/2003 50,457 18,396 20,462
11/30/2003 51,151 18,888 20,642
12/31/2003 50,935 19,094 21,724
01/31/2004 52,880 19,724 22,123
02/29/2004 53,369 20,055 22,430
03/31/2004 54,165 20,017 22,092
04/30/2004 51,128 19,452 21,745
05/31/2004 53,733 19,911 22,044
06/30/2004 55,815 20,228 22,472
07/31/2004 51,060 18,888 21,728
08/31/2004 50,127 18,655 21,816
09/30/2004 53,665 19,352 22,053
10/31/2004 54,575 20,008 22,390
11/30/2004 58,801 21,042 23,296
12/31/2004 60,433 22,050 24,088
01/31/2005 58,003 21,459 23,501
02/28/2005 58,767 22,003 23,996
03/31/2005 56,919 21,681 23,571
04/30/2005 53,509 20,823 23,124
05/31/2005 57,718 22,016 23,859
06/30/2005 57,969 22,425 23,893
07/31/2005 61,345 23,734 24,782
08/31/2005 60,752 23,589 24,556
09/30/2005 62,292 23,895 24,755
NOTES:
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. The graphs and table do not reflect the deduction of taxes that
you would pay on fund distributions or the redemption of fund shares.
Fund performance includes reinvestment of dividends and adjustment for the
maximum sales charge for Class A shares.
* The S&P 500 Index is an unmanaged index generally considered representative
of the U.S. stock market. Source: Lipper Analytical Services.
** The Russell Midcap(R) Growth Index measures the performance of those
Russell Midcap companies whose average market capitalization is
approximately $4.2 billion, with higher price-to-book ratios and higher
growth values. Source: Russell/Mellon Analytical Services LLC
MORNINGSTAR RATING(TM)
* * * *
overall out of 655
mid-cap growth funds
A SHARES
CVGRX
INCEPTION
September 4, 1990
As of 09/30/2005, Morningstar rated the Calamos Growth Fund three stars for
three years, four stars for five years, and five stars for 10 years out of 655,
464 and 166 mid-cap growth funds, respectively.
Morningstar ratings are for Class A shares; the other classes may have different
performance characteristics. For each U.S.-domiciled fund with at least a three
year history, Morningstar calculates a Morningstar Rating(TM) based on a
Morningstar risk-adjusted return measure that accounts for variation in a fund's
monthly performance (including the effects of sales charges, loads and
redemption fees), placing more emphasis on downward variations and rewarding
consistent performance. The top 10% of funds in each category receive five
stars, the next 22.5% receive four stars, the next 35% receive three stars, the
next 22.5% receive two stars and the bottom 10% receive one star. (Each share
class is counted as a fraction of one fund within this scale and rated
separately, which may cause slight variations in the distribution percentages.)
2 SEMIANNUAL REPORT Calamos Growth Fund
Calamos Growth Fund
AVERAGE ANNUAL TOTAL RETURN+
10 YEARS OR
1 YEAR 3 YEARS 5 YEARS @SINCE INCEPTION
load-adjusted load-adjusted load-adjusted load-adjusted
------------- ------------- ------------- ----------------
CLASS A SHARES - Inception 9/4/90 16.07% 10.57% 19.59% 17.66% 3.18% 2.18% 20.66% 20.07%
CLASS B SHARES - Inception 9/11/00 15.21 10.21 18.70 17.99 4.20 3.86 4.30@ 4.13@
CLASS C SHARES - Inception 9/3/96 15.19 14.19 18.70 18.70 2.71 2.71 19.87@ 19.87@
CLASS I SHARES - Inception 9/18/97 16.37 NA 19.89 NA 3.92 NA 17.68@ NA
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. Current performance may be lower or higher than the performance
quoted. The principal value and investment return of an investment will
fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost.
Performance of the Growth Fund includes the effects of an overpayment of
dividends and/or capital gains distributions to shareholders of certain share
classes of the Fund (and a corresponding capital contribution by Calamos Asset
Management, Inc., the predecessor to Calamos Advisors LLC), which increased
certain return figures.
+ Average annual total return measures net investment income and capital gain
or loss from portfolio investments as an annualized average assuming
reinvestment of dividends and capital gains distributions. Performance
shown reflects the effects of an expense reimbursement that improved
results and was in effect until March 31, 2000. Load-adjusted returns are
adjusted for the maximum front-end sales load of 4.75% for Class A shares
and returns for Class B and C shares have been adjusted for the contingent
deferred sales charge (CDSC).
MARKET CAPITALIZATION
LESS THAN $1 BIL. 0%
$1-$12 BIL. 57%
$12-$25 BIL. 18%
OVER $25 BIL. 25%
FUND SECTOR ALLOCATION
INFORMATION TECHNOLOGY 25.7%
CONSUMER DISCRETIONARY 23.1%
HEALTH CARE 18.9%
ENERGY 11.9%
INDUSTRIALS 7.3%
FINANCIALS 7.1%
TELECOMMUNICATION SERVICES 3.4%
CONSUMER STAPLES 1.4%
MATERIALS 1.2%
Sector allocations are based on total investments (excluding security lending
collateral) and may vary over time.
Calamos Growth Fund SEMIANNUAL REPORT 3
Calamos Blue Chip Fund
PRIMARY OBJECTIVE: Long-term capital growth
GROWTH OF $10,000
Based on a hypothetical
investment made in the Fund
A SHARES from 12/01/03 through 09/30/05
(PERFORMANCE GRAPH)
INVESTMENT VALUE TABLE
CALAMOS BLUE CHIP FUND - CLASS A
Instrument Inception (12/1/2003 to 9/30/2005)
Initial Investment: 10,000
Intervals: Monthly
Currency: United States dollar
Fund Number: 0641
CALAMOS BLUE CHIP FUND - CLASS A S&P 500 INDEX* - DIVS
DATE LOAD REINVESTED
- ---------- -------------------------------- ---------------------
12/01/2003 9,524 10,000
12/31/2003 9,581 10,407
01/31/2004 9,743 10,598
02/29/2004 9,905 10,745
03/31/2004 9,781 10,583
04/30/2004 9,514 10,417
05/31/2004 9,648 10,560
06/30/2004 9,848 10,765
07/31/2004 9,390 10,409
08/31/2004 9,410 10,451
09/30/2004 9,552 10,564
10/31/2004 9,705 10,726
11/30/2004 10,229 11,160
12/31/2004 10,533 11,539
01/31/2005 10,304 11,258
02/28/2005 10,590 11,495
03/31/2005 10,400 11,291
04/30/2005 10,133 11,077
05/31/2005 10,505 11,430
06/30/2005 10,533 11,446
07/31/2005 10,848 11,872
08/31/2005 10,800 11,763
09/30/2005 10,981 11,993
A SHARES
CBCAX
INCEPTION
December 1, 2003
NOTES:
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. The graphs and table do not reflect the deduction of taxes that
you would pay on fund distributions or the redemption of fund shares.
Fund performance includes reinvestment of dividends and adjustment for the
maximum sales charge for Class A shares.
* The S&P 500 Index is an unmanaged index generally considered representative
of the U.S. stock market. Index data shown is from 11/30/03, since
comparative index data is available only for full monthly periods. Source:
Lipper Analytical Services.
4 SEMIANNUAL REPORT Calamos Blue Chip Fund
Calamos Blue Chip Fund
AVERAGE ANNUAL TOTAL RETURN+
1 YEAR SINCE INCEPTION
--------------------- --------------------
load-adjusted load-adjusted
------------- -------------
CLASS A SHARES - Inception 12/1/03 14.96% 9.50% 8.08% 5.24%
CLASS B SHARES - Inception 12/1/03 14.04 9.04 7.26 5.18
CLASS C SHARES - Inception 12/1/03 14.04 13.04 7.26 7.26
CLASS I SHARES - Inception 12/1/03 15.26 NA 8.35 NA
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. Current performance may be lower or higher than the performance
quoted. The principal value and investment return of an investment will
fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost.
+ Average annual total return measures net investment income and capital gain
or loss from portfolio investments as an annualized average assuming
reinvestment of dividends and capital gains distributions. Performance
shown reflects the effects of an expense reimbursement that improved
results and was in effect until March 31, 2004. Load-adjusted returns are
adjusted for the maximum front-end sales load of 4.75% for Class A shares
and returns for Class B and C shares have been adjusted for the contingent
deferred sales charge (CDSC).
MARKET CAPITALIZATION
LESS THAN $2 BIL. 0%
$2-$12 BIL. 9%
$12-$25 BIL. 19%
OVER $25 BIL. 72%
FUND SECTOR ALLOCATION
HEALTH CARE 18.6%
FINANCIALS 17.1%
INFORMATION TECHNOLOGY 14.0%
ENERGY 12.3%
CONSUMER DISCRETIONARY 11.7%
INDUSTRIALS 11.7%
CONSUMER STAPLES 9.4%
UTILITIES 2.3%
MATERIALS 1.5%
TELECOMMUNICATION SERVICES 1.4%
Sector allocations are based on total investments (excluding security lending
collateral) and may vary over time.
Calamos Blue Chip Fund SEMIANNUAL REPORT 5
Calamos Value Fund
PRIMARY OBJECTIVE: Long-term capital growth
GROWTH OF $10,000
Based on a hypothetical investment made in the Fund
A SHARES from 01/02/02 through 09/30/05
(PERFORMANCE GRAPH)
INVESTMENT VALUE TABLE
CALAMOS VALUE FUND - CLASS A
Instrument Inception (1/2/2002 to 9/30/2005)
Initial Investment: 10,000
Intervals: Monthly
Currency: United States dollar
Fund Number: 0634
CALAMOS VALUE FUND - CLASS A
DATE LOAD RUSSELL 1000 VALUE TOTAL RETURN*
---- ---------------------------- --------------------------------
01/02/2002 9,524 10,000
01/31/2002 9,476 9,889
02/28/2002 9,219 9,905
03/31/2002 9,419 10,373
04/30/2002 9,457 10,018
05/31/2002 9,486 10,068
06/30/2002 8,695 9,490
07/31/2002 8,000 8,608
08/31/2002 8,038 8,673
09/30/2002 7,200 7,708
10/31/2002 7,486 8,279
11/30/2002 8,257 8,801
12/31/2002 7,743 8,419
01/31/2003 7,486 8,215
02/28/2003 7,276 7,996
03/31/2003 7,333 8,009
04/30/2003 7,924 8,714
05/31/2003 8,638 9,277
06/30/2003 8,886 9,393
07/31/2003 8,971 9,532
08/31/2003 9,200 9,681
09/30/2003 9,114 9,587
10/31/2003 9,743 10,173
11/30/2003 10,029 10,311
12/31/2003 10,324 10,947
01/31/2004 10,648 11,139
02/29/2004 10,971 11,378
03/31/2004 10,733 11,278
04/30/2004 10,610 11,003
05/31/2004 10,762 11,115
06/30/2004 10,952 11,378
07/31/2004 10,362 11,217
08/31/2004 10,495 11,377
09/30/2004 10,524 11,553
10/31/2004 10,800 11,745
11/30/2004 11,229 12,339
12/31/2004 11,695 12,752
01/31/2005 11,286 12,526
02/28/2005 11,581 12,941
03/31/2005 11,438 12,764
04/30/2005 11,086 12,535
05/31/2005 11,429 12,837
06/30/2005 11,657 12,977
07/31/2005 11,914 13,353
08/31/2005 11,981 13,295
09/30/2005 12,048 13,528
NOTES:
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. The graphs and table do not reflect the deduction of taxes that
you would pay on fund distributions or the redemption of fund shares.
Fund performance includes reinvestment of dividends and adjustment for the
maximum sales charge for Class A shares.
* The Russell 1000(R) Value Index measures the performance of those companies
in the Russell 1000(R) Index with lower price-to-book ratios and lower
forecasted growth values. Source: Russell/Mellon Analytical Services LLC
MORNINGSTAR RATING(TM)
* * * *
overall among 1,227 large blend funds
A SHARES
CVAAX
INCEPTION
January 2, 2002
As of 09/30/2005, Morningstar rated the Calamos Value Fund three stars for three
years out of 1,227 large blend funds.
Morningstar ratings are for Class A shares; the other classes may have different
performance characteristics. For each U.S.-domiciled fund with at least a three
year history, Morningstar calculates a Morningstar Rating(TM) based on a
Morningstar risk-adjusted return measure that accounts for variation in a fund's
monthly performance (including the effects of sales charges, loads and
redemption fees), placing more emphasis on downward variations and rewarding
consistent performance. The top 10% of funds in each category receive five
stars, the next 22.5% receive four stars, the next 35% receive three stars, the
next 22.5% receive two stars and the bottom 10% receive one star. (Each share
class is counted as a fraction of one fund within this scale and rated
separately, which may cause slight variations in the distribution percentages.)
6 SEMIANNUAL REPORT Calamos Value Fund
Calamos Value Fund
AVERAGE ANNUAL TOTAL RETURN+
1 YEAR 3 YEARS SINCE INCEPTION
--------------------- --------------------- --------------------
load-adjusted load-adjusted load-adjusted
------------- ------------- -------------
CLASS A SHARES - Inception 1/2/02 14 48% 9.05% 18.72% 16.79% 6.48% 5.10%
CLASS B SHARES - Inception 1/2/02 13.67 8.67 17.85 17.13 5.71 5.02
CLASS C SHARES - Inception 1/2/02 13.68 12.68 17.82 17.82 5.69 5.69
CLASS I SHARES - Inception 3/1/02 14.93 NA 19.02 NA 7.60 NA
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. Current performance may be lower or higher than the performance
quoted. The principal value and investment return of an investment will
fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost.
+ Average annual total return measures net investment income and capital gain
or loss from portfolio investments as an annualized average assuming
reinvestment of dividends and capital gains distributions. Performance
shown reflects the effects of an expense reimbursement that improved
results and was in effect until March 31, 2004. Load-adjusted returns are
adjusted for the maximum front-end sales load of 4.75% for Class A shares
and returns for Class B and C shares have been adjusted for the contingent
deferred sales charge (CDSC).
MARKET CAPITALIZATION
LESS THAN $1 BIL. 0%
$1-$12 BIL. 24%
$12-$25 BIL. 22%
OVER $25 BIL. 54%
FUND SECTOR ALLOCATION
CONSUMER DISCRETIONARY 28.7%
INFORMATION TECHNOLOGY 21.3%
FINANCIALS 17.9%
HEALTH CARE 12.6%
ENERGY 7.7%
CONSUMER STAPLES 5.9%
MATERIALS 3.2%
INDUSTRIALS 2.7%
Sector allocations are based on total investments (excluding security lending
collateral) and may vary over time.
Calamos Value Fund SEMIANNUAL REPORT 7
Calamos International Growth Fund
PRIMARY OBJECTIVE: Long-term capital growth
GROWTH OF $10,000
Based on a hypothetical investment made in the Fund
A SHARES from 03/16/05 through 09/30/05
(PERFORMANCE GRAPH)
INVESTMENT VALUE TABLE
CALAMOS INTERNATIONAL GROWTH FUND - CLASS A
Instrument Inception (3/16/2005 to 9/30/2005)
Initial Investment: 10,000
Intervals: Monthly
Currency: United States dollar
Fund Number: 0645
CALAMOS INTERNATIONAL
GROWTH FUND - CLASS A
DATE LOAD EAFE EAFE GROWTH
---- --------------------- ------ -----------
03/16/2005 9,524 10,000 10,000
03/31/2005 9,295 9,693 9,699
04/30/2005 9,010 9,476 9,519
05/31/2005 9,219 9,491 9,555
06/30/2005 9,543 9,621 9,635
07/31/2005 10,133 9,916 9,929
08/31/2005 10,381 10,170 10,215
09/30/2005 10,914 10,625 10,647
A SHARES
CIGRX
INCEPTION
March 16, 2005
NOTES:
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. The graphs and table do not reflect the deduction of taxes that
you would pay on fund distributions or the redemption of fund shares.
Fund performance includes reinvestment of dividends and adjustment for the
maximum sales charge for Class A shares.
* The MSCI EAFE Growth Index measures developed market growth equity
performance (excluding the U.S. and Canada). Source: Lipper Analytical
Services.
** The MSCI EAFE Index measures developed market equity performance (excluding
the U.S. and Canada). Source: Lipper Analytical Services.
8 SEMIANNUAL REPORT Calamos International Growth Fund
Calamos International Growth Fund
AVERAGE ANNUAL TOTAL RETURN+
SINCE INCEPTION
load-adjusted
---------------
CLASS A SHARES - Inception 3/16/05 14.60% 9.14%
CLASS B SHARES - Inception 3/16/05 14.10 9.10
CLASS C SHARES - Inception 3/16/05 14.10 13.10
CLASS I SHARES - Inception 3/16/05 14.70 NA
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. Current performance may be lower or higher than the performance
quoted. The principal value and investment return of an investment will
fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost.
+ Average annual total return measures net investment income and capital gain
or loss from portfolio investments as an annualized average assuming
reinvestment of dividends and capital gains distributions. Performance
shown reflects the effects of an expense reimbursement that improved
results and was in effect until March 31, 2005. Load-adjusted returns are
adjusted for the maximum front-end sales load of 4.75% for Class A shares
and returns for Class B and C shares have been adjusted for the contingent
deferred sales charge (CDSC).
COUNTRY ALLOCATION
JAPAN 16%
CANADA 15%
SWITZERLAND 8%
AUSTRALIA 7%
UNITED KINGDOM 6%
NETHERLANDS 5%
SOUTH AFRICA 5%
AUSTRIA 4%
FINLAND 4%
OTHER COMBINED 30%
FUND SECTOR ALLOCATION
CONSUMER DISCRETIONARY 17.9%
FINANCIALS 16.8%
INDUSTRIALS 14.9%
INFORMATION TECHNOLOGY 14.8%
ENERGY 11.9%
HEALTH CARE 10.8%
MATERIALS 5.3%
CONSUMER STAPLES 3.2%
UTILITIES 2.8%
TELECOMMUNICATION SERVICES 1.6%
Sector allocations are based on total investments and may vary over time.
Calamos International Growth Fund SEMIANNUAL REPORT 9
Calamos Global Growth and Income Fund
PRIMARY OBJECTIVE: High long-term total return through capital appreciation and
current income
GROWTH OF $10,000
Based on a hypothetical investment made in the Fund
A SHARES from 09/09/96 through 09/30/05
(PERFORMANCE GRAPH)
INVESTMENT VALUE TABLE
CALAMOS GLOBAL GROWTH & INCOME - CLASS A
Instrument Inception (9/9/1996 to 9/30/2005)
Initial Investment: 10,000
Intervals: Monthly
Currency: United States dollar
Fund Number: 0607
CALAMOS GLOBAL GROWTH & INCOME - CLASS A
DATE LOAD MSCI WORLD INDEX*
---- ---------------------------------------- -----------------
09/09/1996 9,524 10,000
09/30/1996 9,600 10,393
10/31/1996 9,619 10,468
11/30/1996 10,152 11,056
12/31/1996 10,040 10,881
01/31/1997 10,384 11,014
02/28/1997 10,365 11,143
03/31/1997 10,288 10,924
04/30/1997 10,613 11,283
05/31/1997 11,052 11,982
06/30/1997 11,629 12,581
07/31/1997 12,413 13,162
08/31/1997 11,746 12,284
09/30/1997 12,276 12,953
10/31/1997 11,511 12,273
11/30/1997 11,609 12,493
12/31/1997 11,882 12,647
01/31/1998 11,962 13,001
02/28/1998 12,464 13,883
03/31/1998 13,408 14,471
04/30/1998 13,388 14,615
05/31/1998 13,510 14,434
06/30/1998 13,881 14,778
07/31/1998 13,881 14,757
08/31/1998 12,169 12,791
09/30/1998 12,228 13,019
10/31/1998 12,645 14,199
11/30/1998 13,271 15,045
12/31/1998 13,556 15,783
01/31/1999 13,812 16,130
02/28/1999 13,684 15,703
03/31/1999 14,089 16,360
04/30/1999 14,665 17,007
05/31/1999 14,452 16,388
06/30/1999 15,049 17,154
07/31/1999 15,134 17,105
08/31/1999 15,284 17,077
09/30/1999 15,091 16,914
10/31/1999 15,692 17,795
11/30/1999 17,128 18,298
12/31/1999 19,958 19,782
01/31/2000 18,892 18,651
02/29/2000 20,219 18,704
03/31/2000 20,110 19,999
04/30/2000 19,588 19,156
05/31/2000 18,826 18,673
06/30/2000 19,954 19,304
07/31/2000 19,451 18,763
08/31/2000 20,543 19,376
09/30/2000 19,943 18,348
10/31/2000 19,264 18,043
11/30/2000 18,050 16,950
12/31/2000 18,788 17,226
01/31/2001 18,788 17,561
02/28/2001 18,216 16,079
03/31/2001 17,838 15,026
04/30/2001 18,390 16,140
05/31/2001 18,289 15,940
06/30/2001 17,969 15,443
07/31/2001 17,818 15,239
08/31/2001 17,516 14,511
09/30/2001 16,717 13,234
10/31/2001 16,819 13,489
11/30/2001 17,245 14,289
12/31/2001 17,473 14,380
01/31/2002 17,601 13,946
02/28/2002 17,473 13,828
03/31/2002 17,931 14,442
04/30/2002 18,191 13,957
05/31/2002 18,087 13,989
06/30/2002 17,339 13,143
07/31/2002 16,530 12,037
08/31/2002 16,660 12,062
09/30/2002 15,929 10,738
10/31/2002 16,243 11,533
11/30/2002 16,895 12,157
12/31/2002 16,530 11,570
01/31/2003 16,504 11,221
02/28/2003 16,347 11,029
03/31/2003 16,373 10,998
04/30/2003 17,261 11,981
05/31/2003 17,966 12,671
06/30/2003 18,280 12,895
07/31/2003 18,542 13,159
08/31/2003 18,960 13,447
09/30/2003 18,673 13,532
10/31/2003 19,640 14,338
11/30/2003 19,876 14,560
12/31/2003 20,268 15,477
01/31/2004 20,843 15,728
02/29/2004 21,235 15,997
03/31/2004 21,026 15,897
04/30/2004 20,582 15,581
05/31/2004 20,739 15,733
06/30/2004 21,026 16,063
07/31/2004 20,608 15,543
08/31/2004 20,477 15,618
09/30/2004 20,817 15,918
10/31/2004 20,843 16,311
11/30/2004 21,506 17,175
12/31/2004 22,029 17,836
01/31/2005 21,610 17,438
02/28/2005 22,160 17,998
03/31/2005 21,636 17,656
04/30/2005 21,035 17,284
05/31/2005 21,820 17,604
06/30/2005 22,395 17,765
07/31/2005 23,180 18,389
08/31/2005 23,572 18,536
09/30/2005 24,750 19,023
NOTES:
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. The graphs and table do not reflect the deduction of taxes that
you would pay on fund distributions or the redemption of fund shares.
Fund performance includes reinvestment of dividends and adjustment for the
maximum sales charge for Class A shares.
* The MSCI World Index is a market-capitalization weighted index composed of
companies representative of the market structure of developed market
countries in North America, Europe and the Asia/Pacific region. Index data
shown is from 8/31/96, since comparative index data is available only for
full monthly periods. Source: Lipper Analytical Services.
MORNINGSTAR RATING(TM)
***
overall among 304 world stock funds
A SHARES
CVLOX
INCEPTION
September 9, 1996
As of 09/30/2005, Morningstar rated the Calamos Global Growth and Income Fund
two stars for three years and four stars for five years out of 304 and 224 world
stock funds, respectively.
Morningstar ratings are for Class A shares; the other classes may have different
performance characteristics. For each U.S.-domiciled fund with at least a three
year history, Morningstar calculates a Morningstar Rating(TM) based on a
Morningstar risk-adjusted return measure that accounts for variation in a fund's
monthly performance (including the effects of sales charges, loads and
redemption fees), placing more emphasis on downward variations and rewarding
consistent performance. The top 10% of funds in each category receive five
stars, the next 22.5% receive four stars, the next 35% receive three stars, the
next 22.5% receive two stars and the bottom 10% receive one star. (Each share
class is counted as a fraction of one fund within this scale and rated
separately, which may cause slight variations in the distribution percentages.)
10 SEMIANNUAL REPORT Calamos Global Growth and Income Fund
Calamos Global Growth and Income Fund
AVERAGE ANNUAL TOTAL RETURN+
1 YEAR 3 YEARS 5 YEARS SINCE INCEPTION
--------------------- --------------------- -------------------- ---------------------
load-adjusted load-adjusted load-adjusted load-adjusted
------------- ------------- ------------- -------------
CLASS A SHARES - Inception 9/9/96 18.89% 13.20% 15.82% 13.98% 4.41% 3.41% 11.12% 10.52%
CLASS B SHARES - Inception 9/11/00 17.83 12.83 14.90 14.14 5.13 4.80 4.96 4.80
CLASS C SHARES - Inception 9/24/96 17.81 16.81 14.89 14.89 3.91 3.91 10.63 10.63
CLASS I SHARES - Inception 9/18/97 18.95 NA 16.12 NA 4.68 NA 9.57 NA
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. Current performance may be lower or higher than the performance
quoted. The principal value and investment return of an investment will
fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost.
Performance of the Global Growth and Income Fund includes the effects of an
overpayment of dividends and/or capital gains distributions to shareholders of
certain share classes of the Fund (and a corresponding capital contribution by
Calamos Asset Management, Inc., the predecessor to Calamos Advisors LLC), which
increased certain return figures.
+ Average annual total return measures net investment income and capital gain
or loss from portfolio investments as an annualized average assuming
reinvestment of dividends and capital gains distributions. Performance
shown reflects the effects of an expense reimbursement that improved
results and was in effect until March 31, 2004. Load-adjusted returns are
adjusted for the maximum front-end sales load of 4.75% for Class A shares
and returns for Class B and C shares have been adjusted for the contingent
deferred sales charge (CDSC).
COUNTRY ALLOCATION
UNITED STATES 29%
JAPAN 17%
SWITZERLAND 10%
UNITED KINGDOM 8%
AUSTRALIA 4%
TAIWAN 3%
AUSTRIA 3%
GERMANY 3%
FINLAND 3%
OTHER COMBINED 20%
FUND SECTOR ALLOCATION
CONSUMER DISCRETIONARY 18.8%
INFORMATION TECHNOLOGY 18.3%
HEALTH CARE 16.9%
ENERGY 13.1%
INDUSTRIALS 11.7%
FINANCIALS 10.1%
MATERIALS 4.6%
CONSUMER STAPLES 3.8%
UTILITIES 1.7%
TELECOMMUNICATION SERVICES 1.0%
Sector allocations are based on total investments (excluding security lending
collateral) and may vary over time.
Calamos Global Growth and Income Fund SEMIANNUAL REPORT 11
Calamos Growth and Income Fund
PRIMARY OBJECTIVE: High long-term total return through growth and current income
GROWTH OF $10,000
Based on a hypothetical investment made in the Fund
A SHARES from 09/30/95 through 09/30/05
(PERFORMANCE GRAPH)
INVESTMENT VALUE TABLE
CALAMOS GROWTH & INCOME - CLASS A
Previous 10 Years (9/30/1995 to 9/30/2005)
Initial Investment: 10,000
Intervals: Monthly
Currency: United States dollar
Fund Number: 0604
CALAMOS GROWTH & INCOME - CLASS A
DATE LOAD S&P 500 INDEX - DIVS REINVESTED* VALUE LINE CONVERTIBLE INDEX**
---- --------------------------------- -------------------------------- ------------------------------
09/30/1995 9,526 10,000 10,000
10/31/1995 9,500 9,964 9,828
11/30/1995 9,916 10,402 10,037
12/31/1995 10,107 10,602 10,139
01/31/1996 10,450 10,963 10,450
02/29/1996 10,573 11,065 10,610
03/31/1996 10,772 11,171 10,706
04/30/1996 10,952 11,336 10,911
05/31/1996 11,200 11,628 11,214
06/30/1996 11,161 11,672 11,084
07/31/1996 10,738 11,157 10,741
08/31/1996 11,063 11,392 11,106
09/30/1996 11,334 12,033 11,370
10/31/1996 11,577 12,365 11,472
11/30/1996 12,078 13,300 11,739
12/31/1996 12,050 13,036 11,795
01/31/1997 12,486 13,851 12,129
02/28/1997 12,338 13,959 12,110
03/31/1997 12,166 13,386 11,954
04/30/1997 12,565 14,185 12,002
05/31/1997 13,192 15,048 12,576
06/30/1997 13,656 15,723 12,915
07/31/1997 14,335 16,974 13,606
08/31/1997 14,180 16,023 13,737
09/30/1997 14,844 16,900 14,253
10/31/1997 14,259 16,336 13,953
11/30/1997 14,498 17,092 13,930
12/31/1997 14,862 17,386 13,925
01/31/1998 15,032 17,578 14,035
02/28/1998 16,035 18,846 14,527
03/31/1998 16,757 19,811 15,106
04/30/1998 16,802 20,010 15,252
05/31/1998 16,306 19,666 14,834
06/30/1998 17,011 20,465 14,626
07/31/1998 16,893 20,247 14,327
08/31/1998 15,068 17,320 12,576
09/30/1998 15,355 18,429 12,714
10/31/1998 15,637 19,928 13,037
11/30/1998 16,769 21,136 13,508
12/31/1998 17,480 22,354 13,186
01/31/1999 17,957 23,289 13,465
02/28/1999 17,285 22,565 13,220
03/31/1999 17,913 23,468 13,309
04/30/1999 18,739 24,377 14,087
05/31/1999 18,444 23,801 14,159
06/30/1999 19,688 25,122 14,436
07/31/1999 19,638 24,338 14,436
08/31/1999 19,887 24,217 14,290
09/30/1999 19,897 23,553 14,289
10/31/1999 21,005 25,044 14,506
11/30/1999 22,651 25,553 15,078
12/31/1999 26,734 27,058 15,755
01/31/2000 25,312 25,698 15,893
02/29/2000 29,074 25,212 16,538
03/31/2000 28,622 27,678 16,841
04/30/2000 27,357 26,846 15,273
05/31/2000 26,062 26,295 15,050
06/30/2000 27,863 26,943 15,923
07/31/2000 27,263 26,522 15,517
08/31/2000 30,041 28,169 16,217
09/30/2000 30,065 26,682 15,995
10/31/2000 28,960 26,569 15,096
11/30/2000 26,876 24,475 14,341
12/31/2000 28,567 24,594 14,132
01/31/2001 28,453 25,467 15,254
02/28/2001 27,393 23,145 14,872
03/31/2001 26,667 21,679 13,828
04/30/2001 27,871 23,363 14,769
05/31/2001 28,089 23,520 15,173
06/30/2001 27,768 22,947 14,984
07/31/2001 27,791 22,721 14,715
08/31/2001 27,480 21,299 14,580
09/30/2001 25,820 19,579 13,562
10/31/2001 26,470 19,952 13,770
11/30/2001 27,544 21,483 14,312
12/31/2001 27,888 21,671 14,493
01/31/2002 27,983 21,355 14,528
02/28/2002 27,569 20,943 14,108
03/31/2002 28,405 21,731 14,608
04/30/2002 28,583 20,413 14,440
05/31/2002 28,642 20,263 14,329
06/30/2002 27,654 18,820 13,566
07/31/2002 26,225 17,353 12,762
08/31/2002 26,475 17,466 12,909
09/30/2002 25,424 15,568 12,593
10/31/2002 25,950 16,938 12,870
11/30/2002 27,267 17,935 13,560
12/31/2002 26,743 16,882 13,766
01/31/2003 27,033 16,440 14,165
02/28/2003 26,876 16,193 14,171
03/31/2003 27,025 16,350 14,405
04/30/2003 28,322 17,697 15,118
05/31/2003 29,958 18,629 15,739
06/30/2003 30,199 18,867 15,951
07/31/2003 30,552 19,200 16,245
08/31/2003 31,136 19,574 16,136
09/30/2003 31,052 19,366 15,930
10/31/2003 32,735 20,462 16,336
11/30/2003 33,638 20,642 16,579
12/31/2003 34,117 21,724 17,100
01/31/2004 35,149 22,123 17,408
02/29/2004 35,432 22,430 17,533
03/31/2004 35,334 22,092 18,019
04/30/2004 33,771 21,745 17,788
05/31/2004 33,980 22,044 17,783
06/30/2004 34,730 22,472 17,996
07/31/2004 33,616 21,728 17,598
08/31/2004 33,406 21,816 17,475
09/30/2004 34,308 22,053 17,860
10/31/2004 34,457 22,390 18,044
11/30/2004 36,430 23,296 18,623
12/31/2004 37,415 24,088 19,103
01/31/2005 36,437 23,501 18,725
02/28/2005 37,315 23,996 18,849
03/31/2005 36,888 23,571 18,370
04/30/2005 35,360 23,124 17,874
05/31/2005 36,710 23,859 17,822
06/30/2005 37,491 23,893 18,640
07/31/2005 38,491 24,782 19,100
08/31/2005 38,984 24,556 19,368
09/30/2005 39,861 24,755 19,535
NOTES:
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. The graphs and table do not reflect the deduction of taxes that
you would pay on fund distributions or the redemption of fund shares.
Fund performance includes reinvestment of dividends and adjustment for the
maximum sales charge for Class A shares.
* The S&P 500 Index is an unmanaged index generally considered representative
of the U.S. stock market. Source: Lipper Analytical Services.
** The Value Line Convertible Index is an equally-weighted index of the
largest convertibles, representing 90% of the market. Source:
Russell/Mellon Analytical Services LLC.
MORNINGSTAR RATING(TM)
***
overall among 63 convertible funds
A SHARES
CVTRX
INCEPTION
September 22, 1988
As of 09/30/2005, Morningstar rated the Calamos Growth and Income Fund three
stars for three years, four stars for five years and five stars for 10 years out
of 63, 56 and 33 convertible funds, respectively.
Morningstar ratings are for Class A shares; the other classes may have different
performance characteristics. For each U.S.-domiciled fund with at least a three
year history, Morningstar calculates a Morningstar Rating(TM) based on a
Morningstar risk-adjusted return measure that accounts for variation in a fund's
monthly performance (including the effects of sales charges, loads and
redemption fees), placing more emphasis on downward variations and rewarding
consistent performance. The top 10% of funds in each category receive five
stars, the next 22.5% receive four stars, the next 35% receive three stars, the
next 22.5% receive two stars and the bottom 10% receive one star. (Each share
class is counted as a fraction of one fund within this scale and rated
separately, which may cause slight variations in the distribution percentages.)
12 SEMIANNUAL REPORT Calamos Growth and Income Fund
Calamos Growth and Income Fund
AVERAGE ANNUAL TOTAL RETURN+
10 YEARS OR
1 YEAR 3 YEARS 5 YEARS @SINCE INCEPTION
--------------------- --------------------- -------------------- ------------------------
load-adjusted load-adjusted load-adjusted load-adjusted
------------- ------------- ------------- ----------------
CLASS A SHARES - Inception 9/22/88 16.19% 10.66% 16.17% 14.30% 5.80% 4.77% 15.39% 14.83%
CLASS B SHARES - Inception 9/11/00 15.34 10.34 15.32 14.56 7.09 6.78 7.71@ 7.56@
CLASS C SHARES - Inception 8/5/96 15.37 14.37 15.31 15.31 5.34 5.34 14.65@ 14.65@
CLASS I SHARES - Inception 9/18/97 16.50 NA 16.47 NA 6.06 NA 13.61@ NA
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. Current performance may be lower or higher than the performance
quoted. The principal value and investment return of an investment will
fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost.
Performance of the Growth and Income Fund includes the effects of an overpayment
of dividends and/or capital gains distributions to shareholders of certain share
classes of the Fund (and a corresponding capital contribution by Calamos Asset
Management, Inc., the predecessor to Calamos Advisors LLC), which increased
certain return figures.
+ Average annual total return measures net investment income and capital gain
or loss from portfolio investments as an annualized average assuming
reinvestment of dividends and capital gains distributions. Load-adjusted
returns are adjusted for the maximum front-end sales load of 4.75% for
Class A shares and returns for Class B and C shares have been adjusted for
the contingent deferred sales charge (CDSC).
PORTFOLIO ASSET ALLOCATION
COMMON STOCK 35%
CONVERTIBLE 49%
CONVERTIBLE PREFERRED 12%
CORPORATE 1%
SHORT-TERM INVESTMENTS 3%
Portfolio asset allocation is based on total investments less cash collateral
for securities on loan.
FUND SECTOR ALLOCATION
INFORMATION TECHNOLOGY 19.4%
CONSUMER DISCRETIONARY 17.2%
HEALTH CARE 17.2%
ENERGY 16.1%
FINANCIALS 14.8%
INDUSTRIALS 9.1%
MATERIALS 2.6%
TELECOMMUNICATION SERVICES 2.0%
CONSUMER STAPLES 1.1%
UTILITIES 0.5%
Sector allocations are based on total investments (excluding security lending
collateral) and may vary over time.
Calamos Growth and Income Fund SEMIANNUAL REPORT 13
Calamos High Yield Fund
PRIMARY OBJECTIVE: Highest level of current income obtainable with reasonable
risk, with a secondary objective of capital gain where consistent with the
Fund's primary objective
GROWTH OF $10,000
Based on a hypothetical
investment made in the Fund
A SHARES from 08/01/99 through 09/30/05
(PERFORMANCE GRAPH)
INVESTMENT VALUE TABLE
CALAMOS HIGH YIELD - CLASS A
Intrument Inception (8/1/1999 to 9/30/2005)
Initial Investment: 10,000
Intervals: Monthly
Currency: United States dollar
Fund Number: 0608
CALAMOS HIGH YIELD - CLASS A CSFB HIGH YIELD
DATE LOAD INDEX*
- ---------- ---------------------------- ---------------
08/01/1999 9,524 10,000
08/31/1999 9,486 9,902
09/30/1999 9,524 9,832
10/31/1999 9,467 9,776
11/30/1999 9,457 9,940
12/31/1999 9,487 10,041
01/31/2000 9,458 10,006
02/29/2000 9,487 10,060
03/31/2000 9,383 9,896
04/30/2000 9,432 9,893
05/31/2000 9,472 9,737
06/30/2000 9,587 9,922
07/31/2000 9,737 10,009
08/31/2000 9,827 10,087
09/30/2000 9,809 9,976
10/31/2000 9,799 9,679
11/30/2000 9,626 9,329
12/31/2000 9,596 9,473
01/31/2001 10,321 10,030
02/28/2001 10,290 10,150
03/31/2001 10,051 9,970
04/30/2001 10,293 9,876
05/31/2001 10,409 10,071
06/30/2001 10,353 9,910
07/31/2001 10,449 10,023
08/31/2001 10,363 10,162
09/30/2001 9,947 9,518
10/31/2001 9,882 9,736
11/30/2001 10,392 10,050
12/31/2001 10,573 10,057
01/31/2002 10,794 10,151
02/28/2002 10,595 10,079
03/31/2002 10,953 10,310
04/30/2002 11,109 10,473
05/31/2002 11,154 10,437
06/30/2002 10,658 10,073
07/31/2002 9,927 9,785
08/31/2002 10,039 9,912
09/30/2002 9,816 9,789
10/31/2002 9,884 9,730
11/30/2002 10,602 10,244
12/31/2002 10,623 10,369
01/31/2003 10,878 10,651
02/28/2003 10,936 10,809
03/31/2003 11,231 11,085
04/30/2003 11,839 11,651
05/31/2003 12,062 11,819
06/30/2003 12,302 12,165
07/31/2003 12,219 12,067
08/31/2003 12,254 12,202
09/30/2003 12,488 12,535
10/31/2003 12,789 12,790
11/30/2003 12,946 12,966
12/31/2003 13,256 13,266
01/31/2004 13,465 13,523
02/29/2004 13,478 13,529
03/31/2004 13,575 13,619
04/30/2004 13,462 13,600
05/31/2004 13,187 13,386
06/30/2004 13,405 13,594
07/31/2004 13,481 13,767
08/31/2004 13,685 13,992
09/30/2004 13,928 14,204
10/31/2004 14,174 14,448
11/30/2004 14,461 14,632
12/31/2004 14,705 14,852
01/31/2005 14,584 14,849
02/28/2005 14,718 15,046
03/31/2005 14,344 14,686
04/30/2005 14,137 14,542
05/31/2005 14,355 14,720
06/30/2005 14,578 14,966
07/31/2005 14,882 15,170
08/31/2005 14,979 15,249
09/30/2005 15,025 15,115
NOTES:
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. The graphs and table do not reflect the deduction of taxes that
you would pay on fund distributions or the redemption of fund shares.
Fund performance includes reinvestment of dividends and adjustment for the
maximum sales charge for Class A shares.
* The CSFB High Yield Index is an unmanaged index of high yield debt
securities. Source: Russell/Mellon Analytical Services LLC
MORNINGSTAR RATING(TM)
* * * *
overall among 361
high yield bond funds
A SHARES
CHYDX
INCEPTION
August 1, 1999
As of 09/30/2005, Morningstar rated the Calamos High Yield Fund three stars for
three years and four stars for five years out of 361 and 297 high yield bond
funds, respectively.
Morningstar ratings are for Class A shares; the other classes may have different
performance characteristics. For each U.S.-domiciled fund with at least a three
year history, Morningstar calculates a Morningstar Rating(TM) based on a
Morningstar risk-adjusted return measure that accounts for variation in a fund's
monthly performance (including the effects of sales charges, loads and
redemption fees), placing more emphasis on downward variations and rewarding
consistent performance. The top 10% of funds in each category receive five
stars, the next 22.5% receive four stars, the next 35% receive three stars, the
next 22.5% receive two stars and the bottom 10% receive one star. (Each share
class is counted as a fraction of one fund within this scale and rated
separately, which may cause slight variations in the distribution percentages.)
14 SEMIANNUAL REPORT Calamos High Yield Fund
Calamos High Yield Fund
AVERAGE ANNUAL TOTAL RETURN+
1 YEAR 3 YEARS 5 YEARS SINCE INCEPTION
-------------------- --------------------- -------------------- ---------------------
load-adjusted load-adjusted load-adjusted load-adjusted
------------- ------------- ------------- -------------
CLASS A SHARES - Inception 8/1/99 7.88% 2.72% 15.25% 13.39% 8.90% 7.85% 7.68% 6.83%
CLASS B SHARES - Inception 12/21/00 7.10 2.11 14.37 13.61 NA NA 9.71 9.41
CLASS C SHARES - Inception 12/21/00 7.09 6.10 14.34 14.34 NA NA 9.69 9.69
CLASS I SHARES - Inception 3/1/02 8.24 NA 15.51 NA NA NA 10.30 NA
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. Current performance may be lower or higher than the performance
quoted. The principal value and investment return of an investment will
fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost.
Performance of the High Yield Fund includes the effects of an overpayment of
dividends and/or capital gains distributions to shareholders of certain share
classes of the Fund (and a corresponding capital contribution by Calamos Asset
Management, Inc., the predecessor to Calamos Advisors LLC), which increased
certain return figures.
+ Average annual total return measures net investment income and capital gain
or loss from portfolio investments as an annualized average assuming
reinvestment of dividends and capital gains distributions. Performance
shown reflects the effects of an expense reimbursement that improved
results and was in effect until March 31, 2004. Load-adjusted returns are
adjusted for the maximum front-end sales load of 4.75% for Class A shares
and returns for Class B and C shares have been adjusted for the contingent
deferred sales charge (CDSC).
QUALITY ALLOCATION
INVESTMENT GRADE 16%
BELOW INVESTMENT GRADE 75%
UNRATED SECURITIES 9%
Average credit quality percentage shown reflects the higher of the ratings of
Standard & Poor's Corporation or Moody's Investors Service, Inc. Ratings are
relative, subjective and not absolute standards of quality. Excludes equity
securities and cash.
FUND SECTOR ALLOCATION
CONSUMER DISCRETIONARY 20.0%
INDUSTRIALS 17.5%
FINANCIALS 12.4%
ENERGY 11.9%
HEALTH CARE 10.4%
INFORMATION TECHNOLOGY 9.9%
CONSUMER STAPLES 9.2%
MATERIALS 4.1%
UTILITIES 3.3%
TELECOMMUNICATION SERVICES 1.3%
Sector allocations are based on total investments (excluding security lending
collateral) and may vary over time.
Calamos High Yield Fund SEMIANNUAL REPORT 15
Calamos Convertible Fund
PRIMARY OBJECTIVE: Current income with growth as its secondary objective
GROWTH OF $10,000
Based on a hypothetical
investment made in the Fund
A SHARES from 09/30/95 through 09/30/05
(PERFORMANCE GRAPH)
INVESTMENT VALUE TABLE
CALAMOS CONVERTIBLE - CLASS A
Previous 10 years (9/30/1995 to 9/30/2005)
Initial Investment: 10,000
Intervals: Monthly
Currency: United States dollar
Fund Number: ____________
CALAMOS CONVERTIBLE - CLASS A VALUE LINE CONVERTIBLE
DATE LOAD INDEX*
- ---------- ----------------------------- ----------------------
09/30/1995 9,523 10000
10/31/1995 9,476 9828
11/30/1995 9,801 10037
12/31/1995 9,937 10139
01/31/1996 10,188 10450
02/29/1996 10,353 10610
03/31/1996 10,460 10706
04/30/1996 10,533 10911
05/31/1996 10,634 11214
06/30/1996 10,696 11084
07/31/1996 10,330 10741
08/31/1996 10,543 11106
09/30/1996 10,757 11370
10/31/1996 11,019 11472
11/30/1996 11,541 11739
12/31/1996 11,596 11795
01/31/1997 11,975 12129
02/28/1997 12,015 12110
03/31/1997 11,838 11954
04/30/1997 12,103 12002
05/31/1997 12,707 12576
06/30/1997 13,077 12915
07/31/1997 13,697 13606
08/31/1997 13,408 13737
09/30/1997 13,921 14253
10/31/1997 13,505 13953
11/30/1997 13,796 13930
12/31/1997 14,010 13925
01/31/1998 13,974 14035
02/28/1998 14,663 14527
03/31/1998 15,528 15106
04/30/1998 15,430 15252
05/31/1998 15,243 14834
06/30/1998 15,716 14626
07/31/1998 15,538 14327
08/31/1998 14,001 12576
09/30/1998 14,060 12714
10/31/1998 14,431 13037
11/30/1998 15,072 13508
12/31/1998 15,640 13186
01/31/1999 15,993 13465
02/28/1999 15,659 13220
03/31/1999 16,020 13309
04/30/1999 16,712 14087
05/31/1999 16,376 14159
06/30/1999 16,946 14436
07/31/1999 16,927 14436
08/31/1999 16,965 14290
09/30/1999 16,824 14289
10/31/1999 17,499 14506
11/30/1999 18,602 15078
12/31/1999 21,132 15755
01/31/2000 20,337 15893
02/29/2000 22,227 16538
03/31/2000 22,128 16841
04/30/2000 21,291 15273
05/31/2000 20,532 15050
06/30/2000 21,607 15923
07/31/2000 21,499 15517
08/31/2000 23,133 16217
09/30/2000 23,232 15995
10/31/2000 22,337 15096
11/30/2000 21,462 14341
12/31/2000 22,665 14132
01/31/2001 22,520 15254
02/28/2001 21,897 14872
03/31/2001 21,412 13828
04/30/2001 22,050 14769
05/31/2001 22,150 15173
06/30/2001 21,903 14984
07/31/2001 21,835 14715
08/31/2001 21,509 14580
09/30/2001 20,288 13562
10/31/2001 20,447 13770
11/30/2001 21,335 14312
12/31/2001 21,695 14493
01/31/2002 21,789 14528
02/28/2002 21,532 14108
03/31/2002 22,174 14608
04/30/2002 22,480 14440
05/31/2002 22,586 14329
06/30/2002 21,620 13566
07/31/2002 20,337 12762
08/31/2002 20,537 12909
09/30/2002 19,646 12593
10/31/2002 20,048 12870
11/30/2002 21,326 13560
12/31/2002 20,706 13766
01/31/2003 20,849 14165
02/28/2003 20,623 14171
03/31/2003 20,482 14405
04/30/2003 21,700 15118
05/31/2003 22,763 15739
06/30/2003 22,905 15951
07/31/2003 23,085 16245
08/31/2003 23,541 16136
09/30/2003 23,455 15930
10/31/2003 24,530 16336
11/30/2003 25,194 16579
12/31/2003 25,885 17100
01/31/2004 26,847 17408
02/29/2004 27,189 17533
03/31/2004 27,274 18019
04/30/2004 26,315 17788
05/31/2004 26,475 17783
06/30/2004 26,860 17996
07/31/2004 25,847 17598
08/31/2004 25,711 17475
09/30/2004 26,195 17860
10/31/2004 26,058 18044
11/30/2004 27,164 18623
12/31/2004 27,837 19103
01/31/2005 27,167 18725
02/28/2005 27,181 18849
03/31/2005 26,813 18370
04/30/2005 25,967 17874
05/31/2005 26,685 17822
06/30/2005 27,076 18640
07/31/2005 27,930 19100
08/31/2005 27,863 19368
09/30/2005 28,301 19535
NOTES:
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. The graphs and table do not reflect the deduction of taxes that
you would pay on fund distributions or the redemption of fund shares.
Fund performance includes reinvestment of dividends and adjustment for the
maximum sales charge for Class A shares.
* The Value Line Convertible Index is an equally-weighted index of the
largest convertibles, representing 90% of the U.S. convertible securities
market. Source: Russell/Mellon Analytical Services LLC.
MORNINGSTAR RATING(TM)
* * * *
overall among 63 convertible funds
A SHARES
CCVIX
INCEPTION
June 21, 1985
As of 09/30/2005, Morningstar rated the Calamos Convertible Fund two stars for
three years, four stars for five years and five stars for 10 years out of 63, 56
and 33 convertible funds, respectively.
Morningstar ratings are for Class A shares; the other classes may have different
performance characteristics. For each U.S.-domiciled fund with at least a three
year history, Morningstar calculates a Morningstar Rating(TM) based on a
Morningstar risk-adjusted return measure that accounts for variation in a fund's
monthly performance (including the effects of sales charges, loads and
redemption fees), placing more emphasis on downward variations and rewarding
consistent performance. The top 10% of funds in each category receive five
stars, the next 22.5% receive four stars, the next 35% receive three stars, the
next 22.5% receive two stars and the bottom 10% receive one star. (Each share
class is counted as a fraction of one fund within this scale and rated
separately, which may cause slight variations in the distribution percentages.)
16 SEMIANNUAL REPORT Calamos Convertible Fund
Calamos Convertible Fund
AVERAGE ANNUAL TOTAL RETURN+
10 YEARS OR
1 YEAR 3 YEARS 5 YEARS @SINCE INCEPTION
-------------------- --------------------- -------------------- ---------------------
load-adjusted load-adjusted load-adjusted load-adjusted
------------- ------------- ------------- -------------
CLASS A SHARES - Inception 6/21/85 8.04% 2.92% 12.94% 11.12% 4.02% 3.02% 11.51% 10.96%
CLASS B SHARES - Inception 9/11/00 7.25 2.25 12.09 11.29 5.46 5.13 6.02@ 5.86@
CLASS C SHARES - Inception 7/5/96 7.25 6.25 12.10 12.10 3.40 3.40 10.60@ 10.60@
CLASS I SHARES - Inception 6/25/97 8.27 NA 13.22 NA 4.25 NA 10.09@ NA
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. Current performance may be lower or higher than the performance
quoted. The principal value and investment return of an investment will
fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost.
Performance of the Convertible Fund includes the effects of an overpayment of
dividends and/or capital gains distributions to shareholders of certain share
classes of the Fund (and a corresponding capital contribution by Calamos Asset
Management, Inc., the predecessor to Calamos Advisors LLC), which increased
certain return figures.
+ Average annual total return measures net investment income and capital gain
or loss from portfolio investments as an annualized average assuming
reinvestment of dividends and capital gains distributions. Load-adjusted
returns are adjusted for the maximum front-end sales load of 4.75% for
Class A shares and returns for Class B and C shares have been adjusted for
the contingent deferred sales charge (CDSC).
QUALITY ALLOCATION
INVESTMENT GRADE 49%
BELOW INVESTMENT GRADE 26%
UNRATED SECURITIES 25%
Average credit quality percentage shown reflects the higher of the ratings of
Standard & Poor's Corporation or Moody's Investors Service, Inc. Ratings are
relative, subjective and not absolute standards of quality. Excludes equity
securities and cash.
FUND SECTOR ALLOCATION
HEALTH CARE 21.5%
FINANCIALS 20.5%
CONSUMER DISCRETIONARY 14.9%
INFORMATION TECHNOLOGY 13.9%
ENERGY 11.7%
INDUSTRIALS 9.6%
MATERIALS 4.5%
CONSUMER STAPLES 2.0%
UTILITIES 1.4%
Sector allocations are based on total investments (excluding security lending
collateral) and may vary over time.
Calamos Convertible Fund SEMIANNUAL REPORT 17
Calamos Market Neutral Fund
PRIMARY OBJECTIVE: High current income consistent with stability of principal
GROWTH OF $10,000
Based on a hypothetical investment made in the Fund
A SHARES from 09/30/95 through 09/30/05
(PERFORMANCE GRAPH)
INVESTMENT VALUE TABLE
CALAMOS MARKET NEUTRAL - CLASS A
Previous 10 Years (9/30/1995 to 9/30/2005)
Initial Investment: 10,000
Intervals: Monthly
Currency: United States dollar
Fund Number: 0605
CALAMOS MARKET NEUTRAL - CLASS A
DATE LOAD LEHMAN GOVERNMENT/CREDIT INDEX* CITIGROUP 30 DAY TREASURY BILL**
---- -------------------------------- ------------------------------- --------------------------------
09/30/1995 9,529 10,000 10,000
10/31/1995 9,529 10,147 10,044
11/30/1995 9,716 10,314 10,085
12/31/1995 9,752 10,466 10,132
01/31/1996 9,815 10,531 10,169
02/29/1996 9,985 10,308 10,207
03/31/1996 10,002 10,221 10,247
04/30/1996 10,156 10,151 10,291
05/31/1996 10,319 10,134 10,333
06/30/1996 10,156 10,269 10,375
07/31/1996 9,897 10,293 10,417
08/31/1996 10,193 10,268 10,460
09/30/1996 10,322 10,450 10,503
10/31/1996 10,396 10,694 10,547
11/30/1996 10,517 10,891 10,590
12/31/1996 10,549 10,770 10,634
01/31/1997 10,755 10,782 10,677
02/28/1997 10,745 10,805 10,717
03/31/1997 10,745 10,677 10,760
04/30/1997 10,795 10,833 10,806
05/31/1997 11,003 10,934 10,851
06/30/1997 11,222 11,065 10,888
07/31/1997 11,561 11,404 10,934
08/31/1997 11,521 11,276 10,981
09/30/1997 11,891 11,453 11,017
10/31/1997 11,830 11,637 11,062
11/30/1997 11,881 11,698 11,106
12/31/1997 12,025 11,821 11,153
01/31/1998 12,107 11,987 11,196
02/28/1998 12,228 11,963 11,237
03/31/1998 12,436 12,000 11,284
04/30/1998 12,801 12,060 11,332
05/31/1998 12,708 12,190 11,377
06/30/1998 12,719 12,314 11,418
07/31/1998 12,844 12,323 11,464
08/31/1998 12,530 12,564 11,510
09/30/1998 12,456 12,924 11,554
10/31/1998 12,625 12,832 11,584
11/30/1998 13,037 12,909 11,617
12/31/1998 13,232 12,940 11,661
01/31/1999 13,426 13,032 11,702
02/28/1999 13,244 12,723 11,741
03/31/1999 13,517 12,786 11,781
04/30/1999 13,874 12,817 11,827
05/31/1999 13,828 12,685 11,871
06/30/1999 13,903 12,646 11,913
07/31/1999 14,031 12,611 11,955
08/31/1999 14,008 12,600 12,000
09/30/1999 14,066 12,714 12,044
10/31/1999 14,242 12,747 12,089
11/30/1999 14,629 12,740 12,132
12/31/1999 15,044 12,662 12,178
01/31/2000 15,273 12,659 12,228
02/29/2000 15,685 12,818 12,279
03/31/2000 15,825 13,003 12,334
04/30/2000 15,752 12,939 12,394
05/31/2000 15,898 12,928 12,450
06/30/2000 16,395 13,192 12,497
07/31/2000 16,359 13,331 12,555
08/31/2000 16,763 13,520 12,616
09/30/2000 16,791 13,570 12,678
10/31/2000 16,692 13,655 12,740
11/30/2000 16,385 13,889 12,802
12/31/2000 16,597 14,163 12,865
01/31/2001 17,197 14,401 12,928
02/28/2001 17,184 14,549 12,976
03/31/2001 17,189 14,616 13,027
04/30/2001 17,666 14,506 13,075
05/31/2001 17,704 14,590 13,117
06/30/2001 17,607 14,660 13,153
07/31/2001 17,620 15,025 13,192
08/31/2001 17,750 15,218 13,232
09/30/2001 17,562 15,358 13,269
10/31/2001 17,823 15,748 13,295
11/30/2001 18,018 15,489 13,319
12/31/2001 18,006 15,367 13,340
01/31/2002 18,111 15,480 13,359
02/28/2002 18,138 15,612 13,376
03/31/2002 18,187 15,295 13,396
04/30/2002 18,333 15,591 13,415
05/31/2002 18,426 15,735 13,435
06/30/2002 18,452 15,869 13,454
07/31/2002 18,292 16,060 13,473
08/31/2002 18,345 16,420 13,493
09/30/2002 18,556 16,773 13,511
10/31/2002 18,691 16,613 13,530
11/30/2002 19,136 16,623 13,546
12/31/2002 19,195 17,063 13,560
01/31/2003 19,393 17,063 13,574
02/28/2003 19,448 17,367 13,586
03/31/2003 19,480 17,344 13,599
04/30/2003 19,770 17,529 13,612
05/31/2003 20,045 18,027 13,625
06/30/2003 20,074 17,955 13,638
07/31/2003 19,892 17,203 13,647
08/31/2003 19,892 17,316 13,657
09/30/2003 20,166 17,865 13,668
10/31/2003 20,534 17,638 13,678
11/30/2003 20,752 17,685 13,688
12/31/2003 20,992 17,860 13,699
01/31/2004 21,228 18,022 13,710
02/29/2004 21,287 18,242 13,719
03/31/2004 21,450 18,410 13,730
04/30/2004 21,227 17,845 13,741
05/31/2004 20,826 17,753 13,750
06/30/2004 20,922 17,826 13,761
07/31/2004 20,861 18,015 13,774
08/31/2004 21,089 18,396 13,789
09/30/2004 21,278 18,460 13,805
10/31/2004 21,400 18,620 13,822
11/30/2004 21,706 18,413 13,841
12/31/2004 22,028 18,609 13,865
01/31/2005 21,702 18,738 13,887
02/28/2005 21,702 18,615 13,908
03/31/2005 21,229 18,484 13,937
04/30/2005 20,759 18,761 13,967
05/31/2005 21,044 18,996 13,999
06/30/2005 21,252 19,120 14,031
07/31/2005 21,658 18,905 14,066
08/31/2005 21,590 19,187 14,104
09/30/2005 21,653 18,936 14,143
NOTES:
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. The graphs and table do not reflect the deduction of taxes that
you would pay on fund distributions or the redemption of fund shares.
Fund performance includes reinvestment of dividends and adjustment for the
maximum sales charge for Class A shares.
* The Lehman Brothers Government/Credit Index is comprised of long-term
government and investment-grade corporate debt securities and is generally
considered representative of the performance of the broad U.S. bond market.
Source: Lipper Analytical Services.
** The Citigroup 30 Day Treasury Bill Index is an unmanaged index generally
considered representative of the performance of short-term money
instruments. U.S. Treasury Bills are backed by the full faith and credit of
the U.S. government and offer a guarantee as to the repayment of principal
and interest at maturity. Source: Russell/Mellon Analytical Services LLC.
MORNINGSTAR RATING(TM)
***
overall among 252 conservative
allocation funds
A SHARES
CVSIX
INCEPTION
September 4, 1990
As of 09/30/2005, Morningstar rated the Calamos Market Neutral Fund two stars
for three years, four stars for five years, and four stars for 10 years out of
252, 165 and 66 conservative allocation funds, respectively.
Morningstar ratings are for Class A shares; the other classes may have different
performance characteristics. For each U.S.-domiciled fund with at least a three
year history, Morningstar calculates a Morningstar Rating(TM) based on a
Morningstar risk-adjusted return measure that accounts for variation in a fund's
monthly performance (including the effects of sales charges, loads and
redemption fees), placing more emphasis on downward variations and rewarding
consistent performance. The top 10% of funds in each category receive five
stars, the next 22.5% receive four stars, the next 35% receive three stars, the
next 22.5% receive two stars and the bottom 10% receive one star. (Each share
class is counted as a fraction of one fund within this scale and rated
separately, which may cause slight variations in the distribution percentages.)
18 SEMIANNUAL REPORT Calamos Market Neutral Fund
Calamos Market Neutral Fund
AVERAGE ANNUAL TOTAL RETURN+
10 YEARS OR
1 YEAR 3 YEARS 5 YEARS @SINCE INCEPTION
-------------------- -------------------- -------------------- --------------------
load-adjusted load-adjusted load-adjusted load-adjusted
------------- ------------- ------------- -------------
CLASS A SHARES - Inception 9/4/90 1.76% -3.05% 5.28% 3.58% 5.22% 4.20% 8.55% 8.03%
CLASS B SHARES - Inception 9/11/00 1.07 -3.52 4.52 3.67 5.07 4.75 5.23@ 5.08@
CLASS C SHARES - Inception 2/16/00 1.01 0.10 4.50 4.50 4.68 4.68 5.60@ 5.60@
CLASS I SHARES - Inception 5/10/00 2.06 NA 5.57 NA 5.48 NA 6.31@ NA
PERFORMANCE DATA QUOTED REPRESENTS PAST PERFORMANCE, WHICH IS NO GUARANTEE OF
FUTURE RESULTS. Current performance may be lower or higher than the performance
quoted. The principal value and investment return of an investment will
fluctuate so that your shares, when redeemed, may be worth more or less than
their original cost.
Performance of the Market Neutral Fund includes the effects of an overpayment of
dividends and/or capital gains distributions to shareholders of certain share
classes of the Fund (and a corresponding capital contribution by Calamos Asset
Management, Inc., the predecessor to Calamos Advisors LLC), which increased
certain return figures.
+ Average annual total return measures net investment income and capital gain
or loss from portfolio investments as an annualized average assuming
reinvestment of dividends and capital gains distributions. Performance
shown reflects the effects of an expense reimbursement that improved
results and was in effect until March 31, 2000. Load-adjusted returns are
adjusted for the maximum front-end sales load of 4.75% for Class A shares
and returns for Class B and C shares have been adjusted for the contingent
deferred sales charge (CDSC).
QUALITY ALLOCATION
INVESTMENT GRADE 10%
BELOW INVESTMENT GRADE 67%
UNRATED SECURITIES 23%
Average credit quality percentage shown reflects the higher of the ratings of
Standard & Poor's Corporation or Moody's Investors Service, Inc. Ratings are
relative, subjective and not absolute standards of quality. Excludes equity
securities and cash.
FUND SECTOR ALLOCATION
CONSUMER DISCRETIONARY 37.6%
HEALTH CARE 29.2%
INDUSTRIALS 16.3%
CONSUMER STAPLES 7.7%
ENERGY 6.9%
FINANCIALS 3.9%
MATERIALS 1.7%
TELECOMMUNICATION SERVICES 0.7%
INFORMATION TECHNOLOGY -4.0%
Sector allocations are based on total investments and may vary over time.
Calamos Market Neutral Fund SEMIANNUAL REPORT 19
Expense Overview
As a shareholder of a mutual fund, you incur two types of costs. You incur:
1) Transaction costs, including sales charges or loads, on purchase payments, or
other distributions.
2) Ongoing costs, including management fees, distribution and/or service (12b-1)
fees and other fund expenses.
The examples in this report are based on an investment of $1,000 made at the
beginning of the period and held for the entire period from April 1, 2005 to
September 30, 2005. It is intended to help you understand the ongoing cost
associated with investing in each mutual fund and to compare these costs with
the ongoing costs of investing in other mutual funds.
There are two parts of each Fund's chart:
ACTUAL
In this part of the chart, you'll see the actual expenses you would have on a
$1,000 investment made at the beginning of the period and held for the entire
period in each fund from April 1, 2005 to September 30, 2005, the period covered
by this report. This chart also shows the actual returns, after expenses, you
would have earned during that time. This chart can help you estimate your own
expenses. For example, if you invested $8,600 in Class A shares of the fund,
simply divide $8,600 by $1,000, then multiply that result by the figure in the
"Actual Expenses per $1,000" row. (In this example, you would multiply 8.6 by
the figure.)
HYPOTHETICAL
In this part of the chart, you'll see the hypothetical expenses you would have
paid on $1,000 investment from April 1, 2005 to September 30, 2005, and the
hypothetical returns, after expenses, you would have earned during that time.
The Securities and Exchange Commission (SEC) has established the guidelines for
this chart, including the 5% annual return before expenses, which is what you'll
see in the chart. Note that this chart will not help you determine your own
expenses, but will help you compare expenses of the fund you own to the expenses
of another fund since the information for that fund should be calculated using
the same assumptions.
Please note that the expenses shown in the table are meant to highlight your
ongoing costs only and do not include any transactional costs, such as sales
charges (loads), redemption fees or exchange fees. Therefore, the second line of
the table is useful in comparing ongoing costs only and will not help you
determine the relative total costs of owning different funds. In addition, if
these transaction costs were included, your costs would have been higher.
20 SEMIANNUAL REPORT Expense Overview
Expense Overview
THE ACTUAL AND HYPOTHETICAL EXAMPLES ASSUME A $1,000 INVESTMENT AT THE BEGINNING
OF THE PERIOD, APRIL 1, 2005, AND HELD THROUGH SEPTEMBER 30, 2005.
CLASS A CLASS B CLASS C CLASS I
SHARES SHARES SHARES SHARES
--------- --------- --------- ---------
CALAMOS GROWTH FUND
Actual Expenses per $1,000* $ 6.46 $ 10.37 $ 10.37 $ 5.15
Ending Value $1,094.40 $1,090.20 $1,090.20 $1,095.50
--------- --------- --------- ---------
Hypothetical Expenses per $1,000* $ 6.23 $ 10.00 $ 10.00 $ 4.96
Ending Value $1,018.90 $1,015.14 $1,015.14 $1,020.16
--------- --------- --------- ---------
Annualized Expense Ratio 1.23% 1.98% 1.98% 0.98%
CALAMOS BLUE CHIP FUND
Actual Expenses per $1,000* $ 7.78 $ 11.62 $ 11.62 $ 6.50
Ending Value $1,055.90 $1,050.80 $1,050.80 $1,056.70
--------- --------- --------- ---------
Hypothetical Expenses per $1,000* $ 7.64 $ 11.41 $ 11.41 $ 6.38
Ending Value $1,017.50 $1,013.74 $1,013.74 $1,018.75
--------- --------- --------- ---------
Annualized Expense Ratio 1.51% 2.26% 2.26% 1.26%
CALAMOS VALUE FUND
Actual Expenses per $1,000* $ 7.93 $ 11.76 $ 11.77 $ 6.65
Ending Value $1,053.30 $1,049.40 $1,049.50 $1,055.30
--------- --------- --------- ---------
Hypothetical Expenses per $1,000* $ 7.79 $ 11.56 $ 11.56 $ 6.53
Ending Value $1,017.35 $1,013.59 $1,013.59 $1,018.60
--------- --------- --------- ---------
Annualized Expense Ratio 1.54% 2.29% 2.29% 1.29%
CALAMOS INTERNATIONAL GROWTH FUND
Actual Expenses per $1,000* $ 9.05 $ 13.10 $ 13.10 $ 7.69
Ending Value $1,174.20 $1,169.10 $1,169.10 $1,175.20
--------- --------- --------- ---------
Hypothetical Expenses per $1,000* $ 8.39 $ 12.16 $ 12.16 $ 7.13
Ending Value $1,016.75 $1,012.99 $1,012.99 $1,018.00
--------- --------- --------- ---------
Annualized Expense Ratio 1.66% 2.41% 2.41% 1.41%
CALAMOS GLOBAL GROWTH AND INCOME FUND
Actual Expenses per $1,000* $ 7.95 $ 11.96 $ 11.96 $ 6.61
Ending Value $1,143.90 $1,139.50 $1,138.60 $1,144.60
--------- --------- --------- ---------
Hypothetical Expenses per $1,000* $ 7.49 $ 11.26 $ 11.26 $ 6.23
Ending Value $1,017.65 $1,013.89 $1,013.89 $1,018.90
--------- --------- --------- ---------
Annualized Expense Ratio 1.48% 2.23% 2.23% 1.23%
CALAMOS GROWTH AND INCOME FUND
Actual Expenses per $1,000* $ 5.58 $ 9.48 $ 9.48 $ 4.28
Ending Value $1,080.60 $1,076.80 $1,077.00 $1,082.10
--------- --------- --------- ---------
Hypothetical Expenses per $1,000* $ 5.42 $ 9.20 $ 9.20 $ 4.15
Ending Value $1,019.70 $1,015.94 $1,015.94 $1,020.96
--------- --------- --------- ---------
Annualized Expense Ratio 1.07% 1.82% 1.82% 0.82%
CALAMOS HIGH YIELD FUND
Actual Expenses per $1,000* $ 6.36 $ 10.20 $ 10.19 $ 5.09
Ending Value $1,047.40 $1,043.70 $1,043.50 $1,049.40
--------- --------- --------- ---------
Hypothetical Expenses per $1,000* $ 6.28 $ 10.05 $ 10.05 $ 5.01
Ending Value $1,018.85 $1,015.09 $1,015.09 $1,020.10
--------- --------- --------- ---------
Annualized Expense Ratio 1.24% 1.99% 1.99% 0.99%
CALAMOS CONVERTIBLE FUND
Actual Expenses per $1,000* $ 5.77 $ 9.62 $ 9.62 $ 4.49
Ending Value $1,055.50 $1,051.80 $1,052.00 $1,057.00
--------- --------- --------- ---------
Hypothetical Expenses per $1,000* $ 5.67 $ 9.45 $ 9.45 $ 4.41
Ending Value $1,019.45 $1,015.69 $1,015.69 $1,020.71
--------- --------- --------- ---------
Annualized Expense Ratio 1.12% 1.87% 1.87% 0.87%
CALAMOS MARKET NEUTRAL FUND
Actual Expenses per $1,000* $ 8.96 $ 12.73 $ 12.73 $ 7.70
Ending Value $1,020.00 $1,015.70 $1,015.40 $1,021.40
--------- --------- --------- ---------
Hypothetical Expenses per $1,000* $ 8.95 $ 12.71 $ 12.71 $ 7.69
Ending Value $1,016.19 $1,012.43 $1,012.43 $1,017.45
--------- --------- --------- ---------
Annualized Expense Ratio 1.77% 2.52% 2.52% 1.52%
* Expenses are equal to the Fund's annualized expense ratio, multiplied by
the average account value over the period multiplied by 183/365.
Expense Overview SEMIANNUAL REPORT 21
Growth Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- ------------ --------------
COMMON STOCKS (99.8%)
CONSUMER DISCRETIONARY (23.0%)
13,100,000 Amazon.com, Inc.#@ $ 593,430,000
4,600,000 American Eagle Outfitters, Inc. 108,238,000
1,750,000 Black & Decker Corp.@ 143,657,500
3,800,000 Carnival Corp.@ 189,924,000
1,300,000 Cheesecake Factory, Inc.#@ 40,612,000
2,700,000 Chico's FAS, Inc.#A 99,360,000
11,300,000 eBay, Inc.#@ 465,560,000
1,100,000 Federated Department Stores, Inc.@ 73,557,000
1,600,000 Garmin, Ltd. 108,528,000
2,100,000 Harrah's Entertainment, Inc. 136,899,000
4,950,000 Hilton Hotels Corp.@ 110,484,000
900,000 ITT Educational Services, Inc.# 44,415,000
1,350,000 Jarden Corp.#@ 55,444,500
1,800,000 KB Home@ 131,760,000
650,000 Laureate Education, Inc.#@ 31,830,500
3,200,000 Marriott International, Inc.@ 201,600,000
1,400,000 Men's Wearhouse, Inc.#@ 37,380,500
2,800,000 Nordstrom, Inc.@ 96,096,000
4,000,000 Office Depot, Inc.# 118,800,000
450,000 Overstock.com, Inc.# 17,257,500
800,000 Panera Bread Company#@ 40,944,000
1,200,000 Polo Ralph Lauren Corp. 60,360,000
2,000,000 Pulte Homes, Inc.@ 85,840,000
2,700,000 Quicksilver, Inc.#@ 39,015,000
600,000 R.H. Donnelley Corp.#@ 37,956,000
1,102,500 Reader's Digest Association Inc.@ 17,606,925
1,500,000 Ryland Group, Inc. 102,630,000
1,000,000 Scientific Games Corp.#@ 31,000,000
12,000,000 Sirius Satellite Radio, Inc.# 78,600,000
576,000 Sonic Corp.# 15,753,600
3,200,000 Toll Brothers, Inc.#@ 142,944,000
2,800,000 Urban Outfitters, Inc.#@ 82,320,000
1,500,000 Weight Watchers International, Inc.#@ 77,370,000
1,700,000 Wendy's International, Inc.@ 76,755,000
1,200,000 Winnebago Industries, Inc.@ 34,764,000
4,565,000 XM Satellite Radio, Inc.#@ 163,929,150
--------------
3,892,620,675
--------------
CONSUMER STAPLES (1.4%)
3,000,000 Constellation Brands, Inc.#@ 78,000,000
2,600,000 CVS Corp. 75,426,000
600,000 Whole Foods Market, Inc. 80,670,000
--------------
234,096,000
--------------
ENERGY (11.9%)
450,000 Amerada Hess Corp.@ 61,875,000
2,900,000 Baker Hughes, Inc.@ 173,072,000
2,600,000 BJ Services Company@ 93,574,000
675,000 Cabot Oil & Gas Corp. $ 34,094,250
600,000 Cal Dive International, Inc.#@ 38,046,000
1,200,000 CONSOL Energy, Inc. 91,524,000
1,500,000 Diamond Offshore Drilling, Inc.@ 91,875,000
1,200,000 Exxon Mobil Corp.@ 76,248,000
1,150,000 Grant Prideco, Inc.#@ 46,747,500
750,000 Holly Corp.@ 47,985,000
700,000 Hydril Company#@ 48,048,000
915,000 Kerr-Mcgee Corp. 88,855,650
1,100,000 Nabors Industries, Ltd.#@ 79,013,000
800,000 Newfield Exploration Company# 39,280,000
1,150,000 Occidental Petroleum Corp.@ 98,244,500
1,100,000 Patterson-UTI Energy, Inc.@ 39,688,000
1,100,000 Peabody Energy Corp.@ 92,785,000
1,200,000 Range Resources Corp.@ 46,332,000
450,000 SEACOR Holdings Inc.#@ 32,661,000
1,050,000 Tidewater Inc.@ 51,103,500
800,000 Unit Corp.# 44,224,000
1,600,000 Valero Energy Corp.@ 180,896,000
900,000 Vintage Petroleum, Inc.@ 41,094,000
3,700,000 Weatherford International, Ltd.#@ 254,042,000
1,000,000 Western Gas Resources, Inc. 51,230,000
2,400,000 Williams Companies, Inc.@ 60,120,000
--------------
2,002,657,400
--------------
FINANCIALS (7.1%)
850,000 Alliance Capital Management Holding L.P. 40,672,500
4,000,000 Ameritrade Holding Corp.#@ 85,920,000
850,000 Assurant, Inc@ 32,351,000
5,900,000 Charles Schwab Corp.@ 85,137,000
350,000 Chicago Mercantile Exchange Holdings, Inc.@ 118,055,000
2,000,000 CIT Group, Inc.@ 90,360,000
3,000,000 E*TRADE FINANCIAL Corp.#@ 52,800,000
800,000 Franklin Resources, Inc. 67,168,000
1,501,000 Lehman Brothers Holdings, Inc. 174,836,480
934,000 Loews Corp. 86,310,940
2,200,000 Moody's Corp.@ 112,376,000
1,800,000 Principal Financial Group, Inc.@ 85,266,000
1,700,000 Safeco Corp. 90,746,000
1,200,000 T Rowe Price Group, Inc. 78,360,000
--------------
1,200,358,920
--------------
HEALTH CARE (18.9%)
1,700,000 Alcon, Inc.@ 217,396,000
400,000 Alkermes, Inc.#@ 6,720,000
1,400,000 American Medical Systems Holdings, Inc.#@ 28,210,000
1,500,000 Barr Pharmaceuticals, Inc.# 82,380,000
450,000 Biosite, Inc.#@ 27,837,000
1,500,000 C. R. Bard, Inc. 99,045,000
3,400,000 Caremark Rx, Inc.#@ 169,762,000
See accompanying Notes to Schedule of Investments
22 SEMIANNUAL REPORT Schedule of Investments
Growth Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- ---------- --------------
1,900,000 Community Health Systems, Inc.#@ $ 73,739,000
600,000 Cooper Companies, Inc.@ 45,966,000
1,000,000 Covance, Inc.#@ 47,990,000
980,000 Dade Behring Holdings, Inc.@ 35,926,800
1,300,000 Edwards Lifesciences Corp.#@ 57,733,000
4,000,000 Express Scripts, Inc.#@ 248,800,000
2,200,000 Genzyme Corp.#@ 157,608,000
3,700,000 Gilead Sciences, Inc.# 180,412,000
5,600,000 HCA, Inc.@ 268,352,000
2,000,000 Hospira, Inc.# 81,940,000
3,500,000 Humana, Inc.# 167,580,000
475,000 Intuitive Surgical, Inc.#@ 34,812,750
900,000 Kinetic Concepts, Inc.#@ 51,120,000
4,200,000 Medco Health Solutions, Inc.# 230,286,000
2,300,000 PacifiCare Health Systems, Inc.#@ 183,494,000
874,000 Pharmaceutical Product Development, Inc.#@ 50,263,740
500,000 ResMed Inc.#@ 39,825,000
1,300,000 Respironics, Inc.# 54,834,000
590,000 TECHNE Corp.#@ 33,618,200
1,950,000 Triad Hospitals, Inc.# 88,276,500
700,000 Ventana Medical Systems, Inc.#@ 26,649,000
650,000 WellChoice Inc.#@ 49,335,000
4,700,000 WellPoint, Inc.# 356,354,000
--------------
3,196,264,990
--------------
INDUSTRIALS (7.2%)
400,000 Alliant Techsystems, Inc.#@ 29,860,000
900,000 AMETEK, Inc. 38,673,000
750,000 Armor Holdings, Inc.#@ 32,257,500
1,100,000 C.H. Robinson Worldwide, Inc.@ 70,532,000
2,900,000 Caterpillar, Inc.@ 170,375,000
1,200,000 Chicago Bridge & Iron Company, NV@ 37,308,000
975,000 Corporate Executive Board Company@ 76,030,500
2,000,000 Equifax Inc.@ 69,880,000
1,800,000 Goodrich Corp.@ 79,812,000
1,200,000 Herman Miller, Inc.@ 36,360,000
600,000 Jacobs Engineering Group, Inc.#@ 40,440,000
1,200,000 JLG Industries, Inc. 43,908,000
1,600,000 Joy Global, Inc. 80,736,000
2,000,000 Precision Castparts Corp.@ 106,200,000
2,500,000 Rockwell Automation, Inc. 132,250,000
1,500,000 Rockwell Collins, Inc.@ 72,480,000
800,000 Teledyne Technologies, Inc.@ 27,576,000
1,200,000 Thomas & Betts Corp.#@ 41,292,000
500,000 UTi Worldwide, Inc.@ 38,850,000
--------------
1,224,820,000
--------------
INFORMATION TECHNOLOGY (25.7%)
4,533,333 Activision, Inc.# $ 92,706,660
2,500,000 Agilent Technologies, Inc.# 81,875,000
1,600,000 Alliance Data Systems Corp.#@ 62,640,000
699,500 Anteon International Corp.#@ 29,910,620
15,000,000 Apple Computer, Inc.#@ 804,150,000
2,000,000 BMC Software, Inc.#@ 42,200,000
1,900,000 Broadcom Corp.# 89,129,000
2,500,000 CheckFree Corp.#@ 94,550,000
1,700,000 Cognizant Technology Solutions Corp.#@ 79,203,000
6,700,000 Compuware Corp.# 63,650,000
1,100,000 Digital River, Inc.#@ 38,335,000
2,000,000 Emulex Corp.#@ 40,420,000
1,400,000 F5 Networks, Inc.#@ 60,858,000
2,269,028 Freescale Semiconductor, Inc.#@ 53,503,680
750,000 Global Payments Inc.@ 58,290,000
1,050,000 Google Inc.#@ 332,283,000
2,200,000 Harris Corp.@ 91,960,000
8,800,000 Hewlett-Packard Company@ 256,960,000
1,600,000 Intersil Corp.@ 34,848,000
2,500,000 Jabil Circuit, Inc.#@ 77,300,000
5,650,000 Juniper Networks, Inc.#@ 134,413,500
9,300,000 LSI Logic Corp.#@ 91,605,000
1,200,000 Macromedia, Inc.# 48,804,000
4,300,000 Marvell Technology Group, Ltd.#@ 198,273,000
800,000 MICROS Systems, Inc.#@ 35,000,000
28,250,000 Motorola, Inc. 624,042,500
1,300,000 National Semiconductor Corp.@ 34,190,000
2,500,000 NVIDIA Corp.#@ 85,700,000
4,000,000 Parametric Technology Corp.#@ 27,880,000
2,700,000 QLogic Corp.#@ 92,340,000
1,800,000 Sandisk Corp.#@ 86,850,000
11,800,000 Seagate Technology 187,030,000
900,000 SiRF Technology Holdings, Inc.#@ 27,117,000
5,100,000 Tellabs, Inc.#@ 53,652,000
1,100,000 Trimble Navigation, Ltd.#@ 37,059,000
7,500,000 Western Digital Corp.#@ 96,975,000
-------------
4,345,702,960
-------------
MATERIALS (1.2%)
500,000 Martin Marietta Materials, Inc.@ 39,230,000
800,000 Potash Corporation of Saskatchewan, Inc. 74,656,000
800,000 Quanex Corporation@ 52,976,000
500,000 Vulcan Materials Company@ 37,105,000
-------------
203,967,000
-------------
See accompanying Notes to Schedule of Investments
Schedule of Investments SEMIANNUAL REPORT 23
Growth Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- --------- ---------------
TELECOMMUNICATION SERVICES (3.4%)
2,100,000 Alamosa Holdings, Inc.#@ $ 35,931,000
4,200,000 America Movil, S.A. de C.V. 110,544,000
2,600,000 American Tower Corp.#@ 64,870,000
2,500,000 NII Holdings, Inc.#@ 211,125,000
4,100,000 Sprint Nextel Corp.@ 97,498,000
1,100,000 Vimpel-Communications#@ 48,884,000
---------------
568,852,000
---------------
TOTAL COMMON STOCKS
(Cost $14,096,856,572) 16,869,339,945
===============
PRINCIPAL
AMOUNT VALUE
- ----------- ----------
SHORT-TERM INVESTMENT (0.1%)
$17,069,000 Citigroup, Inc.
3.730%, 10/03/05
(Cost $17,065,397) 17,065,397
==========
NUMBER OF
SHARES VALUE
- ------------- ---------------
INVESTMENT OF CASH COLLATERAL
FOR SECURITIES ON LOAN (14.5%)
2,451,221,285 Bank of New York Institutional Cash
Reserve Fund current rate 3.861%
(Cost $2,451,221,285) 2,451,221,285
---------------
TOTAL INVESTMENTS (114.4%)
(Cost $16,565,143,254) 19,337,626,627
===============
PAYABLE UPON RETURN OF SECURITIES LOANED(-14.5%) (2,451,221,285)
---------------
OTHER ASSETS, LESS LIABILITIES (0.1%) 16,957,227
---------------
NET ASSETS (100.0%) $16,903,362,569
===============
NOTES TO SCHEDULE OF INVESTMENTS
# Non-income producing security.
@ Security, or portion of security, is on loan.
See accompanying Notes to Financial Statements
24 SEMIANNUAL REPORT Schedule of Investments
Blue Chip Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- --------- -----------
COMMON STOCKS (99.3%)
CONSUMER DISCRETIONARY (11.6%)
12,000 Carnival Corp.@ $ 599,760
5,000 Centex Corp. 322,900
35,000 Comcast Corp.#@ 1,028,300
20,000 eBay, Inc.#@ 824,000
5,200 Federated Department Stores, Inc. 347,724
4,000 Fortune Brands, Inc. 325,320
3,000 Harrah's Enterainment, Inc. 195,570
13,000 Hilton Hotels Corp.@ 290,160
35,000 Home Depot, Inc. 1,334,900
3,000 KB Home@ 219,600
13,000 Lowe's Compaines, Inc. 837,200
6,500 Marriott International, Inc. 409,500
13,000 McDonald's Corp. 435,370
6,000 McGraw-Hill Companies, Inc. 288,240
13,000 Nike, Inc. 1,061,840
17,600 Nordstrom, Inc. 604,032
15,000 Office Depot, Inc.# 445,500
3,000 Omnicom Group, Inc. 250,890
7,500 Staples, Inc. 159,900
9,000 Starbucks Corp.# 450,900
4,000 Starwood Hotels & Resorts Worldwide, Inc.@ 228,680
15,000 Target Corp. 778,950
6,000 Tiffany & Co. 238,620
45,000 Time Warner, Inc. 814,950
40,000 Walt Disney Company 965,200
6,000 YUM! Brands, Inc. 290,460
-----------
13,748,466
-----------
CONSUMER STAPLES (9.4%)
42,000 Altria Group, Inc.@ 3,095,820
6,500 Clorox Company 361,010
23,000 Coca-Cola Company 993,370
8,000 Colgate-Palmolive Company 422,320
20,000 CVS Corp. 580,200
8,500 Hershey Foods Corp. 478,635
10,000 Kroger Company# 205,900
26,000 PepsiCo, Inc. 1,474,460
32,000 Procter & Gamble Company@ 1,902,720
3,500 Reynolds American, Inc.@ 290,570
18,000 Wal-Mart Stores, Inc.@ 788,760
11,000 Walgreen Company 477,950
-----------
11,071,715
-----------
ENERGY (12.3%)
8,000 Apache Corp. 601,760
4,000 Baker Hughes, Inc. 238,720
8,000 Burlington Resources, Inc.@ 650,560
21,807 Chevron Corp. 1,411,567
40,000 ConocoPhillips $ 2,796,400
11,000 Devon Energy (Chevron) Corp.@ 755,040
65,000 Exxon Mobil Corp. 4,130,100
4,500 Halliburton Company, Inc.@ 308,340
11,000 Marathon Oil Corp. 758,230
10,000 Nabors Industries, Ltd.# 718,300
5,000 Occidental Petroleum Corp. 427,150
8,000 Schlumberger, Ltd.@ 675,040
9,000 Entertainment, Inc. Transocean, Inc.#@ 551,790
4,000 Valero Energy Corp. 452,240
-----------
14,475,237
-----------
FINANCIALS (17.0%)
4,000 Ace, Ltd. 188,280
7,000 AFLAC, Inc. 317,100
38,000 Allstate Corp. 2,101,020
16,000 American Express Company 919,040
18,000 American International Group, Inc. 1,115,280
4,000 Apartment Investment and Management Company 155,120
52,000 Bank of America Corp. 2,189,200
7,500 Chubb Corp.@ 671,625
47,000 Citigroup, Inc.@ 2,139,440
4,902 Countrywide Financial Corp.@ 161,668
2,100 Federal Home Loan Mortgage Corp. 118,566
11,400 Federal National Mortgage Association 510,948
8,200 Franklin Resources, Inc. 688,472
12,000 Golden West Financial Corp. 712,680
6,000 Goldman Sachs Group, Inc. 729,480
5,000 Hartford Financial Services Group, Inc. 385,850
15,216 J.P. Morgan Chase & Company 516,279
8,500 Lehman Brothers Holdings, Inc. 990,080
8,000 Loews Corp. 739,280
9,700 Merrill Lynch & Company, Inc. 595,095
14,000 Metlife, Inc.#@ 697,620
10,000 Moody's Corp.@ 510,800
2,000 Progressive Corp.@ 209,540
20,000 Providian Financial Corp.#@ 353,600
11,000 Prudential Financial, Inc. 743,160
6,000 Safeco Corp. 320,280
8,000 St. Paul Travelers Companies, Inc. 358,960
20,000 Wachovia Corp. 951,800
-----------
20,090,263
-----------
HEALTH CARE (18.4%)
23,000 Abbott Laboratories 975,200
14,000 Aetna, Inc.@ 1,205,960
17,500 Amgen, Inc.# 1,394,225
7,000 Bausch & Lomb, Inc.@ 564,760
7,000 Baxter International, Inc. 279,090
See accompanying Notes to Schedule of Investments
Schedule of Investments SEMIANNUAL REPORT 25
Blue Chip Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- --------- ------------
12,000 Bristol-Myers Squibb Company $ 288,720
7,500 C. R. Bard, Inc. 495,225
6,500 Cigna Corp.@ 766,090
12,000 Express Scripts, Inc.# 746,400
13,000 Genzyme Corp.# 931,320
12,000 Gilead Sciences, Inc.# 585,120
4,000 Guidant Corp. 275,560
15,000 HCA, Inc. 718,800
22,000 Health Management Associates, Inc.@ 516,340
5,000 Humana, Inc.# 239,400
35,000 Johnson & Johnson 2,214,800
13,000 Medtronic, Inc. 697,060
13,000 Merck & Company, Inc. 353,730
74,000 Pfizer, Inc. 1,847,780
19,000 Quest Diagnostics, Inc. 960,260
12,000 St. Jude Medical, Inc.# 561,600
44,000 UnitedHealth Group, Inc. 2,472,800
22,000 WellPoint, Inc.# 1,668,040
21,000 Wyeth 971,670
------------
21,729,950
------------
INDUSTRIALS (11.6%)
23,000 Boeing Company 1,562,850
12,500 Burlington Northern Santa Fe Corp. 747,500
9,000 Caterpillar, Inc. 528,750
17,000 Danaher Corp. 915,110
8,000 General Dynamics Corp. 956,400
126,000 General Electric Company 4,242,420
14,000 Honeywell International, Inc. 525,000
19,000 Lockheed Martin Corp.@ 1,159,760
15,000 Norfolk Southern Corp. 608,400
4,500 Northrop Grumman Corp. 244,575
13,000 Raytheon Company 494,260
10,000 United Parcel Service, Inc. 691,300
20,000 United Technologies Corp. 1,036,800
------------
13,713,125
------------
INFORMATION TECHNOLOGY (13.9%)
20,000 Apple Computer, Inc.# 1,072,200
29,200 Autodesk, Inc.@ 1,356,048
5,500 Automatic Data Processing, Inc. 236,720
47,000 Cisco Systems, Inc.# 842,710
25,100 Corning, Inc.# 485,183
30,000 Dell, Inc.# $ 1,026,000
7,500 Electronic Arts, Inc.#@ 426,675
25,000 EMC Corp.# 323,500
45,200 Hewlett-Packard Company 1,319,840
86,500 Intel Corp. 2,132,225
6,000 International Business Machines Corp. 481,320
90,000 Microsoft Corp.@ 2,315,700
56,000 Motorola, Inc. 1,237,040
25,000 QUALCOMM, Inc.@ 1,118,750
37,500 Texas Instruments, Inc. 1,271,250
24,000 Yahoo!, Inc.# 812,160
------------
16,457,321
------------
MATERIALS (1.5%)
8,000 Air Products and Chemicals, Inc. 441,120
17,000 Dow Chemical Company 708,390
5,000 Nucor Corp. 294,950
3,700 Vulcan Materials Company@ 274,577
------------
1,719,037
------------
TELECOMMUNICATION SERVICES (1.4%)
9,000 ALLTEL Corp. 585,990
45,674 Sprint Nextel Corp. 1,086,128
------------
1,672,118
------------
UTILITIES (2.2%)
2,000 Constellation Energy Group, Inc. 123,200
29,000 Duke Energy Corp.@ 845,930
2,500 Entergy Corp.@ 185,800
9,000 Exelon Corp. 480,960
4,500 FirstEnergy Corp.@ 234,540
7,000 PG&E Corp. 274,750
4,500 TXU Corp. 507,960
------------
2,653,140
------------
TOTAL COMMON STOCKS
(Cost $104,395,116) 117,330,372
============
PRINCIPAL
AMOUNT VALUE
- ---------- ---------
SHORT-TERM INVESTMENT (1.2%)
$1,463,000 Citigroup, Inc.
3.730%,10/03/05
(Cost $1,462,691) 1,462,691
=========
See accompanying Notes to Schedule of Investments
26 SEMIANNUAL REPORT Schedule of Investments
Blue Chip Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- --------- ------------
INVESTMENT OF CASH COLLATERAL
FOR SECURITIES ON LOAN (19.1%)
22,489,467 Bank of New York Institutional Cash
Reserve Fund current rate 3.861%
(Cost $22,489,467) $ 22,489,467
------------
TOTAL INVESTMENTS (119.6%)
(Cost $128,347,274) 141,282,530
============
PAYABLE UPON RETURN OF SECURITIES LOANED (-19.1%) (22,489,467)
------------
LIABILITIES, LESS OTHER ASSETS (-0.5%) (671,259)
------------
NET ASSETS (100.0%) $118,121,804
============
NOTES TO SCHEDULE OF INVESTMENTS
# Non-income producing security.
@ Security, or portion of security, is on loan.
See accompanying Notes to Financial Statements
Schedule of Investments SEMIANNUAL REPORT 27
Value Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- ---------- ------------
COMMON STOCKS (98.3%)
CONSUMER DISCRETIONARY (28.2%)
160,000 Callaway Golf Company $ 2,414,400
40,000 Career Education Corp.# 1,422,400
35,000 Carnival Corp.@ 1,749,300
36,500 Expedia, Inc.#@ 723,065
106,000 H&R Block, Inc. 2,541,880
25,000 Harley-Davidson, Inc. 1,211,000
60,000 Home Depot, Inc. 2,288,400
36,500 IAC/InterActiveCorp#@ 925,275
45,000 International Game Technology@ 1,215,000
43,000 Marriott International, Inc. 2,709,000
100,000 News Corp.@ 1,650,000
102,000 Office Depot, Inc.# 3,029,400
30,000 Omnicom Group, Inc. 2,508,900
50,000 Reebok International, Ltd.@ 2,828,500
139,000 Time Warner, Inc. 2,517,290
138,000 Walt Disney Company 3,329,940
------------
33,063,750
------------
CONSUMER STAPLES (5.8%)
60,000 Coca-Cola Company 2,591,400
150,000 Kroger Company#@ 3,088,500
27,000 Wal-Mart Stores, Inc. 1,183,140
------------
6,863,040
------------
ENERGY (7.6%)
53,000 Anadarko Petroleum Corp. 5,074,750
55,000 Marathon Oil Corp.@ 3,791,150
------------
8,865,900
------------
FINANCIALS (17.6%)
40,000 A.G. Edwards, Inc. 1,752,400
52,000 American International Group, Inc. 3,221,920
25,000 Bank of America Corp.@ 1,052,500
17,500 Federal Home Loan Mortgage Corp. 988,050
35,000 Federal National Mortgage Association 1,568,700
10,000 Goldman Sachs Group, Inc. 1,215,800
61,000 MBNA Corp. 1,503,040
80,000 Merrill Lynch & Company, Inc. 4,908,000
17,000 MGIC Investment Corp.@ 1,091,400
85,000 Washington Mutual, Inc.@ 3,333,700
------------
20,635,510
------------
HEALTH CARE (12.4%)
155,000 Bristol-Myers Squibb Company 3,729,300
74,000 HCA, Inc.@ 3,546,080
150,000 King Pharmaceuticals, Inc.# 2,307,000
60,200 Pfizer, Inc. 1,503,194
76,000 Wyeth 3,516,520
------------
14,602,094
------------
INDUSTRIALS (2.7%)
33,000 Burlington Northern Santa Fe Corp. $ 1,973,400
58,000 Cendant Corp. 1,197,120
------------
3,170,520
------------
INFORMATION TECHNOLOGY (20.9%)
145,000 Hewlett-Packard Company 4,234,000
145,000 Microsoft Corp.@ 3,730,850
133,000 Motorola, Inc. 2,937,970
300,000 EUR Nokia Corp. 5,053,986
120,000 NVIDIA Corp.#@ 4,113,600
168,630 Symantec Corp.# 3,821,156
20,000 Yahoo!, Inc.#@ 676,800
------------
24,568,362
------------
MATERIALS (3.1%)
5,700 CHF Givaudan, SA 3,657,533
------------
TOTAL COMMON STOCKS
(Cost $101,837,548) 115,426,709
============
PRINCIPAL
AMOUNT VALUE
- ---------- ---------
SHORT-TERM INVESTMENT (1.7%)
$2,017,000 Citigroup, Inc.
3.730%, 10/03/05
(Cost $2,016,574) 2,016,574
---------
NUMBER OF
SHARES VALUE
- ---------- ------------
INVESTMENT OF CASH COLLATERAL
FOR SECURITIES ON LOAN (18.0%)
21,163,297 Bank of New York Institutional Cash
Reserve Fund current rate 3.861%
(Cost $21,163,297) 21,163,297
------------
TOTAL INVESTMENTS (118.0%)
(Cost $125,017,419) 138,606,580
============
PAYABLE UPON RETURN OF SECURITIES LOANED (-18.0%) (21,163,297)
------------
LIABILITIES, LESS OTHER ASSETS (--%) (39,625)
------------
NET ASSETS (100.0%) $117,403,658
============
NOTES TO SCHEDULE OF INVESTMENTS
# Non-income producing security.
@ Security, or portion of security, is on loan.
FOREIGN CURRENCY ABBREVIATIONS
CHF Swiss Franc
EUR European Monetary Unit
Note: Market Value for Securities denominated in foreign currencies are shown in
U.S. dollars.
See accompanying Notes to Financial Statements
28 SEMIANNUAL REPORT Schedule of Investments
International Growth Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- ----------- -----------
COMMON STOCKS (94.4%)
CONSUMER DISCRETIONARY (16.8%)
53,000 EUR Antena 3 de Television SA $ 961,318
280,000 ZAR Edgars Consolidated Stores 1,397,686
225,000 HKD Esprit Holdings Limited 1,680,224
32,000 CAD Gildan Activewear, Inc.# 1,219,716
82,000 CAD Great Canadian Gaming Corp.# 1,252,043
39,000 SEK Hennes & Mauritz, AB 1,394,316
135,000 JPY Hitachi Koki Company, Ltd. 1,668,224
600,000 Mandarin Oriental International, Ltd. 513,870
17,000 JPY Nitori Co., Ltd. 1,426,261
90,000 EUR Nokian Renkaat Oyj 2,132,400
100,000 CAD Reitmans (Canada), Ltd. 1,452,903
60,000 AUD Rural Press, Ltd. 539,595
494,000 HKD Shangri-La Asia, Ltd. 798,036
38,000 JPY Suzuki Motor Corp. 705,944
10,500 JPY USS Co., Ltd. 747,831
22,000 JPY Yamada Denki Co 1,675,298
-----------
19,565,665
-----------
CONSUMER STAPLES (3.0%)
920 CHF Lindt & Spruengli, AG 1,546,676
31,000 CAD Metro, Inc. 888,800
245,000 ZAR Pick'n Pay Stores Ltd. 1,097,799
-----------
3,533,275
-----------
ENERGY (11.2%)
12,000 NOK Bonheur, ASA 1,051,363
38,000 CAD EnCana Corp. 2,217,892
28,000 EUR OMV, AG 1,662,079
22,000 CAD Precision Drilling Corp.# 1,082,684
145,000 AUD Santos, Ltd. 1,378,940
16,000 EUR SBM Offshore, NV# 1,335,748
46,000 NOK Smedvig, ASA 1,126,536
136,000 NOK Stolt Offshores, SA# 1,581,529
151,000 JPY Teikoku Oil Company, Ltd. 1,634,563
-----------
13,071,334
-----------
FINANCIALS (15.9%)
28,000 EUR Ackermans & van Haaren 1,412,547
133,000 EUR Anglo Irish Bank Corp., PLC 1,809,942
46,000 EUR April Group 1,631,281
70,000 AUD Australian Stock Exchange, Ltd. 1,447,277
110,000 EUR Banca Popolare di Milano 1,127,681
18,000 Banco Itau Holding Financeira, SA 2,135,880
70,000 Bancolombia, SA 1,536,500
38,000 EUR EFG Eurobank Ergasias 1,180,290
31,000 CAD Home Capital Group, Inc. 1,000,000
47,000 GBP Investec, PLC 1,792,598
37,000 AUD Macquarie Bank, Ltd. 2,126,856
19,000 EUR National Bank of Greece, SA $ 760,141
25,000 EUR Piraeus Bank, SA 523,012
-----------
18,484,005
-----------
HEALTH CARE (10.2%)
19,500 Alcon, Inc. 2,493,660
375,000 ZAR Aspen Pharmacare Holdings, Ltd. 1,920,510
2,500 DKK Chr. Hansen Holdings, A/S 393,811
49,000 AUD Cochlear Limited 1,466,136
19,000 DKK Coloplast, A/S 1,158,710
31,000 SEK Elekta, AB 1,419,051
6,500 CHF Nobel Biocare Group 1,532,530
11,000 CHF Roche Holding AG 1,528,414
-----------
11,912,822
-----------
INDUSTRIALS (14.1%)
175,000 MXN Alfa, SA 1,073,945
45,000 CAD Canadian Pacific Railway, Ltd. 1,937,032
50,000 Chicago Bridge & Iron Company, NV 1,554,500
15,000 JPY FANUC, Ltd. 1,220,038
57,000 CAD First Service Corp.# 1,305,729
55,000 GBP Homeserve PLC 1,071,647
80,000 EUR Kingspan Group PLC 1,028,414
14,000 EUR Koninklijke BAM Groep, NV 1,287,220
4,600 CHF Kuehne & Nagel International, AG 1,139,007
37,000 GBP Northgate, PLC 738,260
18,000 NOK Stolt-Nielsen, SA 723,117
25,000 EUR Stork, NV 1,239,404
31,000 EUR Wartsila, OYJ 979,516
26,000 EUR YIT-Yhtyma Oyj 1,103,704
-----------
16,401,533
-----------
INFORMATION TECHNOLOGY (14.0%)
12,000 JPY HOYA Corp. 400,289
36,000 JPY HOYA Corp.#(P) 1,224,156
35,000 JPY IBIDEN Co., Ltd. 1,465,994
25,000 Infosys Technologies, Ltd. 1,857,000
215,000 HKD Kingboard Chemical Holdings, Ltd. 535,821
37,000 NDS Group, PLC# 1,374,550
42,000 Nice-Systems, Ltd.# 1,897,560
9,000 JPY Nintendo Company, Ltd. 1,055,603
65,000 GBP Renishaw, PLC 981,348
100,000 EUR Soitec# 1,696,028
31,000 JPY Square Enix Co., Ltd. 859,683
155,000 JPY Toshiba Corp. 686,664
25,000 JPY Trend Micro, Inc. 797,862
590 JPY Yahoo Japan Corp#(P) 701,669
590 JPY Yahoo! Japan Corp. 694,599
-----------
16,228,826
-----------
See accompanying Notes to Schedule of Investments
Schedule of Investments SEMIANNUAL REPORT 29
International Growth Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- ---------- ------------
MATERIALS (5.0%)
3,700 EUR Boehler-Uddeholm Group $ 622,574
72,000 JPY Dowa Mining Company, Ltd. 606,734
65,000 AUD Energy Resources of Australia 839,342
40,000 CAD First Quantum Minerals, Ltd. 1,040,860
80,000 ZAR Highveld Steel and Vanadium Corp., Ltd 716,650
9,500 Sociedad Quimica y Minera de Chile, SA 1,199,280
17,000 CAD Teck Cominco, Ltd. 762,624
------------
5,788,064
------------
TELECOMMUNICATION SERVICES (1.6%)
43,000 CAD TELUS Corp. 1,794,348
------------
UTILITIES (2.6%)
5,800 EUR Oesterreichische Elektrizitaetswirtschafts AG 2,036,639
57,000 GBP Scottish & Southern Energy 1,035,540
------------
3,072,179
------------
TOTAL COMMON STOCKS
(Cost $95,747,301) 109,852,051
============
PRINCIPAL
AMOUNT VALUE
- ---------- ------------
SHORT-TERM INVESTMENTS (5.3%)
$4,124,000 Citigroup, Inc.
3.730%, 10/03/05 4,123,129
2,000,000 UBS Finance, Inc.
3.800%, 10/03/05 1,999,578
------------
TOTAL SHORT-TERM INVESTMENTS
(Cost $6,122,707) 6,122,707
============
TOTAL INVESTMENTS (99.7%)
(Cost $101,870,008) 115,974,758
------------
OTHER ASSETS, LESS LIABILITIES (0.3%) 334,258
------------
NET ASSETS (100.0%) $116,309,016
============
NOTES TO SCHEDULE OF INVESTMENTS
# Non-income producing security.
(P) Security purchased on when issued basis.
FOREIGN CURRENCY ABBREVIATIONS
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
DKK Danish Krone
EUR European Monetary Unit
GBP British Pound Sterling
HKD Hong Kong Dollar
JPY Japanese Yen
MXN Mexican Peso
NOK Norwegian Krone
SEK Swedish Krona
ZAR South African Rand
Note: Market Value for Securities denominated in foreign currencies are shown in
U.S. dollars.
COUNTRY ALLOCATION
COUNTRY % OF PORTFOLIO
- ------- --------------
Japan 16.0%
Canada 14.5%
Switzerland 7.5%
Australia 7.1%
United Kingdom 6.4%
Netherlands 4.9%
South Africa 4.7%
Austria 3.9%
Finland 3.8%
France 3.0%
Bermuda 2.7%
Ireland 2.6%
Sweden 2.6%
Greece 2.3%
Luxembourg 2.1%
Norway 2.0%
Brazil 1.9%
Israel 1.7%
India 1.7%
Denmark 1.4%
Colombia 1.4%
Belgium 1.3%
Chile 1.1%
Italy 1.0%
Mexico 1.0%
Spain 0.9%
Cayman Islands 0.5%
-----
TOTAL: 100.0%
Country allocations are based on total investments (excluding short term
investments) and may vary over time.
See accompanying Notes to Financial Statements
30 SEMIANNUAL REPORT Schedule of Investments
Global Growth and Income Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------- -----------
CORPORATE BONDS (0.3%)
CONSUMER DISCRETIONARY (0.2%)
$ 280,000 GBP EMI Group, PLC
9.750%, 05/20/08 $ 540,996
-----------
CONSUMER STAPLES (0.1%)
470,000 Smithfield Foods, Inc.
7.750%, 05/15/13 495,850
-----------
TOTAL CORPORATE BONDS
(Cost $918,915) 1,036,846
===========
CONVERTIBLE BONDS (55.1%)
CONSUMER DISCRETIONARY (11.0%)
1,000,000 EUR Adidas-Salomon, AG
2.500%, 10/08/18 1,808,538
1,260,050 AUD APN News & Media, Ltd.
7.250%, 10/31/08 1,256,436
2,700,000 Aristocrat Leisure, Ltd.
5.000%, 05/31/06 5,105,133
2,800,000 Best Buy Company, Inc.@
2.250%, 01/15/22 3,076,500
2,500,000 Carnival Corp.
0.000%, 10/24/21 2,087,500
2,700,000 Deutsche Bank, LUX (USA Interactive)*++
3.893%, 05/01/12 3,223,125
1,450,000 Goodyear Tire & Rubber Company*
4.500%, 06/15/34 2,098,875
2,600,000 GBP Hilton Group, PLC
3.375%, 10/02/10 5,824,314
Liberty Media Corp.(Time Warner)
600,000 0.750%, 03/30/23 669,000
500,000 0.750%, 03/30/23* 557,500
1,600,000 Mahindra & Mahindra, Ltd.
0.000%, 05/08/09 1,831,091
250,000,000 JPY NGK SPARK PLUG Co., Ltd.
0.000%, 03/31/11 2,867,912
4,800,000 EUR Publicis Groupe+
0.750%, 07/17/08 1,772,399
400,000,000 JPY Suzuki Motor Corp.
0.000%, 03/31/10 4,184,228
2,700,000 Walt Disney Company@
2.125%, 04/15/23 2,757,375
300,000,000 JPY Yamada Denki Company
0.000%, 09/28/07 5,854,832
-----------
44,974,758
-----------
CONSUMER STAPLES (1.3%)
5,500,000 Nestle Holdings, Inc.
0.000%, 06/11/08 5,542,224
-----------
ENERGY (7.7%)
1,600,000 Cal Dive International, Inc.*
3.250%, 12/15/25 2,022,000
3,500,000 EUR Fugro N.V.
2.375%, 04/27/10 5,026,740
1,125,000 EUR Mediobanca International, Ltd.(ENI SpA)
2.000%, 06/21/06 1,775,658
$ 5,100,000 Nabors Industries, Inc.@
0.000%, 06/15/23 $ 5,820,375
4,599,000 EUR OMV, AG*
1.500%, 12/01/08 9,069,813
Repcon Luxembourg, SA (Repsol Ypf, SA)
2,500,000 4.500%, 01/26/11 3,605,605
700,000 4.500%, 01/26/11*@ 1,009,569
2,750,000 Schlumberger, NV (Schlumberger, Ltd.)
2.125%, 06/01/23 3,255,312
-----------
31,585,072
-----------
FINANCIALS (5.7%)
3,400,000 EUR EFG Eurobank Ergasias
1.000%, 11/29/09 4,449,355
43,000,000 HKD Getsmart Finance. Ltd.(Sino Land)
1.625%, 11/30/09 6,060,860
850,000 Host Marriott Corp.*
3.250%, 04/15/24 936,062
1,400,000 Morgan Stanley (Anadarko, Diamond)
0.250%, 12/30/11 1,979,250
11,000,000 QBE Funding Trust III*@
0.000%, 09/24/24 8,318,750
72,300 Travelers Property Casualty Corp.
4.500%, 04/15/32 1,739,538
-----------
23,483,815
-----------
HEALTH CARE (10.0%)
4,500,000 EUR Allami Privatizacios es Vagyonkezelo Rt
(Gedeon Richter Rt)
1.000%, 09/28/09 6,358,301
4,500,000 Amgen, Inc.
0.000%, 03/01/32 3,583,125
1,700,000 Celgene Corp.
1.750%, 06/01/08 3,895,125
1,700,000 Cephalon, Inc.@
0.000%, 06/15/33 1,587,375
1,500,000 Cytyc Corp.*
2.250%, 03/15/24 1,606,875
1,700,000 Emdeon Corp.@
1.750%, 06/15/23 1,589,500
3,900,000 EUR Essilor International+
1.500%, 07/02/10 3,371,224
2,250,000 Health Management Associates, Inc.
1.500%, 08/01/23 2,334,375
3,400,000 Invitrogen Corp.@
1.500%, 02/15/24 3,106,750
2,700,000 LifePoint Hospitals, Inc.*
3.250%, 08/15/25 2,716,875
8,500,000 Roche Holdings, Inc.
0.000%, 07/25/21 6,341,718
2,800,000 Teva Pharmaceutical Industries, Ltd.
0.500%, 02/01/24 2,807,000
1,600,000 Wyeth++
3.320%, 01/15/24 1,658,784
-----------
40,957,027
-----------
See accompanying Notes to Schedule of Investments
Schedule of Investments SEMIANNUAL REPORT 31
Global Growth and Income Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------- -----------
INDUSTRIALS (6.6%)
$ 2,500,000 SGD Arcadia Global (Keppel)
0.000%, 04/13/09 $ 1,876,820
1,100,000 Armor Holdings, Inc.
2.000%, 11/01/24 1,104,125
3,700,000 EUR BMW Finance, NV (Rolls Royce)
1.875%, 12/18/08 6,884,610
1,930,000 FTI Consulting, Inc.*
3.750%, 07/15/12 2,050,625
3,100,000 EUR Kredit Wiederauf (Deutsche Post, AG)
0.875%, 01/08/07 3,884,411
1,800,000 L-3 Communications Holdings*
3.000%, 08/01/35 1,849,500
1,500,000 Lockheed Martin Corp.@+
3.540%, 08/15/33 1,572,960
3,100,000 Roper Industries, Inc.
1.481%, 01/15/34 1,708,875
4,200,000 EUR Siemens, AG
1.375%, 06/04/10 5,997,704
------------
26,929,630
------------
INFORMATION TECHNOLOGY (7.7%)
1,600,000 ADC Telecommunications, Inc.
1.000%, 06/15/08 1,632,000
1,700,000 Advanced Micro Devices, Inc.
4.750%, 02/01/22 1,935,875
2,200,000 Delta Electronics, Inc.
0.000%, 07/30/08 2,784,195
1,600,000 Electronics For Imaging, Inc.
1.500%, 06/01/23 1,652,000
1,600,000 Flextronics International, Ltd.@
1.000%, 08/01/10 1,628,000
4,100,000 Hon Hai Precision Industry Company, Ltd.
0.000%, 08/08/08 5,687,000
150,000,000 JPY Ibiden Company, Ltd
0.000%, 09/30/14 3,020,350
520,000 Juniper Networks, Inc.*@
0.000%, 06/15/08 658,450
750,000 LSI Logic Corp.
4.000%, 05/15/10 795,000
2,200,000 Novell, Inc.@
0.500%, 07/15/24 1,977,250
1,425,000 Powerwave Technologies, Inc.@
1.875%, 11/15/24 1,881,000
14,000,000 EUR Silicon-On-Insulator Technologies
0.322%, 12/20/09 2,380,008
1,500,000 Sybase, Inc.*
1.750%, 02/22/25 1,625,625
420,000,000 JPY Toshiba Corp.
0.000%, 07/21/11 3,990,791
------------
31,647,544
------------
MATERIALS (3.1%)
4,000,000 Anglo American, PLC
3.375%, 04/17/07 5,303,560
$ 700,000 Freeport-McMoRan Copper & Gold, Inc.
7.000%, 02/11/11 $ 1,165,500
935,000 Givaudan, SA
1.000%, 06/07/06 1,928,593
4,200,000 Taiwan Cement
0.000%, 03/03/09 4,481,670
------------
12,879,323
------------
TELECOMMUNICATION SERVICES (0.4%)
825,000 Nextel Partners, Inc.
1.500%, 11/15/08 1,625,250
------------
UTILITIES (1.6%)
3,100,000 GBP Scottish and Southern Energy, PLC
3.750%, 10/29/09 6,527,633
------------
TOTAL CONVERTIBLE BONDS
(Cost $206,404,751) 226,152,276
============
NUMBER OF
SHARES VALUE
--------- ----------
CONVERTIBLE PREFERRED STOCKS (4.7%)
CONSUMER DISCRETIONARY (0.7%)
83,300 Ford Motor Company Capital Trust II
6.500% 3,036,285
----------
ENERGY (0.9%)
34,000 Valero Energy Corp.
2.000% 3,816,500
----------
FINANCIALS (1.8%)
3,600,000 Fortis, NV (Assurant)*
7.750% 4,041,000
38,500 Genworth Financial, Inc.
6.000% 1,382,150
25,000 Hartford Financial Services Group, Inc.
6.000% 1,734,500
----------
7,157,650
----------
INDUSTRIALS (1.3%)
1,750,000 GBP BAE Systems, PLC++
7.750% 5,243,410
----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $15,125,747) 19,253,845
==========
COMMON STOCKS (34.9%)
CONSUMER DISCRETIONARY (6.1%)
62,500 eBay, Inc.#@ 2,575,000
210,000 HKD Esprit Holdings Limited 1,568,209
70,000 SEK Hennes & Mauritz, AB 2,502,619
73,000 JPY Honda Motor Company, Ltd. 4,150,269
98,500 GBP Next, PLC 2,422,131
95,000 EUR Nokian Renkaat Oyj 2,250,867
27,000 EUR Publicis Groupe 858,540
37,250 Starbucks Corp.# 1,866,225
103,000 CHF Swatch Group, AG 2,921,385
183,000 JPY Yamaha Motor Corp. 3,792,736
----------
24,907,981
----------
See accompanying Notes to Schedule of Investments
32 SEMIANNUAL REPORT Schedule of Investments
Global Growth and Income Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- --------- ------------
CONSUMER STAPLES (2.2%)
159,000 JPY KAO Corp. $ 3,931,491
1,200 CHF Lindt & Spruengli, AG 2,017,404
87,000 JPY Seven & I Holdings Co., Ltd. 2,881,734
------------
8,830,629
------------
ENERGY (3.8%)
21,000 Anadarko Petroleum Corp. 2,010,750
40,000 Forest Oil Corp.#@ 2,084,000
40,000 Noble Energy, Inc. 1,876,000
50,000 EUR OMV, AG 2,967,998
34,000 PetroChina Company, Ltd.@ 2,834,580
360,000 JPY Teikoku Oil Company, Ltd. 3,896,971
------------
15,670,299
------------
FINANCIALS (2.1%)
240,000 EUR Anglo Irish Bank Corp., PLC 3,266,060
20,000 Banco Itau Holding Financeira, SA 2,373,200
77,500 Washington Mutual, Inc.@ 3,039,550
------------
8,678,810
------------
HEALTH CARE (6.1%)
65,000 Alcon, Inc. 8,312,200
84,000 JPY Astellas Pharma, Inc. 3,173,864
45,000 SEK Elekta, AB 2,059,912
18,300 CHF Straumann Holding, AG 4,903,077
85,000 JPY Takeda Chemical Industries 5,088,918
19,380 WellPoint, Inc.# 1,469,392
------------
25,007,363
------------
INDUSTRIALS (3.2%)
24,000 Boeing Company 1,630,800
65,000 JPY FANUC, Ltd. 5,286,829
140,000 EUR Kingspan Group PLC 1,799,724
7,000 CHF Kuehne & Nagel International, AG 1,733,271
34,000 Raytheon Company 1,292,680
3,600 CHF Schindler Holding, Ltd. 1,430,219
------------
13,173,523
------------
INFORMATION TECHNOLOGY (9.7%)
100,000 Autodesk, Inc. 4,644,000
55,000 JPY Canon, Inc. 2,984,916
22,000 JPY HOYA Corp. 733,863
66,000 JPY HOYA Corp.#(P) 2,244,285
110,000 Infosys Technologies, Ltd.@ 8,170,800
85,000 LSI Logic Corp.#@ 837,250
98,266 Motorola, Inc. 2,170,696
35,000 JPY Nintendo Company, Ltd. 4,105,124
490,000 EUR Nokia Corp. 8,254,845
135,000 Novell, Inc.# 1,005,750
62,000 NVIDIA Corp.# 2,125,360
80,000 JPY Trend Micro, Inc. 2,553,157
------------
39,830,046
------------
MATERIALS (1.2%)
7,700C HF Givaudan, SA $ 4,940,877
------------
TELECOMMUNICATION SERVICES (0.5%)
50,000 CAD TELUS Corp. 2,086,451
------------
TOTAL COMMON STOCKS
(Cost $112,404,649) 143,125,979
============
PRINCIPAL
AMOUNT VALUE
- ----------- ----------
SHORT-TERM INVESTMENT (4.5%)
$18,604,000 Citigroup, Inc.
3.730%, 10/03/05
(Cost $18,600,073) 18,600,073
==========
NUMBER OF
SHARES VALUE
- ---------- -------------
INVESTMENT OF CASH COLLATERAL
FOR SECURITIES ON LOAN (10.0%)
41,175,859 Bank of New York Institutional Cash
Reserve Fund current rate 3.861%
(Cost $41,175,859) 41,175,859
============
TOTAL INVESTMENTS (109.5%)
(Cost $394,629,994) 449,344,878
============
OTHER ASSETS, LESS LIABILITIES (0.5%) 2,145,020
------------
PAYABLE UPON RETURN OF SECURITIES LOANED (-10.0%) (41,175,859)
------------
NET ASSETS (100.0%) $410,314,039
============
NOTES TO SCHEDULE OF INVESTMENTS
o Security is considered illiquid and may be difficult to sell.
(P) Security purchased on when issued basis.
* 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 must generally 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 September 30, 2005, the market value
of 144A securities that could not be exchanged to the registered form is
$36,939,820 or 9.0% of net assets.
# Non-income producing security.
@ Security, or portion of security, is on loan.
+ Security is purchased at a price that takes into account the value, if any,
of accrued but unpaid interest.
(!!) Security has been priced at a fair value following procedures approved by
the Board of Trustees, and at September 30, 2005 involved the use of
estimates and assumptions as determined by management personnel without the
utilization of an independent third party pricing service.
++ Variable rate security. The interest rate shown is the rate in effect at
September 30, 2005.
See accompanying Notes to Financial Statements
Schedule of Investments SEMIANNUAL REPORT 33
Global Growth and Income Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
FOREIGN CURRENCY ABBREVIATIONS
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR European Monetary Unit
GBP British Pound Sterling
HKD Hong Kong Dollar
JPY Japanese Yen
SEK Swedish Krona
SGD Singapore Dollar
Note: Market Value for Securities denominated in foreign currencies are shown in
U.S. dollars.
COUNTRY ALLOCATION
COUNTRY % OF PORTFOLIO
- ------- --------------
United States 28.5%
Japan 16.6%
Switzerland 10.3%
United Kingdom 8.4%
Australia 3.8%
Taiwan 3.3%
Austria 3.1%
Germany 3.0%
Finland 2.7%
India 2.6%
France 2.2%
Hungary 1.6%
Hong Kong 1.6%
Ireland 1.3%
Netherlands 1.3%
Spain 1.2%
Sweden 1.2%
Greece 1.2%
Belgium 1.0%
Singapore 0.9%
Netherlands Antilles 0.8%
China 0.7%
Israel 0.7%
Brazil 0.6%
Canada 0.5%
Italy 0.5%
Bermuda 0.4%
-----
TOTAL: 100.0%
=====
Country allocations are based on total investments (excluding short term
investments and security lending collateral) and may vary over time.
See accompanying Notes to Financial Statements
34 SEMIANNUAL REPORT Schedule of Investments
Growth and Income Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- ----------- ------------
CORPORATE BONDS (1.3%)
CONSUMER DISCRETIONARY (0.1%)
$ 6,000,000 Hasbro, Inc.
6.600%, 07/15/28 $ 6,145,710
------------
CONSUMER STAPLES (0.2%)
11,030,000 Smithfield Foods, Inc.
7.750%, 05/15/13 11,636,650
------------
HEALTH CARE (0.5%)
24,000,000 Tenet Healthcare Corp.*@
9.250%, 02/01/15 24,360,000
------------
INDUSTRIALS (0.5%)
28,000,000 Hutchison Whampoa, Ltd.*@
6.250%, 01/24/14 29,653,568
------------
TOTAL CORPORATE BONDS
(Cost $68,772,662) 71,795,928
------------
CONVERTIBLE BONDS (48.7%)
CONSUMER DISCRETIONARY (8.3%)
16,000,000 Aristocrat Leisure, Ltd.
5.000%, 05/31/06 30,252,640
20,000,000 Caesars Entertainment, Inc.
3.599%, 04/15/24 24,179,000
Carnival Corp.
40,700,000 0.000%, 10/24/21 33,984,500
6,275,000 2.000%, 04/15/21 8,220,250
41,000,000 Deutsche Bank, LUX (USA Interactive)*@++
3.893%, 05/01/12 48,943,750
32,000,000 Goodyear Tire & Rubber Company*
4.500%, 06/15/34 46,320,000
1,590,000 Hilton Hotels Corp.@
3.375%, 04/15/23 1,822,538
13,400,000 Lamar Advertising Company@
2.875%, 12/31/10 14,388,250
Liberty Media Corp.(Time Warner)
88,000,000 0.750%, 03/30/23@ 98,120,000
17,720,000 0.750%, 03/30/23* 19,757,800
11,915,000 Lions Gate Entertainment Corp.*
3.625%, 03/15/25 11,483,081
50,000,000 Omnicom Group, Inc.@
0.000%, 02/07/31 49,562,500
9,930,000 Playboy Enterprises, Inc.*
3.000%, 03/15/25 10,314,787
21,300,000 Starwood Hotels & Resorts Worldwide, Inc.@
3.500%, 05/16/23 25,160,625
34,800,000 Walt Disney Company@
2.125%, 04/15/23 35,539,500
------------
458,049,221
------------
CONSUMER STAPLES (0.4%)
9,750,000 Church & Dwight Company, Inc.*
5.250%, 08/15/33 13,016,250
6,200,000 Whole Foods Market, Inc.@
0.000%, 03/02/18 8,897,000
------------
21,913,250
------------
ENERGY (7.1%)
$24,235,000 Cal Dive International, Inc.*
3.250%, 12/15/25 $ 30,626,981
1,800,000 Diamond Offshore Drilling, Inc.@
1.500%, 04/15/31 2,376,000
Grey Wolf, Inc.
20,660,000 3.750%, 05/07/23 28,743,225
8,000,000 4.004%, 04/01/24++ 11,791,200
75,500,000 Halliburton Company, Inc.@
3.125%, 07/15/23 142,223,125
Massey Energy Company@
20,000,000 2.250%, 04/01/24 32,775,000
13,000,000 2.250%, 04/01/24* 21,303,750
50,000,000 Nabors Industries, Inc.@
0.000%, 06/15/23 57,062,500
Schlumberger, NV (Schlumberger, Ltd.)@
30,000,000 2.125%, 06/01/23 35,512,500
200,000 1.500%, 06/01/23 247,500
17,875,000 Veritas DGC, Inc.
3.120%, 03/15/24 29,300,700
------------
391,962,481
------------
FINANCIALS (6.2%)
43,915,000 Bank of America Corp.(NASDAQ 100)
0.250%, 01/26/10 44,683,512
22,350,000 BlackRock, Inc.*
2.625%, 02/15/35 22,964,625
1,000,000 Franklin Resources, Inc.
0.000%, 05/11/31 791,250
HCC Insurance Holdings, Inc.
12,000,000 1.300%, 04/01/23 15,330,000
10,000,000 2.000%, 09/01/21 13,562,500
60,000,000 Host Marriott Corp.*@
3.250%, 04/15/24 66,075,000
20,000,000 Markel Corp.
0.000%, 06/05/31 7,875,000
47,000,000 Merrill Lynch & Company, Inc.@
0.000%, 03/13/32 47,998,750
21,000,000 Morgan Stanley (Anadarko, Diamond)
0.250%, 12/30/11 29,688,750
Providian Financial Corp.
10,000,000 2.750%, 03/15/16 12,512,500
8,045,000 4.000%, 05/15/08 10,931,144
10,900,000 Select Insurance Group
1.615%, 09/24/32 7,016,875
5,815,000 Silicon Valley Bancshares*
0.000%, 06/15/08 8,431,750
2,180,000 Travelers Property Casualty Corp.
4.500%, 04/15/32 52,450,800
------------
340,312,456
------------
See accompanying Notes to Schedule of Investments
Schedule of Investments SEMIANNUAL REPORT 35
Growth and Income Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- ----------- ------------
HEALTH CARE (9.9%)
$67,000,000 Amgen, Inc.@
0.000%, 03/01/32 $ 53,348,750
26,300,000 Cephalon, Inc.@
0.000%, 06/15/33 24,557,625
600,000 Community Health Systems, Inc.
4.250%, 10/15/08 700,500
10,500,000 Conmed Corp.@
2.500%, 11/15/24 9,935,625
Cytyc Corp.
18,808,000 2.250%, 03/15/24@* 20,148,070
9,692,000 2.250%, 03/15/24 10,382,555
40,000,000 Emdeon Corp.@
1.750%, 06/15/23 37,400,000
24,000,000 Genesis Healthcare Corp.*@
2.500%, 03/15/25 23,580,000
1,350,000 Genzyme Corp.@
1.250%, 12/01/23 1,554,188
22,850,000 Greatbatch, Inc.
2.250%, 06/15/13 21,564,688
49,500,000 Health Management Associates, Inc.@
1.500%, 08/01/23 51,356,250
22,950,000 Henry Schein,Inc.
3.000%, 08/15/34 25,761,375
53,850,000 Invitrogen Corp.@
1.500%, 02/15/24 49,205,437
48,800,000 Medtronic, Inc.@
1.250%, 09/15/21 48,983,000
SFBC International, Inc.
19,263,000 2.250%, 08/15/24* 23,741,647
8,585,000 2.250%, 08/15/24@ 10,581,013
Teva Pharmaceutical Industries, Ltd.@
34,000,000 0.250%, 02/01/24 35,232,500
20,500,000 0.500%, 02/01/24 20,551,250
45,000,000 Thoratec Corp.
1.380%, 05/16/34 28,350,000
2,700,000 Universal Health Services, Inc.
0.426%, 06/23/20 1,579,500
27,000,000 Valeant Pharmaceuticals International
4.000%, 11/15/13 24,603,750
26,100,000 Wyeth@++
3.320%, 01/15/24 27,058,914
------------
550,176,637
------------
INDUSTRIALS (4.3%)
18,750,000 Armor Holdings, Inc.
2.000%, 11/01/24 18,820,312
29,900,000 CSX Corp.@
0.000%, 10/30/21 27,395,875
27,700,000 FTI Consulting, Inc.*@
3.750%, 07/15/12 29,431,250
50,000,000 L-3 Communications Holdings*
3.000%, 08/01/35 51,375,000
48,550,000 Lockheed Martin Corp.@++
3.540%, 08/15/33 50,911,472
$49,000,000 Roper Industries, Inc.@
1.481%, 01/15/34 $ 27,011,250
19,500,000 EUR Siemens, AG
1.375%, 06/04/10 27,846,482
3,970,000 United Industrial Corp.*@
3.750%, 09/15/24 4,540,688
------------
237,332,329
------------
INFORMATION TECHNOLOGY (8.2%)
26,000,000 ADC Telecommunications, Inc.@
1.000%, 06/15/08 26,520,000
35,000,000 Advanced Micro Devices, Inc.@++
4.750%, 02/01/22 39,856,250
BearingPoint, Inc.@*
18,000,000 2.500%, 12/15/24 16,492,500
5,000,000 2.750%, 12/15/24 4,643,750
26,000,000 CommScope, Inc.@
1.000%, 03/15/24 25,382,500
15,000,000 CSG Systems International, Inc.*
2.500%, 06/15/24 15,243,750
Digital River, Inc.
17,350,000 1.250%, 01/01/24* 18,087,375
10,000,000 1.250%, 01/01/24@ 10,425,000
21,500,000 DST Systems, Inc.
4.125%, 08/15/23 27,116,875
25,000,000 Electronics For Imaging, Inc.@
1.500%, 06/01/23 25,812,500
Euronet Worldwide, Inc.*
27,000,000 1.625%, 12/15/24 28,518,750
9,925,000 3.500%, 10/15/25 10,098,687
500,000 Fair Isaac Corp.@
1.500%, 08/15/23 557,500
10,373,000 Harris Corp.
3.500%, 08/15/22 19,501,240
16,500,000 Juniper Networks, Inc.*@
0.000%, 06/15/08 20,893,125
12,000,000 LSI Logic Corp.@
4.000%, 05/15/10 12,720,000
7,450,000 M-Systems Flash Disk Pioneers, Ltd.*@
1.000%, 03/15/35 8,642,000
30,000,000 Novell, Inc.@
0.500%, 07/15/24 26,962,500
24,000,000 Openwave Systems, Inc.@
2.750%, 09/09/08 27,570,000
Powerwave Technologies, Inc.
17,500,000 1.875%, 11/15/24@ 23,100,000
4,493,000 1.250%, 07/15/08 5,947,609
54,500,000 Sybase, Inc.*
1.750%, 02/22/25 59,064,375
------------
453,156,286
------------
MATERIALS (1.9%)
40,250,000 Anglo American, PLC
3.375%, 04/17/07 53,367,075
10,050,000 Century Aluminum Company*
1.750%, 08/01/24 9,660,562
See accompanying Notes to Schedule of Investments
36 SEMIANNUAL REPORT Schedule of Investments
Growth and Income Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- ----------- --------------
$15,000,000 Freeport-McMoRan Copper & Gold, Inc.@
7.000%, 02/11/11 $ 24,975,000
15,000,000 Inco, Ltd.@
0.000%, 03/29/21 18,937,500
--------------
106,940,137
--------------
TELECOMMUNICATION SERVICES (1.9%)
19,450,000 Nextel Partners, Inc.
1.500%, 11/15/08 38,316,500
63,500,000 NII Holdings, Inc.*@
2.750%, 08/15/25 68,262,500
--------------
106,579,000
--------------
UTILITIES (0.5%)
12,000,000 GBP Scottish and Southern Energy, PLC
3.750%, 10/29/09 25,268,257
--------------
TOTAL CONVERTIBLE BONDS
(Cost $2,482,206,665) 2,691,690,054
==============
NUMBER OF
SHARES VALUE
- --------- -----------
CONVERTIBLE PREFERRED STOCKS (11.9%)
CONSUMER DISCRETIONARY (1.6%)
2,475,000 Ford Motor Company Capital Trust II
6.500% 90,213,750
-----------
ENERGY (4.7%)
280,000 Amerada Hess Corp.
7.000% 32,788,000
200,000 Chesapeake Energy Corp.*
5.000% 32,900,000
1,750,000 Valero Energy Corp.
2.000% 196,437,500
-----------
262,125,500
-----------
FINANCIALS (4.1%)
22,360 Fortis, NV (Assurant)*
7.750% 25,099,100
760,000 Genworth Financial, Inc.
6.000% 27,284,000
Hartford Financial Services Group, Inc.
375,000 6.000% 26,017,500
300,000 7.000% 21,045,000
676,000 IndyMac Bancorp, Inc.
6.000% 43,602,000
975,000 Metlife, Inc.
6.375% 27,368,250
490,750 Morgan Stanley (Nuveen Investments)
5.875% 18,486,553
666,000 Washington Mutual, Inc.
5.375% 34,798,500
-----------
223,700,903
-----------
HEALTH CARE (0.4%)
420,000 Baxter International, Inc.
7.000% 23,940,000
-----------
NUMBER OF
SHARES VALUE
- ----------- ------------
INDUSTRIALS (0.5%)
9,000,000 GBP BAE Systems, PLC
7.750% $ 26,966,110
------------
INFORMATION TECHNOLOGY (0.6%)
31,000 Lucent Technologies, Inc.
7.750% 31,348,750
------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $472,206,274) 658,295,013
============
COMMON STOCKS (34.8%)
CONSUMER DISCRETIONARY (6.6%)
860,000 EchoStar Communications Corp. 25,430,200
2,060,000 H&R Block, Inc.@ 49,398,800
1,300,000 Home Depot, Inc.@ 49,582,000
900,000 Office Depot, Inc.#@ 26,730,000
550,000 Reebok International, Ltd.@ 31,113,500
887,500 Starbucks Corp.#@ 44,463,750
700,000 Tiffany & Co. 27,839,000
2,600,000 Walt Disney Company 62,738,000
1,030,000 YUM! Brands, Inc. 49,862,300
------------
367,157,550
------------
CONSUMER STAPLES (0.5%)
2,400,000 Del Monte Foods Company# 25,752,000
-----------
ENERGY (3.8%)
345,000 Anadarko Petroleum Corp.@ 33,033,750
700,000 Forest Oil Corp.#@ 36,470,000
410,000 Nabors Industries, Ltd.#@ 29,450,300
1,400,000 Noble Energy, Inc. 65,660,000
982,221 XTO Energy, Inc. 44,514,256
------------
209,128,306
------------
FINANCIALS (4.1%)
430,000 Allstate Corp. 23,774,700
145,000 BlackRock, Inc.@ 12,849,900
450,000 Goldman Sachs Group, Inc. 54,711,000
225,000 Legg Mason, Inc.@ 24,680,250
693,840 Prudential Financial, Inc. 46,875,830
1,600,000 Washington Mutual, Inc.@ 62,752,000
------------
225,643,680
------------
HEALTH CARE (5.8%)
250,000 Alcon, Inc.@ 31,970,000
550,000 Gilead Sciences, Inc.# 26,818,000
1,400,000 HCA, Inc.@ 67,088,000
1,700,000 King Pharmaceuticals, Inc.# 26,146,000
2,320,000 UnitedHealth Group, Inc.@ 130,384,000
524,400 WellPoint, Inc.#@ 39,760,008
------------
322,166,008
------------
See accompanying Notes to Schedule of Investments
Schedule of Investments SEMIANNUAL REPORT 37
Growth and Income Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- ------------- --------------
INDUSTRIALS (3.5%)
835,000 Boeing Company $ 56,738,250
1,500,000 Burlington Northern Santa Fe Corp. 89,700,000
177,000 L-3 Communications Holdings@ 13,995,390
850,000 Raytheon Company 32,317,000
--------------
192,750,640
--------------
INFORMATION TECHNOLOGY (10.0%)
2,560,000 Autodesk, Inc.@ 118,886,400
1,000,000 Fair Isaac Corp.@ 44,800,000
1,350,000 Infosys Technologies, Ltd.@ 100,278,000
1,400,000 Juniper Networks, Inc.#@ 33,306,000
1,450,000 LSI Logic Corp.#@ 14,282,500
2,276,000 Microsoft Corp.@ 58,561,480
1,517,355 Motorola, Inc. 33,518,372
4,500,000 EUR Nokia Corp. 75,809,800
2,000,000 Novell, Inc.# 14,900,000
1,700,000 NVIDIA Corp.#@ 58,276,000
--------------
552,618,552
--------------
MATERIALS (0.5%)
385,000 Martin Marietta Materials, Inc.@ 30,207,100
--------------
TOTAL COMMON STOCKS
(Cost $1,502,916,535) 1,925,423,836
==============
PRINCIPAL
AMOUNT VALUE
- ------------ -----------
SHORT-TERM INVESTMENTS (3.3%)
$ 78,645,000 Citigroup, Inc.
3.730%, 10/03/05 78,628,397
100,000,000 UBS Finance, Inc.
3.800%, 10/03/05 99,978,889
-----------
TOTAL SHORT-TERM INVESTMENTS
(Cost $178,607,286) 178,607,286
===========
NUMBER OF
SHARES VALUE
- ------------ --------------
INVESTMENT OF CASH COLLATERAL
FOR SECURITIES ON LOAN (12.5%)
693,063,438 Bank of New York Institutional Cash
Reserve Fund current rate 3.861%
(Cost $693,063,438) 693,063,438
--------------
TOTAL INVESTMENTS (112.5%)
(Cost $5,397,772,860) 6,218,875,555
==============
PAYABLE UPON RETURN OF SECURITIES LOANED (-12.5%) (693,063,438)
OTHER ASSETS, LESS LIABILITIES (--%) 1,015,538
--------------
NET ASSETS (100.0%) $5,526,827,655
==============
NOTES TO SCHEDULE OF INVESTMENTS
o Security is considered illiquid and may be difficult to sell.
@ Security, or portion of security, is on loan.
* 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 must generally 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 September 30, 2005, the market value
of 144A securities that could not be exchanged to the registered form is
$429,397,105 or 7.8% of net assets.
++ Variable rate security. The interest rate shown is the rate in effect at
September 30, 2005.
# Non-income producing security.
(!!) Security has been priced at a fair value following procedures approved by
the Board of Trustees, and at September 30, 2005 involved the use of
estimates and assumptions as determined by management personnel without the
utilization of an independent third party pricing service.
FOREIGN CURRENCY ABBREVIATIONS
EUR European Monetary Unit
GBP British Pound Sterling
Note: Market Value for Securities denominated in foreign currencies are shown in
U.S. dollars.
See accompanying Notes to Financial Statements
38 SEMIANNUAL REPORT Schedule of Investments
High Yield Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- -------------- -----------
CORPORATE BONDS (54.6%)
CONSUMER DISCRETIONARY (16.0%)
$ 561,000 Aztar Corp.@
7.875%, 06/15/14 $ 589,050
935,000 CanWest Media, Inc.@
7.625%, 04/15/13 1,022,656
303,000 DIRECTV Financing Company, Inc.
8.375%, 03/15/13 332,164
1,403,000 GBP EMI Group, PLC
9.750%, 05/20/08 2,710,777
Ford Motor Company
2,151,000 7.875%, 06/15/10 2,095,171
1,403,000 7.450%, 07/16/31@ 1,101,355
General Motors Corp.@
561,000 8.250%, 07/15/23 438,983
187,000 7.125%, 07/15/13 160,353
Goodyear Tire & Rubber Company@
1,403,000 7.857%, 08/15/11 1,364,417
1,403,000 7.000%, 03/15/28 1,143,445
468,000 Houghton Mifflin Company@
9.875%, 02/01/13 498,420
818,000 Hovnanian Enterprises, Inc.@
7.750%, 05/15/13 837,427
935,000 IMAX Corp.
9.625%, 12/01/10 1,005,125
935,000 Intrawest Corp.
7.500%, 10/15/13 961,881
599,000 Isle of Capri Casinos, Inc.@
9.000%, 03/15/12 637,935
1,450,000 Jarden Corp.
9.750%, 05/01/12 1,551,500
1,684,000 La Quinta, Corp.
8.875%, 03/15/11 1,810,300
1,403,000 Landry's Restaurants, Inc.@
7.500%, 12/15/14 1,339,865
935,000 Mandalay Resort Group@
7.625%, 07/15/13 977,075
1,871,000 NCL Holding, ASA*
10.625%, 07/15/14 1,983,260
2,338,000 Oxford Industries, Inc.
8.875%, 06/01/11 2,443,210
234,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 246,870
1,403,000 Pinnacle Entertainment, Inc.@
8.750%, 10/01/13 1,452,105
140,000 RH Donnelley Financial Corp.*
10.875%, 12/15/12 157,850
935,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 845,063
935,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 862,613
281,000 Russell Corp.
9.250%, 05/01/10 285,215
1,122,000 Vail Resorts, Inc.
6.750%, 02/15/14 1,124,805
$ 935,000 GBP Warner Music Group
8.125%, 04/15/14 $ 1,708,054
WCI Communities, Inc.
1,871,000 6.625%, 03/15/15@ 1,702,610
842,000 7.875%, 10/01/13 835,685
-----------
34,225,239
-----------
CONSUMER STAPLES (6.7%)
1,871,000 Central Garden & Pet Company
9.125%, 02/01/13 2,011,325
1,029,000 Chattem, Inc.@
7.000%, 03/01/14 1,049,580
Dole Food Company, Inc.
935,000 7.250%, 06/15/10 935,000
467,000 8.875%, 03/15/11 486,848
2,338,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 2,338,000
655,000 NBTY, Inc.*
7.125%, 10/01/15 645,175
842,000 Playtex Products, Inc.
8.000%, 03/01/11 886,205
935,000 Revlon, Inc.@
9.500%, 04/01/11 885,912
2,338,000 Smithfield Foods, Inc.
7.750%, 05/15/13 2,466,590
Spectrum Brands, Inc.@
1,730,000 8.500%, 10/01/13 1,678,100
468,000 7.375%, 02/01/15 423,540
516,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 558,570
-----------
14,364,845
-----------
ENERGY (7.7%)
935,000 Arch Western Finance, LLC
6.750%, 07/01/13 958,375
935,000 Chesapeake Energy Corp.
6.875%, 01/15/16 963,050
1,403,000 Comstock Resources, Inc.
6.875%, 03/01/12 1,420,538
1,403,000 Giant Industries, Inc.
8.000%, 05/15/14 1,473,150
1,684,000 KCS Energy, Inc.
7.125%, 04/01/12 1,734,520
1,208,000 Paramount Resources Ltd.
8.500%, 01/31/13 1,244,240
2,525,000 Petroleo Brasileiro, SA@
8.375%, 12/10/18 2,834,312
935,000 Range Resources Corp.
7.375%, 07/15/13 995,775
1,403,000 Stone Energy Corp.@
6.750%, 12/15/14 1,385,463
1,403,000 Swift Energy Company
9.375%, 05/01/12 1,522,255
1,871,000 Williams Companies, Inc.@
7.750%, 06/15/31 2,034,712
-----------
16,566,390
-----------
See accompanying Notes to Schedule of Investments
Schedule of Investments SEMIANNUAL REPORT 39
High Yield Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- ---------- ------------
FINANCIALS (3.6%)
$1,020,000 E*TRADE FINANCIAL Corp.*
7.375%, 09/15/13 $ 1,035,300
935,000 Host Marriott Corp.@
7.125%, 11/01/13 959,544
2,338,000 Leucadia National Corp.
7.000%, 08/15/13 2,361,380
281,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 285,215
926,000 Refco Group Ltd.@
9.000%, 08/01/12 1,011,655
1,871,000 Senior Housing Properties Trust
7.875%, 04/15/15 2,001,970
------------
7,655,064
------------
HEALTH CARE (4.2%)
1,590,000 Ameripath, Inc.@
10.500%, 04/01/13 1,661,550
1,179,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 1,273,996
935,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 1,040,187
935,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 993,438
842,000 Quintiles Transnational Corp.
10.000%, 10/01/13 951,460
1,590,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 1,613,850
1,403,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 1,501,210
------------
9,035,691
------------
INDUSTRIALS (7.9%)
514,000 Accuride Corp.
8.500%, 02/01/15 506,290
935,000 AMR Corp.
7.250%, 02/05/09 878,900
1,403,000 Armor Holdings, Inc.@
8.250%, 08/15/13 1,518,747
2,806,000 CNH Global, NV
9.250%, 08/01/11 2,981,375
1,871,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 1,899,065
935,000 Gardner Denver, Inc.*
8.000%, 05/01/13 978,244
748,000 General Cable Corp.
9.500%, 11/15/10 791,010
468,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 489,060
935,000 JLG Industries, Inc.
8.250%, 05/01/08 991,100
1,871,000 Mobile Mini, Inc.
9.500%, 07/01/13 2,076,810
561,000 Monitronics International, Inc.@
11.750%, 09/01/10 569,415
$2,338,000 Terex Corp.
7.375%, 01/15/14 $ 2,373,070
935,000 Wesco Distribution Inc.*@
7.500%, 10/15/17 937,338
------------
16,990,424
------------
INFORMATION TECHNOLOGY (3.6%)
1,871,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 1,927,130
1,871,000 Celestica, Inc.
7.625%, 07/01/13 1,875,677
1,403,000 Freescale Semiconductor, Inc.@
7.125%, 07/15/14 1,501,210
935,000 SunGard Data Systems Inc.*@
9.125%, 08/15/13 973,569
1,590,000 Telcordia Technologies*
10.000%, 03/15/13 1,510,500
------------
7,788,086
------------
MATERIALS (3.7%)
795,000 Aleris International, Inc.
10.375%, 10/15/10 880,463
2,806,000 Equistar Chemicals, LP
10.625%, 05/01/11 3,072,570
1,403,000 Neenah Paper, Inc.
7.375%, 11/15/14 1,357,402
1,871,000 U.S. Concrete, Inc.@
8.375%, 04/01/14 1,889,710
Union Carbide Corp.
468,000 7.875%, 04/01/23 515,317
234,000 7.500%, 06/01/25@ 250,934
------------
7,966,396
------------
TELECOMMUNICATION SERVICES (1.2%)
889,000 IPCS Escrow Company
11.500%, 05/01/12 1,031,240
1,403,000 Syniverse Technologies, Inc.*
7.750%, 08/15/13 1,420,537
------------
2,451,777
------------
TOTAL CORPORATE BONDS
(Cost $113,695,094) 117,043,912
============
CONVERTIBLE BONDS (19.2%)
CONSUMER DISCRETIONARY (0.5%)
1,000,000 Lamar Advertising Company@
2.875%, 12/31/10 1,073,750
------------
CONSUMER STAPLES (0.9%)
1,500,000 Church & Dwight Company, Inc.@
5.250%, 08/15/33 2,002,500
------------
ENERGY (1.8%)
3,000,000 Cal Dive International, Inc.*
3.250%, 12/15/25 3,791,250
------------
HEALTH CARE (4.5%)
2,200,000 Emdeon Corp.*
3.125%, 09/01/25 2,142,250
See accompanying Notes to Schedule of Investments
40 SEMIANNUAL REPORT Schedule of Investments
High Yield Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- --------- ------------
$2,450,000 Invitrogen Corp.@
1.500%, 02/15/24 $ 2,238,688
2,000,000 LifePoint Hospitals, Inc.*@
3.250%, 08/15/25 2,012,500
3,500,000 Valeant Pharmaceuticals International@
4.000%, 11/15/13 3,189,375
-----------
9,582,813
-----------
INDUSTRIALS (5.5%)
2,000,000 GATX Corp.
7.500%, 02/01/07 2,500,000
2,100,000 L-3 Communications Holdings*
3.000%, 08/01/35 2,157,750
2,000,000 Lockheed Martin Corp. @+
3.540%, 08/15/33 2,097,280
2,000,000 Quanta Services,Inc.
4.500%, 10/01/23 2,592,500
4,200,000 Roper Industries,Inc.@
1.481%, 01/15/34 2,315,250
-----------
11,662,780
-----------
INFORMATION TECHNOLOGY (5.5%)
1,900,000 ADC Telecomunications +
3.996%, 06/15/13 2,009,250
1,000,000 Advanced Micro Devices,Inc.+
4.750%, 02/01/22 1,138,750
3,000,000 CSG Systems International,Inc.@
2.500%, 06/15/24 3,048,750
1,800,000 DST Systems,Inc.
4.125%, 08/15/23 2,270,250
1,200,000 Liberty Media Corp.
3.500%, 01/15/31 1,195,500
2,000,000 LSI Logic Corp.@
4.000%, 05/15/10 2,120,000
-----------
11,782,500
-----------
UTILITIES (0.5%)
550,000 GBP Scottish and Southern Energy, PLC
3.750%, 10/29/09 1,158,128
-----------
TOTAL CONVERTIBLE BONDS
(Cost $39,042,751) 41,053,721
===========
SYNTHETIC CONVERTIBLE SECURITIES (4.5%)
CORPORATE BONDS (3.8%)
CONSUMER DISCRETIONARY (1.1%)
39,000 Aztar Corp.@
7.875%, 06/15/14 40,950
65,000 CanWest Media, Inc.@
7.625%, 04/15/13 71,094
21,000 DIRECTV Financing Company,Inc.
8.375%, 03/15/13 23,021
97,000 GBP EMI Group, PLC
9.750%, 05/20/08 187,416
Ford Motor Company
149,000 7.875%, 06/15/10 145,133
97,000 7.450%, 07/16/31@ 76,145
General Motors Corp.@
$ 39,000 8.250%, 07/15/23 $ 30,517
13,000 7.125%, 07/15/13 11,147
Goodyear Tire & Rubber Company@
97,000 7.857%, 08/15/11 94,332
97,000 7.000%, 03/15/28 79,055
32,000 Houghton Mifflin Company@
9.875%, 02/01/13 34,080
57,000 Hovnanian Enterprises, Inc.@
7.750%, 05/15/13 58,354
65,000 IMAX Corp.
9.625%, 12/01/10 69,875
65,000 Intrawest Corp.
7.500%, 10/15/13 66,869
41,000 Isle of Capri Casinos,Inc.@
9.000%, 03/15/12 43,665
100,000 Jarden Corp.
9.750%, 05/01/12 107,000
116,000 La Quinta, Corp.
8.875%, 03/15/11 124,700
97,000 Landry's Restaurants, Inc.@
7.500%, 12/15/14 92,635
65,000 Mandalay Resort Group@
7.625%, 07/15/13 67,925
129,000 NCL Holding, ASA*
10.625%, 07/15/14 136,740
162,000 Oxford Industries, Inc.
8.875%, 06/01/11 169,290
16,000 Phillips-Van Heusen Corp.
8.125%, 05/01/13 16,880
97,000 Pinnacle Entertainment, Inc.@
8.750%, 10/01/13 100,395
10,000 RH Donnelley Financial Corp.*
10.875%, 12/15/12 11,275
65,000 CAD Rogers Cable, Inc.
7.250%, 12/15/11 58,748
65,000 CAD Rogers Wireless, Inc.
7.625%, 12/15/11 59,968
19,000 Russell Corp.
9.250%, 05/01/10 19,285
78,000 Vail Resorts, Inc.
6.750%, 02/15/14 78,195
65,000 GBP Warner Music Group
8.125%, 04/15/14 118,742
WCI Communities, Inc.
129,000 6.625%, 03/15/15@ 117,390
58,000 7.875%, 10/01/13 57,565
-----------
2,368,386
-----------
CONSUMER STAPLES (0.5%)
129,000 Central Garden & Pet Company
9.125%, 02/01/13 138,675
71,000 Chattem,Inc.@
7.000%, 03/01/14 72,420
See accompanying Notes to Schedule of Investments
Schedule of Investments SEMIANNUAL REPORT 41
High Yield Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- --------- ----------
Dole Food Company, Inc.
$ 65,000 7.250%, 06/15/10 $ 65,000
32,000 8.875%, 03/15/11 33,360
162,000 Jean Coutu Group, Inc.@
8.500%, 08/01/14 162,000
45,000 NBTY, Inc.*
7.125%, 10/01/15 44,325
58,000 Playtex Products, Inc.
8.000%, 03/01/11 61,045
65,000 Revlon,Inc.@
9.500%, 04/01/11 61,588
162,000 Smithfield Foods, Inc.
7.750%, 05/15/13 170,910
Spectrum Brands, Inc.@
120,000 8.500%, 10/01/13 116,400
32,000 7.375%, 02/01/15 28,960
36,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 38,970
----------
993,653
----------
ENERGY (0.5%)
65,000 Arch Western Finance, LLC
6.750%, 07/01/13 66,625
65,000 Chesapeake Energy Corp.
6.875%, 01/15/16 66,950
97,000 Comstock Resources, Inc.
6.875%, 03/01/12 98,213
97,000 Giant Industries, Inc.
8.000%, 05/15/14 101,850
116,000 KCS Energy, Inc.
7.125%, 04/01/12 119,480
84,000 Paramount Resources Ltd.
8.500%, 01/31/13 86,520
175,000 Petroleo Brasileiro, SA@
8.375%, 12/10/18 196,437
65,000 Range Resources Corp.
7.375%, 07/15/13 69,225
97,000 Stone Energy Corp.@
6.750%, 12/15/14 95,788
97,000 Swift Energy Company
9.375%, 05/01/12 105,245
129,000 Williams Companies, Inc.@
7.750%, 06/15/31 140,287
----------
1,146,620
----------
FINANCIALS (0.2%)
70,000 E*TRADE FINANCIAL Corp.*
7.375%, 09/15/13 71,050
65,000 Host Marriott Corp.@
7.125%, 11/01/13 66,706
162,000 Leucadia National Corp.
7.000%, 08/15/13 163,620
19,000 Omega Healthcare Investors, Inc.
7.000%, 04/01/14 19,285
$ 64,000 Refco Group Ltd.@
9.000%, 08/01/12 $ 69,920
129,000 Senior Housing Properties Trust
7.875%, 04/15/15 138,030
----------
528,611
----------
HEALTH CARE (0.3%)
110,000 Ameripath, Inc.@
10.500%, 04/01/13 114,950
81,000 Bausch & Lomb, Inc.
7.125%, 08/01/28 87,526
65,000 Beverly Enterprises, Inc.
7.875%, 06/15/14 72,312
65,000 Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 69,063
58,000 Quintiles Transnational Corp.
10.000%, 10/01/13 65,540
110,000 Tenet Healthcare Corp.*
9.250%, 02/01/15 111,650
97,000 Vanguard Health Systems, Inc.
9.000%, 10/01/14 103,790
----------
624,831
----------
INDUSTRIALS (0.5%)
36,000 Accuride Corp.
8.500%, 02/01/15 35,460
65,000 AMR Corp.
7.250%, 02/05/09 61,100
97,000 Armor Holdings, Inc.@
8.250%, 08/15/13 105,002
194,000 CNH Global, NV
9.250%, 08/01/11 206,125
129,000 Columbus McKinnon Corp.*
8.875%, 11/01/13 130,935
65,000 Gardner Denver, Inc.*
8.000%, 05/01/13 68,006
52,000 General Cable Corp.
9.500%, 11/15/10 54,990
32,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 33,440
65,000 JLG Industries, Inc.
8.250%, 05/01/08 68,900
129,000 Mobile Mini, Inc.
9.500%, 07/01/13 143,190
39,000 Monitronics International, Inc.@
11.750%, 09/01/10 39,585
162,000 Terex Corp.
7.375%, 01/15/14 164,430
65,000 Wesco Distribution Inc.*@
7.500%, 10/15/17 65,163
----------
1,176,326
----------
INFORMATION TECHNOLOGY (0.3%)
129,000 Advanced Micro Devices, Inc.
7.750%, 11/01/12 132,870
See accompanying Notes to Schedule of Investments
42 SEMIANNUAL REPORT Schedule of Investments
High Yield Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- --------- ----------
$129,000 Celestica, Inc.
7.625%, 07/01/13 $ 129,323
97,000 Freescale Semiconductor, Inc.@
7.125%, 07/15/14 103,790
65,000 SunGard Data Systems Inc.*@
9.125%, 08/15/13 67,681
110,000 Telcordia Technologies*
10.000%, 03/15/13 104,500
----------
538,164
----------
MATERIALS (0.3%)
55,000 Aleris International, Inc.
10.375%, 10/15/10 60,913
194,000 Equistar Chemicals, LP
10.625%, 05/01/11 212,430
97,000 Neenah Paper,Inc.
7.375%, 11/15/14 93,847
129,000 U.S. Concrete, Inc.@
8.375%, 04/01/14 130,290
Union Carbide Corp.
32,000 7.875%, 04/01/23 35,235
16,000 7.500%, 06/01/25@ 17,158
----------
549,873
----------
TELECOMMUNICATION SERVICES (0.1%)
61,000 IPCS Escrow Company
11.500%, 05/01/12 70,760
97,000 Syniverse Technologies, Inc.*
7.750%, 08/15/13 98,213
----------
168,973
----------
TOTAL CORPORATE BONDS 8,095,437
==========
NUMBER OF
CONTRACTS VALUE
- --------- ----------
OPTIONS (0.7%)
CONSUMER DISCRETIONARY (0.2%)
100 eBay, Inc.#
Call, 01/20/07, Strike $42.50 66,000
445 Home Depot, Inc.#
Call, 01/20/07, Strike $40.00 182,450
430 YUM! Brands, Inc.#
Call, 01/20/07, Strike $50.00 215,000
---------
463,450
---------
FINANCIALS (0.2%)
600 Allstate Corp.#
Call, 01/20/07, Strike $55.00 354,000
---------
INFORMATION TECHNOLOGY (0.3%)
300 Apple Computer, Inc.#
Call, 01/20/07, Strike $37.50 610,500
---------
TOTAL OPTIONS 1,427,950
---------
TOTAL SYNTHETIC CONVERTIBLE SECURITIES
(Cost $9,110,401) 9,523,387
=========
NUMBER OF
SHARES VALUE
- --------- -----------
CONVERTIBLE PREFERRED STOCKS (18.8%)
CONSUMER DISCRETIONARY (1.3%)
76,500 Ford Motor Company Capital Trust II
6.500% $ 2,788,425
-----------
CONSUMER STAPLES (0.9%)
50,000 Constellation Brands, Inc.
5.750% 1,953,000
-----------
ENERGY (1.5%)
20,000 Chesapeake Energy Corp.*
5.000% 3,290,000
-----------
FINANCIALS (8.1%)
80,000 Chubb Corp.
7.000% 2,612,000
2,500,000 Fortis, NV (Assurant)*
7.750% 2,806,250
35,000 Hartford Financial Services Group, Inc.
7.000% 2,455,250
75,000 Lazard Ltd.
6.625% 1,905,750
40,000 Lehman Brothers Holdings, Inc.
6.250% 1,042,400
90,000 Merrill Lynch & Company, Inc.
6.750% 3,382,470
60,000 Washington Mutual, Inc.
5.375% 3,135,000
-----------
17,339,120
-----------
HEALTH CARE (1.2%)
45,000 Baxter International, Inc.
7.000% 2,565,000
-----------
INDUSTRIALS (3.1%)
1,200,000 GBP BAE Systems, PLC
7.750% 3,595,481
25,000 Northrop Grumman Corp.
7.000% 3,025,000
-----------
6,620,481
-----------
UTILITIES (2.7%)
35,000 CenterPoint Energy, Inc.+
2.000% 1,232,315
50,000 TXU Corp.
8.125% 4,547,500
-----------
5,779,815
-----------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $34,827,527) 40,335,841
===========
PREFERRED STOCK (0.4%)
CONSUMER DISCRETIONARY (0.4%)
35,000 Tommy Hilfiger Corp.
9.000%
(Cost $930,053) 897,750
-----------
See accompanying Notes to Schedule of Investments
Schedule of Investments SEMIANNUAL REPORT 43
High Yield Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- ---------- ----------
SHORT-TERM INVESTMENT (1.1%)
$2,293,000 Citigroup, Inc.
3.730%, 10/03/05
(Cost $2,292,516) $2,292,516
==========
NUMBER OF
SHARES VALUE
- ---------- ------------
INVESTMENT OF CASH COLLATERAL
FOR SECURITIES ON LOAN (21.4%)
45,865,015 Bank of New York Institutional Cash
Reserve Fund current rate 3.861%
(Cost $45,865,015) 45,865,015
------------
TOTAL INVESTMENTS (120.0%)
(Cost $245,763,357) 257,012,142
============
PAYABLE UPON RETURN OF SECURITIES LOANED (-21.4%) (45,865,015)
------------
OTHER ASSETS, LESS LIABILITIES
(1.4%) 3,081,836
------------
NET ASSETS (100.0%) $214,228,963
============
NOTES TO SCHEDULE OF INVESTMENTS
* 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 must generally 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 September 30, 2005, the market value
of 144A securities that could not be exchanged to the registered form is
$23,013,851 or 10.7% of net assets.
# Non-income producing security.
@ Security, or portion of security, is on loan.
++ Variable rate security. The interest rate shown is the rate in effect at
September 30, 2005.
FOREIGN CURRENCY ABBREVIATIONS
CAD Canadian Dollar
GBP British Pound Sterling
Note: Market Value for Securities denominated in foreign currencies are shown in
U.S. dollars.
See accompanying Notes to Financial Statements
44 SEMIANNUAL REPORT Schedule of Investments
Convertible Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- ------------ ------------
CONVERTIBLE BONDS (74.5%)
CONSUMER DISCRETIONARY (12.0%)
$ 4,500,000 Best Buy Company, Inc.@
2.250%, 01/15/22 $ 4,944,375
18,500,000 Carnival Corp.
0.000%, 10/24/21 15,447,500
8,250,000 Deutsche Bank, LUX (USA Interactive)*++
3.893%, 05/01/12 9,848,437
10,400,000 Goodyear Tire & Rubber Company*
4.500%, 06/15/34 15,054,000
3,000,000 Grey Global Group, Inc.*
5.000%, 10/15/33 3,487,500
Liberty Media Corp.(Time Warner)
17,720,000 0.750%, 03/30/23* 19,757,800
8,000,000 0.750%, 03/30/23@ 8,920,000
9,500,000 Lowe's Companies, Inc.++
0.861%, 10/19/21 10,794,375
Omnicom Group, Inc.@
16,500,000 0.000%, 06/15/33 16,231,875
2,400,000 0.000%, 02/07/31 2,379,000
7,170,000 Scientific Games Corp.*
0.750%, 12/01/24 8,433,713
10,000,000 Walt Disney Company@
2.125%, 04/15/23 10,212,500
------------
125,511,075
------------
CONSUMER STAPLES (1.4%)
Church & Dwight Company,Inc.
4,000,000 5.250%, 08/15/33* 5,340,000
3,000,000 5.250%, 08/15/33@ 4,005,000
5,250,000 Nestle Holdings, Inc.
0.000%, 06/11/08 5,290,305
------------
14,635,305
------------
ENERGY (9.7%)
7,000,000 Cooper Cameron Corp.*@
1.500%, 05/15/24 8,452,500
5,600,000 Diamond Offshore Drilling, Inc.@
1.500%, 04/15/31 7,392,000
8,000,000 Grey Wolf, Inc.++
4.004%, 04/01/24 11,791,200
Halliburton Company, Inc.@
6,300,000 3.125%, 07/15/23* 11,867,625
4,300,000 3.125%, 07/15/23 8,100,125
16,000,000 Nabors Industries, Inc.@
0.000%, 06/15/23 18,260,000
15,000,000 Schlumberger, NV (Schlumberger, Ltd.)
2.125%, 06/01/23 17,756,250
5,000,000 SEACOR Holdings Inc.@
2.875%, 12/15/24 5,825,000
7,500,000 Veritas DGC, Inc.*++
3.120%, 03/15/24 12,294,000
------------
101,738,700
------------
FINANCIALS (9.0%)
$12,000,000 Bank of America Corp.(NASDAQ 100)
0.250%, 01/26/10 $ 12,210,000
13,000,000 Financial Federal Corp.*
2.000%, 04/15/34 13,260,000
HCC Insurance Holdings, Inc.
5,235,000 1.300%, 04/01/23@ 6,687,713
5,000,000 2.000%, 09/01/21 6,781,250
14,800,000 Host Marriott Corp.*@
3.250%, 04/15/24 16,298,500
6,250,000 LandAmerica Financial Group, Inc.
3.125%, 11/15/33 6,929,687
12,000,000 Merrill Lynch & Company, Inc.
0.000%, 03/13/32 12,255,000
6,300,000 Morgan Stanley (Anadarko, Diamond)
0.250%, 12/30/11 8,906,625
435,000 Travelers Property Casualty Corp.
4.500%, 04/15/32 10,466,100
------------
93,794,875
------------
HEALTH CARE (17.4%)
13,500,000 Amgen, Inc.@
0.000%, 03/01/32 10,749,375
11,000,000 Community Health Systems, Inc.
4.250%, 10/15/08 12,842,500
6,200,000 Conmed Corp.*
2.500%, 11/15/24 5,866,750
5,850,000 Edwards Lifesciences Corp.@
3.875%, 05/15/33 5,974,313
10,850,000 Emdeon Corp.*@
3.125%, 09/01/25 10,565,187
18,500,000 Genzyme Corp.@
1.250%, 12/01/23 21,298,125
20,000,000 Invitrogen Corp.*@
3.250%, 06/15/25 20,700,000
16,500,000 Laboratory Corporation of America Holdings
0.000%, 09/11/21 12,168,750
23,000,000 Medtronic, Inc.@
1.250%, 09/15/21 23,086,250
12,750,000 ResMed Ltd.@
4.000%, 06/20/06 16,845,937
14,000,000 Roche Holdings,Inc.
0.000%, 07/25/21 10,445,182
Teva Pharmaceutical Industries, Ltd.@
6,500,000 0.250%, 02/01/24 6,735,625
5,500,000 0.500%, 02/01/24 5,513,750
6,950,000 Watson Pharmaceuticals, Inc.@
1.750%, 03/15/23 7,097,688
12,000,000 Wyeth@++
3.320%, 01/15/24 12,440,880
------------
182,330,312
------------
INDUSTRIALS (7.1%)
Alliant Techsystems, Inc.@
5,800,000 3.000%, 08/15/24* 6,735,250
650,000 2.750%, 02/15/24 697,125
See accompanying Notes to Schedule of Investments
Schedule of Investments SEMIANNUAL REPORT 45
Convertible Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- ---------------- ------------
$17,000,000 CSX Corp.
0.000%, 10/30/21 $ 15,576,250
13,500,000 Fluor Corp.@
1.500%, 02/15/24 16,841,250
11,900,000 L-3 Communications Holdings*
3.000%, 08/01/35 12,227,250
10,000,000 Lockheed Martin Corp.@++
3.540%, 08/15/33 10,486,400
8,000,000 EUR Siemens, AG
1.375%, 06/04/10 11,424,198
------------
73,987,723
------------
INFORMATION TECHNOLOGY (12.9%)
5,000,000 ADC Telecommunications, Inc.@
1.000%, 06/15/08 5,100,000
9,500,000 Advanced Micro Devices, Inc.++
4.750%, 02/01/22 10,818,125
11,200,000 Cadence Design Systems, Inc.@
0.000%, 08/15/23 12,348,000
13,300,000 CSG Systems International, Inc.*
2.500%, 06/15/24 13,516,125
14,350,000 DST Systems, Inc.@
4.125%, 08/15/23 18,098,937
10,000,000 Fair Isaac Corp.@
1.500%, 08/15/23 11,150,000
8,450,000 Flextronics International, Ltd.@
1.000%, 08/01/10 8,597,875
6,400,000 Harris Corp.
3.500%, 08/15/22 12,032,000
10,000,000 Juniper Networks, Inc.*
0.000%, 06/15/08 12,662,500
2,500,000 LSI Logic Corp.@
4.000%, 05/15/10 2,650,000
11,000,000 Photronics, Inc.
2.250%, 04/15/08 14,836,250
12,000,000 Sybase, Inc.*
1.750%, 02/22/25 13,005,000
------------
134,814,812
------------
MATERIALS (4.4%)
18,000,000 Anglo American, PLC
3.375%, 04/17/07 23,866,021
11,000,000 Givaudan, SA
1.000%, 06/07/06 22,689,321
------------
46,555,342
------------
UTILITIES (0.6%)
CenterPoint Energy, Inc.
3,000,000 2.875%, 01/15/24@ 3,600,000
2,000,000 3.750%, 05/15/23 2,657,500
------------
6,257,500
------------
TOTAL CONVERTIBLE BONDS
(Cost $715,735,959) 779,625,644
============
CONVERTIBLE PREFERRED STOCKS (17.7%)
CONSUMER DISCRETIONARY (2.7%)
782,000 Ford Motor Company Capital Trust II
6.500% $ 28,503,900
------------
CONSUMER STAPLES (0.5%)
140,000 Constellation Brands, Inc.
5.750% 5,468,400
------------
ENERGY (1.8%)
160,000 Amerada Hess Corp.
7.000% 18,736,000
------------
FINANCIALS (10.1%)
520,000 Chubb Corp.
7.000% 16,998,800
6,100,000 Fortis, NV (Assurant)*
7.750% 6,847,250
485,000 Genworth Financial, Inc.
6.000% 17,411,500
325,000 Lazard Ltd.
6.625% 8,258,250
430,000 Lehman Brothers Holdings, Inc.
6.250% 11,205,800
400,000 Metlife, Inc.
6.375% 11,228,000
279,000 Morgan Stanley (Nuveen Investments)
5.875% 10,509,930
440,930 Washington Mutual, Inc.
5.375% 23,038,592
------------
105,498,122
------------
HEALTH CARE (1.1%)
200,000 Baxter International, Inc.
7.000% 11,400,000
------------
INDUSTRIALS (0.1%)
12,200 Northrop Grumman Corp.
7.000% 1,476,200
------------
INFORMATION TECHNOLOGY (0.6%)
5,800,000 Lucent Technologies, Inc.
7.750% 5,865,250
------------
UTILITIES (0.8%)
247,180 CenterPoint Energy, Inc.
2.875% 8,702,961
------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $165,065,116) 185,650,833
============
See accompanying Notes to Schedule of Investments
46 SEMIANNUAL REPORT Schedule of Investments
Convertible Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- --------- -----------
COMMON STOCKS (6.3%)
FINANCIALS (1.1%)
176,400 Prudential Financial, Inc. $11,917,584
-----------
HEALTH CARE (2.6%)
255,000 HCA, Inc. 12,219,600
198,360 WellPoint, Inc.# 15,039,655
-----------
27,259,255
-----------
INDUSTRIALS (2.3%)
350,000 Boeing Company 23,782,500
-----------
INFORMATION TECHNOLOGY (0.3%)
260,000 LSI Logic Corp.#@ 2,561,000
-----------
TOTAL COMMON STOCKS
(Cost $41,000,733) 65,520,339
===========
PRINCIPAL
AMOUNT VALUE
- ----------- ----------
SHORT-TERM INVESTMENT (2.1%)
$21,473,000 Citigroup, Inc.
3.730%, 10/03/05
(Cost $21,468,467) 21,468,467
==========
NUMBER OF
SHARES VALUE
- ----------- --------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES
ON LOAN (17.5%)
183,084,217 Bank of New York Institutional Cash
Reserve Fund current rate 3.861%
(Cost $183,084,217) 183,084,217
--------------
TOTAL INVESTMENTS (118.1%)
(Cost $1,126,354,492) 1,235,349,500
==============
PAYABLE UPON RETURN OF SECURITIES LOANED (-17.5%) (183,084,217)
--------------
LIABILITIES, LESS OTHER ASSETS
(-0.6%) (6,341,646)
--------------
NET ASSETS (100.0%) $1,045,923,637
==============
NOTES TO SCHEDULE OF INVESTMENTS
* 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 must generally 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 September 30, 2005, the market value
of 144A securities that could not be exchanged to the registered form is
$91,540,624 or 8.8% of net assets.
# Non-income producing security.
@ Security, or portion of security, is on loan.
++ Variable rate security. The interest rate shown is the rate in effect at
September 30, 2005.
FOREIGN CURRENCY ABBREVIATIONS
EUR European Monetary Unit
Note: Market Value for Securities denominated in foreign currencies are shown in
U.S. dollars.
See accompanying Notes to Financial Statements
Schedule of Investments SEMIANNUAL REPORT 47
Market Neutral Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- ----------- ------------
CONVERTIBLE BONDS (48.7%)
CONSUMER DISCRETIONARY (12.3%)
$ 2,300,000 Charming Shoppes, Inc.<>
4.750%, 06/01/12 $ 2,814,625
1,500,000 CSK Auto, Inc.*
3.375%, 08/15/25 1,456,875
9,640,000 Dick's Sporting Goods, Inc.*<>
1.606%, 02/18/24 6,603,400
8,000,000 Hilton Hotels Corp.<>
3.375%, 04/15/23 9,170,000
16,000,000 Lamar Advertising Company<>
2.875%, 12/31/10 17,180,000
2,800,000 Lithia Motors, Inc.*<>
2.875%, 05/01/14 2,646,000
1,500,000 Navigant International, Inc.*
4.875%, 11/01/23 1,526,250
------------
41,397,150
------------
ENERGY (2.5%)
5,400,000 Hanover Compressor Company<>
4.750%, 01/15/14 6,061,500
2,500,000 Willbros Group, Inc.*
2.750%, 03/15/24 2,456,250
------------
8,517,750
------------
FINANCIALS (6.1%)
American Equity Investment Life Holding
Company<>
12,500,000 5.250%, 12/06/24* 13,609,375
575,000 5.250%, 12/06/24 626,031
4,500,000 CompuCredit Corp.*
3.625%, 05/30/25 5,220,000
1,000,000 Encore Capital Group, Inc.*
3.375%, 09/19/10 1,028,750
------------
20,484,156
------------
HEALTH CARE (14.0%)
4,000,000 Advanced Medical Optics, Inc.*<>
1.375%, 07/01/25 3,825,000
4,100,000 Conmed Corp.<>
2.500%, 11/15/24 3,879,625
6,700,000 Edwards Lifesciences Corp.<>
3.875%, 05/15/33 6,842,375
2,500,000 Encysive Pharmaceuticals, Inc.*
2.500%, 03/15/12 2,684,375
14,000,000 Henry Schein, Inc.*<>
3.000%, 08/15/34 15,715,000
7,000,000 Human Genome Sciences, Inc.*
2.250%, 10/15/11 7,516,250
2,000,000 Manor Care, Inc.*
2.125%, 08/01/35 2,045,000
4,550,000 Watson Pharmaceuticals, Inc.<>
1.750%, 03/15/23 4,646,688
------------
47,154,313
------------
INDUSTRIALS (11.2%)
Alliant Techsystems, Inc.<>
$11,900,000 2.750%, 02/15/24* $ 12,762,750
6,800,000 2.750%, 02/15/24 7,293,000
Expressjet Holdings, Inc.
9,500,000 4.250%, 08/01/23<> 8,170,000
2,250,000 4.250%, 08/01/23* 1,935,000
1,950,000 GATX Corp.<>
7.500%, 02/01/07 2,437,500
Mercury Computer Systems, Inc.
3,000,000 2.000%, 05/01/24* 3,157,500
2,100,000 2.000%, 05/01/24<> 2,210,250
------------
37,966,000
------------
INFORMATION TECHNOLOGY (1.9%)
3,000,000 Bell Microproducts, Inc.<>
3.750%, 03/05/24 3,285,000
2,000,000 Credence Systems Corp.
1.500%, 05/15/08 1,892,500
1,150,000 Flextronics International, Ltd.<>
1.000%, 08/01/10 1,170,125
------------
6,347,625
------------
TELECOMMUNICATION SERVICES (0.7%)
2,500,000 Dobson Communications Corp.*
1.500%, 10/01/25 2,428,125
------------
TOTAL CONVERTIBLE BONDS
(Cost $163,821,210) 164,295,119
============
SYNTHETIC CONVERTIBLE SECURITIES (41.2%)
CORPORATE BONDS (30.8%)
CONSUMER DISCRETIONARY (11.7%)
5,000,000 Beazer Homes USA, Inc.
6.500%, 11/15/13 4,850,000
2,500,000 Goodyear Tire & Rubber Company
7.857%, 08/15/11 2,431,250
7,000,000 Houghton Mifflin Company<>
9.875%, 02/01/13 7,455,000
7,000,000 Intrawest Corp.
7.500%, 10/15/13 7,201,250
4,875,000 Reader's Digest Association, Inc.
6.500%, 03/01/11 4,972,500
7,000,000 Vail Resorts, Inc.
6.750%, 02/15/14 7,017,500
5,700,000 WCI Communities, Inc.
7.875%, 10/01/13 5,657,250
------------
39,584,750
------------
CONSUMER STAPLES (4.1%)
7,000,000 Chattem, Inc.
7.000%, 03/01/14 7,140,000
6,800,000 Spectrum Brands, Inc.
8.500%, 10/01/13 6,596,000
------------
13,736,000
------------
See accompanying Notes to Schedule of Investments
48 SEMIANNUAL REPORT Schedule of Investments
Market Neutral Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
- ---------- ------------
ENERGY (5.4%)
$6,000,000 Arch Western Finance, LLC<>
6.750%, 07/01/13 $ 6,150,000
7,319,000 Chesapeake Energy Corp.
6.875%, 01/15/16 7,538,570
4,385,000 Comstock Resources, Inc.
6.875%, 03/01/12 4,439,812
------------
18,128,382
------------
HEALTH CARE (9.6%)
2,410,000 Alpharma, Inc.
8.625%, 05/01/11 2,494,350
6,230,000 Bio-Rad Laboratories, Inc.<>
6.125%, 12/15/14 6,074,250
7,500,000 HCA, Inc.
6.250%, 02/15/13 7,450,800
9,600,000 Omnicare, Inc.
6.125%, 06/01/13 9,456,000
7,000,000 Valeant Pharmaceuticals International
7.000%, 12/15/11 6,930,000
------------
32,405,400
------------
TOTAL CORPORATE BONDS 103,854,532
============
NUMBER OF
CONTRACTS VALUE
- --------- ---------
OPTIONS (10.4%)
CONSUMER DISCRETIONARY (1.5%)
1,500 Amazon.com, Inc.#
Call, 01/20/07, Strike $45.00 1,185,000
2,100 AutoNation, Inc.#
Put, 01/20/07, Strike $20.00 330,750
2,200 Barnes & Noble, Inc.#
Put, 01/20/07, Strike $35.00 682,000
eBay, Inc.#
1,000 Call, 01/20/07, Strike $57.50 205,000
550 Call, 01/20/07, Strike $42.50 363,000
500 Call, 01/20/07, Strike $40.00 400,000
Harley-Davidson, Inc.#
1,200 Call, 01/20/07, Strike $60.00 252,000
600 Call, 01/19/08, Strike $50.00 450,000
500 Lear Corp.#
Call, 01/21/06, Strike $55.00 1,250
1,000 Omnicom Group#
Put, 01/20/07, Strike $80.00 490,000
1,500 Sirius Satellite Radio Inc.#
Call, 01/19/08, Strike $7.50 300,000
1,800 YUM! Brands, Inc.#
Call, 01/20/07, Strike $55.00 549,000
----------
5,208,000
----------
ENERGY (2.2%)
850 Baker-Hughes Inc.#
Call, 01/19/08, Strike $60.00 986,000
2,100 Chesapeake Energy Corp.#
Call, 04/22/06, Strike $35.00 1,554,000
1,400 Nabors Industries Ltd.#
Call, 03/18/06, Strike $70.00 $1,148,000
2,500 Patterson-UTI Energy, Inc.#
Call, 02/18/06, Strike $32.50 1,462,500
1,450 Pride International, Inc.#
Put, 01/20/07, Strike $25.00 322,625
1,500 Transocean, Inc.#
Call, 02/18/06, Strike $60.00 1,080,000
750 Weatherford International Inc.#
Call, 01/19/08, Strike $70.00 1,027,500
----------
7,580,625
----------
FINANCIALS (1.3%)
1,800 Ameritrade Holding Corp.#
Call, 01/19/08, Strike $20.00 963,000
365 Bear Stearns & Company#
Call, 01/19/08, Strike $105.00 733,650
2,600 E*TRADE Financial Corp.#
Call, 01/19/08, Strike $17.50 1,081,600
365 Goldman Sachs Group, Inc.#
Call, 01/19/08, Strike $120.00 737,300
930 MetLife, Inc.#
Call, 01/20/07, Strike $45.00 823,050
----------
4,338,600
----------
HEALTH CARE (1.1%)
965 Abgenix, Inc.#
Call, 01/19/08, Strike $12.50 366,700
1,000 Boston Scientific Corp.#
Call, 01/21/06, Strike $40.00 2,500
Celera Genomics Group#
1,100 Call, 01/21/06, Strike $15.00 33,000
1,000 Call, 01/20/07, Strike $12.50 215,000
1,200 HCA, Inc.#
Call, 01/20/07, Strike $55.00 357,000
350 Invitrogen Corp.#
Call, 01/20/07, Strike $85.00 218,750
1,500 Johnson & Johnson#
Call, 01/20/07, Strike $65.00 720,000
1,000 Sepracor, Inc.#
Call, 01/21/06, Strike $55.00 750,000
2,000 Tenet Healthcare Corp.#
Call, 01/20/07, Strike $12.50 300,000
2,000 WebMD Corp.#
Call, 01/19/08, Strike $10.00 660,000
----------
3,622,950
----------
INDUSTRIALS (0.2%)
2,150 Quanta Services, Inc.#
Call, 01/19/08, Strike $12.50 774,000
INFORMATION TECHNOLOGY (3.9%)
1,000 Akamai Technologies#
Call, 01/19/08, Strike $15.00 440,000
Broadcom Corp.#
1,000 Call, 01/20/07, Strike $45.00 945,000
900 Call, 01/21/06, Strike $45.00 432,000
See accompanying Notes to Schedule of Investments
Schedule of Investments SEMIANNUAL REPORT 49
Market Neutral Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
CONTRACTS VALUE
- --------- ------------
1,500 CheckFree Corp.#
Call, 01/20/07, Strike $40.00 $ 787,500
Cirrus Logic Inc.#
1,200 Call, 01/19/08, Strike $7.50 261,000
500 Call, 01/20/07, Strike $7.50 76,250
1,500 Corning Inc.#
Call, 01/19/08, Strike $20.00 750,000
660 FLIR Systems, Inc.#
Call, 01/20/07, Strike $30.00 343,200
1,500 Hewlett Packard#
Call, 01/19/08, Strike $25.00 1,095,000
Juniper Networks, Inc.#
1,000 Call, 01/21/06, Strike $25.00 125,000
900 Call, 01/21/06, Strike $22.50 229,500
5,000 LSI Logic Corp.#
Call, 01/20/07, Strike $10.00 900,000
3,500 Lucent Technologies, Inc.#
Call, 01/21/06, Strike $5.00 17,500
1,700 Motorola, Inc.#
Call, 01/20/07, Strike $20.00 731,000
1,500 NVIDIA Corp.#
Call, 01/20/07, Strike $25.00 1,800,000
1,100 QLogic Corp.#
Call, 01/20/07, Strike $40.00 407,000
1,600 QUALCOMM, Inc.#
Call, 01/20/07, Strike $40.00 1,520,000
500 RF Micro Devices, Inc.#
Call, 01/21/06, Strike $12.50 1,250
1,300 Sybase, Inc.#
Call, 01/20/07, Strike $20.00 702,000
900 Symantec Corp.#
Call, 01/20/07, Strike $25.00 234,000
2,000 Tellabs, Inc.#
Call, 01/19/08, Strike $10.00 510,000
730 Texas Instruments#
Call, 01/19/08, Strike $30.00 675,250
------------
12,982,450
------------
MATERIALS (0.2%)
1,000 Monsanto Company#
Put, 01/20/07, Strike $65.00 835,000
------------
TOTAL OPTIONS 35,341,625
------------
TOTAL SYNTHETIC CONVERTIBLE
SECURITIES
(Cost $149,200,420) 139,196,157
============
NUMBER OF
SHARES VALUE
- --------- ------------
CONVERTIBLE PREFERRED STOCKS (5.9%)
CONSUMER DISCRETIONARY (3.1%)
290,000 Ford Motor Company Capital Trust II<>
6.500% $ 10,570,500
------------
INDUSTRIALS (2.8%)
77,700 Northrop Grumman Corp.<>
7.000% 9,401,700
------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $22,240,439) 19,972,200
------------
COMMON STOCKS (2.5%)
CONSUMER DISCRETIONARY (1.5%)
53,000 AutoNation, Inc.# 1,058,410
44,000 Barnes & Noble, Inc. 1,658,800
30,000 Omnicom Group, Inc. 2,508,900
------------
5,226,110
------------
ENERGY (0.3%)
32,000 Pride International, Inc.# 912,320
------------
MATERIALS (0.7%)
35,000 Monsanto Company 2,196,250
------------
TOTAL COMMON STOCKS
(Cost $8,085,070) 8,334,680
============
TOTAL INVESTMENTS (98.3%)
(Cost $343,347,139) 331,798,156
------------
COMMON STOCKS SOLD SHORT (-45.1%)
CONSUMER DISCRETIONARY (-10.3%)
(50,000) Amazon.com, Inc. (2,265,000)
(175,400) Charming Shoppes, Inc. (1,871,518)
(35,650) CSK Auto, Inc. (530,472)
(85,700) Dick's Sporting Goods, Inc. (2,580,427)
(40,350) eBay, Inc. (1,662,420)
(450,500) Ford Motor Company (4,441,930)
(54,000) Harley-Davidson, Inc. (2,615,760)
(141,972) Hilton Hotels Corp. (3,168,815)
(217,500) Lamar Advertising Company (9,865,800)
(37,150) Lithia Motors, Inc. (1,076,607)
(59,300) Navigant International, Inc. (729,390)
(60,000) Sirius Satellite Radio, Inc. (393,000)
(70,000) YUM! Brands, Inc. (3,388,700)
------------
(34,589,839)
------------
See accompanying Notes to Schedule of Investments
50 SEMIANNUAL REPORT Schedule of Investments
Market Neutral Fund
SCHEDULE OF INVESTMENTS SEPTEMBER 30, 2005 (UNAUDITED)
NUMBER OF
SHARES VALUE
- --------- --------------
ENERGY (-6.8%)
(29,750) Baker Hughes, Inc. $ (1,775,480)
(100,400) Chesapeake Energy Corp. (3,840,300)
(234,000) Hanover Compressor Company (3,243,240)
(42,000) Nabors Industries Ltd. (3,016,860)
(125,000) Patterson-UTI Energy, Inc. (4,510,000)
(51,800) Transocean, Inc. (3,175,858)
(26,250) Weatherford International, Ltd. (1,802,325)
(89,500) Willbros Group, Inc. (1,418,575)
-------------
(22,782,638)
-------------
FINANCIALS (-5.3%)
(443,600) American Equity Investment Life Holding Company (5,034,860)
(90,000) Ameritrade Holding Corp. (1,933,200)
(14,600) Bear Stearns & Company (1,602,350)
(59,200) CompuCredit Corp. (2,629,664)
(109,000) E*TRADE Financial Corp. (1,918,400)
(27,000) Encore Capital Group, Inc. (481,680)
(15,700) Goldman Sachs Group, Inc. (1,908,806)
(46,500) Metlife, Inc. (2,317,095)
-------------
(17,826,055)
-------------
HEALTH CARE (-9.1%)
(33,800) Abgenix, Inc. (428,584)
(46,000) Advanced Medical Optics, Inc. (1,745,700)
(42,000) Celera Genomics Group (509,460)
(61,000) Conmed Corp. (1,700,680)
(40,200) Edwards Lifesciences Corp. (1,785,282)
(90,000) Emdeon Corp. (997,200)
(120,000) Encysive Pharmaceuticals, Inc. (1,413,600)
(34,000) HCA, Inc. (1,629,280)
(151,000) Henry Schein, Inc. (6,435,620)
(246,150) Human Genome Sciences, Inc. (3,345,179)
(8,700) Invitrogen Corp. (654,501)
(66,000) Johnson & Johnson (4,176,480)
(24,600) Manor Care, Inc. (944,886)
(35,000) Sepracor, Inc. (2,064,650)
(70,000) Tenet Healthcare Corp. (786,100)
(55,700) Watson Pharmaceuticals, Inc. (2,039,177)
-------------
(30,656,379)
-------------
INDUSTRIALS (-5.5%)
(102,900) Alliant Techsystems, Inc. (7,681,484)
(290,000) Expressjet Holdings, Inc. (2,601,300)
(25,500) GATX Corp. (1,008,525)
(108,100) Mercury Computer Systems, Inc. (2,837,625)
(66,355) Northrop Grumman Corp. (3,606,394)
(86,000) Quanta Services, Inc. (1,097,360)
-------------
(18,832,688)
-------------
INFORMATION TECHNOLOGY (-7.8%)
(40,000) Akamai Technologies, Inc. $ (638,000)
(164,000) Bell Microproducts, Inc. (1,644,920)
(42,000) Broadcom Corp. (1,970,220)
(29,800) CheckFree Corp. (1,127,036)
(68,000) Cirrus Logic, Inc. (516,120)
(52,500) Corning, Inc. (1,014,825)
(92,000) Credence Systems Corp. (734,160)
(48,250) Flextronics International, Ltd. (620,013)
(13,200) FLIR Systems, Inc. (390,456)
(60,000) Hewlett-Packard Company (1,752,000)
(64,600) Juniper Networks, Inc. (1,536,834)
(150,000) LSI Logic Corp. (1,477,500)
(55,000) Motorola, Inc. (1,214,950)
(90,000) NVIDIA Corp. (3,085,200)
(51,700) QLogic Corp. (1,768,140)
(65,000) QUALCOMM, Inc. (2,908,750)
(65,000) Sybase, Inc. (1,522,300)
(26,600) Symantec Corp. (602,756)
(90,000) Tellabs, Inc. (946,800)
(29,200) Texas Instruments, Inc. (989,880)
-------------
(26,460,860)
-------------
TELECOMMUNICATION SERVICES (-0.3%)
(146,500) Dobson Communications Corp. (1,125,120)
-------------
TOTAL COMMON STOCKS SOLD SHORT
(Cost $139,262,806) (152,273,579)
=============
OTHER ASSETS, LESS LIABILITIES
(46.8%) 157,871,421
NET ASSETS (100.0%) $ 337,395,998
=============
NOTES TO SCHEDULE OF INVESTMENTS
* 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 must generally 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 September 30, 2005, the market value
of 144A securities that could not be exchanged to the registered form is
$12,310,000 or 3.6% of net assets.
# Non-income producing security.
<> Security, or portion of security, is held in a segregated account as
collateral for securities sold short aggregating a total market value of
$166,698,117.
See accompanying Notes to Financial Statements
Schedule of Investments SEMIANNUAL REPORT 51
Statements of Assets and Liabilities
GLOBAL
GROWTH BLUE CHIP VALUE INTERNATIONAL GROWTH AND
SEPTEMBER 30, 2005 (UNAUDITED) FUND FUND FUND GROWTH FUND INCOME FUND
- ------------------------------ --------------- ------------ ------------ ------------- ------------
ASSETS
Investments, at value (cost $16,565,143,254,
$128,347,274, $125,017,419, $101,870,008,
$394,629,994, respectively)o $19,337,626,627 $141,282,530 $138,606,580 $115,974,758 $449,344,878
Cash with custodian (interest bearing) 6,990,972 1,265 649 6,072 60,353
Foreign currency (cost $52,265,$2,965,207) -- -- -- 52,231 2,959,879
Net unrealized appreciation on forward
foreign currency contracts -- -- -- -- 1,721,303
Accrued interest and dividends 5,893,533 141,730 114,365 98,461 1,462,405
Receivable for investments sold 47,829,588 1,011,159 -- -- 93,607
Receivable for Fund shares sold 58,113,002 146,417 116,335 1,516,914 2,985,074
Prepaid expenses 268,939 27,676 17,852 24,628 33,669
Deferred offering costs -- -- -- 65,641 --
Other assets 38,429 13,360 21,263 4,289 23,751
--------------- ------------ ------------ ------------ ------------
Total assets 19,456,761,090 142,624,137 138,877,044 117,742,994 458,684,919
--------------- ------------ ------------ ------------ ------------
LIABILITIES AND NET ASSETS
Payables:
Investments purchased 64,904,866 1,609,913 -- 1,222,540 5,932,197
Fund shares redeemed 20,105,083 228,792 109,020 74,939 749,409
Affiliates:
Investment advisory fees 10,730,355 96,132 96,410 89,060 317,043
Distribution fees 627,945 3,648 3,753 2,830 18,117
Other 157,619 1,135 1,138 1,303 3,689
Accounts payable and accrued liabilities 5,651,368 73,246 99,768 43,306 174,566
Payable upon return of securities loaned 2,451,221,285 22,489,467 21,163,297 -- 41,175,859
--------------- ------------ ------------ ------------ ------------
Total liabilities 2,553,398,521 24,502,333 21,473,386 1,433,978 48,370,880
--------------- ------------ ------------ ------------ ------------
NET ASSETS $16,903,362,569 $118,121,804 $117,403,658 $116,309,016 $410,314,039
=============== ============ ============ ============ ============
ANALYSIS OF NET ASSETS
Paid in capital 13,275,196,157 106,894,958 98,257,649 102,581,968 335,618,029
Undistributed net investment income (loss) (73,182,486) (61,455) (74,505) 586,638 (2,609,055)
Accumulated net realized gain (loss) on
investments, options and forward foreign
currency contracts 928,865,525 (1,646,955) 5,632,442 (968,549) 20,906,983
Unrealized appreciation (depreciation) of
investments, options and forward foreign
currency contracts 2,772,483,373 12,935,256 13,588,072 14,108,959 56,398,082
--------------- ------------ ------------ ------------ ------------
NET ASSETS $16,903,362,569 $118,121,804 $117,403,658 $116,309,016 $410,314,039
=============== ============ ============ ============ ============
CLASS A SHARES (no par value: unlimited
number of shares authorized)**@
Net assets applicable to shares outstanding $12,003,414,074 $ 85,976,142 $ 90,028,865 $ 96,292,856 $241,327,984
Shares outstanding 219,811,191 7,466,442 7,116,229 8,404,159 25,521,088
Net asset value and redemption price per share $ 54.61 $ 11.52 $ 12.65 $ 11.46 $ 9.46
--------------- ------------ ------------ ------------ ------------
Maximum offering price per share (Net asset
value, plus 4.99% of net asset value or
4.75% of offering price) $ 57.33 $ 12.09 $ 13.28 $ 12.03 $ 9.93
--------------- ------------ ------------ ------------ ------------
CLASS B SHARES (no par value: unlimited
number of shares authorized)**@
Net assets applicable to shares outstanding $ 1,252,246,576 $ 8,868,149 $ 9,238,399 $ 4,178,896 $ 32,448,897
Shares outstanding 22,264,923 780,077 750,688 366,254 3,310,905
Net asset value, offering price and
redemption price per share $ 56.24 $ 11.37 $ 12.31 $ 11.41 $ 9.80
--------------- ------------ ------------ ------------ ------------
CLASS C SHARES (no par value: unlimited
number of shares authorized)**@
Net assets applicable to shares outstanding $ 3,515,696,754 $ 14,364,834 $ 14,398,449 $ 7,141,812 $131,273,531
Shares outstanding 67,179,030 1,263,416 1,170,712 626,153 14,142,253
Net asset value, offering price and
redemption price per share $ 52.33 $ 11.37 $ 12.30 $ 11.41 $ 9.28
--------------- ------------ ------------ ------------ ------------
CLASS I SHARES (no par value: unlimited
number of shares authorized)@
Net assets applicable to shares outstanding $ 132,005,165 $ 8,912,679 $ 3,737,945 $ 8,695,452 $ 5,263,627
Shares outstanding 2,279,733 770,693 292,594 757,921 553,951
Net asset value, offering price and
redemption price per share $ 57.90 $ 11.56 $ 12.78 $ 11.47 $ 9.50
--------------- ------------ ------------ ------------ ------------
o Including securities on loan with a value of $2,411,009,112, $21,908,497,
$20,505,763, and $40,303,258 for the Growth Fund, Blue Chip Fund, Value
Fund, and Global Growth and Income Fund, respectively.
** Redemption price may be reduced by contingent deferred sales change.
@ Redemption price may be reduced by a redemption fee.
See accompanying Notes to Financial Statements
52 SEMIANNUAL REPORT Statements of Assets and Liabilities
Statements of Assets and Liabilities
GROWTH AND HIGH YIELD CONVERTIBLE MARKET
SEPTEMBER 30, 2005 (UNAUDITED) INCOME FUND FUND FUND NEUTRAL FUND
-------------- ------------ -------------- ------------
ASSETS
Investments, at value (cost $5,397,772,860, $245,763,357,
$1,126,354,492, $343,347,139, respectively)o $6,218,875,555 $257,012,142 $1,235,349,500 $331,798,156
Cash with custodian (interest bearing) 57,515 3,407 12,785,632 --
Restricted cash for open options (interest bearing) -- 150,000 -- 150,000
Restricted cash for short positions (interest bearing) -- -- -- 154,187,035
Net unrealized appreciation on forward foreign currency
contracts -- -- 164,970 --
Accrued interest and dividends 16,109,434 3,305,515 4,311,112 3,968,843
Receivable for investments sold -- -- -- 11,867,226
Receivable for Fund shares sold 21,372,794 383,659 5,972 35,706
Prepaid expenses 88,584 33,157 21,192 26,729
Other assets 28,421 23,636 24,543 23,871
-------------- ------------ -------------- ------------
Total assets 6,256,532,303 260,911,516 1,252,662,921 502,057,566
-------------- ------------ -------------- ------------
LIABILITIES AND NET ASSETS
Common stocks sold short, at value
(proceeds $139,262,806) -- -- -- 152,273,579
Due to custodian -- -- -- 1,551,542
Payables:
Investments purchased 24,168,400 -- 19,976,806 8,888,468
Fund shares redeemed 7,663,317 542,345 2,719,727 1,565,495
Affiliates:
Investment advisory fees 2,961,545 133,636 621,919 214,180
Distribution fees 264,516 10,806 55,430 14,541
Other 51,754 2,110 10,071 3,433
Accounts payable and accrued liabilities 1,531,678 128,641 271,114 150,330
Payable upon return of securities loaned 693,063,438 45,865,015 183,084,217 --
-------------- ------------ -------------- ------------
Total liabilities 729,704,648 46,682,553 206,739,284 164,661,568
-------------- ------------ -------------- ------------
NET ASSETS $5,526,827,655 $214,228,963 $1,045,923,637 $337,395,998
============== ============ ============== ============
ANALYSIS OF NET ASSETS
Paid in capital 4,528,106,881 198,676,131 839,709,554 372,583,221
Undistributed net investment income (loss) (30,790,459) (182,422) (19,071,649) (3,494,199)
Accumulated net realized gain (loss) on investments,
options and forward foreign currency contracts 208,417,209 4,488,916 116,126,397 (7,133,268)
Unrealized appreciation (depreciation) of investments,
options and forward foreign currency contracts 821,094,024 11,246,338 109,159,335 (24,559,756)
-------------- ------------ -------------- ------------
NET ASSETS $5,526,827,655 $214,228,963 $1,045,923,637 $337,395,998
============== ============ ============== ============
CLASS A SHARES (no par value: unlimited number of shares
authorized)**@
Net assets applicable to shares outstanding $2,890,972,672 $108,157,454 $ 451,004,043 $178,280,864
Shares outstanding 91,939,743 10,079,392 21,373,661 14,067,440
Net asset value and redemption price per share $ 31.44 $ 10.73 $ 21.10 $ 12.67
-------------- ------------ -------------- ------------
Maximum offering price per share (Net asset value, plus
4.99% of net asset value or 4.75% of offering price) $ 33.01 $ 11.27 $ 22.15 $ 13.30
-------------- ------------ -------------- ------------
CLASS B SHARES (no par value: unlimited number of
shares authorized)**@
Net assets applicable to shares outstanding $ 691,085,654 $ 34,119,400 $ 185,672,505 $ 34,182,689
Shares outstanding 19,876,941 3,101,174 7,763,455 2,591,751
Net asset value, offering price and redemption price per
share $ 34.77 $ 11.00 $ 23.92 $ 13.19
-------------- ------------ -------------- ------------
CLASS C SHARES (no par value: unlimited number of
shares authorized)**@
Net assets applicable to shares outstanding $1,831,346,762 $ 70,116,758 $ 379,900,216 $ 98,055,644
Shares outstanding 57,889,820 6,402,006 17,964,319 7,634,336
Net asset value, offering price and redemption price per
share $ 31.64 $ 10.95 $ 21.15 $ 12.84
-------------- ------------ -------------- ------------
CLASS I SHARES (no par value: unlimited number of
shares authorized)@
Net assets applicable to shares outstanding $ 113,422,567 $ 1,835,351 $ 29,346,873 $ 26,876,801
Shares outstanding 3,671,464 171,104 1,454,756 2,139,601
Net asset value, offering price and redemption price per
share $ 30.89 $ 10.73 $ 20.17 $ 12.56
-------------- ------------ -------------- ------------
o Including securities on loan with a value of $676,068,329, $44,737,085, and
$179,084,825, for the Growth and Income Fund, High Yield Fund, and
Convertible Fund, respectively.
** Redemption price may be reduced by contingent deferred sales change.
@ Redemption price may be reduced by a redemption fee.
See accompanying Notes to Financial Statements
Statements of Assets and Liabilities SEMIANNUAL REPORT 53
Statements of Operations
GLOBAL
GROWTH BLUE CHIP VALUE INTERNATIONAL GROWTH AND
PERIOD ENDED SEPTEMBER 30, 2005 (UNAUDITED) FUND FUND FUND GROWTH FUND INCOME FUND
-------------- ---------- ---------- ------------- -----------
INVESTMENT INCOME
Interest $ 472,212 $ 30,063 $ 48,477 $ 106,338 $ 2,237,524
Dividends 35,476,862 842,167 858,689 962,613 1,697,227
Securities lending income 2,597,955 6,986 6,442 -- 117,205
-------------- ---------- ---------- ----------- -----------
Total investment income* 38,547,029 879,216 913,608 1,068,951 4,051,956
-------------- ---------- ---------- ----------- -----------
EXPENSES
Investment advisory fees 61,390,582 550,893 560,958 412,611 1,701,640
Distribution fees
Class A 13,715,958 103,248 108,102 89,024 247,326
Class B 5,836,550 41,726 42,772 8,118 135,444
Class C 16,206,016 67,521 68,595 10,522 553,461
Financial accounting fees 875,721 6,193 6,327 4,706 19,215
Transfer agent fees 10,142,636 47,286 61,721 17,384 189,443
Accounting fees 327,103 13,159 13,288 13,771 16,421
Audit and legal fees 190,865 22,354 21,161 20,001 24,761
Custodian fees 440,061 8,257 7,121 26,622 41,442
Printing and mailing fees 1,826,084 5,003 7,992 6,315 35,721
Registration fees 478,741 30,531 31,323 7,923 42,466
Trustees' fees 54,425 7,525 7,525 7,730 8,044
Offering costs -- -- -- 56,101 --
Other 227,014 5,414 5,597 6,678 11,757
-------------- ---------- ---------- ----------- -----------
Total expenses 111,711,756 909,110 942,482 687,506 3,027,141
-------------- ---------- ---------- ----------- -----------
NET INVESTMENT INCOME (LOSS) (73,164,727) (29,894) (28,874) 381,445 1,024,815
============== ========== ========== =========== ===========
REALIZED AND UNREALIZED GAIN (LOSS)
NET REALIZED GAIN (LOSS) FROM:
Investments 495,890,512 (543,415) 3,550,618 (879,215) 8,553,713
Foreign currency transactions -- -- 1,347 (89,334) 8,509,753
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments 1,001,386,801 6,635,462 2,093,097 15,556,697 25,833,014
Foreign currency translations -- -- (1,807) 5,018 3,198,480
-------------- ---------- ---------- ----------- -----------
NET GAIN (LOSS) ON INVESTMENTS 1,497,277,313 6,092,047 5,643,255 14,593,166 46,094,960
============== ========== ========== =========== ===========
NET INCREASE (DECREASE) IN NET ASSETS RESULTING
FROM OPERATIONS $1,424,112,586 $6,062,153 $5,614,381 $14,974,611 $47,119,775
============== ========== ========== =========== ===========
* Net of foreign taxes withheld of $612,052, $30,748, $108,655, and $133,791
for the Growth Fund, Value Fund, International Growth Fund, and Global
Growth and Income Fund, respectively.
See accompanying Notes to Financial Statements
54 SEMIANNUAL REPORT Statements of Operations
Statements of Operations
PERIOD ENDED SEPTEMBER 30, 2005 GROWTH AND HIGH YIELD CONVERTIBLE MARKET
(UNAUDITED) INCOME FUND FUND FUND NEUTRAL FUND
- -------------------------------------- ------------ ---------- ------------ ------------
INVESTMENT INCOME
Interest $ 31,325,018 $6,260,084 $ 7,349,214 $10,564,216
Dividends 22,252,807 1,103,586 5,683,436 761,466
Securities lending income 1,592,454 86,062 244,498 --
------------ ---------- ------------ -----------
Total investment income* 55,170,279 7,449,732 13,277,148 11,325,682
------------ ---------- ------------ -----------
EXPENSES
Investment advisory fees 16,967,137 796,723 3,879,937 1,500,471
Distribution fees
Class A 3,330,145 137,545 583,727 275,649
Class B 3,267,016 156,057 941,511 182,191
Class C 8,453,541 347,065 1,958,475 555,051
Financial accounting fees 290,033 11,965 60,681 22,459
Transfer agent fees 2,517,405 119,556 490,203 158,701
Accounting fees 110,167 14,140 30,787 17,416
Audit and legal fees 75,975 23,477 30,853 24,046
Custodian fees 167,232 8,901 24,617 10,676
Printing and mailing fees 583,103 18,882 90,228 27,969
Registration fees 135,951 36,383 31,615 28,087
Trustees' fees 22,224 7,801 10,310 8,351
Dividend expense on short positions -- -- -- 1,226,294
Other 83,917 9,605 24,652 12,871
Total expenses 36,003,846 1,688,100 8,157,596 4,050,232
------------ ---------- ------------ -----------
NET INVESTMENT INCOME (LOSS) 19,166,433 5,761,632 5,119,552 7,275,450
============ ========== ============ ===========
REALIZED AND UNREALIZED GAIN (LOSS)
NET REALIZED GAIN (LOSS) FROM:
Investments 165,154,834 2,573,649 76,787,663 17,197,031
Foreign currency transactions (3,222) (11,673) 2,705,283 --
Short positions -- -- -- (15,695,344)
CHANGE IN NET UNREALIZED APPRECIATION/
DEPRECIATION ON:
Investments 214,168,611 1,024,950 (30,699,959) (5,311,621)
Foreign currency translations (14,327) (8,062) 789,702 --
Short Positions -- -- -- 2,314,829
NET GAIN (LOSS) ON INVESTMENTS 379,305,896 3,578,864 49,582,689 (1,495,105)
------------ ---------- ------------ -----------
NET INCREASE (DECREASE) IN NET
ASSETS RESULTING FROM OPERATIONS $398,472,329 $9,340,496 $ 54,702,241 $ 5,780,345
============ ========== ============ ===========
* Net of foreign taxes withheld of $457,334 for the Growth &Income Fund.
See accompanying Notes to Financial Statements
Statements of Operations SEMIANNUAL REPORT 55
Statements of Changes in Net Assets
GROWTH FUND BLUE CHIP FUND
----------------------------------- --------------------------------
(unaudited) (unaudited)
Six Months Ended Year Ended Six Months Ended Year Ended
Sept.30,2005 March 31,2005 Sept.30,2005 March 31,2005
---------------- ---------------- ---------------- -------------
OPERATIONS
Net investment income (loss) $ (73,164,727) $ (107,830,319) $ (29,894) $ 69,171
Net realized gain (loss) from investments,
options and foreign currency transactions 495,890,512 479,472,890 (543,415) (1,080,721)
Change in net unrealized appreciation/
depreciation on investments, options and
foreign currency translations 1,001,386,801 179,911,253 6,635,462 6,050,699
--------------- --------------- ------------ -----------
Net increase (decrease) in net assets
resulting from operations 1,424,112,586 551,553,824 6,062,153 5,039,149
--------------- --------------- ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS
NET INVESTMENT INCOME
Class A -- -- -- (63,962)
Class B -- -- -- --
Class C -- -- -- --
Class I -- -- -- (4,058)
NET REALIZED GAINS
Class A -- (24,554,337) -- --
Class B -- (2,726,788) -- --
Class C -- (7,655,607) -- --
Class I -- (416,810) -- --
--------------- --------------- ------------ -----------
Total distributions -- (35,353,542) -- (68,020)
--------------- --------------- ------------ -----------
NET INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 1,012,675,503 5,405,164,139 13,008,542 55,438,181
=============== =============== ============ ===========
TOTAL INCREASE (DECREASE) IN NET ASSETS 2,436,788,089 5,921,364,421 19,070,695 60,409,310
--------------- --------------- ------------ -----------
NET ASSETS
Beginning of period $14,466,574,480 $ 8,545,210,059 $ 99,051,109 $38,641,799
--------------- --------------- ------------ -----------
End of period 16,903,362,569 14,466,574,480 118,121,804 99,051,109
--------------- --------------- ------------ -----------
Undistributed net investment income (loss) $ (73,182,486) $ (17,759) $ (61,455) $ (31,561)
See accompanying Notes to Financial Statements
56 SEMIANNUAL REPORT Statements of Changes in Net Assets
Statements of Changes in Net Assets
INTERNATIONAL
VALUE FUND GROWTH FUND
--------------------------------- ----------------------------------
(unaudited) (unaudited)
Six Months Ended Year Ended Six Months Ended Period Ended
Sept. 30, 2005 March 31, 2005 Sept. 30, 2005 March 31, 2005*
---------------- -------------- ---------------- ---------------
OPERATIONS
Net investment income (loss) $ (28,874) $ (53,592) $ 381,445 $ 42,525
Net realized gain (loss) from investments,
options and foreign currency transactions 3,551,965 2,107,674 (968,549) 162,668
Change in net unrealized appreciation/depreciation
on investments, options and foreign
currency translations 2,091,290 3,954,811 15,561,715 (1,452,756)
------------ ------------ ------------ -----------
Net increase (decrease) in net assets
resulting from operations 5,614,381 6,008,893 14,974,611 (1,247,563)
------------ ------------ ------------ -----------
DISTRIBUTIONS TO SHAREHOLDERS
NET INVESTMENT INCOME
Class A -- -- -- --
Class B -- -- -- --
Class C -- -- -- --
Class I -- -- -- --
NET REALIZED GAINS
Class A -- -- -- --
Class B -- -- -- --
Class C -- -- -- --
Class I -- -- -- --
------------ ------------ ------------ -----------
Total distributions -- -- -- --
NET INCREASE (DECREASE) IN NET ASSETS
FROM CAPITAL SHARE TRANSACTIONS (90,826) 52,627,143 50,581,968 52,000,000
============ ============ ============ ===========
TOTAL INCREASE (DECREASE) IN NET ASSETS 5,523,555 58,636,036 65,556,579 50,752,437
------------ ------------ ------------ -----------
NET ASSETS
Beginning of period $111,880,103 $ 53,244,067 $ 50,752,437 $ --
------------ ------------ ------------ -----------
End of period 117,403,658 111,880,103 116,309,016 50,752,437
------------ ------------ ------------ -----------
Undistributed net investment income (loss) $ (74,505) $ (45,631) $ 586,638 $ 205,193
* The International Growth Fund commenced operations on March 16, 2005.
See accompanying Notes to Financial Statements
Statements of Changes in Net Assets SEMIANNUAL REPORT 57
Statements of Changes in Net Assets
GLOBAL GROWTH
AND INCOME FUND GROWTH AND INCOME FUND
--------------------------------- ---------------------------------
(unaudited) (unaudited)
Six Months Ended Year Ended Six Months Ended Year Ended
Sept. 30, 2005 March 31, 2005 Sept. 30, 2005 March 31, 2005
---------------- -------------- ---------------- --------------
OPERATIONS
Net investment income (loss) $ 1,024,815 $ 3,645,608 $ 19,166,433 $ 46,159,006
Net realized gain (loss) from investments,
options and foreign currency transactions 17,063,466 (6,165,349) 165,151,612 24,654,210
Change in net unrealized appreciation/depreciation
on investments, options and
foreign currency translations 29,031,494 9,892,195 214,154,284 123,616,149
------------ ------------ -------------- --------------
Net increase (decrease) in net assets
resulting from operations 47,119,775 7,372,454 398,472,329 194,429,365
------------ ------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
NET INVESTMENT INCOME
Class A -- -- (27,633,338) (31,570,237)
Class B -- -- (2,553,282) (4,095,250)
Class C -- -- (8,492,262) (12,024,671)
Class I -- -- (1,118,382) (886,470)
NET REALIZED GAINS
Class A -- (61,215) -- (12,932,049)
Class B -- (8,235) -- (3,041,273)
Class C -- (38,088) -- (8,156,178)
Class I -- (1,795) -- (333,968)
------------ ------------ -------------- --------------
Total distributions -- (109,333) (39,797,264) (73,040,096)
NET INCREASE (DECREASE) IN NET ASSETS FROM
CAPITAL SHARE TRANSACTIONS 48,580,531 131,966,385 250,805,424 918,555,672
------------ ------------ -------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS 95,700,306 139,229,506 609,480,489 1,039,944,941
============ ============ ============== ==============
NET ASSETS
Beginning of period $314,613,733 $175,384,227 $4,917,347,166 $3,877,402,225
------------ ------------ -------------- --------------
End of period 410,314,039 314,613,733 5,526,827,655 4,917,347,166
------------ ------------ -------------- --------------
Undistributed net investment income (loss) $ (2,609,055) $ (3,633,870) $ (30,790,459) $ (10,159,628)
See accompanying Notes to Financial Statements
58 SEMIANNUAL REPORT Statements of Changes in Net Assets
Statements of Changes in Net Assets
HIGH YIELD FUND CONVERTIBLE FUND
--------------------------------- ---------------------------------
(unaudited) (unaudited)
Six Months Ended Year Ended Six Months Ended Year Ended
Sept. 30, 2005 March 31, 2005 Sept. 30, 2005 March 31, 2005
---------------- -------------- ---------------- --------------
OPERATIONS
Net investment income (loss) $ 5,761,632 $ 12,178,309 $ 5,119,552 $ 18,031,142
Net realized gain (loss) from investments,
options and foreign currency transactions 2,561,976 2,912,592 79,492,946 69,360,513
Change in net unrealized appreciation/depreciation
on investments, options and
foreign currency translations 1,016,888 (4,977,147) (29,910,257) (117,954,824)
------------ ------------ -------------- --------------
Net increase (decrease) in net
assets resulting from operations 9,340,496 10,113,754 54,702,241 (30,563,169)
------------ ------------ -------------- --------------
DISTRIBUTIONS TO SHAREHOLDERS
NET INVESTMENT INCOME
Class A (5,453,704) (5,301,418) (10,127,871) (9,538,727)
Class B (1,280,784) (1,173,446) (2,484,924) (1,898,484)
Class C (2,899,301) (3,173,264) (6,243,100) (5,133,474)
Class I (87,807) (149,472) (776,302) (898,113)
NET REALIZED GAINS
Class A -- (1,544,731) -- (26,586,043)
Class B -- (372,742) -- (8,927,935)
Class C -- (1,023,477) -- (22,020,753)
Class I -- (39,613) -- (2,252,300)
------------ ------------ -------------- --------------
Total distributions (9,721,596) (12,778,163) (19,632,197) (77,255,829)
NET INCREASE (DECREASE) IN NET
ASSETS FROM CAPITAL SHARE TRANSACTIONS (6,211,291) 28,525,518 (132,070,469) (181,801,850)
------------ ------------ -------------- --------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (6,592,391) 25,861,109 (97,000,425) (289,620,848)
============ ============ ============== ==============
NET ASSETS
Beginning of period $220,821,354 $194,960,245 $1,142,924,062 $1,432,544,910
End of period 214,228,963 220,821,354 1,045,923,637 1,142,924,062
Undistributed net investment income (loss) $ (182,422) $ 3,777,542 $ (19,071,649) $ (4,559,004)
See accompanying Notes to Financial Statements
Statements of Changes in Net Assets SEMIANNUAL REPORT 59
Statements of Changes in Net Assets
MARKET NEUTRAL FUND
---------------------------------
(unaudited)
Six Months Ended Year Ended
Sept. 30, 2005 March 31, 2005
---------------- --------------
OPERATIONS
Net investment income (loss) $ 7,275,450 $ 19,135,089
Net realized gain (loss) from investments,
options and foreign currency transactions 1,501,687 5,245,341
Change in net unrealized appreciation/depreciation
on investments, options and
foreign currency translations (2,996,792) (31,194,713)
------------- -------------
Net increase (decrease) in net
assets resulting from operations 5,780,345 (6,814,283)
------------- -------------
DISTRIBUTIONS TO SHAREHOLDERS
NET INVESTMENT INCOME
Class A (11,438,011) (20,704,798)
Class B (1,494,672) (2,320,399)
Class C (4,809,466) (8,424,516)
Class I (1,673,481) (2,471,652)
NET REALIZED GAINS
Class A -- (11,589,910)
Class B -- (1,485,912)
Class C -- (5,242,115)
Class I -- (1,394,948)
------------- -------------
Total distributions (19,415,630) (53,634,250)
NET INCREASE (DECREASE) IN NET
ASSETS FROM CAPITAL SHARE TRANSACTIONS (137,637,871) (130,668,008)
------------- -------------
TOTAL INCREASE (DECREASE) IN NET ASSETS (151,273,156) (191,116,541)
============= =============
NET ASSETS
Beginning of period $ 488,669,154 $ 679,785,695
End of period 337,395,998 488,669,154
Undistributed net investment income (loss) $ (3,494,199) $ 8,645,981
See accompanying Notes to Financial Statements
60 SEMIANNUAL REPORT Statements of Changes in Net Assets
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 1 - ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
ORGANIZATION. CALAMOS INVESTMENT TRUST, a Massachusetts business trust organized
December 21, 1987 (the "Trust"), consists of nine series, CALAMOS Growth Fund,
CALAMOS Blue Chip Fund, CALAMOS Value Fund, CALAMOS International Growth Fund,
CALAMOS Global Growth and Income Fund, CALAMOS Growth and Income Fund, CALAMOS
High Yield Fund, CALAMOS Convertible Fund, and CALAMOS Market Neutral Fund (the
"Funds"). Each fund is registered under the Investment Company Act of 1940 as a
diversified, open-end management investment company. The Trust currently offers
Class A, Class B, Class C and Class I shares of each of the Funds. The CALAMOS
Convertible Fund and CALAMOS Market Neutral Fund are closed to all new
investments, subject to the exceptions enumerated in the Prospectus.
PORTFOLIO VALUATION. In computing the net asset value of the Funds, portfolio
securities that are traded on a securities exchange in the United States, except
an option security, 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.
Notes to Financial Statements SEMIANNUAL REPORT 61
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. Short-term investment
transactions are recorded on a trade date basis. Long-term investment
transactions are recorded on a trade date plus one basis, except for fiscal
quarter ends, which are recorded on trade date. Net realized gains and losses
from investment transactions are reported on an identified cost basis. Interest
income is recognized using the accrual method and includes accretion of original
issue and market discount and amortization of premium. Dividend income is
recognized on the ex-dividend date, except that certain dividends from foreign
securities are recorded as soon as the information becomes available.
FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by
a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
quoted by a major bank or dealer in the particular currency market, as reported
by a recognized quotation dissemination service.
The Funds do not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of
foreign currency, 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
Funds' books on the transaction date and the U.S. dollar equivalent of the
amounts actually received or paid. Net unrealized foreign exchange gains and
losses arise from changes (due to the changes in the exchange rate) in the value
of foreign currency and other assets and liabilities denominated in foreign
currencies held at period end.
OPTION TRANSACTIONS. For hedging and investment purposes, the Funds may purchase
or write (sell) put and call options. One of the risks associated with
purchasing an option among others, is that each Fund pays a premium whether or
not the option is exercised. Additionally, each of the Funds bear 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 call options is increased by premiums paid. The proceeds from
securities sold through the exercise of put options are decreased by the
premiums paid.
When a Fund writes an option, an amount equal to the premium received by a 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 a Fund on the expiration date as realized gains from
investments. The difference between the premium and the amount paid on effecting
a closing purchase transaction, including brokerage commissions, is also treated
as a realized gain, or, if the premium is less than the amount paid for the
closing purchase transaction, as a realized loss. If a written call option is
exercised, the premium is added to the proceeds from the sale of the underlying
security or currency in determining whether a Fund has realized a gain or loss.
If a written put option is exercised, the premium reduces the cost basis of the
securities purchased by a Fund. A Fund as writer of an option bears the market
risk of an unfavorable change in the price of the security underlying the
written option.
ALLOCATION OF EXPENSES BETWEEN CLASSES. Expenses directly attributable to a Fund
are charged to that Fund; other expenses of the Trust are allocated
proportionately among each of the Funds within the Trust in relation to the net
assets of each Fund or on another reasonable basis. Expenses directly
attributable to a particular class of a Fund are charged directly to such class.
In calculating the net asset value per share of each class, investment income,
realized and unrealized gains and losses and expenses other than class specific
expenses are allocated daily to each class of shares based upon the proportion
of net assets of each class at the beginning of each day plus current day fund
share activity.
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 Trust'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.
62 SEMIANNUAL REPORT Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 on fixed income securities. The Funds also
may treat a portion of the proceeds from each redemption of capital shares as a
distribution of taxable net investment income and/or realized capital gain.
Financial records are not adjusted for temporary differences.
INDEMNIFICATIONS. Under the Funds' organizational documents, its Officers and
Trustees are indemnified against certain liabilities arising out of the
performance of their duties to the Funds. In addition, in the normal course of
business, the Trust enters into contracts that provide general indemnifications
to other parties. Each Funds' maximum exposure under these arrangements is
unknown as this would involve future claims that may be made against each Fund
that have not yet occurred. However, the Funds have not had prior claims or
losses pursuant to these contracts and expect the risk of loss to be remote.
NOTE 2 - INVESTMENT ADVISER AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with Calamos Advisors LLC ("Calamos
Advisors"), each Fund pays a monthly investment advisory fee based on the
average daily net assets of each Fund, computed as follows: The Growth and
Income Fund, Convertible Fund, and Market Neutral Fund fees are at the annual
rate of 0.75% of the first $500 million of average daily net assets, 0.70% of
the next $500 million of average daily net assets, 0.65% of average daily net
assets in excess of $1 billion. The High Yield Fund fee is at the annual rate of
0.75% of the Fund's average daily net assets. The Growth Fund pays a fee at the
annual rate of 1.00% of the first $500 million of the Growth Fund's average
daily net assets, .90% of the next $500 million of average daily net assets,
..80% of the next $5 billion of average daily net assets (average daily net
assets in excess of $1 billion to $6 billion), .78% of the next $5 billion of
average daily net assets (average daily net assets in excess of $6 billion to
$11 billion), .76% of the next $5 billion of average daily net assets (average
daily net assets in excess of $11 billion to $16 billion), .74% of the next $5
billion of average daily net assets (average daily net assets in excess of $16
billion to $21 billion), .72% of the next $5 billion of average daily net assets
(average daily net assets in excess of $21 billion to $26 billion) and .70% of
average daily net assets in excess of $26 billion. The Blue Chip Fund, Value
Fund, and Global Growth and Income Fund fees are at the annual rate of 1.00% of
each Fund's average daily net assets.
The International Growth Fund pays a fee based on average daily net assets of
the Fund that is accrued daily and paid on a monthly basis, except for the
performance fee, which will be accrued and paid on a monthly basis beginning in
March 2006. The performance adjustment equally increases or decreases the
management fee, on a monthly basis, by 1/12 of 0.03% of the Fund's average daily
net assets for each full 1% increment amount by which the Fund outperforms or
underperforms the MSCI EAFE Growth Index ("Index") on an annualized basis,
respectively. The base fee is at the annual rate of 1.00% of the first $500
million of International Growth Fund's average daily net assets, 0.95% of the
next $500 million of average daily net assets, 0.90% of the next $5 billion of
average daily net assets (average daily net assets in excess of $1 billion to $6
billion), 0.88% of the next $5 billion of average daily net assets (average
daily net assets in excess of $6 billion to $11 billion), 0.86% of the next $5
billion of average daily net assets (average daily net assets in excess of $11
billion to $16 billion), 0.84% of the next $5 billion of average daily net
assets (average daily net assets in excess of $16 billion to $21 billion), 0.82%
of the next $5 billion of average daily net assets (average daily net assets in
excess of $21 billion to $26 billion) and 0.80% of average daily net assets in
excess of $26 billion.
The performance adjustment rate is calculated by comparing over the performance
period the Fund's performance to that of the Index. The performance period for
International Growth Fund commenced at the beginning of its first full month of
operation and will eventually include 36 months. Starting with twelfth month,
the performance adjustment takes effect. Each month subsequent to the twelfth
month, new month is added to the performance period until the performance period
includes 36 months. Thereafter, the performance period consists of the most
recent month plus the previous 35 months.
Notes to Financial Statements SEMIANNUAL REPORT 63
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
The performance comparison is made at the end of each month. The maximum
annualized performance adjustment rate is +/-0.30% of International Growth
Fund's average daily net assets over the performance period. The performance
adjustment rate is divided by twelve and multiplied by the Fund's average daily
net assets over the performance period, and the resulting dollar amount is then
added to or subtracted from the base fee. CALAMOS ADVISORS may receive a
positive performance adjustment even if the Fund has a negative return over a
performance period if it otherwise outperforms the Index during that period.
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
net assets of Calamos Investment Trust, Calamos Advisors Trust, and the managed
net assets of Calamos Convertible and High Income Fund, Calamos Strategic Total
Return Fund, and Calamos Convertible Opportunities and Income 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 monitoring trustee deferred compensation plan accruals and
valuations. The Funds pay their pro rata share of the financial accounting
services fee payable to Calamos Advisors based on average net assets of the
Funds.
Effective August 1, 2005, the Trust began reimbursing the advisor for
compensation paid to the Chief Compliance Officer of the Trust. This
compensation is reported as part of "Other" expenses on the Statement of
Operations.
Calamos Advisors has contractually agreed to limit the annual ordinary operating
expenses of each Fund, as a percentage of the average daily net assets of the
particular class of shares, to 1.75% for Class A shares, 2.50% for Class B
shares, 2.50% for Class C shares, and 1.50% for Class I shares through August
31, 2006. As of September 30, 2005, there were no expenses waived or absorbed.
As Distributor, CALAMOS FINANCIAL SERVICES LLC ("CFS") assumed all expenses of
personnel, office space, office facilities and equipment incidental to such
service. Each Fund has adopted a Distribution Plan pursuant to Rule 12b-1 under
the Investment Company Act of 1940 whereby the Fund pays to CFS an annual
distribution and/or service fee of 0.25% of the average daily net assets of the
Fund's Class A shares and an annual service fee of 0.25% and an annual
distribution fee of 0.75% of the average daily net assets of the Fund's Class B
shares and Class C shares.
CFS also receives a sales commission and/or an underwriting fee on certain sales
of each Fund's Class A shares. During the six months ended September 30, 2005,
CFS received commissions and distribution fees of $2,211,818, $15,820, $15,355
$41,446, $61,291, $881,282 and $31,533 from the sale of shares of Growth Fund,
Blue Chip Fund, Value Fund, International Growth Fund, Global Growth and Income
Fund, Growth and Income Fund and High Yield Fund, respectively.
Furthermore, pursuant to an agreement with US Bancorp Fund Services, LLC, the
Funds' transfer agent ("US Bancorp"), CFS provides certain shareholder
administrative services to US Bancorp. Effective as of September 1, 2005, CFS
will receive an annual fee of $175,000, paid in monthly installments, for
providing of these services. Also, US Bancorp pays license fees to unaffiliated
third parties for CFS' utilization of certain transfer agent and phone systems
in the providing of these services. The fees paid to CFS and the payment of
license fees to third parties are borne by US Bancorp. The Funds have not
assumed or incurred any additional expenses in connection with CFS providing
these services to US Bancorp and the transfer agency fees payable by the Funds
to US Bancorp have not increased as a result thereof.
Certain officers and trustees of the Trust are also officers and directors of
CFS and Calamos Advisors. All officers and affiliated trustees serve without
direct compensation from the Trust. The Funds' Statement of Additional
Information contains additional information about the Funds' trustees and is
available upon request without charge by calling our toll free number (800)
582-6959.
Certain affiliates of the advisor hold material investments in the Funds. As of
September 30, 2005 affiliates of the advisor held 15%, 17% and 49% of the
outstanding shares for the Blue Chip Fund, Value Fund and International Growth
Fund, respectively.
The Trust has adopted a deferred compensation plan (the "Plan"). Under the Plan,
a trustee who is not an "interested person" of 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 Trust. The deferred compensation
payable to the participating trustee is credited to the trustee's deferral
account as of the business day such compensation would have been paid to the
participating trustee. The value of a participating trustee's deferred
64 SEMIANNUAL REPORT Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
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 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 $38,429 for the Growth Fund, $13,360 for
the Blue Chip Fund, $21,263 for the Value Fund, $4,289 for the International
Growth Fund, $23,751 for the Global Growth and Income Fund, $28,421 for the
Growth and Income Fund, $23,636 for the High Yield Fund, $24,543 for the
Convertible Fund and $23,871 for the Market Neutral Fund are included in "Other
assets" on the Statements of Assets and Liabilities at September 30, 2005. Each
Fund's obligation to make payments under the Plan is a general obligation of
that Fund and is included in "Accounts payable and accrued liabilities" on the
Statement of Assets and Liabilities at September 30, 2005.
NOTE 3 - INVESTMENTS
Purchases and sales of investments, other than short-term investments by the
Funds for the six months ended September 30, 2005 were as follows:
INTERNATIONAL GLOBAL
GROWTH BLUE CHIP VALUE GROWTH GROWTH AND
FUND FUND FUND FUND INCOME FUND
-------------- ----------- ----------- ------------- ------------
Purchases $8,118,287,608 $29,215,630 $29,300,261 $140,295,956 $243,522,372
Proceeds
from sales 7,177,925,330 15,212,134 25,009,942 83,062,244 202,900,269
MARKET
GROWTH AND HIGH YIELD CONVERTIBLE NEUTRAL
INCOME FUND FUND FUND FUND
-------------- ------------ ------------ ------------
Purchases $1,878,623,887 $101,621,266 $335,571,981 $227,753,018
Proceeds
from sales 1,637,190,426 111,646,822 499,804,966 172,272,088
The cost basis of investments for Federal income tax purposes at September 30,
2005 was as follows:
INTERNATIONAL GLOBAL
GROWTH BLUE CHIP VALUE GROWTH GROWTH AND
FUND FUND FUND FUND INCOME FUND
--------------- ------------ ------------ ------------- ------------
Cost basis of
investments $16,565,143,254 $128,402,859 $125,017,419 $101,870,008 $394,062,134
--------------- ------------ ------------ ------------ ------------
Gross
unrealized
appreciation $ 3,062,214,381 $ 17,078,660 $ 15,390,105 15,257,710 $ 61,285,254
Gross unrealized
depreciation (289,731,008) (4,198,989) (1,800,944) (1,152,960) (6,002,510)
--------------- ------------ ------------ ------------ ------------
Net unrealized
appreciation
(depreciation) $ 2,772,483,373 $ 12,879,671 $ 13,589,161 $ 14,104,750 $ 55,282,744
--------------- ------------ ------------ ------------ ------------
MARKET
GROWTH AND HIGH YIELD CONVERTIBLE NEUTRAL
INCOME FUND FUND FUND FUND
-------------- ------------ -------------- ------------
Cost basis of
investments $5,425,360,569 $246,377,019 $1,137,686,206 $357,483,928
-------------- ------------ -------------- ------------
Gross
unrealized
appreciation $ 868,340,384 $ 12,854,449 $ 117,167,350 $ 15,540,007
Gross unrealized
depreciation (74,825,398) (2,219,326) (19,504,056) (41,225,779)
-------------- ------------ -------------- ------------
Net unrealized
appreciation
(depreciation) $ 793,514,986 $ 10,635,123 $ 97,663,294 $(25,685,772)
-------------- ------------ -------------- ------------
* Cost basis of investments for Market Neutral is net of short positions.
Notes to Financial Statements SEMIANNUAL REPORT 65
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 4 - DISTRIBUTIONS TO SHAREHOLDERS
The tax character of distributions for the period ended September 30, 2005 will
be determined at the end of the funds current fiscal year. Distributions during
the fiscal year ended March 31, 2005 were characterized for federal income tax
purposes as follows:
GLOBAL
BLUE CHIP VALUE INTERNATIONAL GROWTH AND
GROWTH FUND FUND FUND GROWTH FUND INCOME FUND
2005 2005 2005 2005 2005
----------- --------- ----- ------------- -----------
DISTRIBUTIONS PAID FROM:
ORDINARY INCOME
Class A $ -- $63,962 $-- $-- $ --
Class B -- -- -- -- --
Class C -- -- -- -- --
Class I -- 4,058 -- -- --
----------- ------- --- --- --------
$ -- $68,020 $-- $-- $ --
----------- ------- --- --- --------
LONG-TERM CAPITAL GAIN
Class A $24,554,337 $ -- $-- $-- $ 61,215
Class B 2,726,788 -- -- -- 8,235
Class C 7,655,607 -- -- -- 38,088
Class I 416,810 -- -- -- 1,795
----------- ------- --- --- --------
$35,353,542 $ -- $-- $-- $109,333
----------- ------- --- --- --------
GROWTH AND HIGH YIELD CONVERTIBLE MARKET
INCOME FUND FUND FUND NEUTRAL FUND
2005 2005 2005 2005
----------- ----------- ----------- ------------
DISTRIBUTIONS PAID FROM:
ORDINARY INCOME
Class A $40,207,810 $ 5,301,418 $17,797,687 $32,294,708
Class B 6,126,572 1,173,446 4,671,344 3,806,311
Class C 17,472,333 3,173,264 11,974,180 13,666,631
Class I 1,109,533 149,472 1,597,791 3,866,600
----------- ----------- ----------- -----------
$64,916,248 $ 9,797,600 $36,041,002 $53,634,250
----------- ----------- ----------- -----------
LONG-TERM CAPITAL GAIN
Class A $ 4,294,476 $ 1,544,731 $18,327,083 $ --
Class B 1,009,951 372,742 6,155,075 --
Class C 2,708,516 1,023,477 15,180,047 --
Class I 110,905 39,613 1,552,622 --
----------- ----------- ----------- -----------
$ 8,123,848 $ 2,980,563 $41,214,827 $ --
----------- ----------- ----------- -----------
66 SEMIANNUAL REPORT Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
The Funds intend to retain realized gains to the extent of available capital
loss carryforwards for federal income tax purposes. For the year ended March 31,
2005, the Funds utilized capital loss carryforwards as follows:
INTERNATIONAL GLOBAL MARKET
BLUE CHIP VALUE GROWTH GROWTH AND GROWTH AND HIGH YIELD CONVERTIBLE NEUTRAL
GROWTH FUND FUND FUND FUND INCOME FUND INCOME FUND FUND FUND FUND
----------- --------- ------- ------------- ----------- ----------- ---------- ----------- -------
$11,154,218 $-- $28,858 $-- $-- $-- $-- $-- $--
As of March 31, 2005, the Funds had capital loss carryforwards which, if not
used, will expire as follows:
INTERNATIONAL GLOBAL MARKET
BLUE CHIP VALUE GROWTH GROWTH AND GROWTH AND HIGH YIELD CONVERTIBLE NEUTRAL
GROWTH FUND FUND FUND FUND INCOME FUND INCOME FUND FUND FUND FUND
----------- ------------- ----- ------------- ----------- ----------- ---------- ----------- ---------
2013 $-- $(1,037,207) $-- $-- $-- $-- $-- $-- $(295,148)
The Funds had deferred post-October losses occurring subsequent to March 31,
2005. For tax purposes, such losses were treated as having occurred on April 1,
2005. As of March 31, 2005, post-October losses were as follows:
GLOBAL MARKET
BLUE CHIP VALUE GROWTH AND GROWTH AND HIGH YIELD CONVERTIBLE NEUTRAL
GROWTH FUND FUND FUND INCOME FUND INCOME FUND FUND FUND FUND
----------- ------------- ----- ----------- ----------- ---------- ----------- -----------
Capital $-- $-- $ -- $ -- $ -- $ -- $ -- $(8,997,837)
Currency -- -- -- (4,203,990) -- (10,840) (1,316,401) --
Contingent Payment
Debt Instrument -- -- -- (142,902) (2,811,771) (175,310) (2,305,966) --
NOTE 5 - SHORT SALES
Securities sold short represent obligations to purchase the securities at a
future date at then prevailing prices. A Fund may sell a security it does not
own in anticipation of a decline in the fair value of that security. When a Fund
sells a security short, it must borrow the security sold short and deliver it to
the broker-dealer through which it made the short sale. Dividends paid on
securities sold short are disclosed as an expense on the statement of
operations. A gain, limited to the price at which the Fund sold the security
short, or a loss, unlimited in size, will be recognized upon the termination of
a short sale.
So long as the short position is open, the Fund must adjust daily the value of
the segregated account so that the amount deposited in it, plus any amount
deposited with the broker as collateral, will equal the current market value of
the security sold short. However, the value of the segregated account may not be
reduced below the point at which the segregated account, plus any amount
deposited with the broker, is equal to the market value of the securities sold
short at the time they were sold short.
NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS
Each Fund may engage in portfolio hedging with respect to changes in currency
exchange rates by entering into 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. The
counterparty to all forward foreign currency contracts at September 30, 2005,
was a multinational bank.
Notes to Financial Statements SEMIANNUAL REPORT 67
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
As of September 30, 2005, the Global Growth and Income Fund had the following
open forward foreign currency contracts:
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN (LOSS)
---------- ------------- ---------- -----------
SHORT CONTRACTS
Australian Dollar 10/27/05 14,065,000 10,711,965 $(100,097)
Brazilian Real 10/27/05 2,377,000 1,059,593 (104,973)
British Pound Sterling 10/27/05 15,970,000 28,151,156 (199,852)
Canadian Dollar 10/27/05 2,195,000 1,890,350 (106,667)
Euro 10/27/05 46,735,000 56,235,741 487,229
Hong Kong Dollar 10/27/05 62,255,000 8,014,212 (4,724)
Hungarian Forint 10/27/05 895,210,000 4,306,578 120,813
Indonesian Rupiah 10/27/05 208,700,000 4,748,536 28,168
Japanese Yen 10/27/05 6,635,885,000 58,633,999 985,540
Singapore Dollar 10/27/05 2,800,000 1,657,033 33,013
Swedish Krona 10/27/05 29,575,000 3,822,638 (31,214)
Swiss Franc 10/27/05 32,595,000 25,246,004 201,697
Taiwanese Dollar 10/27/05 323,830,000 9,779,643 412,370
----------
$1,721,303
As of September 30, 2005, the Convertible Fund had the following open forward
foreign currency contracts:
SETTLEMENT LOCAL CURRENT UNREALIZED
DATE CURRENCY VALUE GAIN (LOSS)
---------- ------------- ----------- -----------
SHORT CONTRACTS
British Pound Sterling 10/27/05 11,700,000 $20,624,203 $(145,796)
Euro 10/27/05 8,720,000 10,492,686 84,500
Swiss Franc 10/27/05 40,510,000 31,376,457 226,266
---------
$ 164,970
NOTE 7 - SYNTHETIC CONVERTIBLE SECURITIES
The Funds 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 Funds 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 Funds 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.
68 SEMIANNUAL REPORT Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 8 - SECURITIES LENDING
For the six months ended September 30, 2005 the Funds loaned 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
Funds. The Funds continue to receive the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receive an additional
return that may be in the form of a fixed fee or a percentage of the collateral.
The Funds may pay reasonable fees to persons unaffiliated with the Funds for
services in arranging these loans. The Funds have the right to call the loan and
obtain the securities loaned at any time on notice of not more than five
business days. The Funds do not have the right to vote the securities during the
existence of the loan but could call the loan in an attempt to permit voting of
the securities in certain circumstances. Upon return of the securities loaned,
the cash or cash equivalent collateral will be returned to the borrower. In the
event of bankruptcy or other default of the borrower, the Funds could experience
both delays in liquidating the loan collateral or recovering the loaned
securities and losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the period while the
Funds seek to enforce its rights thereto, (b) possible subnormal levels of
income and lack of access to income during this period, and (c) the expenses of
enforcing their rights. In an effort to reduce these risks, Calamos Advisors LLC
and the security lending agent will monitor the creditworthiness of the firms to
which the Fund lends securities. At September 30, 2005, the Growth Fund, Blue
Chip Fund, Value Fund, Global Growth and Income Fund, Growth and Income Fund,
High Yield Fund, and Convertible Fund had securities valued at $2,411,009,112,
$21,908,497, $20,505,763, $40,303,258, $676,068,329, $44,737,085, and,
$179,084,825, respectively, on loan to broker-dealers and banks and Growth Fund,
Blue Chip Fund, Value Fund, Global Growth and Income Fund, Growth and Income
Fund, High Yield and Convertible Fund had $2,451,221,285, $22,489,467,
$21,163,297, $41,175,859, $693,063,438, $45,865,015 and $183,084,217,
respectively, in cash collateral.
NOTE 9 - REDEMPTION FEE
A redemption of Class A, Class B, Class C and Class I shares of a Fund (except
shares purchased with reinvested dividends or distributions) held for five days
or less may be subject to a redemption fee of 2% of the redemption proceeds that
will be deducted from those proceeds. The redemption fee is intended to deter
short-term trading. The redemption fee is also intended to offset portfolio
transaction costs, market impact, and other costs associated with short-term
trading. If the shares redeemed were purchased on different days, the shares
held shortest will be redeemed first for purposes of determining whether the
redemption fee applies. The redemption fee is not a sales charge; it is retained
by the Fund and reflected as an addition to paid in capital and does not benefit
the Funds Advisor or any other third party.
For the six months ended September 30, 2005, the redemption fees collected by
the Funds were as follows:
INTERNATIONAL GLOBAL MARKET
GROWTH BLUE CHIP VALUE GROWTH GROWTH AND GROWTH AND HIGH YIELD CONVERTIBLE NEUTRAL
FUND FUND FUND FUND INCOME FUND INCOME FUND FUND FUND FUND
------- --------- ----- ------------- ----------- ----------- ---------- ----------- -------
Class A $20,680 $14 $ -- $1,075 $289 $4,129 $1,343 $-- $--
Class B 465 -- -- 1 51 82 6 -- --
Class C 1,658 -- 272 -- -- 22 249 -- --
Class I -- -- -- -- -- -- -- -- --
Notes to Financial Statements SEMIANNUAL REPORT 69
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
NOTE 10 - CAPITAL SHARE TRANSACTIONS
The following table summarizes the activity in capital shares of the Funds:
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2005
GROWTH BLUE CHIP VALUE
FUND FUND FUND
----------------------------- ------------------------- -----------------------
A SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ----------- --------------- ---------- ------------ -------- ------------
Shares sold 40,833,392 $ 2,083,658,844 1,547,237 $ 17,039,404 629,600 $ 7,740,487
Shares issued in
reinvestment of
distributions -- -- -- -- -- --
Less shares
redeemed (24,642,243) (1,263,292,332) (1,118,301) (12,404,352) (842,941) (10,077,793)
----------- --------------- ---------- ------------ -------- ------------
Increase (decrease) 16,191,149 $ 820,366,512 428,936 $ 4,635,052 (213,341) $ (2,337,306)
----------- --------------- ---------- ------------ -------- ------------
B SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ----------- --------------- ---------- ------------ -------- ------------
Shares sold 1,963,758 $ 103,165,617 191,576 $ 2,081,819 156,027 $ 1,853,374
Shares issued in
reinvestment of
distributions -- -- -- -- -- --
Less shares
redeemed (1,214,490) (64,159,562) (78,986) (871,473) (59,794) (718,571)
----------- --------------- ---------- ------------ -------- ------------
Increase (decrease) 749,268 $ 39,006,055 112,590 $ 1,210,346 96,233 $ 1,134,803
----------- --------------- ---------- ------------ -------- ------------
C SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ----------- --------------- ---------- ------------ -------- ------------
Shares sold 9,177,928 $ 450,451,555 251,915 $ 2,750,994 203,921 $ 2,421,633
Shares issued in
reinvestment of
distributions -- -- -- -- -- --
Less shares
redeemed (5,295,200) (261,386,218) (129,039) (1,417,365) (141,455) (1,687,703)
----------- --------------- ---------- ------------ -------- ------------
Increase (decrease) 3,882,728 $ 189,065,337 122,876 $ 1,333,629 62,466 $ 733,930
----------- --------------- ---------- ------------ -------- ------------
INTERNATIONAL GLOBAL GROWTH AND
GROWTH FUND INCOME FUND
----------------------- -------------------------
A SHARES SHARES DOLLARS SHARES DOLLARS
- -------- --------- ----------- ---------- ------------
Shares sold 4,017,548 $40,674,243 6,092,756 $ 53,682,965
Shares issued in
reinvestment of
distributions -- -- -- --
Less shares
redeemed (93,389) (951,395) (2,804,035) (23,828,210)
--------- ----------- ---------- ------------
Increase (decrease) 3,924,159 $39,722,848 3,288,721 $ 29,854,755
--------- ----------- ---------- ------------
B SHARES SHARES DOLLARS SHARES DOLLARS
- -------- --------- ----------- ---------- ------------
Shares sold 361,930 $ 3,782,049 706,142 $ 6,400,181
Shares issued in
reinvestment of
distributions -- -- -- --
Less shares
redeemed (5,676) (60,731) (229,702) (2,037,964)
--------- ----------- ---------- ------------
Increase (decrease) 356,254 $ 3,721,318 476,440 $ 4,362,217
--------- ----------- ---------- ------------
C SHARES SHARES DOLLARS SHARES DOLLARS
- -------- --------- ----------- ---------- ------------
Shares sold 617,797 $ 6,567,461 3,084,768 $ 26,559,899
Shares issued in
reinvestment of
distributions -- -- -- --
Less shares
redeemed (1,644) (16,679) (1,439,133) (12,161,401)
--------- ----------- ---------- ------------
Increase (decrease) 616,153 $ 6,550,782 1,645,635 $ 14,398,498
--------- ----------- ---------- ------------
70 SEMIANNUAL REPORT Notes to Financial Statements
NOTES TO FINANCIAL STATEMENTS (UNAUDITED)
I SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ---------- -------------- --------- ----------- ------- --------
Shares sold 713,474 $ 38,625,005 535,457 $ 5,940,149 33,148 $408,329
Shares issued in
reinvestment of
distributions -- -- -- -- -- --
Less shares
redeemed (1,397,544) (74,387,406) (10,139) (110,634) (2,524) (30,582)
---------- -------------- --------- ----------- ------- --------
Increase (decrease) (684,070) (35,762,401) 525,318 5,829,515 30,624 377,747
---------- -------------- --------- ----------- ------- --------
Total Increase
(decrease) 20,139,075 $1,012,675,503 1,189,720 $13,008,542 (24,018) $(90,826)
---------- -------------- --------- ----------- ------- --------
I SHARES SHARES DOLLARS SHARES DOLLARS
- -------- --------- ----------- --------- -----------
Shares sold 59,035 $ 601,743 38,787 $ 335,280
Shares issued in
reinvestment of
distributions -- -- -- --
Less shares
redeemed (1,314) (14,723) (44,669) (370,219)
--------- ----------- --------- -----------
Increase (decrease) 57,721 $ 587,020 (5,882) $ (34,939)
--------- ----------- --------- -----------
Total Increase
(decrease) 4,954,287 $50,581,968 5,404,914 $48,580,531
--------- ----------- --------- -----------
FOR THE SIX MONTHS ENDED SEPTEMBER 30, 2005
GROWTH AND HIGH YIELD
INCOME FUND FUND
--------------------------- -------------------------
A SHARES SHARES DOLLARS SHARES DOLLARS
- -------- ----------- ------------- ---------- ------------
Shares sold 13,924,101 $ 414,798,462 1,616,290 $ 17,129,903
Shares issued in
reinvestment of
distributions 811,080 24,170,488 409,076 4,322,308
Less shares
redeemed (10,568,860) (312,218,519) (3,090,797) (32,610,448)
----------- ------------- ---------- ------------
Increase (decrease) 4,166,321 $ 126,750,431 (1,065,431) $(11,158,237)
----------- ------------- ---------- ------------
B SHARES SHARES DOLLARS SHARES DOLLARS
- -------- ----------- ------------- ---------- ------------
Shares sold 1,271,805 $ 41,766,336 1,056,792 $ 11,489,907
Shares issued in
reinvestment of
distributions 68,310 2,233,181 75,100 814,123
Less shares
redeemed (1,183,563) (38,866,023) (598,715) (6,499,526)
----------- ------------- ---------- ------------
Increase (decrease) 156,552 $ 5,133,494 533,177 $ 5,804,504
----------- ------------- ---------- ------------
C SHARES SHARES DOLLARS SHARES DOLLARS
- -------- ----------- ------------- ---------- ------------
Shares sold 7,221,926 $ 216,010,795 983,143 $ 10,666,470
Shares issued in
reinvestment of
distributions 256,670 7,655,162 187,006 2,017,179
Less shares
redeemed (4,282,945) (128,172,908) (1,250,612) (13,503,770)
---------- ------------- ---------- ------------
Increase (decrease) 3,195,651 $ 95,493,049 (80,463) $ (820,121)
---------- ------------- ---------- ------------
I SHARES SHARES DOLLARS SHARES DOLLARS
- -------- ----------- ------------- ---------- ------------
Shares sold 793,898 $ 23,039,267 9,581 $ 101,476
Shares issued in
reinvestment of
distributions 29,795 874,827 8,311 87,807
Less shares
redeemed (16,887) (485,644) (21,087) (226,720)
--------- ------------- -------- ------------
Increase (decrease) 806,806 $ 23,428,450 (3,195) $ (37,437)
--------- ------------- -------- ------------
Total Increase
(decrease) 8,325,330 $ 250,805,424 (615,912) $ (6,211,291)
--------- ------------- -------- ------------
CONVERTIBLE MARKET NEUTRAL
FUND FUND
-------------------------- ---------------------------
A SHARES SHARES DOLLARS SHARES DOLLARS
- -------- ---------- ------------- ----------- -------------
Shares sold 102,589 $ 2,080,410 270,777 $ 3,410,124
Shares issued in
reinvestment of
distributions 415,429 8,443,657 731,130 9,230,261
Less shares
redeemed (3,547,749) (72,153,380) (8,411,729) (105,880,521)
----------- -------------- ---------- -------------
Increase (decrease) (3,029,731) $ (61,629,313) (7,409,822) $ (93,240,136)
----------- -------------- ---------- -------------
B SHARES SHARES DOLLARS SHARES DOLLARS
- -------- ---------- ------------- ----------- -------------
Shares sold 11 $ 257 -- $ --
Shares issued in
reinvestment of
distributions 83,533 1,920,964 90,237 1,184,583
Less shares
redeemed (757,224) (17,513,311) (461,644) (6,046,670)
----------- -------------- ---------- -------------
Increase (decrease) (673,680) $ (15,592,090) (371,407) $ (4,862,087)
----------- -------------- ---------- -------------
C SHARES SHARES DOLLARS SHARES DOLLARS
- -------- ---------- ------------- ----------- -------------
Shares sold 483 $ 9,687 -- $ --
Shares issued in
reinvestment of
distributions 257,710 5,245,264 312,438 3,995,790
Less shares
redeemed (2,615,503) (53,337,639) (2,503,091) (31,975,466)
----------- -------------- ---------- -------------
Increase (decrease) (2,357,310) $ (48,082,688) (2,190,653) $ (27,979,676)
----------- -------------- ---------- -------------
I SHARES SHARES DOLLARS SHARES DOLLARS
- -------- ---------- ------------- ----------- -------------
Shares sold 6,897 $ 134,687 5,348 $ 67,071
Shares issued in
reinvestment of
distributions 9,282 180,510 125,401 1,569,559
Less shares
redeemed (363,497) (7,081,575) (1,052,129) (13,192,602)
----------- -------------- ---------- -------------
Increase (decrease) (347,318) $ (6,766,378) (921,380) $ (11,555,972)
----------- -------------- ---------- -------------
Total Increase
(decrease) (6,408,039) $(132,070,469) (10,893,262) $(137,637,871)
----------- -------------- ---------- -------------
Notes to Financial Statements SEMIANNUAL REPORT 71
Notes to Financial Statements (Unaudited)
FOR THE YEAR ENDED MARCH 31, 2005
GROWTH BLUE CHIP VALUE
FUND FUND FUND
---------------------------- ------------------------ ----------------------
A SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ----------- --------------- ---------- ------------ --------- -----------
Shares sold 110,821,893 $ 5,386,165,956 5,496,210 $ 57,568,129 4,504,909 $51,662,864
Shares issued in
reinvestment of
distributions 448,550 22,701,539 5,343 59,145 -- --
Less shares
redeemed (29,232,235) (1,410,443,266) (1,238,777) (13,238,622) (727,555) (8,452,782)
----------- --------------- ---------- ------------ --------- -----------
Increase (decrease) 82,038,208 $ 3,998,424,229 4,262,776 $ 44,388,652 3,777,354 $43,210,082
----------- --------------- ---------- ------------ --------- -----------
B SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ----------- --------------- ---------- ------------ --------- -----------
Shares sold 7,733,848 $ 388,318,365 356,531 $ 3,665,660 390,081 $ 4,393,119
Shares issued in
reinvestment of
distributions 48,926 2,566,653 -- -- -- --
Less shares
redeemed (1,389,179) (69,126,947) (69,081) (719,578) (84,313) (953,694)
----------- --------------- ---------- ------------ --------- -----------
Increase (decrease) 6,393,595 $ 321,758,071 287,450 $ 2,946,082 305,768 $ 3,439,425
----------- --------------- ---------- ------------ --------- -----------
C SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ----------- --------------- ---------- ------------ --------- -----------
Shares sold 27,846,208 $ 1,308,775,296 808,482 $ 8,411,998 754,887 $ 8,497,676
Shares issued in
reinvestment of
distributions 148,350 7,241,119 -- -- -- --
Less shares
redeemed (5,479,695) (255,894,721) (138,529) (1,450,565) (269,021) (3,048,263)
----------- --------------- ---------- ------------ --------- -----------
Increase (decrease) 22,514,863 $ 1,060,121,694 669,953 $ 6,961,433 485,866 $ 5,449,413
----------- --------------- ---------- ------------ --------- -----------
I SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ----------- --------------- ---------- ------------ --------- -----------
Shares sold 945,934 $ 48,363,623 119,997 $ 1,286,946 70,535 $ 826,025
Shares issued in
reinvestment of
distributions 7,135 382,004 366 4,058 -- --
Less shares
redeemed (453,379) (23,885,482) (13,798) (148,990) (25,763) (297,802)
----------- --------------- --------- ------------ --------- -----------
Increase (decrease) 499,690 $ 24,860,145 106,565 $ 1,142,014 44,772 $ 528,223
----------- --------------- --------- ------------ --------- -----------
Total Increase
(decrease) 111,446,356 $ 5,405,164,139 5,326,744 $ 55,438,181 4,613,760 $52,627,143
----------- --------------- --------- ------------ --------- -----------
INTERNATIONAL GLOBAL GROWTH AND
GROWTH FUND INCOME FUND
---------------------- ------------------------
A SHARES SHARES DOLLARS SHARES DOLLARS
- -------- --------- ----------- ---------- ------------
Shares sold 4,480,000 $44,800,000 14,434,576 $117,002,583
Shares issued in
reinvestment of
distributions -- -- 6,757 55,819
Less shares
redeemed -- -- (3,885,004) (31,565,069)
--------- ----------- ---------- ------------
Increase (decrease) 4,480,000 $44,800,000 10,556,329 $ 85,493,333
--------- ----------- ---------- ------------
B SHARES SHARES DOLLARS SHARES DOLLARS
- -------- --------- ----------- ---------- ------------
Shares sold 10,000 $ 100,000 1,519,877 $ 12,797,339
Shares issued in
reinvestment of
distributions -- -- 861 7,413
Less shares
redeemed -- -- (332,476) (2,818,770)
--------- ----------- ---------- ------------
Increase (decrease) 10,000 $ 100,000 1,188,262 $ 9,985,982
--------- ----------- ---------- ------------
C SHARES SHARES DOLLARS SHARES DOLLARS
- -------- --------- ----------- ---------- ------------
Shares sold 10,000 $ 100,000 6,704,545 $ 53,571,181
Shares issued in
reinvestment of
distributions -- -- 4,096 33,425
Less shares
redeemed -- -- (2,156,678) (17,382,535)
--------- ----------- ---------- ------------
Increase (decrease) 10,000 $ 100,000 4,551,963 $ 36,222,071
--------- ----------- ---------- ------------
I SHARES SHARES DOLLARS SHARES DOLLARS
- -------- --------- ----------- ---------- ------------
Shares sold 700,200 $ 7,000,000 160,550 $ 1,330,893
Shares issued in
reinvestment of
distributions -- -- 217 1,795
Less shares
redeemed -- -- (129,153) (1,067,689)
--------- ----------- ---------- ------------
Increase (decrease) 700,200 $ 7,000,000 31,614 $ 264,999
--------- ----------- ---------- ------------
Total Increase
(decrease) 5,200,200 $52,000,000 16,328,168 $131,966,385
--------- ----------- ---------- ------------
72 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (Unaudited)
FOR THE YEAR ENDED MARCH 31, 2005
GROWTH AND HIGH YIELD CONVERTIBLE MARKET NEUTRAL
INCOME FUND FUND FUND FUND
--------------------------- ------------------------ ------------------------- --------------------------
A SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ----------- -------------- ---------- ------------ ---------- ------------- ---------- --------------
Shares sold 36,824,936 $1,040,062,724 6,854,047 $ 74,559,017 323,635 $ 6,853,202 714,584 $ 9,906,849
Shares issued
in reinvestment of
distributions 1,357,299 39,015,486 509,964 5,527,282 1,466,650 30,684,139 1,917,992 26,203,643
----------- -------------- ---------- ------------ ---------- ------------- ---------- -------------
Less shares redeemed (21,144,588) (593,309,016) (5,244,951) (56,741,536) (5,763,734) (121,293,681) (9,040,652) (123,846,894)
----------- -------------- ---------- ------------ ---------- ------------- ---------- -------------
Increase (decrease) 17,037,647 $ 485,769,194 2,119,060 $ 23,344,763 (3,973,449) $ (83,756,340) (6,408,076) $ (87,736,402)
B SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ----------- -------------- ---------- ------------ ---------- ------------- ---------- --------------
Shares sold 4,309,682 $ 133,670,389 833,223 $ 9,218,411 490 $ 11,612 302 $ 4,285
Shares issued in
reinvestment of
distributions 198,040 6,308,133 92,546 1,026,358 388,018 9,136,152 214,743 3,042,151
Less shares redeemed (1,885,544) (58,774,844) (758,022) (8,307,650) (1,166,826) (27,587,484) (624,588) (8,878,140)
----------- -------------- ---------- ------------ ---------- ------------- ---------- -------------
Increase (decrease) 2,622,178 $ 81,203,678 167,747 $ 1,937,119 (778,318) $ (18,439,720) (409,543) $ (5,831,704)
----------- -------------- ---------- ------------ ---------- ------------- ---------- -------------
C SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ----------- -------------- ---------- ------------ ---------- ------------- ---------- --------------
Shares sold 17,934,295 $ 509,599,707 2,575,077 $ 28,458,306 2,116 $ 44,649 46 $ 1,282
Shares issued in
reinvestment of
distributions 632,637 18,360,437 282,690 3,118,937 1,129,482 23,613,998 822,264 11,364,433
Less shares redeemed (7,500,499) (213,520,855) (2,487,401) (27,495,977) (4,305,715) (90,810,375) (3,701,259) (51,224,026)
----------- -------------- ---------- ------------ ---------- ------------- ---------- -------------
Increase (decrease) 11,066,433 $ 314,439,289 370,366 $ 4,081,266 (3,174,117) $ (67,151,728) (2,878,949) $ (39,858,311)
----------- -------------- ---------- ------------ ---------- ------------- ---------- -------------
I SHARES SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS SHARES DOLLARS
- -------- ----------- -------------- ---------- ------------ ---------- ------------- ---------- --------------
Shares sold 1,428,952 $ 40,773,436 14,820 $ 160,998 6,704 $ 135,356 86,663 $ 1,209,715
Shares issued in
reinvestment of
distributions 33,058 933,256 17,497 189,086 32,810 657,993 268,648 3,640,970
Less shares redeemed (163,699) (4,563,181) (108,403) (1,187,714) (661,531) (13,247,411) (151,760) (2,092,276)
----------- -------------- ---------- ------------ ---------- ------------- ---------- -------------
Increase (decrease) 1,298,311 $ 37,143,511 (76,086) $ (837,630) (622,017) $ (12,454,062) 203,551 $ 2,758,409
Total Increase
----------- -------------- ---------- ------------ ---------- ------------- ---------- -------------
(decrease) 32,024,569 $ 918,555,672 2,581,087 $ 28,525,518 (8,547,901) $(181,801,850) (9,493,017) $(130,668,008)
----------- -------------- ---------- ------------ ---------- ------------- ---------- -------------
Notes to Financial Statements SEMIANNUAL REPORT 73
Calamos Growth Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS A
-----------------------------------------------------------------------------------
(unaudited)
Six Months
Ended
September 30, Year Ended March 31,
------------- -------------------------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- ----------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 49.90 $ 47.62 $ 31.68 $ 37.64 $ 37.04 $ 48.17
Income from investment operations:
Net investment income (loss) (0.19) (0.36)* (0.14)* (0.37)* (0.41)* (0.27)*
Net realized and unrealized gain (loss)
on investments 4.90 2.78 16.08 (5.59) 1.01 (5.87)
----------- ----------- ---------- ---------- ---------- --------
Total from investment operations 4.71 2.42 15.94 (5.96) 0.60 (6.14)
----------- ----------- ---------- ---------- ---------- --------
Capital contribution from Advisor -- -- -- -- --
Distributions:
Dividends from net investment income -- -- -- -- --
Dividends from net realized gains -- (0.14) -- -- -- (4.99)
Distributions from capital
contributions -- -- -- -- --
----------- ----------- ---------- ---------- ---------- --------
Total distributions -- (0.14) -- -- -- (4.99)
----------- ----------- ---------- ---------- ---------- --------
Net asset value, end of period $ 54.61 $ 49.90 $ 47.62 $ 31.68 $ 37.64 $ 37.04
----------- ----------- ---------- ---------- ---------- --------
Total Return (a)(b) 9.44% 5.08% 50.32% (15.84%) 1.62% (14.19%)
----------- ----------- ---------- ---------- ---------- --------
Ratios and supplemental data:
Net assets, end of period (000) $12,003,414 $10,161,403 $5,789,210 $1,768,431 $1,027,091 $140,353
Ratio of net expenses to average net
assets 1.23% 1.23% 1.31% 1.40% 1.55% 1.47%
Ratio of net investment income (loss) to
average net assets (0.73%) (0.74%) (0.96%) (1.12%) (1.12%) (0.66%)
Ratio of gross expenses to average net
assets prior to waiver of expenses by
the Advisor 1.23% 1.23% 1.31% 1.40% 1.55% 1.47%
(unaudited)
Six Months
Ended
September 30, Year Ended March 31,
------------- -------------------------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- ----------- ---------- ---------- ---------- ----------
Portfolio turnover rate 46.4% 63.1% 53.7% 60.5% 78.8% 90.9%
(a) Total return measures net investment income and capital gain or loss from
portfolio investments assuming reinvestment of dividends and capital gains
distributions. Total return is not annualized for periods that are less
than a full year, does not reflect the effect of sales charge for Class A
shares nor the contingent deferred sales charge for Class B and C shares
and does not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares.
(b) In March 2001, the Fund's total return includes the capital contribution by
Calamos Advisors. Excluding this item, total return would have been
-14.19%, -20.64%, -14.76%, and -13.92% for Class A, Class B, Class C and
Class I shares, respectively.
* Net investment income allocated based on average shares method.
** Annualized
74 SEMIANNUAL REPORT Financial Highlights
Calamos Growth Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS B
-----------------------------------------------------------------------------------
(unaudited) September
Six Months 2000
Ended through
September 30, Year Ended March 31, March 31,
------------- -------------------------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- ----------- ---------- ---------- ---------- ----------
Net asset value, beginning of period $ 51.59 $ 49.59 $ 33.24 $ 39.79 $ 39.45 $ 50.67
Income from investment operations
Net investment income (loss) (0.39) (0.75)* (0.32)* (0.65)* (0.47)* (0.31)*
Net realized and unrealized gain (loss)
on investments 5.04 2.89 16.67 (5.90) 0.81 (10.02)
---------- ---------- -------- -------- -------- -------
Total from investment operations 4.65 2.14 16.35 (6.55) 0.34 (10.33)
---------- ---------- -------- -------- -------- -------
Capital contribution from Advisor -- -- -- -- 3.77
Distributions:
Dividends from net investment income -- -- -- -- --
Dividends from net realized gains -- (0.14) -- -- -- (0.89)
Distributions from capital
contributions -- -- -- -- (3.77)
---------- ---------- -------- -------- -------- -------
Total distributions -- (0.14) -- -- -- (4.66)
---------- ---------- -------- -------- -------- -------
Net asset value, end of period $ 56.24 $ 51.59 $ 49.59 $ 33.24 $ 39.79 $ 39.45
---------- ---------- -------- -------- -------- -------
Total Return (a)(b) 9.01% 4.31% 49.19% (16.46%) 0.86% (13.48%)
---------- ---------- -------- -------- -------- -------
Ratios and supplemental data:
Net assets, end of period (000) $1,252,247 $1,110,017 $749,897 $250,121 $130,934 $ 7,158
Ratio of net expenses to average net
assets 1.98% 1.98% 2.06% 2.15% 2.30% 2.22%**
Ratio of net investment income (loss) to
average net assets (1.48%) (1.49%) (1.71%) (1.87%) (1.87%) (1.41%)**
Ratio of gross expenses to average net
assets prior to waiver of expenses by
the Advisor 1.98% 1.98% 2.06% 2.15% 2.30% 3.39%**
Financial Highlights SEMIANNUAL REPORT 75
Calamos Growth Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS C
---------------------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, -----------------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- ---------- ---------- -------- -------- -------
Net asset value, beginning of period $ 48.00 $ 46.15 $ 30.94 $ 37.03 $ 36.72 $ 47.16
Income from investment operations:
Net investment income (loss) (0.37) (0.69)* (0.28)* (0.61)* (0.68)* (0.56)*
Net realized and unrealized gain (loss) on
investments 4.70 2.68 15.49 (5.48) 0.99 (5.82)
---------- ---------- ---------- -------- -------- -------
Total from investment operations 4.33 1.99 15.21 (6.09) 0.31 (6.38)
---------- ---------- ---------- -------- -------- -------
Capital contribution from Advisor -- -- -- -- -- 0.61
Distributions:
Dividends from net investment income -- -- -- -- -- --
Dividends from net realized gains -- (0.14) -- -- -- (4.06)
Distributions from capital contributions -- -- -- -- -- (0.61)
---------- ---------- ---------- -------- -------- -------
Total distributions -- (0.14) -- -- -- (4.67)
---------- ---------- ---------- -------- -------- -------
Net asset value, end of period $ 52.33 $ 48.00 $ 46.15 $ 30.94 $ 37.03 $ 36.72
---------- ---------- ---------- -------- -------- -------
Total Return (a)(b) 9.02% 4.31% 49.16% (16.45%) 0.84% (13.52%)
---------- ---------- ---------- -------- -------- -------
Ratios and supplemental data:
Net assets, end of period (000) $3,515,697 $3,038,513 $1,882,171 $585,040 $333,734 $52,463
Ratio of net expenses to average net assets 1.98% 1.98% 2.06% 2.15% 2.30% 2.22%
Ratio of net investment income (loss) to average
net assets (1.48%) (1.49%) (1.71%) (1.87%) (1.87%) (1.41%)
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor 1.98% 1.98% 2.06% 2.15% 2.30% 2.52%
76 SEMIANNUAL REPORT Financial Highlights
Calamos Growth Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS I
--------------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ----------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- -------- -------- ------- ------- -------
Net asset value, beginning of period $ 52.85 $ 50.30 $ 33.38 $ 39.56 $38.83 $ 48.73
Income from investment operations:
Net investment income (loss) (0.13) (0.25)* (0.13)* (0.30)* (0.34)* (0.18)*
Net realized and unrealized gain (loss) on
investments 5.18 2.94 17.05 (5.88) 1.07 (6.10)
Total from investment operations 5.05 2.69 16.92 (6.18) 0.73 (6.28)
Capital contribution from Advisor -- -- -- -- -- 1.04
Distributions:
Dividends from net investment income -- -- -- -- -- --
Dividends from net realized gains -- (0.14) -- -- -- (3.62)
Distributions from capital contributions -- -- -- -- -- (1.04)
Total distributions -- (0.14) -- -- -- (4.66)
Net asset value, end of period $ 57.90 $ 52.85 $ 50.30 $ 33.38 $39.56 $ 38.83
Total Return (a)(b) 9.56% 5.35% 50.69% (15.62%) 1.88% (11.87%)
Ratios and supplemental data:
Net assets, end of period (000) $132,005 $156,641 $123,933 $45,620 $7,424 $ 7,053
Ratio of net expenses to average net assets 0.98% 0.98% 1.06% 1.15% 1.30% 1.22%
Ratio of net investment income (loss) to average
net assets (0.48%) (0.49%) (0.71%) (0.87%) (0.87%) (0.41%)
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor 0.98% 0.98% 1.06% 1.15% 1.30% 1.86%
Financial Highlights SEMIANNUAL REPORT 77
Calamos Blue Chip Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS A CLASS B
---------------------------------------- ----------------------------------------
(unaudited) December 1, (unaudited) December 1,
Six Months 2003 Six Months 2003
Ended Year Ended through Ended Year Ended through
September 30, March 31, March 31, September 30, March 31, March 31,
2005 2005 2004 2005 2005 2004
------------- ---------- ----------- ------------- ---------- -----------
Net asset value, beginning of period $ 10.91 $ 10.27 $ 10.00 $10.82 $10.25 $10.00
Income from investment operations:
Net investment income (loss) 0.00* 0.02 (0.01) (0.03) (0.03) (0.02)
Net realized and unrealized gain (loss) on
investments 0.61 0.63 0.28 0.58 0.60 0.27
------- ------- ------- ------ ------ ------
Total from investment operations 0.61 0.65 0.27 0.55 0.57 0.25
------- ------- ------- ------ ------ ------
Distributions:
Dividends from net investment income -- (0.01) -- -- -- --
Dividends from net realized gains -- -- -- -- --
------- ------- ------- ------ ------ ------
Total distributions -- (0.01) -- -- -- --
------- ------- ------- ------ ------ ------
Net asset value, end of period $ 11.52 $ 10.91 $ 10.27 $11.37 $10.82 $10.25
------- ------- ------- ------ ------ ------
Total return (a) 5.59% 6.33% 2.70% 5.08% 5.56% 2.50%
------- ------- ------- ------ ------ ------
Ratios and supplemental data:
Net assets, end of period (000) $85,976 $76,809 $28,499 $8,868 $7,219 $3,894
Ratio of net expenses to average net assets 1.51% 1.70% 1.75%** 2.26% 2.45% 2.50%**
Ratio of net investment income (loss) to
average net assets 0.08% 0.25% (0.42%)** (0.67%) (0.50%) (1.17%)**
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor 1.51% 1.70% 2.56%** 2.26% 2.45% 3.31%**
(unaudited) December 1,
Six Months 2003
Ended Year Ended through
September 30, March 31, March 31,
2005 2005 2004
------------- ---------- -----------
Portfolio turnover rate 14.1% 37.6% 4.3%
(a) Total return measures net investment income and capital gain or loss from
portfolio investments assuming reinvestment of dividends and capital gains
distributions. Total return is not annualized for periods that are less
than a full year, does not reflect the effect of sales charge for Class A
shares nor the contingent deferred sales charge for Class B and C shares
and does not reflect the deduction of taxes that a shareholder would pay on
fund distributions or the redemption of fund shares.
* Amounts are less than $0.005.
** Annualized
78 SEMIANNUAL REPORT Financial Highlights
Calamos Blue Chip Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS C CLASS I
---------------------------------------- ----------------------------------------
(unaudited) December 1, (unaudited) December 1,
Six Months 2003 Six Months 2003
Ended Year Ended through Ended Year Ended through
September 30, March 31, March 31, September 30, March 31, March 31,
2005 2005 2004 2005 2005 2004
------------- ---------- ----------- ------------- ---------- -----------
Net asset value, beginning of period $ 10.82 $ 10.25 $10.00 $10.94 $10.28 $10.00
Income from investment operations:
Net investment income (loss) (0.03) (0.03) (0.02) 0.00* 0.04 (0.00)*
Net realized and unrealized gain (loss) on
investments 0.58 0.60 0.27 0.62 0.64 0.28
------- ------- ------ ------ ------ ------
Total from investment operations 0.55 0.57 0.25 0.62 0.68 0.28
------- ------- ------ ------ ------ ------
Distributions:
Dividends from net investment income -- -- -- -- (0.02) --
Dividends from net realized gains -- -- -- -- -- --
------- ------- ------ ------ ------ ------
Total distributions -- -- -- -- (0.02) --
------- ------- ------ ------ ------ ------
Net asset value, end of period $ 11.37 $ 10.82 $10.25 $11.56 $10.94 $10.28
------- ------- ------ ------ ------ ------
Total Return(a) 5.08% 5.56% 2.50% 5.67% 6.64% 2.80%
-------- ------- ------ ------ ------ ------
Ratios and supplemental data:
Net assets, end of period (000) $14,365 $12,337 $4,822 $8,913 $2,686 $1,427
Ratio of net expenses to average net assets 2.26% 2.45% 2.50%** 1.26% 1.45% 1.50%**
Ratio of net investment income (loss) to
average net assets (0.67%) (0.50%) (1.17%)** 0.33% 0.50% (0.17%)**
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor 2.26% 2.45% 3.31%** 1.26% 1.45% 2.31%**
Financial Highlights SEMIANNUAL REPORT 79
Calamos Value Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS A
----------------------------------------------------------
(unaudited) January 2,
Six Months 2002
Ended Year Ended March 31, through
September 30, ---------------------------- March 31,
2005 2005 2004 2003 2002
------------- ------- ------- ------- ----------
Net asset value, beginning of period $ 12.01 $ 11.27 $ 7.70 $ 9.89 $10.00
Income from investment operations:
Net investment income (loss) 0.01 0.02 (0.02) (0.01) --
Net realized and unrealized gain (loss)
on investments 0.63 0.72 3.59 (2.18) (0.11)
------- ------- ------- ------- ------
Total from investment operations 0.64 0.74 3.57 (2.19) (0.11)
------- ------- ------- ------- ------
Capital contribution from Advisor -- -- -- -- --
Distributions:
Dividends from net investment income -- -- -- -- --
Dividends from net realized gains -- -- -- -- --
Distributions from capital contributions -- -- -- -- --
------- ------- ------- ------- ------
Total distributions -- -- -- -- --
------- ------- ------- ------- ------
Net asset value, end of period $ 12.65 $ 12.01 $ 11.27 $ 7.70 $ 9.89
------- ------- ------- ------- ------
Total Return (a) 5.33% 6.57% 46.36% (22.14%) (1.10%)
------- ------- ------- ------- ------
Ratios and supplemental data:
Net assets, end of period (000) $90,029 $88,040 $40,024 $ 9,333 $1,130
Ratio of net expenses to average net assets 1.54% 1.61% 1.75% 1.75% 1.75%*
Ratio of net investment income (loss) to
average net assets 0.09% 0.07% (0.40%) (0.28%) (0.26%)*
Ratio of gross expenses to
average net assets prior to
waiver of expenses by the Advisor 1.54% 1.61% 2.02% 6.05% 32.22%*
CLASS B
---------------------------------------------------------
(unaudited) January 2,
Six Months 2002
Ended Year Ended March 31, through
September 30, --------------------------- March 31,
2005 2005 2004 2003 2002
------------- ------ ------ ------- ----------
Net asset value, beginning of period $11.73 $11.08 $ 7.63 $ 9.87 $10.00
Income from investment operations:
Net investment income (loss) (0.03) (0.03) (0.02) (0.03) (0.01)
Net realized and unrealized gain (loss)
on investments 0.61 0.68 3.47 (2.21) (0.12)
------ ------ ------ ------- ------
Total from investment operations 0.58 0.65 3.45 (2.24) (0.13)
------ ------ ------ ------- ------
Capital contribution from Advisor -- -- -- -- --
Distributions:
Dividends from net investment income -- -- -- -- --
Dividends from net realized gains -- -- -- -- --
Distributions from capital contributions -- -- -- -- --
------ ------ ------ ------- ------
Total distributions -- -- -- -- --
------ ------ ------ ------- ------
Net asset value, end of period $12.31 $11.73 $11.08 $ 7.63 $ 9.87
------ ------ ------ ------- ------
Total Return (a) 4.94% 5.87% 45.22% (22.70%) (1.30%)
------ ------ ------ ------- ------
Ratios and supplemental data:
Net assets, end of period (000) $9,238 $7,676 $3,865 $ 545 $ 55
Ratio of net expenses to average net assets 2.29% 2.36% 2.50% 2.50% 2.50%*
Ratio of net investment income (loss) to
average net assets (0.66%) (0.68%) (1.15%) (1.03%) (1.01%)*
Ratio of gross expenses to
average net assets prior to
waiver of expenses by the Advisor 2.29% 2.36% 2.77% 6.80% 32.97%*
January 2,
(unaudited) 2002
Six Months Ended Year Ended March 31, through
September 30, -------------------- March 31,
2005 2005 2004 2003 2002
---------------- ---- ---- ---- ----------
Portfolio turnover rate 23.0% 50.3% 24.4% 33.6% 0.0%
(a) Total return measures net investment income and capital gain or loss from
portfolio investments assuming reinvestment of dividends and capital gains
distributions. Total return is not annualized for periods that are less
than a full year, does not reflect the effect of sales charge for Class A
nor the contingent deferred sales charge for Class B and C and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
* Annualized
80 SEMIANNUAL REPORT Financial Highlights
Calamos Value Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS C
---------------------------------------------------------
(unaudited) January 2,
Six Months 2002
Ended Year Ended March 31, through
September 30, --------------------------- March 31,
2005 2005 2004 2003 2002
------------- ------- ------ ------- ----------
Net asset value, beginning of period $ 11.72 $ 11.08 $ 7.63 $ 9.88 $10.00
Income from investment operations:
Net investment income (loss) (0.03) (0.04) (0.01) (0.03) (0.01)
Net realized and unrealized gain (loss)
on investments 0.61 0.68 3.46 (2.22) (0.11)
------- ------- ------ ------- ------
Total from investment operations 0.58 0.64 3.45 (2.25) (0.12)
------- ------- ------ ------- ------
Capital contribution from Advisor -- -- -- -- --
Distributions:
Dividends from net investment income -- -- -- -- --
Dividends from net realized gains -- -- -- -- --
Distributions from capital contributions -- -- -- -- --
------- ------- ------ ------- ------
Total distributions -- -- -- -- --
------- ------- ------ ------- ------
Net asset value, end of period $ 12.30 $ 11.72 $11.08 $ 7.63 $ 9.88
------- ------- ------ ------- ------
Total Return (a)(b) 4.95% 5.78% 45.22% (22.77%) (1.20%)
------- ------- ------ ------- ------
Ratios and supplemental data:
Net assets, end of period (000) $14,398 $12,991 $6,894 $ 922 $ 65
Ratio of net expenses to average
net assets 2.29% 2.36% 2.50% 2.50% 2.50%*
Ratio of net investment income
(loss) to average net assets (0.66%) (0.68%) (1.15%) (1.03%) (1.01%)*
Ratio of gross expenses to average
net assets prior to waiver of
expenses by the Advisor 2.29% 2.36% 2.77% 6.80% 32.97%*
CLASS I
--------------------------------------------------------
(unaudited) January 2,
Six Months 2002
Ended Year Ended March 31, through
September 30, -------------------------- March 31,
2005 2005 2004 2003 2002
------------- ------ ------ ------- ----------
Net asset value, beginning of period $12.11 $11.33 $ 7.72 $ 9.90 $ 9.83
Income from investment operations:
Net investment income (loss) 0.02 0.03 (0.01) -- --
Net realized and unrealized gain (loss)
on investments 0.65 0.75 3.62 (2.18) 0.07
------ ------ ------ ------- ------
Total from investment operations 0.67 0.78 3.61 (2.18) 0.07
------ ------ ------ ------- ------
Capital contribution from Advisor -- -- -- -- --
Distributions:
Dividends from net investment income -- -- -- -- --
Dividends from net realized gains -- -- -- -- --
Distributions from capital contributions -- -- -- -- --
------ ------ ------ ------- ------
Total distributions -- -- -- -- --
------ ------ ------ ------- ------
Net asset value, end of period $12.78 $12.11 $11.33 $ 7.72 $ 9.90
------ ------ ------ ------- ------
Total Return (a)(b) 5.53% 6.88% 46.76% (22.02%) 0.71%
------ ------ ------ ------- ------
Ratios and supplemental data:
Net assets, end of period (000) $3,738 $3,174 $2,461 $ 1,336 $ 1
Ratio of net expenses to average
net assets 1.29% 1.36% 1.50% 1.50% 1.50%*
Ratio of net investment income
(loss) to average net assets 0.34% 0.32% (0.15%) (0.03%) (0.01%)*
Ratio of gross expenses to average
net assets prior to waiver of
expenses by the Advisor 1.29% 1.36% 1.77% 5.80% 31.97%*
Financial Highlights SEMIANNUAL REPORT 81
Calamos International Growth Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS A CLASS B
------------------------- -------------------------
(unaudited) March 16, (unaudited) March 16,
Six Months 2005* Six Months 2005*
Ended through Ended through
September 30, March 31, September 30, March 31,
2005 2005 2005 2005
------------- --------- ------------- ---------
Net asset value, beginning of period $ 9.76 $ 10.00 $ 9.76 $10.00
Income from investment operations:
Net investment income 0.04 0.01 (0.00)** 0.01
Net realized and unrealized (loss)
on investments 1.66 (0.25) 1.65 (0.25)
------- ------- ------ ------
Total from investment operations 1.70 (0.24) 1.65 (0.24)
------- ------- ------ ------
Total distributions -- -- -- --
------- ------- ------ ------
Net asset value, end of period $ 11.46 $ 9.76 $11.41 $ 9.76
------- ------- ------ ------
Total return (a) 17.42% (2.40%) 16.91% (2.40%)
------- ------- ------ ------
Ratios and supplemental data:
Net assets, end of period (000) $96,293 $43,722 $4,179 $ 98
Ratio of net expenses to average net assets 1.66%*** 1.75%*** 2.41%*** 2.50%***
Ratio of net investment income (loss)
to average net assets 0.94%*** 2.00%*** 0.19%*** 1.25%***
Ratio of gross expenses to
average net assets prior to
expenses waived or absorbed by the Advisor 1.66%*** 3.00%*** 2.41%*** 3.75%***
CLASS C CLASS I
------------------------- -------------------------
(unaudited) March 16, (unaudited) March 16,
Six Months 2005* Six Months 2005*
Ended through Ended through
September 30, March 31, September 30, March 31,
2005 2005 2005 2005
------------- --------- ------------- ---------
Net asset value, beginning of period $ 9.76 $10.00 $ 9.76 $10.00
Income from investment operations:
Net investment income (0.00)** 0.01 0.06 0.01
Net realized and unrealized (loss)
on investments 1.65 (0.25) 1.65 (0.25)
------ ------ ------ ------
Total from investment operations 1.65 (0.24) 1.71 (0.24)
------ ------ ------ ------
Total distributions -- -- -- --
------ ------ ------ ------
Net asset value, end of period $11.41 $ 9.76 $11.47 $ 9.76
------ ------ ------ ------
Total return (a) 16.91% (2.40%) 17.52% (2.40%)
------ ------ ------ ------
Ratios and supplemental data:
Net assets, end of period (000) $7,142 $ 98 $8,695 $6,835
Ratio of net expenses to average net assets 2.41%*** 2.50%*** 1.41%*** 1.50%***
Ratio of net investment income (loss)
to average net assets 0.19%*** 1.25%*** 1.19%*** 2.25%***
Ratio of gross expenses to
average net assets prior to
expenses waived or absorbed by the Advisor 2.41%*** 3.75%*** 1.41%*** 2.75%***
(unaudited) March 16,
Six Months 2005*
Ended through
September 30, March 31,
2005 2005
------------- ---------
Portfolio turnover rate 14.7% 0.0%
(a) Total return measures net investment income and capital gain or loss from
portfolio investments assuming reinvestment of dividends and capital gains
distributions. Total return is not annualized for periods that are less
than a full year, does not reflect the effect of sales charge for Class A
nor the contingent deferred sales charge for Class B and C and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
* Commencement of Operations
** Amounts are less than $0.005.
*** Annualized
82 SEMIANNUAL REPORT Financial Highlights
Calamos Global Growth and Income Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS A
-------------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ---------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- -------- ------- ------- ------- -------
Net asset value, beginning of period $ 8.27 $ 8.04 $ 6.27 $ 6.89 $ 7.12 $ 9.24
Income from investment operations:
Net investment income (loss) 0.04* 0.14* 0.13* 0.46 0.18 0.15
Net realized and unrealized gain (loss) on
investments 1.15 0.09 1.65 (1.06) (0.15) (1.12)
-------- -------- ------- ------- ------- -------
Total from investment operations 1.19 0.23 1.78 (0.60) 0.03 (0.97)
-------- -------- ------- ------- ------- -------
Capital contribution from Advisor -- -- -- -- -- 0.01
Distributions:
Dividends from net investment income -- -- (0.01) (0.02) (0.23) (0.47)
Dividends from net realized gains -- (0.00)** -- -- (0.03) (0.68)
Distributions from capital contributions -- -- -- -- -- (0.01)
-------- -------- ------- ------- ------- -------
Total distributions -- -- (0.01) (0.02) (0.26) (1.16)
-------- -------- ------- ------- ------- -------
Net asset value, end of period $ 9.46 $ 8.27 $ 8.04 $ 6.27 $ 6.89 $ 7.12
-------- -------- ------- ------- ------- -------
Total Return (a)(b) 14.39% 2.90% 28.42% (8.69%) 0.52% (11.30%)
-------- -------- ------- ------- ------- -------
Ratios and supplemental data:
Net assets, end of period (000) $241,328 $183,797 $93,830 $21,397 $12,611 $11,084
Ratio of net expenses to average net assets 1.48%*** 1.51% 1.69% 1.75% 1.75% 1.75%
Ratio of net investment income (loss) to
average net assets 0.90%*** 1.78% 1.72% 5.26% 1.88% 1.78%
Ratio of gross expenses to average net
assets prior to waiver of expenses
by the Advisor 1.48%*** 1.51% 1.69% 2.43% 2.99% 2.93%
(unaudited)
Six Months Ended Year Ended March 31,
September 30, ---------------------------------
2005 2005 2004 2003 2002 2001
---------------- ---- ---- ---- ---- -----
Portfolio turnover rate 29.0% 45.5% 48.5% 59.5% 75.6% 111.4%
(a) Total return measures net investment income and capital gain or loss from
portfolio investments assuming reinvestment of dividends and capital gains
distributions. Total return is not annualized for periods that are less
than a full year, does not reflect the effect of sales charge for Class A
nor the contingent deferred sales charge for Class B and C and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
(b) In March 2001, the Fund's total return includes the capital contriubtion by
Calamos Advisors. Excluding this item, total return would have been
-11.30%, -11.73%, -11.87%, and -10.97% for Class A, Class B, Class C and
Class I shares, respectively.
* Net investment income allocated based on average shares method.
** Amounts are less than $0.005 per share.
*** Annualized
Financial Highlights SEMIANNUAL REPORT 83
Calamos Global Growth and Income Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS B
-----------------------------------------------------------------------
(unaudited) September 11,
Six Months 2000
Ended Year Ended March 31, through
September 30, --------------------------------------- March 31,
2005 2005 2004 2003 2002 2001
------------- ------- ------- ------ ------- -------------
Net asset value, beginning of period $ 8.60 $ 8.43 $ 6.63 $ 7.34 $ 7.58 $ 9.11
Income from investment operations:
Net investment income (loss) 0.01* 0.09* 0.08* 0.31 0.20 0.26
Net realized and unrealized gain (loss) on investments 1.19 0.08 1.73 (1.00) (0.21) (1.31)
------- ------- ------- ------ ------ ------
Total from investment operations 1.20 0.17 1.81 (0.69) (0.01) (1.05)
------- ------- ------- ------ ------ ------
Capital contribution from Advisor -- -- -- -- -- 0.61
Distributions:
Dividends from net investment income -- -- (0.01) (0.02) (0.20) (0.38)
Dividends from net realized gains -- (0.00)** -- -- (0.03) (0.10)
Distributions from capital contributions -- -- -- -- -- (0.61)
------- ------- ------- ------ ------ ------
Total distributions -- -- (0.01) (0.02) (0.23) (1.09)
------- ------- ------- ------ ------ ------
Net asset value, end of period $ 9.80 $ 8.60 $ 8.43 $ 6.63 $ 7.34 $ 7.58
------- ------- ------- ------ ------ ------
Total Return (a)(b) 13.95% 2.06% 27.30% (9.38%) (0.09%) (4.72%)
------- ------- ------- ------ ------ ------
Ratios and supplemental data:
Net assets, end of period (000) $32,449 $24,378 $13,878 $2,522 $ 648 $ 28
Ratio of net expenses to average net assets 2.23%*** 2.26% 2.44% 2.50% 2.50% 2.50%***
Ratio of net investment income (loss) to average net
assets 0.15%*** 1.03% 0.97% 4.51% 1.13% 1.03%***
Ratio of gross expenses to average net assets prior to
waiver of expenses by the Advisor 2.23%*** 2.26% 2.44% 3.18% 3.74% 4.67%***
84 SEMIANNUAL REPORT Financial Highlights
Calamos Global Growth and Income Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS C
-------------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ---------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- -------- ------- ------- ------ -------
Net asset value, beginning of period $ 8.15 $ 7.98 $ 6.28 $ 6.95 $ 7.19 $ 9.14
Income from investment operations:
Net investment income (loss) 0.01* 0.08* 0.07* 0.39 0.20 0.11
Net realized and unrealized gain (loss) on investments 1.12 0.09 1.64 (1.04) (0.22) (1.14)
-------- -------- ------- ------- ------ -------
Total from investment operations 1.13 0.17 1.71 (0.65) (0.02) (1.03)
-------- -------- ------- ------- ------ -------
Capital contribution from Advisor -- -- -- -- -- 0.12
Distributions:
Dividends from net investment income -- -- (0.01) (0.02) (0.19) (0.36)
Dividends from net realized gains -- (0.00)** -- -- (0.03) (0.56)
Distributions from capital contributions -- -- -- -- -- (0.12)
-------- -------- ------- ------- ------ -------
Total distributions -- -- (0.01) (0.02) (0.22) (1.04)
-------- -------- ------- ------- ------ -------
Net asset value, end of period $ 9.28 $ 8.15 $ 7.98 $ 6.28 $ 6.95 $ 7.19
-------- -------- ------- ------- ------ -------
Total Return (a)(b) 13.87% 2.17% 27.23% (9.33%) (0.30%) (10.41%)
-------- -------- ------- ------- ------ -------
Ratios and supplemental data:
Net assets, end of period (000) $131,273 $101,794 $63,425 $11,426 $4,301 $ 2,477
Ratio of net expenses to average net assets 2.23%*** 2.26% 2.44% 2.50% 2.50% 2.50%
Ratio of net investment income (loss) to average net
assets 0.15%*** 1.03% 0.97% 4.51% 1.13% 1.03%
Ratio of gross expenses to average net assets prior to
waiver of expenses by the Advisor 2.23%*** 2.26% 2.44% 3.18% 3.74% 3.94%
Financial Highlights SEMIANNUAL REPORT 85
Calamos Global Growth and Income Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS I
--------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ----------------------------------------------
2005 2005 2004 2003 2002 2001
------------- ------ ------ ------ ------ -------
Net asset value, beginning of period $ 8.30 $ 8.05 $ 6.27 $ 6.86 $ 7.09 $ 9.24
Income from investment operations:
Net investment income (loss) 0.05* 0.16* 0.15* 0.52 0.16 0.19
Net realized and unrealized gain (loss)
on investments 1.15 0.09 1.64 (1.09) (0.11) (1.13)
------ ------ ------ ------ ------ -------
Total from investment operations 1.20 0.25 1.79 (0.57) 0.05 (0.94)
------ ------ ------ ------ ------ -------
Capital contribution from Advisor -- -- -- -- -- 0.01
Distributions:
Dividends from net investment income -- -- (0.01) (0.02) (0.25) (0.50)
Dividends from net realized gains -- (0.00)** -- -- (0.03) (0.71)
Distributions from capital contributions -- -- -- -- -- (0.01)
------ ------ ------ ------ ------ -------
Total distributions -- -- (0.01) (0.02) (0.28) (1.22)
------ ------ ------ ------ ------ -------
Net asset value, end of period $ 9.50 $ 8.30 $ 8.05 $ 6.27 $ 6.86 $ 7.09
------ ------ ------ ------ ------ -------
Total Return (a)(b) 14.46% 3.15% 28.59% (8.29%) 0.76% (10.92%)
------ ------ ------ ------ ------ -------
Ratios and supplemental data:
Net assets, end of period (000) $5,264 $4,645 $4,251 $1,155 $ 633 $ 621
------ ------ ------ ------ ------ -------
Ratio of net expenses to average net assets 1.23%*** 1.26% 1.44% 1.50% 1.50% 1.50%
Ratio of net investment income (loss) to
average net assets 1.15%*** 2.03% 1.97% 5.51% 2.13% 2.03%
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor 1.23%*** 1.26% 1.44% 2.18% 2.74% 2.68%
86 SEMIANNUAL REPORT Financial Highlights
Calamos Growth and Income Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS A
-----------------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, -------------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- ---------- ---------- -------- -------- -------
Net asset value, beginning of period $ 29.40 $ 28.71 $ 22.30 $ 23.95 $ 23.26 $ 28.29
Income from investment operations:
Net investment income (loss) 0.17 0.40 0.34 0.66 0.50 0.61
Net realized and unrealized gain (loss)
on investments 2.18 0.85 6.48 (1.83) 0.98 (2.29)
---------- ---------- ---------- -------- -------- -------
Total from investment operations 2.35 1.25 6.82 (1.17) 1.48 (1.68)
---------- ---------- ---------- -------- -------- -------
Capital contribution from Advisor -- -- -- -- -- --
Distributions:
Dividends from net investment income (0.31) (0.40) (0.41) (0.48) (0.58) (0.62)
Dividends from net realized gains -- (0.16) -- -- (0.21) (2.73)
Distributions from capital contributions -- -- -- -- -- --
---------- ---------- ---------- -------- -------- -------
Total distributions (0.31) (0.56) (0.41) (0.48) (0.79) (3.35)
---------- ---------- ---------- -------- -------- -------
Net asset value, end of period $ 31.44 $ 29.40 $ 28.71 $ 22.30 $ 23.95 $ 23.26
---------- ---------- ---------- -------- -------- -------
Total Return (a)(b) 8.06% 4.40% 30.74% (4.86%) 6.52% (6.83%)
---------- ---------- ---------- -------- -------- -------
Ratios and supplemental data:
Net assets, end of period (000) $2,890,973 $2,580,205 $2,031,032 $609,838 $242,624 $82,362
---------- ---------- ---------- -------- -------- -------
Ratio of net expenses to average net assets 1.07% 1.08% 1.14% 1.25% 1.36% 1.39%
Ratio of net investment income (loss) to
average net assets 1.09% 1.42% 1.63% 3.31% 2.19% 2.52%
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor 1.07% 1.08% 1.14% 1.25% 1.36% 1.39%
(unaudited)
Six Months Ended Year Ended March 31,
September 30, --------------------------------
2005 2005 2004 2003 2002 2001
---------------- ---- ---- ---- ---- ----
Portfolio turnover rate 32.4% 65.0% 50.0% 27.1% 39.7% 81.6%
(a) Total return measures net investment income and capital gain or loss from
portfolio investments assuming reinvestment of dividends and capital gains
distributions. Total return is not annualized for periods that are less
than a full year, does not reflect the effect of sales charge for Class A
nor the contingent deferred sales charge for Class B and C and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
(b) In March 2001, the Fund's total return includes the capital contribution by
Calamos Advisors. Excluding this item, total return would have been -6.83%,
-9.34%, -7.46%, and -6.62% for Class A, Class B, Class C and Class I
shares, respectively.
* Amounts are less than $0.005 per share.
** Annualized
Financial Highlights SEMIANNUAL REPORT 87
Calamos Growth and Income Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS B
-------------------------------------------------------------------------
(unaudited)
Six Months September 11,
Ended Year Ended March 31, 2000 through
September 30, ----------------------------------------- March 31,
2005 2005 2004 2003 2002 2001
------------- -------- -------- -------- ------- -------------
Net asset value, beginning of period $ 32.42 $ 31.66 $ 24.57 $ 26.36 $ 25.57 $28.43
Income from investment operations:
Net investment income (loss) 0.06 0.19 0.16 0.54 0.36 0.13
Net realized and unrealized gain (loss) on
investments 2.42 0.95 7.14 (2.01) 1.08 (2.77)
-------- -------- -------- -------- ------- ------
Total from investment operations 2.48 1.14 7.30 (1.47) 1.44 (2.64)
-------- -------- -------- -------- ------- ------
Capital contribution from Advisor -- -- -- -- -- 2.91
Distributions:
Dividends from net investment income (0.13) (0.22) (0.21) (0.32) (0.44) (0.12)
Dividends from net realized gains -- (0.16) -- -- (0.21) (0.10)
Distributions from capital contributions -- -- -- -- -- (2.91)
-------- -------- -------- -------- ------- ------
Total distributions (0.13) (0.38) (0.21) (0.32) (0.65) (3.13)
-------- -------- -------- -------- ------- ------
Net asset value, end of period $ 34.77 $ 32.42 $ 31.66 $ 24.57 $ 26.36 $25.57
-------- -------- -------- -------- ------- ------
Total Return (a)(b) 7.68% 3.62% 29.78% (5.56%) 5.74% 0.65%
-------- -------- -------- -------- ------- ------
Ratios and supplemental data:
Net assets, end of period (000) $691,086 $639,253 $541,360 $212,764 $68,757 $5,923
Ratio of net expenses to average net assets 1.82% 1.83% 1.89% 2.00% 2.11% 2.14%**
Ratio of net investment income (loss) to
average net assets 0.34% 0.67% 0.88% 2.56% 1.44% 1.77%**
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor 1.82% 1.83% 1.89% 2.00% 2.11% 2.34%**
88 SEMIANNUAL REPORT Financial Highlights
Calamos Growth and Income Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS C
-----------------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, -------------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- ---------- ---------- -------- -------- -------
Net asset value, beginning of period $ 29.53 $ 28.90 $ 22.47 $ 24.16 $ 23.47 $ 27.99
Income from investment operations:
Net investment income (loss) 0.04 0.19 0.17 0.51 0.31 0.37
Net realized and unrealized gain (loss) on
investments 2.22 0.84 6.50 (1.86) 1.01 (2.25)
---------- ---------- ---------- -------- -------- -------
Total from investment operations 2.26 1.03 6.67 (1.35) 1.32 (1.88)
---------- ---------- ---------- -------- -------- -------
Capital contribution from Advisor -- -- -- -- -- 0.42
Distributions:
Dividends from net investment income (0.15) (0.24) (0.24) (0.34) (0.42) (0.35)
Dividends from net realized gains -- (0.16) -- -- (0.21) (2.29)
Distributions from capital
contributions -- -- -- -- -- (0.42)
---------- ---------- ---------- -------- -------- -------
Total distributions (0.15) (0.40) (0.24) (0.34) (0.63) (3.06)
---------- ---------- ---------- -------- -------- -------
Net asset value, end of period $ 31.64 $ 29.53 $ 28.90 $ 22.47 $ 24.16 $ 23.47
---------- ---------- ---------- -------- -------- -------
Total Return (a)(b) 7.70% 3.59% 29.77% (5.57%) 5.75% (5.98%)
---------- ---------- ---------- -------- -------- -------
Ratios and supplemental data:
Net assets, end of period (000) $1,831,347 $1,615,096 $1,260,818 $386,101 $112,633 $24,311
Ratio of net expenses to average net assets 1.82% 1.83% 1.89% 2.00% 2.11% 2.14%
Ratio of net investment income (loss) to
average net assets 0.34% 0.67% 0.88% 2.56% 1.44% 1.77%
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor 1.82% 1.83% 1.89% 2.00% 2.11% 2.35%
Financial Highlights SEMIANNUAL REPORT 89
Calamos Growth and Income Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS I
--------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ----------------------------------------------
2005 2005 2004 2003 2002 2001
------------- ------- ------- ------- ------ ------
Net asset value, beginning of period $ 28.90 $ 28.21 $ 21.91 $ 23.54 $22.87 $28.44
Income from investment operations:
Net investment income (loss) 0.23 0.45 0.44 0.65 0.57 0.73
Net realized and unrealized gain (loss) on investments 2.12 0.85 6.33 (1.75) 0.94 (2.32)
-------- ------- ------- ------- ------ ------
Total from investment operations 2.35 1.30 6.77 (1.10) 1.51 (1.59)
-------- ------- ------- ------- ------ ------
Capital contribution from Advisor -- -- -- -- -- 0.00*
Distributions:
Dividends from net investment income (0.36) (0.45) (0.47) (0.53) (0.63) (0.76)
Dividends from net realized gains -- (0.16) -- -- (0.21) (3.22)
Distributions from capital contributions -- -- -- -- -- (0.00)*
-------- ------- ------- ------- ------ ------
Total distributions (0.36) (0.61) (0.47) (0.53) (0.84) (3.98)
-------- ------- ------- ------- ------ ------
Net asset value, end of period $ 30.89 $ 28.90 $ 28.21 $ 21.91 $23.54 $22.87
-------- ------- ------- ------- ------ ------
Total Return (a)(b) 8.21% 4.67% 31.06% (4.65%) 6.77% (6.53%)
-------- ------- ------- ------- ------ ------
Ratios and supplemental data:
Net assets, end of period (000) $113,423 $82,793 $44,192 $15,670 $2,956 $2,719
Ratio of net expenses to average net assets 0.82% 0.83% 0.89% 1.00% 1.11% 1.14%
Ratio of net investment income (loss) to average net assets 1.34% 1.67% 1.88% 3.56% 2.44% 2.77%
Ratio of gross expenses to average net assets prior to
waiver of expenses by the Advisor 0.82% 0.83% 0.89% 1.00% 1.11% 1.14%
90 SEMIANNUAL REPORT Financial Highlights
Calamos High Yield Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS A
--------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ----------------------------------------------
2005 2005 2004 2003 2002 2001
------------- -------- ------- ------- ------ ------
Net asset value, beginning of period $ 10.75 $ 10.86 $ 9.60 $ 9.85 $ 9.55 $ 9.53
Income from investment operations:
Net investment income (loss) 0.30 0.67 0.69 0.48 0.54 0.64
Net realized and unrealized gain (loss) on investments 0.19 (0.07) 1.28 (0.26) 0.29 0.02
-------- -------- ------- ------- ------ ------
Total from investment operations 0.49 0.60 1.97 0.22 0.83 0.66
-------- -------- ------- ------- ------ ------
Capital contribution from Advisor -- -- -- -- -- 0.00*
Distributions:
Dividends from net investment income (0.51) (0.56) (0.71) (0.47) (0.53) (0.64)
Dividends from net realized gains -- (0.15) -- -- -- --
Distributions from capital contributions -- -- -- -- -- (0.00)*
-------- -------- ------- ------- ------ ------
Total distributions (0.51) (0.71) (0.71) (0.47) (0.53) (0.64)
-------- -------- ------- ------- ------ ------
Net asset value, end of period $ 10.73 $ 10.75 $ 10.86 $ 9.60 $ 9.85 $ 9.55
-------- -------- ------- ------- ------ ------
Total Return (a)(b) 4.74% 5.67% 20.87% 2.53% 8.98% 7.12%
-------- -------- ------- ------- ------ ------
Ratios and supplemental data:
Net assets, end of period (000) $108,157 $119,798 $97,993 $45,265 $7,023 $2,243
Ratio of net expenses to average net assets 1.24% 1.24% 1.30% 1.75% 1.75% 1.75%
Ratio of net investment income (loss) to average net assets 5.66% 6.26% 7.04% 7.07% 6.32% 7.50%
Ratio of gross expenses to average net assets prior to
waiver of expenses by the Advisor 1.24% 1.24% 1.30% 1.96% 5.75% 12.60%
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, --------------------------------
2005 2005 2004 2003 2002 2001
------------- ---- ---- ---- ---- ----
Portfolio turnover rate 43.6% 39.7% 44.2% 33.2% 36.7% 19.7%
a) Total return measures net investment income and capital gain or loss from
portfolio investments assuming reinvestment of dividends and capital gains
distributions. Total return is not annualized for periods that are less
than a full year, does not reflect the effect of sales charge for Class A
nor the contingent deferred sales charge for Class B and C and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
(b) In March 2001, the Fund's total return includes the capital share
contribution by Calamos Advisors. Excluding this item, the total return
would have been 7.12%, 4.83%, and 5.63% for Class A, Class B and Class C
shares respectively.
* Amounts are less than $0.005 per share.
** Annualized
Financial Highlights SEMIANNUAL REPORT 91
Calamos High Yield Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS B
-------------------------------------------------------------
December 21,
(unaudited) 2000
Six Months through
Ended Year Ended March 31, March 31,
September 30, --------------------------- ---------------
2005 2005 2004 2003 2002 2001
------------- ------- ------- ------- ------ ------
Net asset value, beginning of period $ 10.99 $ 11.11 $ 9.82 $ 10.07 $ 9.77 $ 9.39
Income from investment operations:
Net investment income (loss) 0.27 0.61 0.63 0.45 0.47 0.07
Net realized and unrealized gain (loss) on investments 0.20 (0.08) 1.29 (0.28) 0.31 0.38
------- ------- ------- ------- ------ ------
Total from investment operations 0.47 0.53 1.92 0.17 0.78 0.45
------- ------- ------- ------- ------ ------
Capital contribution from Advisor -- -- -- -- 0.23
Distributions:
Dividends from net investment income (0.46) (0.50) (0.63) (0.42) (0.48) (0.07)
Dividends from net realized gains -- (0.15) -- -- -- --
Distributions from capital contributions -- -- -- -- (0.23)
------- ------- ------- ------- ------ ------
Total distributions (0.46) (0.65) (0.63) (0.42) (0.48) (0.30)
------- ------- ------- ------- ------ ------
Net asset value, end of period $ 11.00 $ 10.99 $ 11.11 $ 9.82 $10.07 $ 9.77
------- ------- ------- ------- ------ ------
Total Return (a)(b) 4.37% 4.83% 19.89% 1.91% 8.28% 7.52%
------- ------- ------- ------- ------ ------
Ratios and supplemental data:
Net assets, end of period (000) $34,119 $28,228 $26,657 $14,166 $2,014 $ 40
Ratio of net expenses to average net assets 1.99% 1.99% 2.05% 2.50% 2.50% 2.50%**
Ratio of net investment income (loss) to average net
assets 4.91% 5.51% 6.29% 6.32% 5.57% 6.75%**
Ratio of gross expenses to average net assets prior to
waiver of expenses by the Advisor 1.99% 1.99% 2.05% 2.71% 6.50% 13.32%**
92 SEMIANNUAL REPORT Financial Highlights
Calamos High Yield Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS C
--------------------------------------------------------------------
(unaudited) December 21,
Six Months 2000
Ended Year Ended March 31, through
September 30, ------------------------------------ March 31,
2005 2005 2004 2003 2002 2001
------------- ------- ------- ------- ------ ------------
Net asset value, beginning of period $ 10.94 $ 11.06 $ 9.78 $ 10.04 $ 9.74 $ 9.39
Income from investment operations:
Net investment income (loss) 0.27 0.61 0.62 0.47 0.46 0.18
Net realized and unrealized gain (loss) on investments 0.19 (0.08) 1.29 (0.31) 0.33 0.35
------- ------- ------- ------- ------ ------
Total from investment operations 0.46 0.53 1.91 0.16 0.79 0.53
------- ------- ------- ------- ------ ------
Capital contribution from Advisor -- -- -- -- 0.15
Distributions:
Dividends from net investment income (0.45) (0.50) (0.63) (0.42) (0.49) (0.18)
Dividends from net realized gains -- (0.15) -- -- -- --
Distributions from capital contributions -- -- -- -- (0.15)
------- ------- ------- ------- ------ ------
Total distributions (0.45) (0.65) (0.63) (0.42) (0.49) (0.33)
------- ------- ------- ------- ------ ------
Net asset value, end of period $ 10.95 $ 10.94 $ 11.06 $ 9.78 $10.04 $ 9.74
------- ------- ------- ------- ------ ------
Total Return (a)(b) 4.35% 4.87% 19.88% 1.84% 8.38% 7.43%
------- ------- ------- ------- ------ ------
Ratios and supplemental data:
Net assets, end of period (000) $70,117 $70,922 $67,593 $30,324 $3,636 $ 11
Ratio of net expenses to average net assets 1.99% 1.99% 2.05% 2.50% 2.50% 2.50%**
Ratio of net investment income (loss) to average net
assets 4.91% 5.51% 6.29% 6.32% 5.57% 6.75%**
Ratio of gross expenses to average net assets prior to
waiver of expenses by the Advisor 1.99% 1.99% 2.05% 2.71% 6.50% 13.32%**
Financial Highlights SEMIANNUAL REPORT 93
Calamos High Yield Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS I
----------------------------------------------------
(unaudited) March 1,
Six Months 2002
Ended Year Ended March 31, through
September 30, ------------------------ March 31,
2005 2005 2004 2003 2002
------------- ------ ------ ------ ---------
Net asset value, beginning of period $10.75 $10.85 $ 9.60 $ 9.84 $ 9.67
------ ------ ------ ------ ------
Income from investment operations:
Net investment income (loss) 0.34 0.82 0.77 0.61 0.06
------ ------ ------ ------ ------
Net realized and unrealized gain (loss) on investments 0.17 (0.19) 1.21 (0.37) 0.20
------ ------ ------ ------ ------
Total from investment operations 0.51 0.63 1.98 0.24 0.26
------ ------ ------ ------ ------
Capital contribution from Advisor -- -- -- -- --
------ ------ ------ ------ ------
Distributions:
Dividends from net investment income (0.53) (0.58) (0.73) (0.48) (0.09)
------ ------ ------ ------ ------
Dividends from net realized gains -- (0.15) -- -- --
------ ------ ------ ------ ------
Distributions from capital contributions -- -- -- -- --
------ ------ ------ ------ ------
Total distributions (0.53) (0.73) (0.73) (0.48) (0.09)
------ ------ ------ ------ ------
Net asset value, end of period $10.73 $10.75 $10.85 $ 9.60 $ 9.84
------ ------ ------ ------ ------
Total Return (a)(b) 4.94% 5.96% 21.04% 2.83% 2.68%
------ ------ ------ ------ ------
Ratios and supplemental data:
Net assets,end of period (000) $1,835 $1,874 $2,717 $2,272 $ 1
------ ------ ------ ------ ------
Ratio of net expenses to average net assets 0.99% 0.99% 1.05% 1.50% 1.50%**
------ ------ ------ ------ ------
Ratio of net investment income (loss) to average net
assets 5.91% 6.51% 7.29% 7.32% 6.57%**
------ ------ ------ ------ ------
Ratio of gross expenses to average net assets prior to
waiver of expenses by the Advisor 0.99% 0.99% 1.05% 1.71% 5.50%**
------ ------ ------ ------ ------
94 SEMIANNUAL REPORT Financial Highlights
Calamos Convertible Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS A
----------------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ------------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- -------- -------- -------- -------- --------
Net asset value, beginning of period $ 20.42 $ 22.18 $ 17.15 $ 18.85 $ 19.14 $ 22.74
-------- -------- -------- -------- -------- --------
Income from investment operations:
Net investment income (loss) 0.13 0.40 0.51 0.60 0.52 0.51
-------- -------- -------- -------- -------- --------
Net realized and unrealized gain (loss) on investments 0.98 (0.76) 5.13 (2.04) 0.12 (1.14)
-------- -------- -------- -------- -------- --------
Total from investment operations 1.11 (0.36) 5.64 (1.44) 0.64 (0.63)
-------- -------- -------- -------- -------- --------
Capital contribution from Advisor -- -- -- -- -- 0.03
-------- -------- -------- -------- -------- --------
Distributions:
Dividends from net investment income (0.43) (0.36) (0.61) (0.26) (0.62) (0.56)
-------- -------- -------- -------- -------- --------
Dividends from net realized gains -- (1.04) -- -- (0.31) (2.41)
-------- -------- -------- -------- -------- --------
Distributions from capital contributions -- -- -- -- -- (0.03)
-------- -------- -------- -------- -------- --------
Total distributions (0.43) (1.40) (0.61) (0.26) (0.93) (3.00)
-------- -------- -------- -------- -------- --------
Net asset value, end of period $ 21.10 $ 20.42 $ 22.18 $ 17.15 $ 18.85 $ 19.14
-------- -------- -------- -------- -------- --------
Total Return (a)(b) 5.55% (1.69%) 33.16% (7.63%) 3.56% (3.24%)
-------- -------- -------- -------- -------- --------
Ratios and supplemental data:
Net assets,end of period (000) $451,004 $498,262 $629,461 $550,035 $313,223 $142,293
-------- -------- -------- -------- -------- --------
Ratio of net expenses to average net assets 1.12% 1.11% 1.15% 1.20% 1.28% 1.20%
-------- -------- -------- -------- -------- --------
Ratio of net investment income (loss) to average net
assets 1.35% 1.80% 2.36% 3.75% 2.68% 2.48%
-------- -------- -------- -------- -------- --------
Ratio of gross expenses to average net assets prior to
waiver of expenses by the Advisor 1.12% 1.11% 1.15% 1.20% 1.28% 1.21%
-------- -------- -------- -------- -------- --------
(unaudited)
Six Months Ended Year Ended March 31,
September 30, --------------------------------
2005 2005 2004 2003 2002 2001
---------------- ---- ---- ---- ---- ----
Portfolio turnover rate 29.9% 50.6% 67.0% 35.6% 37.0% 92.6%
(a) Total return measures net investment income and capital gain or loss from
portfolio investments assuming reinvestment of dividends and capital gains
distributions. Total return is not annualized for periods that are less
than a full year, does not reflect the effect of sales charge for Class A
nor the contingent deferred sales charge for Class B and C and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
(b) In March 2001, the Fund's total return includes the capital contribution by
Calamos Advisors. Excluding this item, total return would have been -3.36%,
-6.16%, -4.01%, and -3.11% for Class A, Class B, Class C and Class I
shares, respectively.
* Amounts are less than $0.005 per share.
** Annualized
Financial Highlights SEMIANNUAL REPORT 95
Calamos Convertible Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS B
-------------------------------------------------------------------------
(unaudited) September 11,
Six Months 2000
Ended Year Ended March 31, through
September 30, ----------------------------------------- March 31,
2005 2005 2004 2003 2002 2001
------------- -------- -------- -------- ------- -------------
Net asset value, beginning of period $ 23.04 $ 24.88 $ 19.18 $ 21.10 $ 21.35 $ 23.03
Income from investment operations:
Net investment income (loss) 0.07 0.26 0.37 0.50 0.40 0.15
Net realized and unrealized gain (loss)
on investments 1.11 (0.84) 5.77 (2.26) 0.16 (1.56)
-------- -------- -------- -------- ------- -------
Total from investment operations 1.18 (0.58) 6.14 (1.76) 0.56 (1.41)
-------- -------- -------- -------- ------- -------
Capital contribution from Advisor -- -- -- -- -- 2.61
Distributions:
Dividends from net investment income (0.30) (0.22) (0.44) (0.16) (0.50) (0.17)
Dividends from net realized gains -- (1.04) -- -- (0.31) (0.10)
Distributions from capital contributions -- -- -- -- -- (2.61)
-------- -------- -------- -------- ------- -------
Total distributions (0.30) (1.26) (0.44) (0.16) (0.81) (2.88)
-------- -------- -------- -------- ------- -------
Net asset value, end of period $ 23.92 $ 23.04 $ 24.88 $ 19.18 $ 21.10 $ 21.35
-------- -------- -------- -------- ------- -------
Total Return (a)(b) 5.18% (2.43%) 32.16% (8.32%) 2.74% 5.17%
-------- -------- -------- -------- ------- -------
Ratios and supplemental data:
Net assets, end of period (000) $185,673 $194,383 $229,323 $177,823 $86,451 $13,628
Ratio of net expenses to average net assets 1.87% 1.86% 1.90% 1.95% 2.03% 1.95%**
Ratio of net investment income (loss) to
average net assets 0.60% 1.05% 1.61% 3.00% 1.93% 1.73%**
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor 1.87% 1.86% 1.90% 1.95% 2.03% 2.71%**
96 SEMIANNUAL REPORT Financial Highlights
Calamos Convertible Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS C
--------------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ----------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- -------- -------- -------- -------- -------
Net asset value, beginning of period $ 20.42 $ 22.22 $ 17.19 $ 18.94 $ 19.23 $ 22.62
Income from investment operations:
Net investment income (loss) 0.04 0.23 0.33 0.47 0.36 0.34
Net realized and unrealized gain (loss) on
investments 1.01 (0.76) 5.16 (2.05) 0.15 (1.12)
-------- -------- -------- -------- -------- -------
Total from investment operations 1.05 (0.53) 5.49 (1.58) 0.51 (0.78)
-------- -------- -------- -------- -------- -------
Capital contribution from Advisor -- -- -- -- -- 0.18
Distributions:
Dividends from net investment income (0.32) (0.23) (0.46) (0.17) (0.49) (0.34)
Dividends from net realized gains -- (1.04) -- -- (0.31) (2.27)
Distributions from capital contributions -- -- -- -- -- (0.18)
-------- -------- -------- -------- -------- -------
Total distributions (0.32) (1.27) (0.46) (0.17) (0.80) (2.79)
-------- -------- -------- -------- -------- -------
Net asset value, end of period $ 21.15 $ 20.42 $ 22.22 $ 17.19 $ 18.94 $ 19.23
-------- -------- -------- -------- -------- -------
Total Return (a)(b) 5.20% (2.45%) 32.11% (8.32%) 2.80% (3.23%)
-------- -------- -------- -------- -------- -------
Ratios and supplemental data:
Net assets, end of period (000) $379,900 $415,044 $522,146 $422,336 $225,058 $97,784
Ratio of net expenses to average net assets 1.87% 1.86% 1.90% 1.95% 2.03% 1.95%
Ratio of net investment income (loss) to
average net assets 0.60% 1.05% 1.61% 3.00% 1.93% 1.73%
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor 1.87% 1.86% 1.90% 1.95% 2.03% 2.06%
Financial Highlights SEMIANNUAL REPORT 97
Calamos Convertible Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS I
----------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- ------- ------- ------- ------- -------
Net asset value, beginning of period $ 19.55 $ 21.29 $ 16.49 $ 18.13 $ 18.44 $ 22.82
Income from investment operations:
Net investment income (loss) 0.12 0.43 0.51 0.66 0.54 0.59
Net realized and unrealized gain (loss) on investments 0.97 (0.73) 4.95 (2.01) 0.13 (1.12)
------- ------- ------- ------- ------- -------
Total from investment operations 1.09 (0.30) 5.46 (1.35) 0.67 (0.53)
------- ------- ------- ------- ------- -------
Capital contribution from Advisor -- -- -- -- -- (0.00)*
Distributions:
Dividends from net investment income (0.47) (0.40) (0.66) (0.29) (0.67) (0.67)
Dividends from net realized gains -- (1.04) -- -- (0.31) (3.18)
Distributions from capital contributions -- -- -- -- -- (0.00)*
------- ------- ------- ------- ------- -------
Total distributions (0.47) (1.44) (0.66) (0.29) (0.98) (3.85)
------- ------- ------- ------- ------- -------
Net asset value, end of period $ 20.17 $ 19.55 $ 21.29 $ 16.49 $ 18.13 $ 18.44
------- ------- ------- ------- ------- -------
Total Return (a)(b) 5.70% (1.47%) 33.45% (7.44%) 3.83% (3.09%)
Ratios and supplemental data:
Net assets, end of period (000) $29,347 $35,235 $51,614 $38,852 $36,499 $30,069
Ratio of net expenses to average net assets 0.87% 0.86% 0.90% 0.95% 1.03% 0.95%
Ratio of net investment income (loss) to average net assets 1.60% 2.05% 2.61% 4.00% 2.93% 2.73%
Ratio of gross expenses to average net assets prior to
waiver of expenses by the Advisor 0.87% 0.86% 0.90% 0.95% 1.03% 0.95%
98 SEMIANNUAL REPORT Financial Highlights
Calamos Market Neutral Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS A
--------------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ----------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- -------- -------- -------- -------- -------
Net asset value, beginning of period $ 13.02 $ 14.45 $ 14.14 $ 13.72 $ 13.34 $ 13.00
Income from investment operations:
Net investment income (loss) 0.25 0.33 0.51 0.50 0.36 0.51
Net realized and unrealized gain (loss) on investments -- (0.46) 0.87 0.46 0.41 0.58
-------- -------- -------- -------- -------- -------
Total from investment operations 0.25 (0.13) 1.38 0.96 0.77 1.09
-------- -------- -------- -------- -------- -------
Capital contribution from Advisor -- -- -- -- -- 0.01
Distributions:
Dividends from net investment income (0.60) (0.82) (0.76) (0.54) (0.37) (0.51)
Dividends from net realized gains -- (0.48) (0.31) (0.00)* (0.02) (0.24)
Distributions from capital contributions -- -- -- -- -- (0.01)
-------- -------- -------- -------- -------- -------
Total distributions (0.60) (1.30) (1.07) (0.54) (0.39) (0.76)
-------- -------- -------- -------- -------- -------
Net asset value, end of period $ 12.67 $ 13.02 $ 14.45 $ 14.14 $ 13.72 $ 13.34
-------- -------- -------- -------- -------- -------
Total Return(a)(b) 2.00% (1.03%) 10.11% 7.11% 5.81% 8.62%
Ratios and supplemental data:
Net assets, end of period (000) $178,281 $279,737 $402,820 $463,466 $306,524 $73,817
Ratio of net expenses to average net assets(c) 1.77% 1.32% 1.51% 1.53% 1.39% 1.47%
Ratio of net investment income (loss) to average net
assets 3.89% 3.45% 3.64% 3.67% 3.08% 4.98%
Ratio of gross expenses to average net assets prior to
waiver of expenses by the Advisor(c) 1.77% 1.32% 1.51% 1.53% 1.39% 1.47%
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ------------------------------------
2005 2005 2004 2003 2002 2001
------------- ---- ----- ----- ----- -----
Portfolio turnover rate 40.8% 74.4% 123.0% 116.9% 160.7% 264.9%
(a) Total return measures net investment income and capital gain or loss from
portfolio investments assuming reinvestment of dividends and capital gains
distributions. Total return is not annualized for periods that are less
than a full year, does not reflect the effect of sales charge for Class A
nor the contingent deferred sales charge for Class B and C and does not
reflect the deduction of taxes that a shareholder would pay on fund
distributions or the redemption of fund shares.
(b) In March 2001, the Fund's total return includes the capital contriubtion by
Calamos Advisors. Excluding this item, total return would have been 8.57%,
2.23%, 7.82% and 9.13%, for Class A, Class B, Class C and Class I shares,
respectively.
(c) Includes 0.6% for the six months ended September 30, 2005, 0.2%, 0.2%,
0.3%, 0.1%, and 0.1% for the years 2005, 2004, 2003, 2002, and 2001,
respectively, related to dividend expense on short positions.
* Amounts are less than $0.005 per share.
** Annualized
Financial Highlights SEMIANNUAL REPORT 99
Calamos Market Neutral Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS B
-----------------------------------------------------------------------
(unaudited) September 11,
Six Months 2000
Ended Year Ended March 31, through
September 30, --------------------------------------- March 31,
2005 2005 2004 2003 2002 2001
------------- ------- ------- ------- ------- -------------
Net asset value, beginning of period $ 13.51 $ 14.95 $ 14.60 $ 14.16 $ 13.78 $13.63
Income from investment operations:
Net investment income (loss) 0.21 0.33 0.42 0.42 0.28 0.14
Net realized and unrealized gain (loss)
on investments (0.01) (0.56) 0.89 0.46 0.41 0.16
------- ------- ------- ------- ------- ------
Total from investment operations 0.20 (0.23) 1.31 0.88 0.69 0.30
------- ------- ------- ------- ------- ------
Capital contribution from Advisor -- -- -- -- -- 0.51
Distributions:
Dividends from net investment income (0.52) (0.73) (0.65) (0.44) (0.29) (0.14)
Dividends from net realized gains -- (0.48) (0.31) (0.00)* (0.02) (0.01)
Distributions from capital contributions -- -- -- -- -- (0.51)
------- ------- ------- ------- ------- ------
Total distributions (0.52) (1.21) (0.96) (0.44) (0.31) (0.66)
------- ------- ------- ------- ------- ------
Net asset value, end of period $ 13.19 $ 13.51 $ 14.95 $ 14.60 $ 14.16 $13.78
------- ------- ------- ------- ------- ------
Total Return(a)(b) 1.57% (1.66%) 9.22% 6.28% 5.07% 6.21%
------- ------- ------- ------- ------- ------
Ratios and supplemental data:
Net assets, end of period (000) $34,183 $40,019 $50,429 $55,186 $45,804 $2,108
Ratio of net expenses to average net assets(c) 2.52% 2.07% 2.26% 2.28% 2.14% 2.22%**
Ratio of net investment income (loss) to
average net assets 3.14% 2.70% 2.89% 2.92% 2.33% 4.23%**
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor(c) 2.52% 2.07% 2.26% 2.28% 2.14% 2.22%**
100 SEMIANNUAL REPORT Financial Highlights
Calamos Market Neutral Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS C
--------------------------------------------------------------------------
(unaudited)
Six Months
Ended Year Ended March 31,
September 30, ----------------------------------------------------------
2005 2005 2004 2003 2002 2001
------------- -------- -------- -------- -------- -------------
Net asset value, beginning of period $ 13.17 $ 14.61 $ 14.29 $ 13.87 $ 13.50 $ 13.01
Income from investment operations:
Net investment income (loss) 0.20 0.24 0.41 0.41 0.28 0.46
Net realized and unrealized gain (loss)
on investments (0.01) (0.47) 0.87 0.46 0.40 0.54
------- -------- -------- -------- -------- -------
Total from investment operations 0.19 (0.23) 1.28 0.87 0.68 1.00
------- -------- -------- -------- -------- -------
Capital contribution from Advisor -- -- -- -- -- 0.18
Distributions:
Dividends from net investment income (0.52) (0.73) (0.65) (0.45) (0.29) (0.37)
Dividends from net realized gains -- (0.48) (0.31) (0.00)* (0.02) (0.14)
Distributions from capital contributions -- -- -- -- -- (0.18)
------- -------- -------- -------- -------- -------
Total distributions (0.52) (1.21) (0.96) (0.45) (0.31) (0.69)
------- -------- -------- -------- -------- -------
Net asset value, end of period $ 12.84 $ 13.17 $ 14.61 $ 14.29 $ 13.87 $ 13.50
------- -------- -------- -------- -------- -------
Total Return(a)(b) 1.54% (1.69%) 9.24% 6.29% 5.07% 9.32%
------- -------- -------- -------- -------- -------
Ratios and supplemental data:
Net assets, end of period (000) $98,056 $129,352 $185,568 $204,105 $160,940 $13,438
Ratio of net expenses to average net assets(c) 2.52% 2.07% 2.26% 2.28% 2.14% 2.22%
Ratio of net investment income (loss) to
average net assets 3.14% 2.70% 2.89% 2.92% 2.33% 4.23%
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor(c) 2.52% 2.07% 2.26% 2.28% 2.14% 2.24%
Financial Highlights SEMIANNUAL REPORT 101
Calamos Market Neutral Fund
FINANCIAL HIGHLIGHTS
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
CLASS I
--------------------------------------------------------------------
(unaudited)
Six Months May 10,
Ended Year Ended March 31, 2000 through
September 30, ------------------------------------- March 31,
2005 2005 2004 2003 2002 2001
------------- ------- ------- ------- ------- ------------
Net asset value, beginning of period $ 12.92 $ 14.34 $ 14.05 $ 13.63 $ 13.25 $ 12.97
Income from investment operations:
Net investment income (loss) 0.26 0.54 0.56 0.54 0.45 0.58
Net realized and unrealized gain (loss) on
investments 0.01 (0.63) 0.84 0.46 0.35 0.58
------- ------- ------- ------- ------- -------
Total from investment operations 0.27 (0.09) 1.40 1.00 0.80 1.16
------- ------- ------- ------- ------- -------
Capital contribution from Advisor -- -- -- -- -- --
Distributions:
Dividends from net investment income (0.63) (0.85) (0.80) (0.58) (0.40) (0.59)
Dividends from net realized gains -- (0.48) (0.31) (0.00)* (0.02) (0.29)
Distributions from capital contributions -- -- -- -- -- --
------- ------- ------- ------- ------- -------
Total distributions (0.63) (1.33) (1.11) (0.58) (0.42) (0.88)
------- ------- ------- ------- ------- -------
Net asset value, end of period $ 12.56 $ 12.92 $ 14.34 $ 14.05 $ 13.63 $ 13.25
------- ------- ------- ------- ------- -------
Total Return(a)(b) 2.14% (0.76%) 10.32% 7.40% 6.09% 9.13%
------- ------- ------- ------- ------- -------
Ratios and supplemental data:
Net assets, end of period (000) $26,877 $39,561 $40,969 $39,257 $31,177 $20,665
Ratio of net expenses to average net assets(c) 1.52% 1.07% 1.26% 1.28% 1.14% 1.22%**
Ratio of net investment income (loss) to average
net assets 4.14% 3.70% 3.89% 3.92% 3.33% 5.23%**
Ratio of gross expenses to average net assets
prior to waiver of expenses by the Advisor(c) 1.52% 1.07% 1.26% 1.28% 1.14% 1.22%**
102 SEMIANNUAL REPORT Financial Highlights
Trustee Approval of Management Agreement
The Board of Trustees of Calamos Investment Trust oversees the management of
each of the Funds, and, as required by law, determines annually whether to
continue the Trust's management agreement with Calamos Advisors under which
Calamos Advisors serves as the investment manager and administrator for the
Trust and each of the Fund's.
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
operations of the Funds and the nature and quality of the advisory and other
services provided by Calamos Advisors to the Funds. 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 Funds 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 Funds, taking into account the investment objective and strategy
of each 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 Funds. The Trustees also
considered other services provided to the Funds by Calamos Advisors, such as
managing the execution of portfolio transactions and the selection of
broker-dealers for those transactions, serving as the Funds' administrator,
monitoring adherence to the Funds' 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,
Trustee Approval of Management Agreement SEMIANNUAL REPORT 103
Trustee Approval of Management Agreement
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 each 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 Funds were 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 Funds effectively and had demonstrated its
continuing ability to attract and retain well qualified personnel.
PERFORMANCE OF THE FUNDS
The Trustees considered the performance results for each of the Funds over
various time periods. They reviewed information comparing each 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 long-term performance of each Fund
that had been in operation for more than two years compared favorably with its
relevant peer group and benchmark, with each of the Funds, except Value Fund,
placing in the top quintile in relation to its peer group for the five year
performance period, and with Value Fund, due to its inception date, placing in
the top quintile in relation to its peer group for the three year performance
period. Blue Chip Fund and International Growth Fund had commenced operations in
December 2003 and March 2005, respectively, and thus did not have long-term
performance records.
The Trustees concluded that, although past performance is not necessarily
indicative of future results, the Funds strong longer term performance was an
important factor in the Trustees' evaluation of the quality of services provided
by Calamos Advisors under the management agreement.
COSTS OF SERVICES AND PROFITS REALIZED BY CALAMOS ADVISORS
The Trustees examined information on fees and expenses of each 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 both the
contractual rates of management fees and the actual management fees after fee
waivers for most of the Funds were greater than the median management fees of
the respective Lipper peer groups. They also noted, however, that the overall
expense ratios of most of the Funds were below or not appreciably higher than
the median expense ratios of their respective peer groups.
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.
104 SEMIANNUAL REPORT Trustee Approval of Management Agreement
Trustee Approval of Management Agreement
The Trustees reviewed information on the profitability of Calamos Advisors in
serving as each Fund's investment manager and of Calamos Advisors and its
affiliates in all of their relationships with each Fund, as well as an
explanation of the methodology utilized in allocating various expenses among the
Funds 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 each 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 Funds with corresponding strategies, the Trustees noted that
Calamos Advisors performs significant additional services for the Funds that it
does not provide to those other clients, including administrative services,
oversight of the Funds' other service providers, trustee support, regulatory
compliance and numerous other services.
Finally, the Trustees considered the financial condition of Calamos Advisors,
which they found to be sound.
The Trustees concluded that the management fees and other compensation payable
by the Funds 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 Funds' estimated overall expense ratios, taking
into account quality of services provided by Calamos Advisors, the investment
performance of the Funds' and the expense limitations agreed to by Calamos
Advisors, were also reasonable.
ECONOMIES OF SCALE
The Trustees noted that the advisory fee schedule for each Fund except Blue Chip
Fund, Global Growth and Income Fund, High Yield Fund and Value Fund contains
breakpoints that reduce the fee rate on assets above specified levels. The
Trustees received and discussed information concerning whether Calamos Advisors
realizes economies of scale as a Fund's assets increase. The
Trustee Approval of Management Agreement SEMIANNUAL REPORT 105
Trustee Approval of Management Agreement
Trustees also considered Calamos Advisors' agreement to reimburse each of the
Funds for any ordinary operating expenses (excluding 12b-1 fees) for a fiscal
year above 1.50% of average net assets, subject, in the case of International
Growth Fund, to an upward or downward adjustment of such limitation for any
period equal to the performance fee adjustment applicable to that Fund for the
period. The Trustees concluded that the fee schedule for each Fund currently in
effect represents an appropriate sharing of economies of scale at current asset
levels, but concluded to continue their periodic consideration of economies of
scale.
OTHER BENEFITS TO CALAMOS ADVISORS
The Trustees also considered benefits that accrue to Calamos Advisors and its
affiliates from their relationship with the Funds. 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 Funds therefor,
the Funds and Calamos Advisors may potentially benefit from their relationship
with each other in other ways. Recognizing that an affiliate of Calamos Advisors
serves the Funds as distributor and receives compensation from the Funds for its
services to the Funds, the Trustees determined that such compensation was fair
and reasonable. The Trustees also considered Calamos Advisors' use of
commissions to be paid by the Funds on their portfolio brokerage transactions to
obtain proprietary research products and services benefiting the Funds 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 Funds. They
concluded that, although Calamos Advisors derives or may derive additional
benefits through the use of soft dollars from the Funds portfolio transactions,
the Funds also benefit 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 Funds success could attract
other business to Calamos Advisors or its other funds and that Calamos Advisors'
success could enhance its ability to serve the Funds.
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 each Fund and its shareholders.
106 SEMIANNUAL REPORT Trustee Approval of Management Agreement
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(CALAMOS INVESTMENTS LOGO)
Calamos Investments | 2020 Calamos Court | Naperville, IL 60563-2787
|800.582.6959 | www.calamos.com
This report, including the unaudited financial statements contained herein, is
submitted for general information for the shareholders of the Funds. The report
is not authorized for distribution to prospective investors in the Funds unless
accompanied by a currently effective prospectus of the Funds and, after
September 30, 2005, updated performance data for the most recently completed
calendar quarter. The views expressed in this report reflect those of Calamos
Advisors LLC only through September 30, 2005. The manager's views are subject to
change at any time based on market and other conditions.
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 or by visiting the SEC
website at http://www.sec.gov. The Funds 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 website at
http://www.sec.gov.
The Funds file a complete list of their portfolio holdings with the SEC for the
first and third quarters each fiscal year on Form N-Q. The Forms N-Q are
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.
Information on the operation of the Public Reference Room may be obtained by
calling (800) SEC-0330.
FOR 24 HOUR AUTOMATED SHAREHOLDER ASSISTANCE
800.823.7386
TO OBTAIN INFORMATION ABOUT YOUR INVESTMENTS
800.582.6959
VISIT OUR WEB SITE
www.calamos.com
INVESTMENT ADVISOR
Calamos Advisors LLC
2020 Calamos Court
Naperville, IL 60563-2787
TRANSFER AGENT
US Bancorp Fund Services, LLC
615 E. Michigan St. 3rd floor
Milwaukee, WI 53202
INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
Ernst & Young 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.
MFSAN 2005 1400
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in the Report to Shareholders in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
Not applicable.
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS.
No material changes.
ITEM 11. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-CSR was recorded,
processed, summarized, and reported timely.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the second fiscal quarter of the period covered by this
report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics - Not applicable.
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Investment Trust
By: /s/ John P. Calamos, Sr.
--------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: December 14, 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 Investment Trust
By: /s/ John P. Calamos, Sr.
--------------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: December 14, 2005
By: /s/ Patrick H. Dudasik
--------------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: December 14, 2005