nvcsr
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT
COMPANY ACT FILE NUMBER: 811-21547
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EXACT
NAME OF REGISTRANT AS SPECIFIED IN CHARTER: |
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Calamos Global Total Return
Fund |
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ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: |
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2020 Calamos Court, Naperville, |
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Illinois 60563-2787 |
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NAME AND ADDRESS OF AGENT FOR SERVICE: |
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John P. Calamos, Sr., President |
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Calamos Advisors LLC |
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2020 Calamos Court |
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Naperville, Illinois |
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60563-2787 |
REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2007
DATE OF REPORTING PERIOD: November 1, 2006 through October 31, 2007
TABLE OF CONTENTS
ITEM 1. REPORTS TO SHAREHOLDERS
Include a copy of the report transmitted to stockholders pursuant to
Rule 30e-1 under the Act (17 CFR 270.30e-1).
Managing Your Calamos Funds Investments
Calamos Investments offers several convenient means to monitor, manage and feel confident about
your Calamos investment choice.
TABLE OF CONTENTS
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Letter to Shareholders
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1 |
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Economic and Market Review
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2 |
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Investment Team Interview
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5 |
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Schedule of Investments
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10 |
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Statement of Assets and Liabilities
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15 |
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Statement of Operations
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16 |
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Statements of Changes In Net Assets
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17 |
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Notes to Financial Statements
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18 |
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Financial Highlights
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25 |
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Report of Independent Registered |
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Public Accounting Firm
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Trustee Approval of Management Agreement
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27 |
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Tax Information
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30 |
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Trustees & Officers
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31 |
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About Closed-End Funds
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33 |
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Leverage
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34 |
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Level Rate Distribution Policy and Automatic Dividend Reinvestment Plan
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35 |
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The Calamos Investments Advantage
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36 |
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Calamos Closed-End Funds
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37 |
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PERSONAL ASSISTANCE
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800.582.6959
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Dial this toll-free number to speak with a knowledgeable
Client Services Representative who can help answer
questions or address issues concerning your Calamos Fund. |
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YOUR FINANCIAL ADVISOR |
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We encourage you to talk to your financial advisor to
determine how CALAMOS INVESTMENTS can benefit your
investment portfolio based on your financial goals, risk
tolerance, time horizon and income needs. |
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You can view shareholder communications, including fund prospectuses,
annual reports and other shareholder materials online long before the
printed publications would have arrived by traditional mail.
Visit www.calamos.com and sign up for e-delivery.
Visit www.calamos.com for timely fund performance, detailed fund profiles,
fund news and insightful market commentary.
Letter to Shareholders
Dear Fellow Shareholders:
Thank you for your investment in Calamos Global Total Return Fund (CGO). Enclosed is the Funds annual report
for the year ended October 31, 2007. We welcome this opportunity to communicate with you and recommend that
you carefully review this report.
Im pleased to report that both the Funds market price and net asset value posted all-time highs at fiscal
year-end-rising 33.84% and 38.30%, respectively, for the year. Along with these impressive gains, the Fund
was able to raise its monthly distribution 26% during the year. The Fund proved its mettle this past year by
catching the tailwind of a robust global equity market while mostly steering clear of the credit crisis that
weighed on many closed-end funds. We believe this is a testament to our global investment approach, which
combines our insights about economic conditions and broader themes with rigorous analysis of individual securities.
We encourage you to stay informed on a continual basis by visiting www.calamos.com
for timely fund performance, portfolio details and market commentary.
At our website, you can also sign up for e-delivery to receive important shareholder communications
long before the printed copies get mailed.
Thank you for the continued confidence you have placed in our team, our investment process and Calamos
Closed-End Funds. We will do our utmost to continue earning your trust and look forward to serving your
long-term investment goals.
Sincerely
John P. Calamos, Sr.
Chairman, CEO and Co-CIO
Calamos Advisors LLC
This report is for informational purposes only and should not be considered investment advice.
Global Total Return Fund
Letter to Shareholders ANNUAL REPORT 1
Economic and Market Review
For the latest market and economic outlook, please visit our website at www.calamos.com and select the Individual Investors link.
Around the globe, markets gained good ground for the one-year period ended
October 31, 2007. In the United States, stocks posted a solid return of
14.56%, as measured by the S&P 500 Index.1 International markets
performed even more robustly, with the MSCI EAFE Index2 climbing
25.43%. Bond markets produced more muted returns: The Lehman Brothers U.S.
Aggregate Index3 rose 5.38%, and the CS High Yield Index4
climbed 7.72%. Convertible securities, which blend characteristics of
stocks and bonds, landed in the middle, with the Value Line Convertible
Index5 gaining 11.05%. Against this backdrop, Calamos Global Total
Return Fund returned 38.30% at net asset value.
Good global growth, corporate profitability and largely contained inflation
provided ongoing support for the investment markets throughout the period.
However, the economic landscape was also characterized by increasing
uncertainty, a renewed appreciation for risk, and a shift in investor
sentiment.
During the initial months of the reporting period, traditional growth
companies remained largely overlooked by investors. Economically
sensitive sectors of the market dominated. Investors seemed less interested
in longer-term earnings quality and gravitated toward companies with more
cyclical earnings prospects. This trend cut across the global markets, but
was especially pronounced in the United States. As the period progressed,
however, sentiment shifted and traditional growth companies were increasingly
recognized for their stable earnings prospects and quality fundamentals.
A heightened awareness of risk served as the backdrop for this rotation to
quality. In February, former Federal Reserve Chairman Alan Greenspans
comments about a potential for recession in the United States cast the global
markets into turmoil. His remarks, paired with increased concern about the
U.S. housing market, prompted investors to re-evaluate risk. Signs emerged
that the tide was turning to growth companies that offered better prospects
for sustainable earnings.
Throughout the summer, concerns about risk mounted and uncertainty grew.
Deteriorating conditions in the sub-prime mortgage market served as a
catalyst for a global credit crisis. Sub-prime mortgages are home loans made
to borrowers with low credit scores or high amounts of debt; these loans
represent a fraction of the total mortgage market. A number of hedge funds,
Wall Street players and their international counterparts were forced to
reckon with their use of complex mortgage derivatives and off-balance sheet
financing. Concerned by the lack of transparency in the credit markets, many
participants became less willing to purchase debt instruments, particularly
those linked to the sub-prime mortgage market. However, even higher-quality
investments and those not directly affected by the mortgage market felt the
sting of negative sentiment, although their fundamentals remained intact.
The Federal Reserve, along with other central banks, took decisive steps
to maintain liquidity within the markets. The Federal Reserve, in fact,
cut rates
Global Total Return Fund
2 ANNUAL REPORT Economic and Market Review
Economic and Market Review
twice, first in September and then in late October. The markets regained
a degree of traction and resumed their advance, and volatility declined somewhat.
The convertible market was quite healthy during the period. Valuations have
appreciated since 2006, but remain fair, and issuance trends have been
favorable. The varying conditions in the markets during the reporting period
underscored the benefits of convertibles. Broadly speaking, convertible
securities participated in the upward movement of the equity markets, while
demonstrating greater resiliency in downward markets. Convertibles tend to
benefit from increased volatility, which we saw during the annual period. In
the U.S. market, speculative-grade convertibles outperformed investment-grade
convertibles for the one-year period. However, investment-grade issues
performed more strongly during the final months of the period, as investors
became more wary of credit-quality risk.
In contrast, the U.S. high-yield market was more significantly challenged by
risk-averse investors reacting to spreading troubles in the credit market.
During the first portion of the reporting period, investor
enthusiasm for high-yield bonds was robust. High-yield securities were
supported by healthy earnings, a generally positive view by investors of the
U.S. economy and a historically low default rate. New issuance remained
strong as borrowers took advantage of low yields and high demand from
investors. Conditions changed abruptly in June as losses from sub-prime
mortgage securities mounted. High-yield bonds came under considerable
pressure as investors fled the sector in favor of government bonds and other
high-quality securities.
For the one-year period overall, CCC rated bonds performed better than
higher-rated, high-yield securities. However, the higher-rated tiers of the
high-yield universe gained traction as the troubles in the sub-prime market
rippled across the credit markets. Within the broad high-yield market,
utilities and health care sectors led for the period and financials lagged.
At the close of the period, investors found themselves confronted by mixed
data. In the United States, the housing market continues to languish, but
this correction was not wholly unexpected. The Federal Reserve and other
central banks responded proactively to the potential liquidity issues created
by the credit crisis, but the magnitude and duration of the crisis is not yet
fully known and will likely take many months to work its way fully through
the economy. Energy prices continue to cast a shadow and have exacerbated
uncertainty about future consumer spending. However, a rising equity market
and robust exports should help offset declining home values and support
ongoing spending.
Although the near-term view may be more uncertain, we continue to have a
favorable long-term outlook on the U.S. economy and the global economy. As
we have discussed in our previous communications with shareholders, the
strength of the U.S. economy is due in large measure to its diversification.
Although the travails of the housing and automotive sectors have dominated
the news, these
Global Total Return Fund
Economic and Market Review ANNUAL REPORT 3
Economic and Market Review
sectors are a relatively small slice of the U.S. economy, and its
important to remember that the U.S. economy has weathered many industry-specific recessions without
falling into broader recessions. Additionally, while gross domestic product (GDP) growth has
declined from recovery levels, GDP growth has been respectable over recent quarters. Inflation
remains contained, corporate balance sheets are still sound, and productivity and labor data are
favorable. Moreover, the United States is a participant in a dynamic and growing global economy and
that the strength of the global economy underpins our longer-term optimism.
Risk and uncertainty may be troubling concepts for many investors. However,
three decades of experience in the markets underscores our belief that these
conditions do not preclude long-term investment opportunity; rather, they
provide a context for it. Our investment process seeks to understand and
manage risk to create long-term wealth. Throughout the reporting period,
this approach served the Fund shareholders in good stead, and we believe the
Fund is advantageously positioned for what lies ahead.
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1 |
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The S&P 500 Index is an unmanaged index generally considered
representative of the U.S. stock market. Source: Lipper, Inc. |
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2 |
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The MSCI EAFE® Index measures developed market equity
performance (excluding the U.S. and Canada). Source: Lipper, Inc. |
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Lehman Brothers U.S. Aggregate Index, considered generally
representative of the investment-grade bond market. Source: Lipper,
Inc. |
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The CS High Yield Index is an unmanaged index of high yield
debt securities. Source: Russell/Mellon Analytical Services LLC. |
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5 |
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The Value Line Convertible Index is an equally weighted index of
the larger convertibles, representing 90% of the U.S. convertible
securities market. Source: Russell/Mellon Analytical Services LLC. |
This report is presented for informational purposes only and should not be considered investment advice.
Global Total Return Fund
4 ANNUAL REPORT Economic and Market Review
Investment Team Interview
The Calamos Investment Management Team, led by Co-Chief Investment Officers John P. Calamos, Sr.
and Nick P. Calamos, CFA, discusses the Funds performance, strategy and positioning during the
one-year period ended October 31, 2007.
TOTAL RETURN*
Common Shares Inception 10/27/05
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Since |
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1 Year |
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Inception** |
On Market Price |
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33.84 |
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21.28 |
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On NAV |
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38.30 |
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28.86 |
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Total return measures net
investment income and capital gain
or loss from portfolio investments,
assuming reinvestment of income and
capital gains distributions.
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Annualized since inception. |
Q. How did the Fund perform during the reporting period?
A. Calamos Global Total Return Fund (CGO) provided investors with a strong
return that surpassed the MSCI World Index1 by a wide margin. The
Funds underlying portfolio (as represented by net asset value, or NAV)
returned 38.30% for the one-year period. On a market price basis, the Fund
returned 33.84% assuming reinvestment of distributions. In contrast, the MSCI
World Index gained 20.97%.
The Fund also raised its monthly distribution twice during the reporting
period. (See Distribution History table.) Particularly given the
challenging market environment, we are pleased to have provided shareholders
with this wide margin of outperformance as well as an increased income
stream. We believe the Funds performance underscores the benefits of our
dynamic asset allocation and rigorous proprietary research.
Q. Whats the difference between market return and NAV return?
A. Closed-end funds trade on exchanges, where the price of a share may be
driven by factors other than the value of the underlying securities. The price
of a share in the market is called the market value. The market price may be
influenced by factors that are unrelated to the performance of the Funds
holdings. For example, the market price may reflect investor sentiment or
anxiety about certain parts of the market. During the reporting period, for
example, problems in certain sectors of
DISTRIBUTION HISTORY (LATEST 12 MONTHS)
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Date Paid |
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Per share |
October |
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$ |
0.1100 |
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September |
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0.1100 |
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August |
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0.1100 |
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July |
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0.1100 |
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June |
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0.1100 |
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May |
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0.1100 |
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April |
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0.0975 |
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March |
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0.0975 |
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February |
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0.0875 |
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January |
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0.0875 |
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December |
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0.0875 |
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November |
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0.0875 |
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Monthly distributions are from net
investment income, short-term
capital gains and/or long-term
capital gains. For more details
please go to the Tax Center located
at www.calamos.com.
the bond markets (most notably, the mortgage market) created a cloud of
negative sentiment that extended across much broader sections of the credit
market.
Global Total Return Fund
Investment Team Interview ANNUAL REPORT 5
Investment Team Interview
QUALITY ALLOCATION
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Weighted Average Credit Quality |
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BBB - |
AAA |
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7.1 |
% |
AA |
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1.1 |
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A |
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5.8 |
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BBB |
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8.7 |
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BB |
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19.5 |
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B |
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30.7 |
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CCC or below |
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7.2 |
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Not Rated |
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19.9 |
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Data is based on a portion of
portfolio holdings. Credit quality
shown reflects the higher of the
ratings of Standard & Poors
Corporation or Moodys Investors
Service, Inc. Ratings are relative,
subjective and not absolute
standards of quality. Excludes
equity securities, options, cash
and short-term investments.
REGIONAL ALLOCATION
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North America |
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41.0 |
% |
Europe |
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31.5 |
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Asia Pacific |
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23.9 |
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Latin America |
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2.6 |
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Middle East / Africa |
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0.9 |
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Caribbean |
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0.1 |
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Region allocations are based on portfolio holdings.
We believe NAV returns are the more appropriate measure of a managers
performance. The Funds NAV return measures the return of the individual
securities within the portfolio, less Fund expenses, but more
importantly, it is a measure of how well the manager is able to avoid or
capitalize on market disruptions or opportunities. The higher the return,
the more value the Funds management team added through its security
selection decisions.
Q. As of the close of the period, the Fund traded at a discount of 7.32%.
In your opinion, how should investors view this discount?
A. A discount reflects market sentiment, which can be influenced by many
factors unrelated to the performance of the Fund. Accordingly, we believe
discounts are best evaluated within a broader context. During the past year,
for example, CGO outperformed the MSCI World Index by a wide margin, and
provided increasing incomewhile trading at a discount. Additionally, we
note that a discount affords investors the opportunity to buy shares at a
price that is lower than the fair value of the portfolio (as measured by
NAV).
Q. In the Economic and Market Review, you explained that sub-prime
mortgages and certain types of debt linked to the mortgage market fell
steeply. Did the Fund invest in those types of securities?
A. The Fund did not invest in securities backed by sub-prime loans,
including collateralized debt instruments and structured investment
vehicles. These were the areas that came under the greatest pressure
during the summer sell off. Collateralized debt obligations are complex
securities that represent an interest in pools of securities backed by
mortgages, bonds, loans and other financial instruments. Structured
investment vehicles are funded by debt; they profit by purchasing
securities yielding more than the cost of capital.
We believed such areas of the market represented an undue level of risk and
were concerned by their lack of transparency. This prudence served the Fund
well during the period.
Q. Before you discuss the specific factors that influenced performance, how
did you position the Fund during the period?
A. This Fund invests across asset classes, including common stocks,
convertible securities and corporate bonds. We adjust the allocation based on
our view of the economic landscape as well as the opportunity potential of
individual securities. As of the close of the period, the Fund held the
majority of its assets in common stocks, reflecting our positive outlook on
the equity markets.
Convertible securities represented approximately 21% of the portfolio at the
close of the reporting period, roughly the same as the allocation to
corporate bonds. We
Global Total Return Fund
6 ANNUAL REPORT Investment Team Interview
Investment Team Interview
SECTOR ALLOCATION
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Information Technology |
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20.4 |
% |
Consumer Discretionary |
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19.6 |
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Financials |
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15.3 |
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Health Care |
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10.5 |
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Consumer Staples |
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10.3 |
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Energy |
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6.2 |
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Materials |
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4.8 |
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Telecommunication Services |
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4.7 |
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Industrials |
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3.9 |
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Sovereign Bonds |
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2.5 |
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Utilities |
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1.4 |
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Sector allocations are based on
managed assets and may vary over
time.
COUNTRY ALLOCATION
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United States |
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38.3 |
% |
Japan |
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7.4 |
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United Kingdom |
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7.3 |
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Australia |
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7.1 |
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Switzerland |
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5.6 |
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Singapore |
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4.5 |
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Finland |
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4.0 |
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Germany |
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3.4 |
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Bermuda |
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3.0 |
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Other Combined |
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19.4 |
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Country allocation is based on portfolio holdings.
utilized convertible securities to provide downside protection as well as
income. Convertible securities offer the potential for upside appreciation
in rising equity markets and potential downside protection in declining
markets. They also typically benefit from increased equity market
volatility.
This Fund has the flexibility to invest across the global markets. Although
the United States represents the Funds single largest country allocation,
the Fund is underweighted in the United States relative to the MSCI World
Index. This reflects our view on the potential slowdown of the U.S. economy
versus the higher growth opportunity in non-U.S. markets. Overall, our
positioning favors developed markets in Asia and Europe. Our investment
process favors countries that espouse free market principles and economic
freedoms, such as private property rights, transparent accounting practices
and credible rule of law.
From a sector standpoint, we are favoring companies from traditional
growth sectors, such as information technology. For many quarters, we have
been concerned about companies whose prospects are tied primarily to
recovery-level economic growth or commodity prices. We sought companies
with sustainable earnings growth potential, good balance sheets and cash
flows, high return on invested capital, reliable debt servicing and
significant revenue exposure to non-U.S. economies. In contrast, the Fund
holds smaller stakes in economically sensitive sectors such as materials,
energy and industrials.
While we focus on delivering steady income to shareholders, we view this
income as a component of total return. We carefully evaluate yield
opportunity within the context of potential risk. The Funds corporate and
convertible holdings are diversified across the credit spectrum. We are
particularly cautious in regards to the lowest tiers of the credit spectrum,
reflecting our belief that a higher income stream cannot make up for a
default.
Q. What factors enhanced performance?
A. The Fund was well served by security selection in the financials sector.
Our investment process includes a thematic component. That is, we seek
companies that will benefit from long-term societal trends, such as increased
pension investing in Europe and the expansion of well regulated stock
exchanges around the world. During the period, stock exchanges, insurers and
re-insurers and investment banking and brokerages enhanced performance.
Moreover, as the broad financials sector was buffeted by headwinds as the
credit crunch unfolded, an underweighting to the overall sector helped
performance.
The Fund benefited from its holdings in the information technology sector as
well as from its overweight to the sector versus the MSCI World Index. Here
again, our thematic approach led us to strong performers. For example, we
believe the competitive nature of the global economy will encourage
companies to make significant investments in productivity enhancers, which
in turn should benefit
Global Total Return Fund
Investment Team Interview ANNUAL REPORT 7
Investment Team Interview
technology companies. Also, we believe information technology companies
are advantageously positioned to capitalize on consumers desire to be connected to information,
entertainment and each other. Leading contributors to performance tapped into both of these themes.
Security selection in energy and industrials also contributed favorably to performance.
Q. What factors hindered performance?
A. Compared with the MSCI World Index, the Fund was underweighted in the
materials sector, an area that performed strongly within the index. An
overweighting to consumer discretionary relative to the index also slowed
the Funds relative performance.
Q. Please explain how the Fund employs leverage and how the Funds
leverage strategy contributed to performance.
A. Leverage strategies continued to contribute favorably to the returns
earned by the Funds common shareholders despite the turmoil in the credit
markets. Leverage strategies typically entail borrowing at short-term
interest rates and investing the proceeds at higher rates of return.
Because of the turmoil in the credit market, many investors have a heightened
apprehension about strategies that employ leverage. During the reporting
period, concerns about creditworthiness cut a wide swath in the credit market.
For a time, even the short-term, high-quality market came under pressure. In
this environment, the cost of the Funds leverage
increased. However, as the period progressed, the cost of leverage returned to
more normal levels, as investors were reassured by the Federal Reserves
decisive moves to maintain liquidity through reductions to the discount and
target rates.
Q. In a more uncertain market environment, what is your outlook for the
Fund?
A. We have a high degree of conviction in the Funds positioning and emphasis
on risk management. As the past year demonstrated, CGOs dynamic strategy
allowed Fund shareholders to receive steady income and growth in NAVdespite
the rising uncertainty in the credit markets and the U.S. economy. We believe
the Funds broad mandate provides ample opportunities for us to manage risk
while enhancing returns. We are particularly optimistic about the Funds
global focus and its ability to participate in dynamic trends in both the
United States and overseas.
We believe that traditional growth sectors are most compelling in a period of
less certain, but still respectable economic growth. Within the convertible
market, valuations have appreciated since 2006 but remain fair, and issuance
trends have been favorable. Currently, a good portion of convertibles offer
what we consider optimal characteristics, that is, a good mix of upside
participation and downside safety.
Global Total Return Fund
8 ANNUAL REPORT Investment Team Interview
Investment Team Interview
Our view on the broad corporate bond market is more cautious and we believe
individual security selection will be particularly important. The credit
crisis of the summer will take time to resolve, and many of the most
speculative credits may not offer suitably high compensation for the risk
they entail. However, as we discussed in the Economic and Market Review, we
believe that U.S. companies are in good shape overall; this strength should
provide support for the corporate bond market. We believe that opportunity
remains and that our rigorous and proprietary credit research will be of
considerable benefit in uncovering securities with attractive yields and
reasonable risk.
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1 |
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The MSCI World Index (U.S. dollars) is a market capitalization
weighted index composed of companies representative of the market
structure of developed market countries in North America, Europe and
the Asia/Pacific region. Source: Lipper, Inc. |
Global Total Return Fund
Investment Team Interview ANNUAL REPORT 9
Schedule of Investments
OCTOBER 31, 2007
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PRINCIPAL |
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AMOUNT |
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VALUE |
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CORPORATE BONDS (28.3%) |
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Consumer Discretionary (14.1%) |
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$ |
1,500,000 |
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Asbury Automotive Group, Inc.^
7.625%, 03/15/17 |
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$ |
1,410,000 |
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2,060,000 |
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|
|
DIRECTV Financing Company,
Inc.~
8.375%, 03/15/13 |
|
|
2,163,000 |
|
|
1,000,000 |
|
|
|
|
Expedia, Inc.~
7.456%, 08/15/18 |
|
|
1,033,693 |
|
|
1,600,000 |
|
|
|
|
Ford Motor Company~
9.875%, 08/10/11 |
|
|
1,598,811 |
|
|
1,000,000 |
|
|
|
|
General Motors Corp.^
7.200%, 01/15/11 |
|
|
960,000 |
|
|
1,875,000 |
|
|
|
|
Goodyear Tire & Rubber Company~
7.857%, 08/15/11 |
|
|
1,950,000 |
|
|
2,000,000 |
|
|
|
|
Hanes Brands, Inc.~
8.784%, 12/15/14 |
|
|
2,020,000 |
|
|
2,000,000 |
|
|
|
|
Idearc, Inc.~
8.000%, 11/15/16 |
|
|
2,015,000 |
|
|
440,000 |
|
|
|
|
Jarden Corp.~
7.500%, 05/01/17 |
|
|
420,200 |
|
|
2,000,000 |
|
|
|
|
Liberty Media Corp.~
8.250%, 02/01/30 |
|
|
1,976,040 |
|
|
2,000,000 |
|
|
|
|
Mandalay Resort Group~
7.625%, 07/15/13 |
|
|
1,995,000 |
|
|
2,325,000 |
|
|
|
|
NCL Holding, ASA~
10.625%, 07/15/14 |
|
|
2,365,688 |
|
|
2,000,000 |
|
|
|
|
Royal Caribbean Cruises, Ltd.~
7.500%, 10/15/27 |
|
|
1,900,012 |
|
|
2,000,000 |
|
|
|
|
Service Corp. International~
7.500%, 04/01/27 |
|
|
1,880,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
23,687,444 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (2.1%) |
|
|
|
|
|
1,500,000 |
|
|
|
|
Del Monte Foods Company~
8.625%, 12/15/12 |
|
|
1,537,500 |
|
|
|
|
|
|
|
Pilgrims Pride Corp. |
|
|
|
|
|
1,500,000 |
|
|
|
|
8.375%, 05/01/17^ |
|
|
1,518,750 |
|
|
500,000 |
|
|
|
|
7.625%, 05/01/15~ |
|
|
505,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,561,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.5%) |
|
|
|
|
|
750,000 |
|
|
|
|
Petróleo Brasileiro, SA~
8.375%, 12/10/18 |
|
|
885,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.8%) |
|
|
|
|
|
500,000 |
|
|
|
|
E*TRADE Financial Corp.~
7.875%, 12/01/15 |
|
|
460,000 |
|
|
920,000 |
|
|
|
|
Leucadia National Corp.~
8.125%, 09/15/15 |
|
|
932,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
1,392,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (1.7%) |
|
|
|
|
|
1,800,000 |
|
|
|
|
HCA, Inc.*
9.250%, 11/15/16 |
|
|
1,899,000 |
|
|
1,000,000 |
|
|
|
|
Tenet Healthcare Corp.~
9.250%, 02/01/15 |
|
|
885,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,784,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (1.0%) |
|
|
|
|
|
1,800,000 |
|
|
|
|
H&E Equipment Service, Inc.~
8.375%, 07/15/16 |
|
|
1,755,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (2.8%) |
|
|
|
|
|
900,000 |
|
|
|
|
Avago Technologies~
11.875%, 12/01/15 |
|
|
1,012,500 |
|
|
1,000,000 |
|
|
|
|
iPayment, Inc.~
9.750%, 05/15/14 |
|
|
965,000 |
|
|
2,700,000 |
|
|
|
|
SunGard Data Systems, Inc.~
9.125%, 08/15/13 |
|
|
2,767,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,745,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (2.6%) |
|
|
|
|
|
900,000 |
|
|
|
|
Ineos Group Holdings, PLC*
7.875%, 02/15/16 |
|
|
1,205,917 |
|
|
2,000,000 |
|
|
|
|
Mosaic Company~*
7.625%, 12/01/16 |
|
|
2,165,000 |
|
|
1,000,000 |
|
|
|
|
Polyone Corp.
8.875%, 05/01/12 |
|
|
1,040,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,410,917 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (2.7%) |
|
|
|
|
|
1,700,000 |
|
|
|
|
Citizens Communications Company~
9.000%, 08/15/31 |
|
|
1,757,375 |
|
|
2,000,000 |
|
|
|
|
Leap Wireless International, Inc.~
9.375%, 11/01/14 |
|
|
1,995,000 |
|
|
750,000 |
|
|
|
|
Windstream Corp.~
8.625%, 08/01/16 |
|
|
806,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,558,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS
(Cost $47,917,608) |
|
|
47,779,886 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
CONVERTIBLE BONDS (15.2%) |
|
|
|
|
|
|
Consumer Discretionary (5.4%) |
|
|
|
|
|
1,000,000 |
|
|
|
|
Amazon.com, Inc.~
4.750%, 02/01/09 |
|
|
1,192,500 |
|
|
1,500,000 |
|
|
|
|
Ford Motor Company~
4.250%, 12/15/36 |
|
|
1,803,750 |
|
|
1,500,000 |
|
|
|
|
General Motors Corp.~
6.250% 07/15/33 |
|
|
1,542,000 |
|
|
1,500,000 |
|
|
|
|
Intralot SA
2.250%, 12/20/13 |
|
|
2,498,747 |
|
|
850,000 |
|
|
|
|
Punch Taverns Redwood Jersey
Company Ltd.
5.000%, 12/14/10 |
|
|
2,047,842 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
9,084,839 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (1.1%) |
|
|
|
|
|
1,700,000 |
|
|
|
|
Wyeth~
4.886%, 01/15/24 |
|
|
1,822,842 |
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments.
Global Total Return Fund
10 ANNUAL REPORT Schedule of Investments
Schedule of Investments
OCTOBER 31, 2007
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL |
|
|
|
|
|
|
AMOUNT |
|
|
|
|
|
|
VALUE |
|
|
|
|
|
|
|
|
Industrials (2.7%) |
|
|
|
|
$ |
1,700,000 |
|
|
|
|
MTU Aero Engines Holdings, AG
2.750%, 02/01/12 |
|
$ |
2,699,545 |
|
|
1,175,000 |
|
|
|
|
Quanta Services, Inc.~*
3.750%, 04/30/26 |
|
|
1,863,844 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,563,389 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (3.6%) |
|
|
|
|
|
3,300,000 |
|
|
|
|
Business Objects, SA
2.250%, 01/01/27 |
|
|
2,409,226 |
|
|
2,500,000 |
|
|
|
|
Intel Corp.^~
2.950%, 12/15/35 |
|
|
2,681,250 |
|
|
900,000 |
|
|
|
|
VeriSign, Inc.~*
3.250%, 08/15/37 |
|
|
1,078,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,169,351 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (0.5%) |
|
|
|
|
|
900,000 |
|
|
|
|
NII Holdings, Inc.*
3.125%, 06/15/12 |
|
|
835,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (1.9%) |
|
|
|
|
|
1,550,000 |
|
|
|
|
International Power, PLC
3.250%, 07/20/13 |
|
|
3,139,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE BONDS
(Cost $22,679,858) |
|
|
25,615,496 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
SYNTHETIC CONVERTIBLE SECURITIES (5.1%) |
Sovereign Bonds (3.4%) |
|
|
|
|
|
|
Consumer Discretionary (3.4%) |
|
|
|
|
|
1,800,000 |
|
|
|
|
Deutschland Republic Treasury
4.500%, 07/04/09 |
|
|
2,621,596 |
|
|
1,500,000 |
|
|
|
|
United Kingdom Treasury
5.750%, 12/07/09 |
|
|
3,159,802 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SOVEREIGN BONDS |
|
|
5,781,398 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
|
|
CONTRACTS |
|
|
|
|
|
|
VALUE |
|
|
Options (1.7%) |
|
|
|
|
|
|
|
|
|
|
|
Consumer Discretionary (0.1%) |
|
|
|
|
|
65 |
|
|
|
|
Garmin, Ltd.#
Call, 01/17/09, Strike $100.00 |
|
|
195,650 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.2%) |
|
|
|
|
|
90 |
|
|
|
|
Alliant Techsystems, Inc.#
Call, 01/17/09, Strike $110.00 |
|
|
140,850 |
|
|
165 |
|
|
|
|
Honeywell International, Inc.#
Call, 01/17/09, Strike $55.00 |
|
|
183,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
324,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (1.4%) |
|
|
|
|
|
100 |
|
|
|
|
Apple, Inc.#
Call, 01/17/09, Strike $130.00 |
|
|
752,500 |
|
|
235 |
|
|
|
|
Cisco Systems, Inc.#
Call, 01/17/09, Strike $30.00 |
|
$ |
166,263 |
|
|
|
|
|
|
|
|
|
|
|
|
|
35 |
|
|
|
|
Google, Inc.#
Call, 01/17/09, Strike $520.00 |
|
|
828,625 |
|
|
90 |
|
|
|
|
Research In Motion, Ltd.#
Call, 01/17/09, Strike $73.30 |
|
|
548,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,295,488 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL OPTIONS |
|
|
2,815,138 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SYNTHETIC
CONVERTIBLE SECURITIES
(Cost $6,940,621) |
|
|
8,596,536 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
|
|
SHARES |
|
|
|
|
|
|
VALUE |
|
|
CONVERTIBLE PREFERRED STOCKS (8.1%) |
|
|
|
|
|
|
Financials (1.8%) |
|
|
|
|
|
32,000 |
|
|
|
|
MetLife, Inc.~
6.375% |
|
|
1,072,640 |
|
|
1,100 |
|
|
|
|
Swiss Re
6.000% |
|
|
997,264 |
|
|
20,000 |
|
|
|
|
Washington Mutual, Inc.~
5.375% |
|
|
885,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,954,904 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (2.5%) |
|
|
|
|
|
16,000 |
|
|
|
|
Schering-Plough Corp.~
6.000% |
|
|
4,260,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (3.8%) |
|
|
|
|
|
34,000 |
|
|
|
|
Cia Vale do Rio Doce~
5.500% |
|
|
2,489,480 |
|
|
450 |
|
|
|
|
Givaudan SA
5.375% |
|
|
3,972,851 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,462,331 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE
PREFERRED STOCKS
(Cost $13,230,138) |
|
|
13,677,235 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCKS (77.5%) |
|
|
|
|
|
|
Consumer Discretionary (6.8%) |
|
|
|
|
|
135,000 |
|
|
|
|
Esprit Holdings, Ltd. |
|
|
2,254,678 |
|
|
53,000 |
|
|
|
|
Hennes & Mauritz AB |
|
|
3,541,429 |
|
|
20,000 |
|
|
|
|
Industria de Diseno Textil, SA |
|
|
1,495,374 |
|
|
20,000 |
|
|
|
|
Nike, Inc.~ |
|
|
1,325,200 |
|
|
10,000 |
|
|
|
|
Volkswagen, AG |
|
|
2,858,583 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
11,475,264 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (11.7%) |
|
|
|
|
|
100,000 |
|
|
|
|
British American Tobacco, PLC |
|
|
3,809,757 |
|
|
40,000 |
|
|
|
|
Coca-Cola Company~ |
|
|
2,470,400 |
|
|
44,000 |
|
|
|
|
Heineken, NV |
|
|
3,088,679 |
|
|
32,000 |
|
|
|
|
InBev, NV |
|
$ |
3,028,713 |
|
|
7,000 |
|
|
|
|
Nestle Holdings, Inc. |
|
|
3,233,173 |
|
See accompanying Notes to Schedule of Investments.
Global Total Return Fund
Schedule of Investments ANNUAL REPORT 11
Schedule of Investments
OCTOBER 31, 2007
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
|
|
SHARES |
|
|
|
|
|
|
VALUE |
|
|
|
40,000 |
|
|
|
|
Reynolds American, Inc.^ |
|
$ |
2,577,200 |
|
|
50,000 |
|
|
|
|
Woolworths, Ltd. |
|
|
1,567,083 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
19,775,005 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (7.8%) |
|
|
|
|
|
16,000 |
|
|
|
|
Canadian Natural Resources, Ltd. |
|
|
1,330,609 |
|
|
30,000 |
|
|
|
|
Chevron Corp.~ |
|
|
2,745,300 |
|
|
30,000 |
|
|
|
|
ENI S.p.A. |
|
|
1,095,398 |
|
|
170,000 |
|
|
|
|
Nippon Oil Corp. |
|
|
1,505,637 |
|
|
24,800 |
|
|
|
|
PetroChina Company, Ltd.^~ |
|
|
6,512,480 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
13,189,424 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (18.0%) |
|
|
|
|
|
105,000 |
|
|
|
|
Australian Stock Exchange, Ltd. |
|
|
5,661,884 |
|
|
33,120 |
|
|
|
|
EFG Eurobank Ergasias |
|
|
1,292,385 |
|
|
7,000 |
|
|
|
|
Goldman Sachs Group, Inc.~ |
|
|
1,735,440 |
|
|
380,000 |
|
|
|
|
Henderson Group, PLC |
|
|
1,486,282 |
|
|
40,000 |
|
|
|
|
JPMorgan Chase & Company~ |
|
|
1,880,000 |
|
|
40,000 |
|
|
|
|
Manulife Financial Corp.^ |
|
|
1,855,600 |
|
|
52,000 |
|
|
|
|
Power Financial Corp. |
|
|
2,318,023 |
|
|
135,000 |
|
|
|
|
QBE Insurance Group, Ltd. |
|
|
4,131,345 |
|
|
916,000 |
|
|
|
|
Singapore Exchange, Ltd. |
|
|
10,037,164 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
30,398,123 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (9.0%) |
|
|
|
|
|
22,000 |
|
|
|
|
Alcon, Inc.^~ |
|
|
3,348,620 |
|
|
43,000 |
|
|
|
|
Astellas Pharma, Inc. |
|
|
1,908,831 |
|
|
63,000 |
|
|
|
|
CSL, Ltd. |
|
|
2,141,753 |
|
|
21,000 |
|
|
|
|
Johnson & Johnson~ |
|
|
1,368,570 |
|
|
60,000 |
|
|
|
|
Merck & Company, Inc.~ |
|
|
3,495,600 |
|
|
72,000 |
|
|
|
|
Pfizer, Inc.~ |
|
|
1,771,920 |
|
|
6,000 |
|
|
|
|
Roche Holding, AG |
|
|
1,024,819 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
15,060,113 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (1.4%) |
|
|
|
|
|
40,000 |
|
|
|
|
Leighton Holdings, Ltd. |
|
|
2,341,717 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (19.7%) |
|
|
|
|
|
37,000 |
|
|
|
|
Canon, Inc. |
|
|
1,872,178 |
|
|
90,000 |
|
|
|
|
Infosys Technologies, Ltd.~ |
|
|
4,584,600 |
|
|
68,000 |
|
|
|
|
Microsoft Corp.~ |
|
|
2,503,080 |
|
|
13,000 |
|
|
|
|
Nintendo Company, Ltd. |
|
|
8,256,023 |
|
|
225,000 |
|
|
|
|
Nokia Corp. |
|
|
8,935,979 |
|
|
37,000 |
|
|
|
|
SAP, AG |
|
|
2,000,720 |
|
|
17,000 |
|
|
|
|
TDK Corp. |
|
|
1,395,183 |
|
|
185,000 |
|
|
|
|
Toshiba Corp. |
|
|
1,566,632 |
|
|
240,000 |
|
|
|
|
Vtech Holdings, Ltd. |
|
|
2,049,380 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
33,163,775 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (3.1%) |
|
|
|
|
|
38,000 |
|
|
|
|
America Movil, S.A. de C.V.~ |
|
$ |
2,484,820 |
|
|
400,000 |
|
|
|
|
BT Group, PLC# |
|
|
2,718,892 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,203,712 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS
(Cost $80,851,087) |
|
|
130,607,133 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
WARRANTS (0.1%) |
|
|
|
|
|
|
Consumer Discretionary (0.1%) |
|
|
|
|
|
36,362 |
|
|
|
|
Expedia, Inc.#
05/07/12, Strike $24.46
(Cost $72,179) |
|
|
253,443 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
|
|
CONTRACTS |
|
|
|
|
|
|
VALUE |
|
|
PUT OPTIONS (0.3%) |
|
|
|
|
|
|
Financials (0.3%) |
|
|
|
|
|
|
|
|
|
|
SPDR Trust Series 1# |
|
|
|
|
|
1,235 |
|
|
|
|
Put, 03/22/08, Strike $144.00 |
|
|
444,600 |
|
|
235 |
|
|
|
|
Put, 11/17/07, Strike $138.00 |
|
|
1,763 |
|
|
230 |
|
|
|
|
Put, 11/07/07, Strike $137.00 |
|
|
1,265 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL OPTIONS
(Cost $523,830) |
|
|
447,628 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
|
|
SHARES |
|
|
|
|
|
|
VALUE |
|
|
INVESTMENT IN AFFILIATED FUND (1.2%) |
|
1,952,459 |
|
|
|
|
Calamos Government Money Market
Fund Class I Shares 3
4.711%
(Cost $1,952,459) |
|
|
1,952,459 |
|
|
|
|
|
|
|
|
|
|
|
INVESTMENTS OF CASH COLLATERAL FOR
SECURITIES ON LOAN (7.9%) |
|
13,371,000 |
|
|
|
|
Bank of New York Institutional
Cash Reserve Fund
current rate 5.158%
(Cost $13,371,000) |
|
|
13,371,000 |
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (143.7%)
(Cost $187,538,780) |
|
|
242,300,816 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-7.9%) |
|
|
(13,371,000 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
LIABILITIES, LESS OTHER ASSETS (-0.8%) |
|
|
(1,371,017 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING
DIVIDENDS PAYABLE (-35.0%) |
|
|
(59,008,196 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) |
|
$ |
168,550,603 |
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments.
Global Total Return Fund
12 ANNUAL REPORT Schedule of Investments
Schedule of Investments
OCTOBER 31, 2007
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
|
|
CONTRACTS |
|
|
|
|
|
|
VALUE |
|
|
WRITTEN OPTIONS (-1.9%) |
|
|
|
|
|
|
Financials (-1.9%) |
|
|
|
|
|
|
|
|
|
|
iShares MSCI EAFE Index Fund# |
|
|
|
|
|
1,500 |
|
|
|
|
Call, 12/22/07, Strike $85.00 |
|
$ |
(517,500 |
) |
|
1,360 |
|
|
|
|
Call, 12/22/07, Strike $83.00 |
|
|
(666,400 |
) |
|
1,350 |
|
|
|
|
Call, 12/22/07, Strike $84.00 |
|
|
(567,000 |
) |
|
1,200 |
|
|
|
|
Call, 03/22/08, Strike $85.00 |
|
|
(552,000 |
) |
|
540 |
|
|
|
|
Call, 12/22/07, Strike $80.00 |
|
|
(399,600 |
) |
|
|
|
|
|
|
SPDR Trust Series 1# |
|
|
|
|
|
400 |
|
|
|
|
Call, 12/22/07, Strike $158.00 |
|
|
(102,000 |
) |
|
250 |
|
|
|
|
Call, 11/17/07, Strike $159.00 |
|
|
(11,750 |
) |
|
115 |
|
|
|
|
Call, 03/22/08, Strike $152.00 |
|
|
(113,850 |
) |
|
100 |
|
|
|
|
Call, 12/22/07, Strike $157.00 |
|
|
(30,500 |
) |
|
100 |
|
|
|
|
Call, 03/22/08, Strike $150.00 |
|
|
(112,500 |
) |
|
85 |
|
|
|
|
Call, 03/22/08, Strike $157.00 |
|
|
(57,375 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WRITTEN OPTIONS
(Premium $2,344,844) |
|
|
(3,130,475 |
) |
|
|
|
|
|
|
|
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
|
|
|
Note: Value for Securities denominated in foreign
currencies is shown in U.S. dollars. The principal amount
for such securities are shown in the respective foreign
currency. The date shown on options represents the
expiration date of the option contract. The option
contract may be exercised at any date on or before the
date shown. |
|
^ |
|
Security, or portion of security, is on loan. |
|
~ |
|
Security, or portion of security, is held in a
segregated account as collateral for written options
aggregating a total market value of $86,650,848. |
|
|
|
Variable rate or step bond security. The rate
shown is the rate in effect at October 31, 2007. |
|
* |
|
Securities issued and sold pursuant to a Rule 144A
transaction are excepted from the registration
requirement of the Securities Act of 1933, as
amended. These securities may only be sold to
qualified institutional buyers (QIBs), such as the
Fund. Any resale of these securities must generally
be effected through a sale that is registered under
the Act or otherwise exempted or excepted from such
registration requirements. At October 31, 2007 the
value of 144A securities that could not be exchanged
to the registered form is $6,348,792 or 3.8% of net
assets. |
|
# |
|
Non-income producing security. |
|
W |
|
Investment in an affiliated fund. During the period
from November 1, 2006, through October 31, 2007, the
fund had net purchases of $1,952,459, and received
$63,656 in dividend payments from the affiliated
fund. As of October 31, 2006, the Fund had no
holdings of the affiliated fund. |
See accompanying Notes to Financial Statements.
Global Total Return Fund
Schedule of Investments ANNUAL REPORT 13
Schedule of Investments
OCTOBER 31, 2007
COUNTRY ALLOCATION AS OF OCTOBER 31, 2007
|
|
|
|
|
Country |
|
% of Portfolio |
United States |
|
|
38.3 |
% |
Japan |
|
|
7.4 |
|
United Kingdom |
|
|
7.3 |
|
Australia |
|
|
7.1 |
|
Switzerland |
|
|
5.6 |
|
Singapore |
|
|
4.5 |
|
Finland |
|
|
4.0 |
|
Germany |
|
|
3.4 |
|
Bermuda |
|
|
3.0 |
|
China |
|
|
2.9 |
|
Canada |
|
|
2.7 |
|
India |
|
|
2.0 |
|
Greece |
|
|
1.7 |
|
Sweden |
|
|
1.6 |
|
Brazil |
|
|
1.5 |
|
Netherlands |
|
|
1.4 |
|
Belgium |
|
|
1.3 |
|
Mexico |
|
|
1.1 |
|
France |
|
|
1.1 |
|
Liberia |
|
|
0.8 |
|
Spain |
|
|
0.7 |
|
Italy |
|
|
0.5 |
|
Cayman Islands |
|
|
0.1 |
|
Total: |
|
|
100.0 |
% |
Country allocations vary over time.
See accompanying Notes to Financial Statements.
|
|
|
14
|
|
Global Total Return Fund
ANNUAL REPORT Schedule of Investments |
Statement of Assets and Liabilities
|
|
|
|
|
October 31, 2007 |
|
ASSETS |
|
|
|
|
Investments, at value* (cost $185,586,321) |
|
$ |
240,348,357 |
|
Investments in affiliated fund (cost $1,952,459) |
|
|
1,952,459 |
|
Cash with custodian (interest bearing) |
|
|
1,134 |
|
Accrued interest and dividends receivable |
|
|
2,012,157 |
|
Prepaid expenses |
|
|
8,635 |
|
Other assets |
|
|
17,669 |
|
|
Total assets |
|
|
244,340,411 |
|
|
LIABILITIES |
|
|
|
|
Options written, at value (premium $2,344,844) |
|
|
3,130,475 |
|
Cash collateral for securities on loan |
|
|
13,371,000 |
|
Affiliates: |
|
|
|
|
Investment advisory fees |
|
|
186,319 |
|
Financial accounting fees |
|
|
2,130 |
|
Deferred compensation to Trustees |
|
|
17,669 |
|
Trustee fees and officer compensation |
|
|
257 |
|
Accounts payable and accrued liabilities |
|
|
73,762 |
|
|
Total liabilities |
|
|
16,781,612 |
|
|
PREFERRED SHARES |
|
|
|
|
$25,000 liquidation value per share applicable to 2,360 shares, including dividends payable |
|
|
59,008,196 |
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
$ |
168,550,603 |
|
|
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
|
|
|
Common stock, no par value, unlimited shares authorized 8,006,981 shares issued and outstanding |
|
$ |
113,591,761 |
|
Undistributed net investment income (loss) |
|
|
(206,348 |
) |
Accumulated net realized gain (loss) on investments, written options, and foreign currency transactions |
|
|
1,166,189 |
|
Net unrealized appreciation (depreciation) on investments, written options, and foreign currency translations |
|
|
53,999,001 |
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
$ |
168,550,603 |
|
|
Net asset value per common share based on 8,006,981 shares issued and outstanding |
|
$ |
21.05 |
|
|
*Including securities on loan with a value of $13,457,659.
See accompanying Notes to Financial Statements.
|
|
|
|
|
Global Total Return Fund
Statement of Assets and Liabilities ANNUAL REPORT
|
|
|
15 |
|
Statement of Operations
|
|
|
|
|
Year Ended October 31, 2007 |
|
INVESTMENT INCOME |
|
|
|
|
Interest |
|
$ |
6,068,902 |
|
Dividends (net of foreign taxes withheld of $92,485) |
|
|
3,959,321 |
|
Dividends from affiliates |
|
|
63,656 |
|
Securities lending income |
|
|
25,793 |
|
|
Total investment income |
|
|
10,117,672 |
|
|
EXPENSES |
|
|
|
|
Investment advisory fees |
|
|
2,016,530 |
|
Financial accounting fees |
|
|
22,829 |
|
Auction agent and rating agency fees |
|
|
165,167 |
|
Audit and legal fees |
|
|
45,739 |
|
Custodian fees |
|
|
48,366 |
|
Printing and mailing fees |
|
|
42,526 |
|
Transfer agent fees |
|
|
30,401 |
|
Registration fees |
|
|
24,386 |
|
Trustees fees and officer compensation |
|
|
19,851 |
|
Accounting fees |
|
|
10,587 |
|
Investor support services |
|
|
7,717 |
|
Other |
|
|
26,182 |
|
|
Total expenses |
|
|
2,460,281 |
|
Less expense reductions |
|
|
(8,309 |
) |
|
Net expenses |
|
|
2,451,972 |
|
|
NET INVESTMENT INCOME(LOSS) |
|
|
7,665,700 |
|
|
REALIZED AND UNREALIZED GAIN(LOSS) FROM INVESTMENTS,
WRITTEN OPTIONS, AND FOREIGN CURRENCY |
|
|
|
|
Net realized gain (loss) from: |
|
|
|
|
Investments |
|
|
9,396,512 |
|
Written options |
|
|
(3,797,667 |
) |
Foreign currency transactions |
|
|
49,472 |
|
Change in net unrealized appreciation/depreciation on: |
|
|
|
|
Investments |
|
|
36,380,232 |
|
Written options |
|
|
1,015,939 |
|
Foreign currency translations |
|
|
17,564 |
|
|
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, WRITTEN OPTIONS, AND FOREIGN CURRENCY |
|
|
43,062,052 |
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
50,727,752 |
|
|
DISTRIBUTIONS TO PREFERRED SHAREHOLDERS FROM |
|
|
|
|
Net investment income |
|
|
(3,095,387 |
) |
Capital gains |
|
|
(21,448 |
) |
|
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS |
|
$ |
47,610,917 |
|
|
See accompanying Notes to Financial Statements.
|
|
|
16
|
|
Global Total Return Fund
ANNUAL REPORT Statement of Operations |
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
Year Ended October 31, |
|
|
|
2007 |
|
|
2006 |
|
|
OPERATIONS |
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
$ |
7,665,700 |
|
|
$ |
6,878,195 |
|
Net realized gain (loss) from investments, written options, and foreign currency transactions |
|
|
5,648,317 |
|
|
|
2,569,858 |
|
Change in net unrealized appreciation/depreciation on investments, written options, and foreign currency translations |
|
|
37,413,735 |
|
|
|
16,585,266 |
|
Distributions to preferred shareholders from: |
|
|
|
|
|
|
|
|
Net investment income |
|
|
(3,095,387 |
) |
|
|
(2,331,114 |
) |
Capital gains |
|
|
(21,448 |
) |
|
|
|
|
|
Net increase (decrease) in net assets applicable to common shareholders resulting from operations |
|
|
47,610,917 |
|
|
|
23,702,205 |
|
|
|
|
|
|
|
|
|
|
|
DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM |
|
|
|
|
|
|
|
|
Net investment income |
|
|
(8,697,994 |
) |
|
|
(5,173,457 |
) |
Capital gains |
|
|
(950,430 |
) |
|
|
(1,532,399 |
) |
|
Net decrease in net assets from distributions to common shareholders |
|
|
(9,648,424 |
) |
|
|
(6,705,856 |
) |
|
|
|
|
|
|
|
|
|
|
CAPITAL SHARE TRANSACTIONS |
|
|
|
|
|
|
|
|
Offering costs on preferred shares |
|
|
|
|
|
|
(847,169 |
) |
|
Net increase (decrease) in net assets from capital share transactions |
|
|
|
|
|
|
(847,169 |
) |
|
TOTAL
INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
|
37,962,493 |
|
|
|
16,149,180 |
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
|
|
|
|
|
|
|
Beginning of year |
|
$ |
130,588,110 |
|
|
$ |
114,438,930 |
|
|
End of year |
|
|
168,550,603 |
|
|
|
130,588,110 |
|
|
Undistributed net investment income (loss) |
|
$ |
(206,348 |
) |
|
$ |
481,284 |
|
See accompanying Notes to Financial Statements.
|
|
|
|
|
Global Total Return Fund
Statements of Changes in Net Assets ANNUAL REPORT
|
|
|
17 |
|
Notes to Financial Statements
NOTE 1 ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization. CALAMOS Global Total Return Fund (the ''Fund) was organized as a Delaware statutory
trust on March 30, 2004 and is registered under the Investment Company Act of 1940 (the 1940 Act)
as a diversified, closed-end management investment company. The Fund commenced operations on
October 27, 2005.
The Funds investment objective is to provide total return through a combination of capital
appreciation and current income.
Portfolio Valuation. Calamos Advisors LLC, the Funds investment adviser (Calamos Advisors),
overseas the valuation of the Funds portfolio securities in accordance with policies and
procedures on the valuation of securities adopted by and under the ultimate supervision of the
Board of Trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option securities, are
valued at the last current reported sales price at the time as of which a Fund determines its net
asset value (NAV). Securities traded in the over-the-counter (''OTC) market and quoted on The
NASDAQ Stock Market are valued at the NASDAQ Official Closing Price (''NOCP), as determined by
NASDAQ, or lacking a NOCP, the last current reported sale price on NASDAQ at the time as of which a
Fund determines its NAV.
When a most recent last sale or closing price is not available, portfolio securities, other than
option securities, that are traded on a U.S. securities exchange and other securities traded in the
OTC market are valued at the mean between the most recent bid and asked quotations in accordance
with guidelines adopted by the Board of Trustees. Each option security traded on a U.S. securities
exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also
in accordance with guidelines adopted by the Board of Trustees. Each OTC option that is not traded
through the Options Clearing Corporation is valued based on a quotation provided by the
counterparty to such option under the ultimate supervision of the Board of Trustees.
Trading in securities on European and Far Eastern securities exchanges and OTC markets is typically
completed at various times before the close of business on each day on which the New York Stock
Exchange (NYSE) is open. Each security trading on these exchanges or OTC markets is evaluated
utilizing a systematic fair valuation model provided by an independent pricing service approved by
the Board of Trustees. The valuation of each security that meets certain criteria in relation to
the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market
after the foreign markets close. Securities that do not meet the criteria, or that are principally
traded in other foreign markets, are valued as of the last current sale price at the time as of
which the Fund determines its NAV, or when reliable market prices or quotations are not readily
available, at the mean between the most recent bid and asked quotations as of the close of the
appropriate exchange or other designated time, in accordance with guidelines adopted by the Board
of Trustees. Trading of foreign securities may not take place on every NYSE business day. In
addition, trading may take place in various foreign markets on Saturdays or on other days when the
NYSE is not open and on which the Funds NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the methods
described above is not reflective of a fair value for such security, the security, including any
thinly-traded security, below investment grade bond or synthetic convertible instrument, is valued
at a fair value by the pricing committee, under the ultimate supervision of the Board of Trustees,
following the guidelines and/or procedures adopted by the Board of Trustees.
The Fund also may use fair value pricing, pursuant to guidelines adopted by the Board of Trustees and under the ultimate supervision of the Board of Trustees, if the value of a foreign
security it holds is materially affected by events occurring before the Funds pricing time but
after the close of the primary markets or exchanges on which the security is traded. Those
procedures may utilize valuations furnished by pricing services approved by the Board of Trustees,
which may be based on market transactions for comparable securities and various relationships
between securities that are generally recognized by institutional traders, a computerized matrix
system, or appraisals derived from information concerning the securities or similar securities
received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by the Fund to
calculate its NAV may differ from market quotations or official closing prices. In light of the
judgment involved in fair valuations, there can be no assurance that a fair value assigned to a
particular security is accurate.
|
|
|
18
|
|
Global Total Return Fund
ANNUAL REPORT Notes to Financial Statements |
Notes to Financial Statements
Investment Transactions. Short-term and long-term investment transactions are recorded on a trade
date basis as of October 31, 2007. 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. 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 Fund does not isolate that portion of the results of operations resulting from changes in
foreign exchange rates on investments from the fluctuations arising from changes in market prices
of securities held. Such fluctuations are included with the net realized and unrealized gain or
loss from investments.
Recorded net realized foreign currency gains or losses arise from disposition of foreign currency,
the difference in the foreign exchange rates between the trade and settlement dates on securities
transactions, and the difference between the amounts of dividends, interest and foreign withholding
taxes recorded on the ex-date or accrual date and the U.S. dollar equivalent of the amounts
actually received or paid. Net unrealized foreign exchange gains and losses arise from changes (due
to the changes in the exchange rate) in the value of foreign currency and other assets and
liabilities denominated in foreign currencies held at period end.
Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put
and call options. One of the risks associated with purchasing an option is that the Fund pays a
premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of
premium and change in market value should the counterparty not perform under the contract. Put and
call options purchased are accounted for in the same manner as portfolio securities. The cost of
securities acquired through the exercise of 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 the Fund writes an option, an amount equal to the premium received by the Fund is recorded as
a liability and is subsequently adjusted to the current value of the option written. Premiums
received from writing options that expire unexercised are treated by the Fund on the expiration
date as realized gains from written options. The difference between the premium and the amount paid
on effecting a closing purchase transaction, including brokerage commissions, is also treated as a
realized gain, or, if the premium is less than the amount paid for the closing purchase
transaction, as a realized loss. If a written call option is exercised, the premium is added to the
proceeds from the sale of the underlying security or currency in determining whether the Fund has
realized a gain or loss. If a written put option is exercised, the premium reduces the cost basis
of the securities purchased by the Fund. The Fund as writer of an option bears the market risk of
an unfavorable change in the price of the security underlying the written option.
Allocation of Expenses Among Funds. Expenses directly attributable to the Fund are charged to the
Fund; certain other expenses of Calamos Investment Trust, Calamos Advisors Trust, Calamos
Convertible Opportunities and Income Fund, Calamos Convertible and High Income Fund, Calamos
Strategic Total Return Fund, Calamos Global Total Return Fund and Calamos Global Dynamic Income
Fund are allocated proportionately among each fund in relation to the net assets of each fund or on
another reasonable basis.
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 U.S. income taxes because the Funds policy is to
continue to qualify as regulated investment company under the Internal Revenue Code of 1986, as
amended (the Code), and distribute to shareholders substantially all of its taxable income and
net realized gains.
|
|
|
|
|
Global Total Return Fund
Notes to Financial Statements ANNUAL REPORT |
|
|
19 |
|
Notes to Financial Statements
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 financial statements are not adjusted for temporary differences.
Indemnifications. Under the Funds organizational documents, the Fund is obligated to indemnify its
officers and trustees against certain liabilities incurred by them by reason of having been an
officer or trustee of the Fund. In addition, in the normal course of business, the Fund
may enter into contracts that provide general indemnifications to other parties. The Funds maximum
exposure under these arrangements is unknown as this would involve future claims that may be made
against the Fund that have not yet occurred. Currently, the Funds management expects the risk of
material loss in connection to a potential claim to be remote.
New Accounting Pronouncements. On July 13, 2006, the Financial Accounting Standards Board (FASB)
released FASB Interpretation No. 48 Accounting for Uncertainty in Income Taxes (FIN 48). FIN 48 provides guidance
for how uncertain tax positions should be recognized, measured, presented and disclosed in the
financial statements. FIN 48 requires the evaluation of tax positions taken in the course of
preparing the Funds tax returns to determine whether the tax positions are more-likely-than-not
of being sustained by the applicable tax authority. Tax benefits of positions not deemed to meet
the more-likely-than-not threshold would be recorded as a tax expense in the current year. Adoption
of FIN 48 is required for fiscal years beginning after December 15, 2006 and is to be applied to
all open tax years as of the effective date. At this time, management is evaluating the
implications of FIN 48, and its impact on the financial statements has not yet been determined.
In addition, in September 2006, the Statement of Financial Accounting Standards No. 157, Fair Value
Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15,
2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands
disclosures about fair value measurements. Management is currently evaluating the impact the
adoption of SFAS 157 will have on the Funds financial statements, and their disclosures and its
impact has not yet been determined.
NOTE 2 INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER PARTIES
Pursuant to an investment advisory agreement with Calamos Advisors LLC (Calamos Advisors), the
Fund pays an annual fee, payable monthly, equal to 1.00% based on the average weekly managed
assets. Calamos Advisors has contractually agreed to waive a portion of its advisory fee charged to
the Fund on the Funds investments in the Calamos Government Money Market Fund (GMMF, an
affiliated fund and a series of Calamos Investments Trust), equal to the advisory fee attributable
to the Funds investment in GMMF, based on daily net assets. For the year ended October 31, 2007,
the total advisory fee waived pursuant to such agreement was $2,477 and is included in the
statement of operations under the caption Less expense reduction.
Pursuant to a financial accounting services agreement, the Fund also pays Calamos Advisors a fee
for financial accounting services payable monthly at the annual rate of 0.0175% on the first $1
billion of combined assets; 0.0150% on the next $1 billion of combined assets and 0.0110% on
combined assets above $2 billion (for purposes of this calculation combined assets means the sum
of the total average daily net assets of Calamos Investment Trust and Calamos Advisors Trust, and
the total average weekly managed assets of Calamos Convertible and High Income Fund, Calamos
Convertible Opportunities and Income Fund, Calamos Strategic Total Return Fund, Calamos Global
Total Return Fund and Calamos Global Dynamic Income Fund). Managed assets means the Funds total
assets (including any assets attributable to any leverage that may be outstanding) minus total
liabilities (other than debt representing financial leverage). Financial accounting services
include, but are not limited to, the following: managing expenses and expenses 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 Fund pays its pro rata share of the financial accounting services fee to Calamos
Advisors based on the Funds respective managed assets and/or net assets used in calculating the
fee.
|
|
|
20
|
|
Global Total Return Fund
ANNUAL REPORT Notes to Financial Statements |
Notes to Financial Statements
The Fund reimburses Calamos Advisors for a portion of compensation paid to the Funds Chief
Compliance Officer. This compensation is reported as part of Trustees fee and officer
compensation expenses on the Statement of Operations.Included in the statement of operations under
the caption Less expense reduction are expense offsets of $5,832, arising from credits on cash
balances maintained on deposit with the Funds custodian.
Certain officers and trustees of the Fund are also officers and directors of Calamos Financial
Services LLC (CFS) and Calamos Advisors. All such officers and affiliated trustees serve without
direct compensation from the Fund, except for the Chief Compliance Officer as described above.
The Fund has adopted a deferred compensation plan (the Plan). Under the Plan, a trustee who is not
an interested person (as defined in the 1940 Act) of the Fund and has elected to participate in
the Plan (a participating trustee) may defer receipt of all or a portion of his compensation from
the Fund. The deferred compensation payable to the participating trustee is credited to the
trustees deferral account as of the business day such compensation would have been paid to the
participating trustee. The value of amount deferred for a participating trustee is determined by
reference to the change in value of Class I shares of one or more funds of Calamos Investment Trust
designated by the participant. The value of the account increases with contributions to the account
or with increases in the value of the measuring shares, and the value of the account decreases with
withdrawals from the account or with declines in the value of the measuring shares. Deferred
compensation investments of $17,669 is included in Other assets on the Statement of Assets and
Liabilities at October 31, 2007. The Funds obligation to make payments under the Plan is a general
obligation of the Fund and is included in Payable for deferred compensation to Trustees on the
Statement of Assets and Liabilities at October 31, 2007.
NOTE 3 INVESTMENTS
Purchases and sales of investments, other than short-term investments, for the year ended October
31, 2007 were as follows:
|
|
|
|
|
Purchases |
|
$ |
171,519,737 |
|
Proceeds from sales |
|
$ |
179,153,867 |
|
The following information is presented on a Federal income tax basis as of October 31, 2007.
Differences between the cost basis under U.S. generally accepted accounting principals and federal
income tax purposes are primarily due to timing differences.
The cost basis of investments for Federal income tax purposes at October 31, 2007 was as follows:
|
|
|
|
|
Gross basis of investments |
|
$ |
187,685,356 |
|
|
|
|
|
Gross unrealized appreciation |
|
|
57,484,707 |
|
Gross unrealized depreciation |
|
|
(2,869,247 |
) |
|
|
|
|
Net unrealized appreciation (depreciation) |
|
$ |
54,615,460 |
|
|
|
|
|
NOTE 4 INCOME TAXES
For the year ended October 31, 2007, the Fund recorded the following permanent reclassifications to
reflect tax character. Results of operations and net assets were not affected by these
reclassifications.
|
|
|
|
|
Paid-in capital |
|
$ |
|
|
Undistributed net investment income (loss) |
|
|
3,440,049 |
|
Accumulated net realized gain/(loss) on investments, written options and foreign currency transactions |
|
|
(3,440,049 |
) |
Distributions during the fiscal year ended October 31, 2006 and October 31, 2007 were characterized
for Federal income tax purposes as follows:
|
|
|
|
|
|
|
|
|
|
|
2007 |
|
2006 |
|
Distributions paid from: |
|
|
|
|
|
|
|
|
Ordinary income |
|
$ |
11,287,255 |
|
|
$ |
8,980,754 |
|
Long-term capital gains |
|
|
1,526,024 |
|
|
|
|
|
|
|
|
|
|
Global Total Return Fund
Notes to Financial Statements ANNUAL REPORT
|
|
|
21 |
|
Notes to Financial Statements
As of October 31, 2007, the components of accumulated earnings/(loss) on a tax basis were as
follows:
|
|
|
|
|
Undistributed ordinary income |
|
$ |
|
|
Undistributed capital gains |
|
|
1,129,096 |
|
|
|
|
|
Total undistributed earnings |
|
|
1,129,096 |
|
Accumulated capital and other losses |
|
|
|
|
Net unrealized gains/(losses) |
|
|
53,852,425 |
|
|
|
|
|
Total accumulated earnings/(losses) |
|
|
54,981,521 |
|
Other |
|
|
(22,679 |
) |
Paid-in capital |
|
|
113,591,761 |
|
|
|
|
|
Net assets applicable to common shareholders |
|
$ |
168,550,603 |
|
|
|
|
|
NOTE 5
COMMON SHARES
There are unlimited common shares of beneficial interest authorized and 8,006,981 shares
outstanding at October 31, 2007. Calamos Advisors owned 7,915 of the outstanding shares at October
31, 2007. Transactions in common shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
For the Year Ended |
|
For the Year Ended |
|
|
October 31, 2007 |
|
October 31, 2006 |
|
Beginning shares |
|
|
8,006,981 |
|
|
|
8,006,981 |
|
Shares issued through reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
Ending shares |
|
|
8,006,981 |
|
|
|
8,006,981 |
|
|
|
|
NOTE 6
FORWARD FOREIGN CURRENCY CONTRACTS
The 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 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 foreign exchange rates and an
unrealized gain or loss is recorded. The Fund realizes a gain or loss when a position is closed or
upon settlement of the contracts. There were no open forward currency contracts at October 31,
2007.
NOTE 7 PREFERRED SHARES
There are unlimited shares of Auction Rate Cumulative Preferred Shares (Preferred Shares)
authorized. The Preferred Shares have rights as determined by the Board of Trustees. The 2,360
shares of Preferred Shares outstanding consist of one series, 2,360 shares of T. The Preferred
Shares have a liquidation value of $25,000 per share plus any accumulated but unpaid dividends,
whether or not declared.
Dividends on the Preferred Shares are cumulative at a rate typically reset every seven or
twenty-eight days based on the results of an auction. Dividend rates ranged from 4.90% to 6.25% for
the year ended October 31, 2007. Under the 1940 Act, the Fund may not declare dividends or make
other distributions on its common shares or purchase any such shares if, at the time of the
declaration, distribution or purchase, asset coverage with respect to the outstanding Preferred
Shares would be less than 200%.
The Preferred Shares are redeemable at the Funds option, in whole or in part, on any dividend
payment date at $25,000 per share plus any accumulated but unpaid dividends. The Preferred Shares
are also subject to mandatory redemption at $25,000 per share plus any accumulated but unpaid
dividends, whether or not declared, if certain requirements relating to the composition of the
assets and liabilities of the Fund as set forth in the Statement of Preferences are not satisfied.
Global Total Return Fund
22 ANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements
The holders of Preferred Shares have voting rights equal to the holders of common shares (one vote
per share) and will vote together with holders of common shares as a single class except on matters
affecting only the holders of Preferred Shares or only the holders of common shares, when the
respective classes vote alone.
NOTE 8
WRITTEN OPTIONS TRANSACTIONS
The Fund may engage in option transactions and in doing so achieve the similar objectives to what
it would achieve through the sale or purchase of individual securities. For the fiscal year ended
October, 31, 2007, the Fund had the following transactions in options written:
|
|
|
|
|
|
|
|
|
|
|
Number of |
|
|
Premiums |
|
|
|
Contracts |
|
|
Received |
|
|
|
Options outstanding at October 31, 2006 |
|
|
7,550 |
|
|
$ |
1,441,680 |
|
Options written |
|
|
24,300 |
|
|
|
5,960,197 |
|
Options closed |
|
|
(22,598 |
) |
|
|
(4,669,986 |
) |
Options expired |
|
|
|
|
|
|
|
|
Options exercised |
|
|
(2,252 |
) |
|
|
(387,047 |
) |
|
|
Options outstanding at October 31, 2007 |
|
|
7,000 |
|
|
$ |
2,344,844 |
|
|
|
|
NOTE 9
SECURITIES LENDING
For the fiscal year ended October 31, 2007, the Fund loaned one or more of its securities to
broker-dealers and banks. Any such loan must be continuously secured by collateral in cash or cash
equivalents maintained on a current basis in an amount at least equal to the market value of the
securities loaned by the Fund. The Fund continues to receive the equivalent of the interest or
dividends paid by the issuer on the securities loaned and also receives an additional return that
may be in the form of a fixed fee or a percentage of the collateral. The Fund may pay reasonable
fees to persons unaffiliated with the Fund for services in arranging these loans. The Fund has the
right to call the loan and obtain the securities loaned at any time on notice of not less than five
business days. The Fund does not have the right to vote the securities during the existence of the
loan but could call the loan in an attempt to permit voting of the securities in certain
circumstances. Upon return of the securities loaned, the cash or cash equivalent collateral will be
returned to the borrower. In the event of bankruptcy or other default of the borrower, the Fund
could experience both delays in liquidating the loan collateral or recovering the loaned securities
and losses, including (a) possible decline in the value of the collateral or in the value of the
securities loaned during the period while the Fund seeks to enforce its rights thereto, (b)
possible subnormal levels of income and lack of access to income during this period, and (c) the
expenses of enforcing its rights. The market value of the loaned securities is determined at the
close of business of the Fund and any additional required collateral is delivered to the Fund the
next day. In an effort to reduce these risks, the Funds security lending agent monitors and
reports to Calamos Advisors on the creditworthiness of the firms to which the Fund lends
securities. At October 31, 2007, the Fund had securities valued at $13,457,659 on loan to
broker-dealers and banks and $13,371,000 in cash or
cash equivalent collateral.
NOTE
10 SYNTHETIC CONVERTIBLE SECURITIES
The Fund
may establish a synthetic convertible instrument by combining separate securities that
possess the economic characteristics similar to a convertible security, i.e., fixed-income
securities (fixed-income component, which may be a convertible or non-convertible security) and
the right to acquire equity securities (convertible component). The fixed-income component is
achieved by investing in fixed income securities such as bonds, preferred stocks and money market
instruments. The convertible component is achieved by investing in warrants or options to buy
common stock at a certain exercise price, or options on a stock index. In establishing a synthetic
instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or
options that produce the economic characteristics similar to a convertible security. Within each
basket of fixed-income securities and warrants or options, different companies may issue the
fixed-income and convertible components, which may be purchased separately and at different times.
Global Total Return Fund
Notes to Financial Statements ANNUAL REPORT 23
Notes to Financial Statements
The Fund may also 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.
Global Total Return Fund
24 ANNUAL REPORT Notes to Financial Statements
Financial Highlights
Selected data for a common share outstanding throughout each period were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
October 27, |
|
|
|
|
|
|
|
|
|
|
2005* |
|
|
For the |
|
through |
|
|
Year Ended October 31, |
|
October 31, |
|
|
2007 |
|
2006 |
|
2005 |
|
Net asset value, beginning of period |
|
$ |
16.31 |
|
|
$ |
14.29 |
|
|
$ |
14.32 |
(a) |
|
Income from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
|
0.96 |
** |
|
|
0.86 |
|
|
|
|
(b) |
|
Net realized and unrealized gain (loss) from investments, written options
and foreign currency |
|
|
5.38 |
|
|
|
2.40 |
|
|
|
|
|
|
Distributions to preferred shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (common share equivalent basis) |
|
|
(0.39 |
) |
|
|
(0.29 |
) |
|
|
|
|
|
Capital gains (common share equivalent basis) |
|
|
|
b |
|
|
|
|
|
|
|
|
|
Total from investment operations |
|
|
5.95 |
|
|
|
2.97 |
|
|
|
|
|
|
Less distributions to common shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(1.09 |
) |
|
|
(0.65 |
) |
|
|
|
|
|
Capital gains |
|
|
(0.12 |
) |
|
|
(0.19 |
) |
|
|
|
|
|
Capital charge resulting from issuance of common and preferred shares |
|
|
|
|
|
|
(0.11 |
) |
|
|
(0.03 |
) |
|
Net asset value, end of period |
|
$ |
21.05 |
|
|
$ |
16.31 |
|
|
$ |
14.29 |
|
|
Market value, end of period |
|
$ |
19.51 |
|
|
$ |
15.62 |
|
|
$ |
15.00 |
|
|
Total investment return based on(c): |
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value |
|
|
38.30 |
% |
|
|
20.77 |
% |
|
|
(0.24 |
)% |
Market value |
|
|
33.84 |
% |
|
|
10.19 |
% |
|
|
0.00 |
% |
|
Ratios and supplemental data: |
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to common shareholders, end of period (000s omitted) |
|
$ |
168,551 |
|
|
$ |
130,588 |
|
|
$ |
114,439 |
|
|
Preferred shares, at redemption value ($25,000 per share liquidation
preference) (000s omitted) |
|
$ |
59,000 |
|
|
$ |
59,000 |
|
|
$ |
|
|
|
Ratios to average net assets applicable to common shareholders: |
|
|
|
|
|
|
|
|
|
|
|
|
Net expenses(d)(e) |
|
|
1.72 |
% |
|
|
1.70 |
% |
|
|
1.33 |
% |
|
Gross expenses(d)(e) |
|
|
1.72 |
% |
|
|
1.70 |
% |
|
|
3.37 |
% |
|
Net investment income (loss)(d)(e) |
|
|
5.37 |
% |
|
|
5.57 |
% |
|
|
(1.33 |
)% |
|
Preferred share distributions from net investment income |
|
|
2.17 |
% |
|
|
1.89 |
% |
|
|
0.00 |
% |
|
Net investment income (loss), net of preferred share distributions from net investment income |
|
|
3.20 |
% |
|
|
3.68 |
% |
|
|
0.00 |
% |
|
Portfolio turnover rate |
|
|
85 |
% |
|
|
32 |
% |
|
|
0 |
% |
|
Average commission rate paid |
|
$ |
0.0377 |
|
|
$ |
0.0258 |
|
|
$ |
|
|
|
Asset coverage per preferred share, at end of period(f) |
|
$ |
96,423 |
|
|
$ |
80,358 |
|
|
$ |
|
|
|
|
|
|
* |
|
Commencement of operations. |
|
** |
|
Net investment income allocated based on average shares method. |
|
(a) |
|
Net of sales load of $0.675 on initial shares issued and
beginning net asset value of $14.325. |
|
(b) |
|
Amount equated to less
than $0.005 per common share. |
|
(c) |
|
Total investment return is calculated assuming a purchase of common shares on the opening of
the first day and a sale on the closing of the last day of the period reported. Dividends and
distributions are assumed, for purposes of this calculation, to be reinvested at prices obtained
under the Funds dividend reinvestment plan. Total return is not annualized for periods less than
one year. Brokerage commissions are not reflected. NAV per share is determined by dividing the
value of the Funds portfolio securities, cash and other assets, less all liabilities, by the total
number of common shares outstanding. The common share market price is the price the market is
willing to pay for shares of the Fund at a given time. Common share market price is influenced by a
range of factors, including supply and demand and market conditions. |
|
(d) |
|
Annualized for periods less than one year. |
|
(e) |
|
Does not reflect the effect of dividend payments to the shareholders of Preferred Shares. |
|
(f) |
|
Calculated by subtracting the Funds total liabilities (not including Preferred Shares)
from the Funds total assets and dividing this by the number of Preferred Shares outstanding. |
|
|
|
|
|
Global Total Return Fund |
|
|
|
|
Financial Highlights ANNUAL REPORT
|
|
|
25 |
|
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Calamos Global Total Return Fund
We have audited the accompanying statement of assets and liabilities, including the schedule of
investments, of CALAMOS Global
Total Return Fund (the Fund) as of October 31, 2007, and the related statement of operations for
the year then ended, the statements
of changes in net assets for each of the two years then ended, and the financial highlights for
each of the two years then ended
and for the period from October 27, 2005 (commencement of operations) through October 31, 2005.
These financial statements and
financial highlights are the responsibility of the Funds management. Our responsibility is to
express an opinion on these financial
statements and financial highlights based on our audits.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight
Board (United States).
Those standards require that we plan and perform the audits to obtain reasonable assurance about
whether the financial statements
and financial highlights are free of material misstatement. The Fund is not required to have, nor
were we engaged to perform, an
audit of its internal control over financial reporting. Our audits included consideration of
internal control over financial reporting as a
basis for designing audit procedures that are appropriate in the circumstances, but not for the
purpose of expressing an opinion on the
effectiveness of the Funds internal control over financial reporting. Accordingly, we express no
such opinion. An audit also includes
examining, on a test basis, evidence supporting the amounts and disclosures in the financial
statements, assessing the accounting principles
used and significant estimates made by management, as well as evaluating the overall financial
statement presentation. Our procedures
included confirmation of securities owned as of October 31, 2007, by correspondence with the Funds
custodian and brokers.
We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly,
in all material respects, the financial
position of the Fund as of October 31, 2007, the results of its operations for the year then ended,
the changes in its net assets for each
of the two years then ended, and the financial highlights for each of the two years then ended and
for the period from October 27,
2005 (commencement of operations) through October 31, 2005, in conformity with accounting
principles generally accepted in the
United States of America.
Chicago, Illinois
December 14, 2007
|
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|
Global Total Return Fund |
26
|
|
ANNUAL REPORT Report of Independent Registered Public Accounting Firm |
Trustee Approval of Management Agreement (unaudited)
The Board of Trustees of the Fund oversees the Funds management, and, as required by law,
determines annually whether to continue the Funds management agreement with Calamos Advisors under
which Calamos Advisors serves as the investment manager and administrator for the Fund. The
Independent Trustees, who comprise more than 80% of the Board, have never been affiliated with
Calamos Advisors.
In connection with their most recent consideration regarding the continuation of the management
agreement, the Trustees received and reviewed a substantial amount of information provided by
Calamos Advisors in response to detailed requests of the Independent Trustees and their independent
legal counsel. 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 22, 2007, based on their evaluation of the information referred to above and
other information, the Trustees determined that the overall arrangements between the Fund and
Calamos Advisors were fair and reasonable in light of the nature, extent 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, approved continuation of the
management agreement through July 31, 2008, subject to possible earlier termination as provided in
the agreement.
In considering the continuation of the management agreement, the Trustees reviewed various factors
that they determined were relevant, including the factors described below,
none of which by itself was considered the sole factor in the Trustees determinations. However,
the material factors and conclusions that formed the basis for the Trustees determinations to
approve the continuation of the management agreement are discussed separately below.
Nature, Extent and Quality of Services
The Trustees reviewed the nature, extent and quality of Calamos Advisors services to the Fund,
taking into account the Funds investment objective and strategy and their knowledge gained from
their regular meetings with management on at least a quarterly basis and their ongoing review of
information related to the Fund. In addition, the Trustees reviewed Calamos Advisors resources and
key personnel, especially those who provide investment management services to the Fund. The
Trustees also considered other services provided to the Fund by Calamos Advisors, such as managing
the execution of portfolio transactions and the selection of broker-dealers for those transactions,
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, overseeing the activities of other service providers, and
monitoring compliance with various Fund policies and procedures and with applicable securities laws
and regulations. In addition, the Trustees considered compliance reports from the Funds Chief
Compliance Officer.
The Trustees concluded that the nature, quality and extent of the services provided or to be
provided to the Fund by Calamos Advisors were appropriate and consistent with the terms of the
management agreement and that the Fund was likely to benefit from the continued provision of those
services.
Performance of the Fund
The Trustees considered the Funds performance results over various time periods. They reviewed
information comparing the performance of the Fund with the performance of a universe of comparable
funds identified by Lipper Inc., an independent provider of investment company data, and with the
Funds benchmark. The Trustees discussed Fund performance with representatives of Calamos Advisors,
who provided additional information with regard to certain aspects of the Lipper
|
|
|
|
|
Global Total Return Fund |
|
|
|
|
Trustee Approval of Management Agreement ANNUAL REPORT
|
|
|
27 |
|
Trustee Approval of Management Agreement (unaudited)
materials. The Trustees noted that the Fund had less than three years of performance data, and thus
did not have a long-term performance record. The Trustees concluded that the Funds operating
history was too short a period to allow for a meaningful performance comparison.
Costs of Services and Profits Realized by Calamos Advisors
The Trustees examined information regarding the Funds fees and expenses in comparison to
corresponding information for 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, although the Funds contractual rate of management fees, actual management fees and
overall expense ratio were higher than the peer group medians, each of those data points appeared
reasonable in light of the other factors considered by the Trustees.
The Trustees also reviewed the rates of management fees charged by Calamos Advisors to its separate
accounts and to its subadvised funds (for which Calamos Advisors provides portfolio management
services only). Although in most instances its sub-advisory fees, and in many instances its
separate account fees, for various comparable investment strategies are lower than the management
fees charged to the Fund, the Trustees noted that Calamos Advisors performs significant additional
services for the Fund that it does not provide to those other clients. Those services include
administrative services, oversight of the Funds other service providers, trustee support,
regulatory compliance and numerous other services. The Trustees also considered that, in serving
the Fund, Calamos Advisors assumes many risks that it does not assume in servicing its other
clients.
The Trustees considered the methodology used by Calamos Advisors in determining compensation
payable to portfolio managers, the competitive environment for investment management talent, and
the competitive market for mutual funds in different distribution channels.
The Trustees reviewed information on the profitability of Calamos Advisors in serving as the Funds
investment manager and of Calamos Advisors and its affiliates in all of their relationships with
the Fund, as well as an explanation of the methodology utilized in allocating various expenses
among the Fund and other business units. Data was provided to the Trustees with respect to
profitability, both on a pre- and post-marketing cost basis. The Trustees also reviewed the annual
report of Calamos Advisors parent company and discussed its corporate structure. 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 particular managers organizational structure, the types of funds
and other accounts it manages, possible other lines of business, the methodology for allocating
expenses and the managers 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 with respect to the Fund in relation to the services rendered was not
unreasonable.
The Trustees concluded that the management fees payable by the Fund to Calamos Advisors were
reasonable in relation to the nature and quality of the services to be provided, taking into
account the fees charged by other advisers for managing comparable funds with similar strategies
and the fees Calamos Advisors charges to other clients. The Trustees also concluded that the Funds
overall expense ratio was reasonable in light of the quality and extent of services provided by
Calamos Advisors, the size of the Fund and the Funds investment performance.
Economies of Scale
In reviewing the Funds fees and expenses, the Trustees examined the potential benefits of
economies of scale and whether any economies of scale should be reflected in the Funds fee
structure. They noted that the Fund has had a relatively stable asset base since commencement of
operation and that there do not appear to have been any significant economies of scale realized
since that time.
|
|
|
|
|
Global Total Return Fund |
28
|
|
ANNUAL REPORT Trustee Approval of Management Agreement |
Trustee Approval of Management Agreement (unaudited)
Other Benefits to Calamos Advisors
The Trustees also considered benefits that accrue to Calamos Advisors and its affiliates from their
relationship with the Fund. The Trustees concluded that, other than the services to be provided by
Calamos Advisors and its affiliates pursuant to their agreements with the Fund and the fees payable
by the Fund therefor, the Fund and Calamos Advisors may potentially benefit from their relationship
with each other in other ways. The Trustees also considered Calamos Advisors use of commissions
paid by the Fund on its portfolio brokerage transactions to obtain proprietary research products
and services benefiting the Fund and/or other clients of Calamos Advisors. The Trustees concluded,
based on reports from the Funds Chief Compliance Officer, that Calamos Advisors use of soft
commission dollars to obtain research products and services was consistent with regulatory
requirements.
After full consideration of the above factors as well as other factors that were instructive in
considering the management arrangements, the Trustees, including all of the Independent Trustees,
concluded that the continuation of the management agreement with Calamos Advisors was in the best
interest of the Fund and its shareholders.
|
|
|
|
|
Global Total Return Fund
Trustee Approval of Management Agreement ANNUAL REPORT
|
|
|
29 |
|
Tax Information (unaudited)
We are providing this information as required by the Internal Revenue Code (Code). The amounts
shown may differ from those elsewhere in this report due to differences between tax and financial
reporting requirements. In January 2008, shareholders will receive Form 1099-DIV which will include
their share of qualified dividends and capital gains distributed during the calendar year 2007.
Shareholders are advised to check with their tax advisors for information on the treatment of these
amounts on their individual income tax returns.
Under Section 852(b)(3)(c) of the code, the Fund hereby designates $1,526,024 as capital gain
dividends for the fiscal year ended October 31, 2007.
Under Section 854(b)(2) of the Code, the Fund hereby designates $3,195,794 or the maximum amount
allowable under the Code, as qualified dividends for the fiscal year ended October 31, 2007.
Under Section 854(b)(2) of the Code, the Fund hereby designates 21.93% of the ordinary income
dividends as income qualifying for the corporate dividends received deduction for the fiscal year
ended October 31, 2007.
|
|
|
30
|
|
Global Total Return Fund
ANNUAL REPORT Tax Information |
Trustees & Officers (unaudited)
The management of the Trust+, including general supervision of the duties performed for the Fund
under the investment management agreement between the Trust and Calamos Advisors, is the
responsibility of its board of trustees. Each trustee elected will hold office for the lifetime of
the Trust or until such trustees earlier resignation, death or removal; however, each trustee who
is not an interested person of the Trust shall retire as a trustee at the end of the calendar year
in which the trustee attains the age of 72 years.
The following table sets forth each trustees name, age at October 31, 2007, position(s) with the
Trust, number of portfolios in the Calamos Fund Complex overseen, principal occupation(s) during
the past five years and other directorships held, and date first elected or appointed. Each trustee
oversees each Fund of the Trust.
|
|
|
|
|
|
|
|
|
|
|
|
|
Portfolios in |
|
|
|
|
|
|
Fund Complex^ |
|
Principal Occupation(s) |
Name and Age |
|
Position(s) Held with Trust |
|
Overseen |
|
and Other Directorships Held |
|
|
|
|
|
|
|
|
|
|
Trustees who are interested persons of Trust: |
|
|
|
|
|
|
John P. Calamos, Sr., 67*
|
|
Trustee and President (since 2004)
|
|
|
19 |
|
|
Chairman, CEO, and Co-Chief Investment Officer
Calamos Asset Management, Inc. (CAM), Calamos
Holdings LLC (CHLLC) and Calamos Advisors LLC and
its predecessor (Calamos Advisors), and President and
Co-Chief Investment Officer, Calamos Financial Services
LLC and its predecessor (CFS); Director, CAM |
|
|
|
|
|
|
|
|
|
Trustees who are not interested persons of Trust: |
|
|
|
|
|
|
Joe F. Hanauer, 70
|
|
Trustee (since 2004)
|
|
|
19 |
|
|
Private investor; Director, MAF Bancorp (bank holding
company); Chairman and Director, Move, Inc., (internet
provider of real estate information and products);
Director, Combined Investments, L.P. (investment
management) |
Weston W. Marsh, 57
|
|
Trustee (since 2004)
|
|
|
19 |
|
|
Of Counsel and prior thereto, Partner, Freeborn & Peters
(law firm) |
John E. Neal, 57
|
|
Trustee (since 2004)
|
|
|
19 |
|
|
Private investor; Managing Director, Banc One Capital
Markets, Inc. (investment banking) (2000-2004);
Director, Focused Health Services (private disease
management company), Equity Residential (publicly-
owned REIT), Ranir LLC (oral products company) and
CBA Commercial (commercial mortgage securitization
company); Partner, Private Perfumery LLC (private label
perfume company) and Linden LLC (health care private
equity) |
William R. Rybak, 56
|
|
Trustee (since 2004)
|
|
|
19 |
|
|
Private investor; formerly Executive Vice President and
Chief Financial Officer, Van Kampen Investments, Inc.
and subsidiaries (investment manager); Director, Howe
Barnes Hoefer Arnett, Inc. (investment services firm) and
PrivateBancorp, Inc. (bank holding company); Trustee,
JNL Series Trust, JNL Investors Series Trust and JNL
Variable Fund LLC** |
Stephen B. Timbers, 63
|
|
Trustee (since 2004); Lead Independent
Trustee (since 2005)
|
|
|
19 |
|
|
Private investor; formerly Vice Chairman, Northern
Trust Corporation (bank holding company); formerly
President and Chief Executive Officer, Northern Trust
Investments, N.A. (investment manager); formerly
President, Northern Trust Global Investments, a division
of Northern Trust Corporation and Executive Vice
President, The Northern Trust Corporation; Director,
Northern Trust Securities, Inc. |
David D. Tripple, 63
|
|
Trustee (since 2006)
|
|
|
19 |
|
|
Private investor; Trustee, Century Shares Trust and
Century Small Cap Select Fund*** |
|
|
|
+ |
|
The trust is defined as the Calamos Global Total Return Fund. |
|
* |
|
Mr. Calamos is an interested person of the Trust as defined in the 1940 Act because he is
an officer of the Trust and an affiliate of Calamos Advisors and Calamos Financial Services
LLC. |
|
** |
|
Overseeing 94 portfolios in fund complex |
|
*** |
|
Overseeing 2 portfolios in fund complex |
|
^ |
|
The Fund Complex consists of CALAMOS Investment Trust, CALAMOS Advisors Trust, CALAMOS
Convertible Opportunities and Income Fund, CALAMOS Convertible and High Income Fund, CALAMOS
Strategic Total Return Fund, CALAMOS Global Total Return Fund and CALAMOS Global Dynamic
Income Fund. |
The address of each trustee is 2020 Calamos Court, Naperville, IL 60563.
|
|
|
|
|
Global Total Return Fund
|
|
|
31 |
|
Trustees & Officers ANNUAL REPORT |
|
|
|
|
Trustees & Officers (unaudited)
Officers. The preceding table gives information about John P. Calamos, Sr., who is president of the
Trust. The following table sets forth each other officers name, age at October 31, 2007, position
with the Trust and date first appointed to that position, and principal occupation(s) during the
past five years. Each officer serves until his or her successor is chosen and qualified or until
his or her resignation or removal by the board of trustees.
|
|
|
|
|
|
|
|
|
Principal Occupation(s) |
Name and Age |
|
Position(s) Held with Trust |
|
During Past 5 Years |
|
|
|
|
|
|
Nimish S. Bhatt, 44
|
|
Treasurer (since 2004)
|
|
Senior Vice President and Director of Operations, CAM, CHLLC, Calamos
Advisors and CFS (since 2004); Senior Vice President, Alternative Investments
and Tax Services, The BISYS Group, Inc., prior thereto |
|
|
|
|
|
Nick P. Calamos, 46
|
|
Vice President (since 2004)
|
|
Senior Executive Vice President and Co-Chief Investment Officer, CAM,
CHLLC, Calamos Advisors and CFS |
|
|
|
|
|
Patrick H. Dudasik, 52
|
|
Vice President (since 2004)
|
|
Executive Vice President, Chief Financial Officer and Treasurer, CAM and
CHLLC (since 2004), Calamos Advisors and CFS (since 2001); Chief
Operating Officer, CAM, CHLLC, Calamos Advisors and CFS (since 2007)
Administrative Officer, CAM and CHLLC (2004-2005), Calamos Advisors and
CFS (2001-2005) |
|
|
|
|
|
Mark Mickey, 56
|
|
Chief Compliance Officer (since 2005)
|
|
Chief Compliance Officer, Calamos Funds (since 2005) and Chief
Compliance Officer, Calamos Advisors (2005-2006); Director of Risk
Assessment and Internal Audit, Calamos Advisors (2003-2005); President,
Mark Mickey Consulting (2002-2003) |
The address of each officer is 2020 Calamos Court, Naperville, IL 60563.
Proxy Voting Policies. A description of the CALAMOS Proxy Voting Policies and Procedures is
available by calling 800-582-6959, by visiting its website at www.calamos.com or by writing CALAMOS
at: CALAMOS INVESTMENTS, Attn: Client Services, 2020 Calamos Court, Naperville, IL 60563, and on
the SECs website at www.sec.gov.
|
|
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32
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|
Global Total Return Fund
ANNUAL REPORT Trustees & Officers |
About Closed-End Funds
What is a Closed-End Fund?
A closed-end fund is a publicly traded investment company
that raises its initial investment capital through the
issuance of a fixed number of shares to investors in a
public offering. Shares of a closed-end fund are listed on
a stock exchange or traded in the over-the-counter market.
Like all investment companies, a closed-end fund is
professionally managed and offers investors a unique
investment solution based on its investment objective
approved by the funds Board of Directors.
Potential Advantages of Closed-End Fund Investing
|
|
Defined
Asset Pool Allows Efficient Portfolio
ManagementAlthough closed-end fund shares trade
actively on a securities exchange, this doesnt
affect the closed-end fund manager because there are
no new investors buying into or selling out of the
funds portfolio. |
|
|
More
Flexibility in the Timing and Price of
TradesInvestors can purchase and sell shares of
closed-end funds throughout the trading day, just
like the shares of other publicly traded securities. |
|
|
Lower
Expense RatiosThe expense ratios of closed-end
funds are oftentimes less than those of mutual funds.
Over time, a lower expense ratio could enhance
investment performance. |
|
|
Closed-End
Structure Makes Sense for Less-Liquid Asset
ClassesA closed-end structure makes sense for
investors considering less-liquid asset classes, such
as high-yield bonds or micro-cap stocks. |
|
|
Ability to
Put Leverage to WorkClosed-end funds may issue
senior securities (such as preferred shares or
debentures) or borrow money to leverage their
investment positions. |
|
|
No Minimum
Investment Requirements |
OPEN-END MUTUAL FUNDS VERSUS CLOSED-END FUNDS
|
|
|
Open-End Fund |
|
Closed-End Fund |
Issues new shares on an ongoing basis
|
|
Issues a fixed number of shares |
Issues equity shares
|
|
Can issue senior securities such as preferred
shares and bonds |
Sold at NAV plus any sales charge
|
|
Price determined by the marketplace |
Sold through the funds distributor
|
|
Traded in the secondary market |
Fund redeems shares at NAV calculated at
the close of business day
|
|
Fund does not redeem shares |
Global Total Return Fund
About Closed-End Funds ANNUAL REPORT 33
Leverage
Using Leverage to Enhance Total Return
Closed-end funds can use leverage which utilizes borrowed
money in an attempt to increase the return on invested
capital. The Fund invests the borrowed assets into
securities, which we believe will provide a greater total
return to investors than the cost of the borrowing.
Highlights on Leverage
|
|
Leveraging
the portfolio allows the investment team to
potentially enhance the income and total returns of
the Fund. |
|
|
In
leveraged closed-end funds that invest in
interest-rate sensitive securities (high-quality
traditional fixed income), rising rates can
negatively impact a fund in two ways: increasing the
cost of leverage and decreasing the value of
securities. |
|
|
|
This
portfolio does not have notable sensitivity to rising
interest rates. The portfolio seeks to invest in
securities that should be more economically sensitive
and less interest rate-sensitive. |
Global Total Return Fund
34 ANNUAL REPORT Leverage
Level Rate Distribution Policy
Using a Level Rate Distribution Policy to Promote
Dependable Income and Total Return
The goal of the level rate distribution policy is to
provide investors a predictable, though not assured, level
of cash flow, which can either serve as a stable income
stream or, through reinvestment, contribute significantly
to long-term total return.
We understand the importance that investors place on the
stability of dividends and their ability to contribute to
long-term total return, which is why we have instituted a
level rate distribution policy for the Fund. Under the
policy, monthly distributions paid may include net
investment income, net realized short-term capital gains
and, if necessary, return of capital. In addition, a
limited number of distributions per calendar year may
include net realized long-term capital gains. There is no
guarantee that the Fund will realize capital gains in any
given year. Distributions are subject to
re-characterization for tax purposes after the end of the
fiscal year. All shareholders with taxable accounts will
receive written notification regarding the components and
tax treatment for
distributions via Form 1099-DIV.
Distributions from the Fund are generally subject to
Federal income taxes. For purposes of maintaining the
level rate distribution policy, the Fund may realize
short-term capital gains on securities that, if sold at a
later date, would have resulted in long-term capital
gains. Maintenance of a level rate distribution policy may
increase transaction and tax costs associated with the
Fund.
Automatic Dividend Reinvestment Plan
Maximizing Investment with an Automatic Dividend
Reinvestment Plan
The Automatic Dividend Reinvestment Plan offers a simple,
cost-efficient and convenient way to reinvest your
dividends and capital gains distributions in additional
shares of the Fund, allowing you to increase your
investment in the Fund.
Potential Benefits
|
|
Compounded
Growth: By automatically reinvesting with the Plan,
you gain the potential to allow your dividends and
capital gains to compound over time. |
|
|
Potential
for Lower Commission Costs: Additional shares are
purchased in large blocks, with brokerage commissions
shared among all plan participants. There is no cost
to enroll in the Plan. |
|
|
Convenience: After enrollment, the Plan is automatic
and includes detailed statements for participants.
Participants can terminate their enrollment at any
time. |
For additional information about the Plan, please contact
the Plan Agent, The Bank of New York, at 800.432.8224 or
visit us on the web at www.calamos.com/cgo.aspx. If you
wish to participate in the Plan and your shares are held
in your own name, simply call the Plan Agent. If your
shares are not held in your name, please contact your
brokerage firm, bank, or other nominee to request that
they participate in the Plan on your behalf. If your
brokerage firm, bank, or other nominee is unable to
participate on your behalf, you may request that your
shares be re-registered in your own name.
Were pleased toprovide our shareholders with the additional benefit of
the Funds Dividend Reinvestment Plan and hope that it may
serve your financial plan.
Global Total Return Fund
Level Rate Distribution Policy and Automatic Dividend Reinvestment
Plan ANNUAL REPORT 35
The Calamos Investments Advantage
Calamos history is one of performing well for our clients through nearly 30 years of advances and
declines in the market. We use proprietary risk-management strategies designed to control
volatility, and maintain a balance between risk and reward throughout a market cycle.
Disciplined Investment Philosophy and Process
Calamos Investments has developed a proprietary research and monitoring process that goes far
beyond traditional security analysis. This process applies to each of our investment strategies,
with emphasis varying by strategy. When combined with the company-specific research and industry
insights of our investment team, the goal is nimble, dynamic management of a portfolio that allows
us to anticipate and adapt to changing market conditions. In each of our investment strategies,
from the most conservative to the most aggressive, our goals include maximizing return while
controlling risk, protecting principal during volatile markets, avoiding short-term market timing,
and maintaining a vigilant long-term outlook.
Comprehensive Risk Management
Our approach to risk management includes continual monitoring, adherence to our discipline, and a
focus on assuring a consistent risk profile during all phases of the market cycle. Incorporating
qualitative and quantitative factors as well as a strong sell discipline, this risk-control policy
seeks to help preserve investors capital over the long term.
Proven Investment Management Team
The Calamos Family of Funds benefits from our teams decades of experience in the investment
industry. We follow a one-team, one-process approach that leverages the expertise of more than 50
investment professionals, led by Co-Chief Investment Officers John P. Calamos, Sr. and Nick P.
Calamos, whose investment industry experience dates back to 1970 and 1983, respectively. Through
the collective industry experience and educational achievements of our research and portfolio
staff, we can respond to the challenges of the market with innovative and timely ideas.
Sound Proprietary Research
Over the years, we have invested significant time and resources in developing and refining
sophisticated analytical models that are the foundation of the firms research capabilities, which
we apply in conjunction with our assessment of broad themes. We believe evolving domestic policies,
the growing global economy, and new technologies present long-term investment opportunities for
those who can detect them.
|
|
|
36
|
|
Global Total Return Fund
ANNUAL REPORT The Calamos Investments Advantage |
Calamos Closed-End Funds
Intelligent Asset Allocation in Five Distinct Closed-End Funds
Depending on which Calamos closed-end fund you currently own, you may want to consider one or more
of our other closed-end strategies to further diversify your investment portfolio.
Seek the advice of your financial advisor, who can help you determine your financial goals, risk
tolerance, time horizon and income needs. To learn more, you can also visit our website at
www.calamos.com.
Fund Asset Allocation as of 10/31/07
Calamos Convertible Opportunities and Income Fund (CHI)
Providing Enhanced Fixed Income Potential
Objective: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of
convertible securities and below investment-grade (high-yield) fixed-income
securities.
Calamos Convertible and High Income Fund (CHY)
Providing Enhanced Fixed Income Potential
Objective: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of
convertible securities and below investment-grade (high-yield) fixed-income
securities.
Calamos Global Dynamic Income Fund (CHW)
Providing Global Enhanced Fixed Income Potential
Objective: The Fund seeks to generate a high level of current income with a
secondary objective of capital appreciation. The Fund has maximum flexibility to
dynamically allocate among equities, fixed-income securities and alternative
investments around the world.
Calamos Strategic Total Return Fund (CSQ)
Providing Defensive Equity
Objective: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of equity,
convertible and below investment-grade (high-yield) fixed-income securities.
Calamos Global Total Return Fund (CGO)
Providing Defensive Global Equity
Objective: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of global
equity, global convertible and below investment-grade (high-yield) fixed-income
securities.
Fund asset allocations are based on total investments (excluding security lending collateral) and
may vary over time.
|
|
|
Global Total Return Fund
Calamos Closed-End Funds ANNUAL REPORT |
|
37
|
ITEM 2. CODE OF ETHICS.
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics
(the Code of Ethics) that applies to its principal executive officer, principal financial
officer, principal accounting officer or controller, or persons performing similar functions.
(b) No response required.
(c) The registrant has not amended its Code of Ethics as it relates to any element of the code of
ethics definition enumerated in paragraph(b) of this Item 2 during the period covered by this
report.
(d) The registrant has not granted a waiver or an implicit waiver from its Code of Ethics during
the period covered by this report.
(e) Not applicable.
(f) (1) The registrants Code of Ethics is attached as an Exhibit hereto.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
The registrants Board of Trustees has determined that, for the period covered by the shareholder
report presented in Item 1 hereto, it has four audit committee financial experts serving on its
audit committee, each of whom is an independent Trustee for purpose of this N-CSR Item: John E.
Neal, William R. Rybak, Stephen B. Timbers and David D. Tripple. Under applicable securities laws,
a person who is determined to be an audit committee financial expert will not be deemed an expert
for any purpose, including without limitation for the purposes of Section 11 of the Securities Act
of 1933, as a result of being designated or identified as an audit committee financial expert
pursuant to this Item. The designation or identification of a person as an audit committee
financial expert does not impose on such person any duties, obligations, or liabilities that are
greater than the duties, obligations and liabilities imposed on such person as a member of the
audit committee and board of directors in the absence of such designation or identification. The
designation or identification of a person as an audit committee financial expert pursuant to this
Item does not affect the duties, obligations, or liabilities of any other member of the audit
committee or board of directors.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
a) Audit Fee $33,192 and $11,222 are the aggregate fees billed in each of the last two fiscal
years for professional services rendered by the principal accountant to the registrant for the
audit of the registrants annual financial statements or services that are normally provided by the
accountant in connection with statutory and regulatory filings or engagements for those fiscal
years.
(b) Audit-Related
Fees $22,365 and $10,376 are the aggregate fees billed in each of the last two
fiscal years for assurance and related services rendered by the principal accountant to the
registrant that are reasonably related to the performance of the audit of the registrants
financial statements and are not reported under paragraph (a) of this Item 4.
(c) Tax Fees $1,649 and $1,829 are the aggregate fees billed in each of the last two fiscal years
for professional services rendered by the principal accountant to the registrant for tax
compliance, tax advice, and tax planning.
(d) All Other Fees $0 and $0 are the aggregate fees billed in each of the last two fiscal years
for products and services provided by the principal accountant to the registrant, other than the
services reported in paragraph (a)-(c) of this Item 4.
(e)(1) Registrants audit committee meets with the principal accountants and management to review
and pre-approve all audit services to be provided by the principal accountants.
The audit committee shall pre-approve all non-audit services to be provided by the principal
accountants to the registrant, including the fees and other compensation to be paid to the
principal accountants;
provided that the pre-approval of non-audit services is waived if (i) the services were not
recognized by management at the time of the engagement as non-audit services, (ii) the aggregate
fees for all non-audit services provided to the registrant are less than 5% of the total fees paid
by the registrant to its principal accountants during the fiscal year in which the non-audit
services are provided, and (iii) such services are promptly brought to the attention of the audit
committee by management and the audit committee approves them prior to the completion of the audit.
The audit committee shall pre-approve all non-audit services to be provided by the principal
accountants to the investment adviser or any entity controlling, controlled by or under common
control with the adviser that provides ongoing services to the registrant if the engagement relates
directly to the operations or financial reporting of the registrant, including the fees and other
compensation to be paid to the principal accountants; provided that pre-approval of non-audit
services to the adviser or an affiliate of the adviser is not required if (i) the services were not
recognized by management at the time of the engagement as non-audit services, (ii) the aggregate
fees for all non-audit services provided to the adviser and all entities controlling, controlled by
or under common control with the adviser are less than 5% of the total fees for non-audit services
requiring pre-approval under paragraph (e)(1) of this Item 4 paid by the registrant, the adviser or
its affiliates to the registrants principal accountants during the fiscal year in which the
non-audit services are provided, and (iii) such services are promptly brought to the attention of
the audit committee by management and the audit committee approves them prior to the completion of
the audit.
(e)(2) No percentage of the principal accountants fees or services described in each of paragraphs
(b)-(d) of this Item were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of
Rule 2-01 of Regulation S-X.
(f) No disclosures are required by this Item 4(f).
(g) $24,015 and $13,213 are the aggregate non-audit fees billed in each of the last two fiscal
years for services rendered by the principal accountant to the registrant. $0 and $0 are the
aggregate non-audit fees billed in each of the last two fiscal years for services rendered by the
principal accountant to the investment adviser or any entity controlling, controlled by or under
common control with the adviser.
(h) No disclosures are required by this Item 4(h).
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
The registrant has a separately-designated standing audit committee. The members of the
registrants audit committee are Joe F. Hanauer, Weston W. Marsh, John E. Neal, William R. Rybak,
Stephen B. Timbers and David D. Tripple.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in the Report to Shareholders in Item 1.
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSEDEND MANAGEMENT INVESTMENT
COMPANIES.
The registrant has delegated authority to vote all proxies relating
to the Funds portfolio securities to the Funds investment adviser, Calamos Advisors LLC (Calamos
Advisors). The Calamos Advisors Proxy Voting Policies and Procedures are included as an Exhibit
hereto.
ITEM 8. PORTFOLIO MANAGERS OF CLOSEDEND MANAGEMENT INVESTMENT COMPANIES.
(a)(1) As of October 31, 2007, the registrant is lead by a team of investment professionals. The
Co-Chief Investment Officers and senior strategy analysts are responsible for the day-to-day
management of the registrants portfolio:
During the past five years, John P. Calamos, Sr. has been President and Trustee of the Fund and
chairman, CEO and Co-CIO of the Funds investment adviser, Calamos Advisors LLC and its predecessor
company (Calamos Advisors). Nick P. Calamos has been Vice President and Trustee of the Fund
(through June 2006) and Senior Executive Vice President and Co-CIO of Calamos Advisors and its
predecessor company. John P. Calamos, Jr., Executive Vice President of Calamos Advisors, joined the
firm in 1985 and has held various senior investment positions since that time. John Hillenbrand
joined Calamos Advisors in 2002 and has been a senior strategy analyst since August 2002. Steve
Klouda joined Calamos Advisors in 1994 and has been a senior strategy analyst since July 2002. Jeff
Scudieri joined Calamos Advisors in 1997 and has been a senior strategy analyst since September
2002. Jon Vacko joined Calamos Advisors in 2000 and has been a senior strategy analyst since July
2002.
(a)(2) The portfolio managers also have responsibility for the day-to-day management of accounts
other than the registrant. Information regarding these other accounts is set forth below.
NUMBER OF OTHER ACCOUNTS MANAGED AND ASSETS BY ACCOUNT TYPE AS OF OCTOBER 31, 2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Registered |
|
Other Pooled |
|
|
|
|
Investment |
|
Investment |
|
Other |
|
|
Companies |
|
Vehicles |
|
Accounts |
|
|
Accounts |
|
Assets |
|
Accounts |
|
Assets |
|
Accounts |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
John P. Calamos |
|
|
22 |
|
|
|
35,149,492,739 |
|
|
|
4 |
|
|
|
297,610,723 |
|
|
|
22,371 |
|
|
|
11,308,779,683 |
|
Nick P. Calamos |
|
|
22 |
|
|
|
35,149,492,739 |
|
|
|
4 |
|
|
|
297,610,723 |
|
|
|
22,371 |
|
|
|
11,308,779,683 |
|
John P. Calamos, Jr. |
|
|
20 |
|
|
|
34,678,281,091 |
|
|
|
4 |
|
|
|
297,610,723 |
|
|
|
22,371 |
|
|
|
11,308,779,683 |
|
John Hillenbrand |
|
|
19 |
|
|
|
33,129,883,529 |
|
|
|
3 |
|
|
|
242,155,204 |
|
|
|
22,371 |
|
|
|
11,308,779,683 |
|
Steve Klouda |
|
|
19 |
|
|
|
33,129,883,529 |
|
|
|
3 |
|
|
|
242,155,204 |
|
|
|
22,371 |
|
|
|
11,308,779,683 |
|
Jeff Scudieri |
|
|
19 |
|
|
|
33,129,883,529 |
|
|
|
3 |
|
|
|
242,155,204 |
|
|
|
22,371 |
|
|
|
11,308,779,683 |
|
Jon Vacko |
|
|
19 |
|
|
|
33,129,883,529 |
|
|
|
3 |
|
|
|
242,155,204 |
|
|
|
22,371 |
|
|
|
11,308,779,683 |
|
NUMBER OF ACCOUNTS AND ASSETS FOR WHICH ADVISORY FEE IS PERFORMANCE BASED AS OF OCTOBER 31, 2007
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Registered |
|
Other Pooled |
|
|
|
|
Investment |
|
Investment |
|
Other |
|
|
Companies |
|
Vehicles |
|
Accounts |
|
|
Accounts |
|
Assets |
|
Accounts |
|
Assets |
|
Accounts |
|
Assets |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
John P. Calamos |
|
|
1 |
|
|
|
565,845,779 |
|
|
|
2 |
|
|
|
148,730,762 |
|
|
|
0 |
|
|
|
|
|
Nick P. Calamos |
|
|
1 |
|
|
|
565,845,779 |
|
|
|
2 |
|
|
|
148,730,762 |
|
|
|
0 |
|
|
|
|
|
John P. Calamos, Jr. |
|
|
1 |
|
|
|
565,845,779 |
|
|
|
2 |
|
|
|
148,730,762 |
|
|
|
0 |
|
|
|
|
|
John Hillenbrand |
|
|
1 |
|
|
|
565,845,779 |
|
|
|
1 |
|
|
|
93,275,243 |
|
|
|
0 |
|
|
|
|
|
Steve Klouda |
|
|
1 |
|
|
|
565,845,779 |
|
|
|
1 |
|
|
|
93,275,243 |
|
|
|
0 |
|
|
|
|
|
Jeff Scudieri |
|
|
1 |
|
|
|
565,845,779 |
|
|
|
1 |
|
|
|
93,275,243 |
|
|
|
0 |
|
|
|
|
|
Jon Vacko |
|
|
1 |
|
|
|
565,845,779 |
|
|
|
1 |
|
|
|
93,275,243 |
|
|
|
0 |
|
|
|
|
|
The registrants portfolio managers are responsible for managing the registrant and other accounts,
including separate accounts and unregistered funds.
Other than potential conflicts between investment strategies, the side-by-side management of both
the Fund and other accounts may raise
potential conflicts of interest due to the interest held by Calamos Advisors in an account and
certain trading practices used by the portfolio managers (e.g., cross trades between a Fund and
another account and allocation of aggregated trades). Calamos Advisors has developed
policies and procedures reasonably designed to mitigate those conflicts. For example, Calamos
Advisors will only place cross-trades in
securities held by the Fund in accordance with the rules promulgated under the 1940 Act and has
adopted policies designed to ensure the fair
allocation of securities purchased on an aggregated basis.
The portfolio managers advise certain accounts under a performance fee arrangement. A performance
fee arrangement may create an incentive for a portfolio manager to make investments that are
riskier or more speculative than would be the case in the absence of performance fees. A
performance fee arrangement may result in increased compensation to the
portfolio managers from
such accounts due to unrealized appreciation as well as realized gains in the clients account.
(a)(3) Calamos Advisors has developed and implemented a number of incentives that reward the
professional staff to ensure that key employees are retained. Calamos Advisors senior management
has established salary, short and long term incentive programs and benefit programs that we believe
are competitive. Calamos Advisors incentive programs are based on investment performance,
professional performance and an individuals overall contribution. These goals and measures are
established and reviewed on an annual basis during performance reviews. As of October 31, 2007,
each portfolio manager receives compensation in the form of an annual base salary and a
discretionary target bonus, each payable in cash. Their discretionary target bonus is set at a
percentage of the respective base salary. The amounts paid to the portfolio managers and the
criteria utilized to determine the amounts are benchmarked against industry specific data provided
by a third party analytical agency. The compensation structure does not differentiate between the
Funds and other accounts managed by the portfolio managers, and is determined on an overall basis,
taking into consideration the performance of the various strategies managed by the portfolio
managers. Portfolio performance, as measured by risk-adjusted portfolio performance, is utilized to
determine the discretionary target bonus, as well as overall performance of Calamos Advisors.
Portfolio managers are eligible to receive annual non-equity awards under a long term incentive
compensation program, set at a percentage of the respective base salary.
(a)(4) As of October 31, 2007, the end of the registrants most recently completed fiscal year,
the dollar range of securities beneficially owned by each portfolio manager in the registrant is
shown below:
|
|
|
PORTFOLIO MANAGER |
|
REGISTRANT |
|
|
|
John P. Calamos, Sr.
|
|
over $1,000,000 |
Nick P. Calamos
|
|
none |
John P. Calamos, Jr.
|
|
none |
John Hillenbrand
|
|
none |
Steve Klouda
|
|
none |
Jeff Scudieri
|
|
none |
Jon Vacko
|
|
none |
(b) 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 registrants principal executive officer and principal financial officer have evaluated the
registrants disclosure controls and procedures within 90 days of this filing and have concluded
that the registrants 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 registrants 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 registrants internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) (1) Code of Ethics
(a) (2) (i) Certification of Principal Executive Officer.
(a) (2) (ii) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
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Calamos Global Total Return Fund
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By: |
/s/ John P. Calamos, Sr.
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Name: |
John P. Calamos, Sr. |
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Title: |
Principal Executive Officer |
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Date: |
December 27, 2007 |
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By: |
/s/ Nimish S. Bhatt
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Name: |
Nimish S. Bhatt |
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Title: |
Principal Financial Officer |
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Date: |
December 27, 2007 |
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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.
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Calamos Global Total Return Fund
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By: |
/s/ John P. Calamos, Sr.
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Name: |
John P. Calamos, Sr. |
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Title: |
Principal Executive Officer |
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Date: |
December 27, 2007 |
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By: |
/s/ Nimish S. Bhatt
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Name: |
Nimish S. Bhatt |
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Title: |
Principal Financial Officer |
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Date: |
December 27, 2007 |
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