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UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 333-114111
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Global Total
Return Fund
ADDRESS OF PRINCIPAL EXECUTIVE OFFICES: 2020 Calamos Court, Naperville,
Illinois 60563-2787
NAME AND ADDRESS OF AGENT FOR SERVICE: James S. Hamman, Jr., Secretary,
Calamos Advisors LLC
2020 Calamos Court
Naperville, Illinois
60563-2787
REGISTRANT'S TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2006
DATE OF REPORTING PERIOD: November 1, 2004 through April 30, 2006
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ITEM 1. REPORTS TO SHAREHOLDERS
Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1
under the Act (17 CFR 270.30e-1).
[PICTURE]
CALAMOS GLOBAL TOTAL RETURN FUND (CGO)
Semiannual Report April 30, 2006
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Table of Contents
Letter to Shareholders................................................. 1
Investment Team Interview.............................................. 5
Schedule of Investments................................................ 11
Statement of Assets and Liabilities.................................... 19
Statement of Operations................................................ 20
Statements of Changes In Net Assets.................................... 21
Notes to Financial Statements.......................................... 22
Financial Highlights................................................... 32
Report of Independent Registered Public
Accounting Firm................................................... 33
Other Information...................................................... 34
About Closed-End Funds................................................. 37
Leverage............................................................... 38
Level Rate Distribution Policy......................................... 39
Automatic Dividend Reinvestment Plan................................... 40
Calamos Closed-End Funds............................................... 41
Letter to Shareholders
[PHOTO OF JOHN P. CALAMOS]
Dear Fellow Shareholders:
Thank you for your investment in CALAMOS GLOBAL TOTAL RETURN FUND (CGO).
We submit for your review this semi-annual shareholder report for the six-month
period ended April 30, 2006.
GLOBAL OPPORTUNITY
We completed the initial public offering for CALAMOS GLOBAL TOTAL RETURN FUND in
October 2005. As long-term investors that believe in the power of democracy and
freedom to promote wealth creation and improve living standards, we see an
exciting period ahead. Globalization continues to blur the line between the
meaning of "domestic" and "foreign," as investments are being defined not so
much by national borders but by their opportunity for growth. We believe three
major trends -- Democracy and capitalism, Globalization, and Demographics --
continue to drive the transformation to a global marketplace.
We believe democracy and capitalism lead to wealth creation, promoting freedom,
transparency of government, and private property rights, all of which lower the
costs of capital. This, in turn, improves returns on capital, a very bullish
sign.
Globalization has lead to spectacular growth in trade and the most rapid
improvement in living standards in history. Along with democracy, technology
continues to drive globalization by altering economies, benefiting consumers and
providing jobs in emerging countries. Finally, Demographics has to do with the
concept that developed nations are aging and will continue to consume while
developing nations have the young populations that want to work. We believe this
is producing a virtuous circle of production, consumption and rising living
standards.
We offered CGO in an attempt to capitalize on some of the powerful secular
trends that will shape the world and its consumers, producers, politics and
capital. Regarding CGO, our goal was to build a portfolio that makes the most of
the
Global Total Return Fund
Letter to Shareholders SEMIANNUAL REPORT 1
Letter to Shareholders
global growth story and delivers a combination of capital appreciation and
current income to its shareholders. This report provides shareholders with the
first six months of the Fund's performance.
PERFORMANCE
The Fund performed as expected, producing a total return of 18.16% based on net
asset value (NAV), which compared favorably with the total return of the equity
markets, represented by the S&P 500 Index's(1) total return of 9.64%. However,
closed-end funds are complex in that while the actual fund value is calculated
on a share basis and reflected in its NAV, the fund itself is traded, where
market price is determined by buyers and sellers. As of the date of this report,
CGO is trading at a discount.
Current shareholders can accumulate more shares of the Fund through the Dividend
Reinvestment Plan ("The Plan"). The Plan is an efficient method for purchasing
additional shares with a potential for cost savings. To learn more about the
Fund's dividend reinvestment plan please visit us on the web at
www.calamos.com/cgo.aspx.
INVESTMENT OBJECTIVE
As a reminder, the Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of
equity, convertible and high-yield securities worldwide. CGO has capital
appreciation potential with a significant portion of assets in equity and
equity-sensitive securities such as convertibles and high-yield bonds from
issuers worldwide as well as dynamic asset allocation with emphasis on the
balance of risk and reward
SINCE INCEPTION NAV AND MARKET HISTORY AS OF APRIL 30, 2006
[LINE GRAPH]
DATE NAV MARKET
---------- ------ ------
10/27/2005 14.290 15.000
10/28/2005 14.290 15.010
10/31/2005 14.290 15.000
11/1/2005 14.290 15.010
11/2/2005 14.310 15.010
11/3/2005 14.350 15.000
11/4/2005 14.350 15.010
11/7/2005 14.370 15.000
11/8/2005 14.340 15.000
11/9/2005 14.350 15.010
11/10/2005 14.360 15.000
11/11/2005 14.390 15.000
11/14/2005 14.360 15.000
11/15/2005 14.350 15.010
11/16/2005 14.340 15.010
11/17/2005 14.410 15.000
11/18/2005 14.490 15.000
11/21/2005 14.540 15.000
11/22/2005 14.540 13.850
11/23/2005 14.590 13.450
11/25/2005 14.580 13.400
11/28/2005 14.540 13.430
11/29/2005 14.530 13.350
11/30/2005 14.500 13.350
12/1/2005 14.610 13.220
12/2/2005 14.680 13.400
12/5/2005 14.680 13.360
12/6/2005 14.710 13.370
12/7/2005 14.690 13.450
12/8/2005 14.680 13.300
12/9/2005 14.720 13.310
12/12/2005 14.770 13.430
12/13/2005 14.820 13.580
12/14/2005 14.870 13.450
12/15/2005 14.810 13.320
12/16/2005 14.830 13.370
12/19/2005 14.860 13.450
12/20/2005 14.850 13.700
12/21/2005 14.900 13.860
12/22/2005 14.920 13.900
12/23/2005 14.920 13.600
12/27/2005 14.880 13.460
12/28/2005 14.830 13.700
12/29/2005 14.850 13.720
12/30/2005 14.830 14.170
1/3/2006 15.020 14.160
1/4/2006 15.140 14.210
1/5/2006 15.040 14.140
1/6/2006 15.150 14.330
1/9/2006 15.190 14.320
1/10/2006 15.140 14.320
1/11/2006 15.220 14.560
1/12/2006 15.150 14.450
1/13/2006 15.210 14.350
1/17/2006 15.130 14.300
1/18/2006 15.010 14.300
1/19/2006 15.230 14.220
1/20/2006 15.130 14.300
1/23/2006 15.200 14.270
1/24/2006 15.250 14.340
1/25/2006 15.300 14.300
1/26/2006 15.370 14.120
1/27/2006 15.450 14.260
1/30/2006 15.450 14.300
1/31/2006 15.500 14.360
2/1/2006 15.520 14.310
2/2/2006 15.450 14.190
2/3/2006 15.330 14.240
2/6/2006 15.350 14.290
2/7/2006 15.230 14.230
2/8/2006 15.250 14.200
2/9/2006 15.300 14.180
2/10/2006 15.250 14.150
2/13/2006 15.150 14.200
2/14/2006 15.270 14.230
2/15/2006 15.290 14.200
2/16/2006 15.350 14.240
2/17/2006 15.350 14.220
2/21/2006 15.410 14.450
2/22/2006 15.460 14.400
2/23/2006 15.460 14.300
2/24/2006 15.490 14.210
2/27/2006 15.520 14.450
2/28/2006 15.450 14.440
3/1/2006 15.500 14.550
3/2/2006 15.550 14.420
3/3/2006 15.520 14.480
3/6/2006 15.430 14.260
3/7/2006 15.190 14.300
3/8/2006 15.170 14.290
3/9/2006 15.120 14.650
3/10/2006 15.190 14.350
3/13/2006 15.330 14.150
3/14/2006 15.430 14.350
3/15/2006 15.540 14.440
3/16/2006 15.640 14.400
3/17/2006 15.630 14.460
3/20/2006 15.630 14.430
3/21/2006 15.540 14.400
3/22/2006 15.640 14.480
3/23/2006 15.580 14.450
3/24/2006 15.660 14.450
3/27/2006 15.680 14.500
3/28/2006 15.550 14.500
3/29/2006 15.640 14.480
3/30/2006 15.760 14.590
3/31/2006 15.720 14.700
4/3/2006 15.810 14.680
4/4/2006 15.960 14.630
4/5/2006 16.130 14.500
4/6/2006 16.210 14.540
4/7/2006 16.040 14.360
4/10/2006 16.040 14.430
4/11/2006 15.940 14.240
4/12/2006 15.910 14.180
4/13/2006 15.900 14.100
4/17/2006 16.020 14.180
4/18/2006 16.260 14.420
4/19/2006 16.410 14.370
4/20/2006 16.390 14.420
4/21/2006 16.440 14.240
4/24/2006 16.400 14.460
4/25/2006 16.310 14.300
4/26/2006 16.410 14.250
4/27/2006 16.440 14.370
4/28/2006 16.510 14.440
11/10/2005 14.360 15.000
11/11/2005 14.390 15.000
11/14/2005 14.360 15.000
11/15/2005 14.350 15.010
11/16/2005 14.340 15.010
11/17/2005 14.410 15.000
11/18/2005 14.490 15.000
11/21/2005 14.540 15.000
11/22/2005 14.540 13.850
11/23/2005 14.590 13.450
11/25/2005 14.580 13.400
11/28/2005 14.540 13.430
11/29/2005 14.530 13.350
11/30/2005 14.500 13.350
12/1/2005 14.610 13.220
12/2/2005 14.680 13.400
12/5/2005 14.680 13.360
12/6/2005 14.710 13.370
12/7/2005 14.690 13.450
12/8/2005 14.680 13.300
12/9/2005 14.720 13.310
12/12/2005 14.770 13.430
12/13/2005 14.820 13.580
12/14/2005 14.870 13.450
12/15/2005 14.810 13.320
12/16/2005 14.830 13.370
12/19/2005 14.860 13.450
12/20/2005 14.850 13.700
12/21/2005 14.900 13.860
12/22/2005 14.920 13.900
12/23/2005 14.920 13.600
12/27/2005 14.880 13.460
12/28/2005 14.830 13.700
12/29/2005 14.850 13.720
12/30/2005 14.830 14.170
1/3/2006 15.020 14.160
1/4/2006 15.140 14.210
1/5/2006 15.040 14.140
1/6/2006 15.150 14.330
1/9/2006 15.190 14.320
1/10/2006 15.140 14.320
1/11/2006 15.220 14.560
1/12/2006 15.150 14.450
1/13/2006 15.210 14.350
1/17/2006 15.130 14.300
1/18/2006 15.010 14.300
1/19/2006 15.230 14.220
1/20/2006 15.130 14.300
1/23/2006 15.200 14.270
1/24/2006 15.250 14.340
1/25/2006 15.300 14.300
1/26/2006 15.370 14.120
1/27/2006 15.450 14.260
1/30/2006 15.450 14.300
1/31/2006 15.500 14.360
2/1/2006 15.520 14.310
2/2/2006 15.450 14.190
2/3/2006 15.330 14.240
2/6/2006 15.350 14.290
2/7/2006 15.230 14.230
2/8/2006 15.250 14.200
2/9/2006 15.300 14.180
2/10/2006 15.250 14.150
2/13/2006 15.150 14.200
2/14/2006 15.270 14.230
2/15/2006 15.290 14.200
2/16/2006 15.350 14.240
2/17/2006 15.350 14.220
2/21/2006 15.410 14.450
2/22/2006 15.460 14.400
2/23/2006 15.460 14.300
2/24/2006 15.490 14.210
2/27/2006 15.520 14.450
2/28/2006 15.450 14.440
3/1/2006 15.500 14.550
3/2/2006 15.550 14.420
3/3/2006 15.520 14.480
3/6/2006 15.430 14.260
3/7/2006 15.190 14.300
3/8/2006 15.170 14.290
3/9/2006 15.120 14.650
3/10/2006 15.190 14.350
3/13/2006 15.330 14.150
3/14/2006 15.430 14.350
3/15/2006 15.540 14.440
3/16/2006 15.640 14.400
3/17/2006 15.630 14.460
3/20/2006 15.630 14.430
3/21/2006 15.540 14.400
3/22/2006 15.640 14.480
3/23/2006 15.580 14.450
3/24/2006 15.660 14.450
3/27/2006 15.680 14.500
3/28/2006 15.550 14.500
3/29/2006 15.640 14.480
3/30/2006 15.760 14.590
3/31/2006 15.720 14.700
4/3/2006 15.810 14.680
4/4/2006 15.960 14.630
4/5/2006 16.130 14.500
4/6/2006 16.210 14.540
4/7/2006 16.040 14.360
4/10/2006 16.040 14.430
4/11/2006 15.940 14.240
4/12/2006 15.910 14.180
4/13/2006 15.900 14.100
4/17/2006 16.020 14.180
4/18/2006 16.260 14.420
4/19/2006 16.410 14.370
4/20/2006 16.390 14.420
4/21/2006 16.440 14.240
4/24/2006 16.400 14.460
4/25/2006 16.310 14.300
4/26/2006 16.410 14.250
4/27/2006 16.440 14.370
4/28/2006 16.510 14.440
Global Total Return Fund
2 SEMIANNUAL REPORT Letter to Shareholders
Letter to Shareholders
throughout all market cycles. It has a long-term focus, with the goal of capital
gains significantly adding to the earned income component of the portfolio. As
part of our income focus in CGO, we utilize leverage of approximately 31% of the
Fund's total assets, providing potential to enhance return. We also generate
income from option premiums by selling options on the value of the Fund's
managed assets.
Notice that NAV increased due to good performance. However, market price is
flat, creating what is called a discount to NAV.
We believe the closed-end fund marketplace values high current income and will
pay premium prices for higher yields. CGO's total-return focus is based on a
defensive approach to equity exposure, combining large-stock allocation with
equity-sensitive convertible and corporate securities. Although this approach
has produced a solid total return, the marketplace has focused on yield and has
priced the portfolio at a discount.
LEVEL DISTRIBUTION POLICY
The Fund's distribution policy is also a key consideration for our shareholders.
Last year we announced the Fund's adoption of a level rate distribution policy.
We believe that closed-end fund investors value an attractive and stable monthly
distribution. Our level distribution policy seeks to manage and optimize total
return through net investment income, net realized short-term capital gains
potential and return of capital, if deemed appropriate to optimize shareholder
returns.
OUR HISTORY OF INNOVATION
CALAMOS INVESTMENTS has a history of producing innovative closed-end fund
vehicles that offer a dynamic approach to asset allocation. We were one of the
first firms to introduce closed-end fund investors to the merits of combining
convertible securities with other securities such as stocks and corporate bonds,
aiming to provide total return with current income in a risk-managed framework.
Calamos is dedicated to superior investment performance. The Fund is an example
of the way we have created new strategies based on our core expertise to help
you achieve and benefit from greater portfolio diversification. Diversification
is a recognized way to try to reduce some of the risk that comes with investing.
At CALAMOS INVESTMENTS, we regard ourselves first and foremost as risk managers.
The surest way of building wealth is protecting principle. We believe that by
combining convertible and corporate fixed-income securities, which provide
significant income potential as well as exposure to the equity market's upside
Global Total Return Fund
Letter to Shareholders SEMIANNUAL REPORT 3
Letter to Shareholders
potential, we can offer our shareholders the potential for long-term wealth
creation in a manner consistent with our focus on risk management.
CONSIDER OTHER CALAMOS STRATEGIES
At Calamos, our mission is to assist you and your financial advisor in achieving
your financial goals. To that end, we have created a number of innovative
strategies that may be helpful in building wealth while managing risk. Talk to
your financial advisor about other Calamos strategies that may fit your
investment objectives.
STAY CONNECTED WITH CALAMOS
I welcome the opportunity to address shareholders in these reports but urge you
to stay connected with Calamos via our website www.calamos.com where you will
find timely portfolio details, our outlook and special reports.
THANK YOU
Thank you for the confidence you have placed in our team, investment process and
the Calamos Closed-End Funds. We will do our utmost to continue to earn your
trust and look forward to serving your long-term investment plan.
Sincerely,
/s/ John P. Calamos, Sr.
JOHN P. CALAMOS, SR.
Chairman, CEO and Co-CIO
Calamos Advisors LLC
(1)The S&P 500 Index is an unmanaged index generally considered representative
of the U.S. stock market. Source: Lipper Analytical Services.
This report is presented for informational purposes and should not be considered
investment advice.
Global Total Return Fund
4 SEMIANNUAL REPORT Letter to Shareholders
Investment Team Interview
WITH THE CALAMOS INVESTMENT TEAM LED BY CO-CHIEF INVESTMENT OFFICERS, JOHN P.
CALAMOS, SR. AND NICK P. CALAMOS
HOW DOES THE FUND FIT IN AN INVESTOR'S OVERALL ASSET ALLOCATION?
The Fund should be considered as a defensive approach to participation in the
broad global equity market, offering investors the opportunity for significant
long-term total return while they receive an attractive monthly distribution.
By combining global equities, global convertibles and high-yield corporate
securities, the Fund has the capacity to generate capital gains as well as
income, taking advantage of its flexibility to manage risk and reward over the
full course of a market cycle. Because convertible and high-yield securities
tend to follow the movements of their companies' equity counterparts, more so
than traditional fixed-income securities, the Fund can be viewed as having
substantial equity sensitivity, yet with a significant income component. In
effect, the Fund seeks to participate in the long-term upward trend of the
global growth story, participating in the positive macro-trends resulting from
globalization, democratization, and new technologies. In addition, the Fund is
designed to participate in global growth with the added benefit -- and potential
downside protection -- of a stable monthly distribution.
FUND ASSET ALLLOCATION AS OF APRIL 30, 2006
[PIE CHART]
COMMON STOCK 54.0%
CONVERTIBLE SECURITIES 17.4%
HIGH YIELD/CORPORATE BONDS 28.3%
SHORT-TERM INVESTMENTS 0.3%
Fund asset allocations are based on total investments (excluding security
leading collateral) and may vary over time.
TOTAL RETURN* AS OF APRIL 30, 2006
COMMON SHARES -- INCEPTION 10/27/05 6 MONTHS SINCE INCEPTION**
----------------------------------- -------- -----------------
On Share Price -1.54% -1.54%
On NAV 18.16 17.87
PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS. You can purchase or sell
common shares daily. Like any other stock, market price will fluctuate with the
market. Upon sale, your shares may have a market price that is above or below
net asset value and may be worth more or less than your original investment. Due
to ongoing market volatility, performance is subject to substantial short-term
fluctuations.
*Total return measures net investment income and capital gain or loss from
portfolio investments, assuming reinvestment of income and capital gains
distributions.
**Annualized since inception.
Global Total Return Fund
Investment Team Interview SEMIANNUAL REPORT 5
Investment Team Interview
HOW DID THE FUND PERFORM OVER THE REPORTING PERIOD?
The Fund's underlying portfolio performed well over the six-month period, with a
total return on net asset value (NAV) of 18.16%, compared with the MSCI World
Index's(2) gain of 16.29% and the S&P 500 Index's gain of 9.64%. Based on its
market price, the Fund's total return declined 1.54% for the period, resulting
in the Fund's market price trading at a discount to its strong-performing NAV
(discussed below). As part of its total return, the Fund delivered an attractive
monthly distribution of $0.0750 per share, or a 6.23% annualized distribution
based on the closing market price on April 30, 2006.
WHY DIDN'T THE CGO MARKET PRICE REFLECT THE STRONG PERFORMANCE OF THE
PORTFOLIO'S NAV?
We believe that the Fund's discount presents an opportunity for investors. While
a great deal of attention tends to be given to a fund's current distribution
rate, we view CGO's capital gain potential along with its attractive annualized
distribution rate as a significant advantage in portfolios that seek an income
component. This capital gains potential is a hallmark of the CGO's strategy and,
in our opinion, has been undervalued by the marketplace. With this potential, we
give up a small degree of income capacity to increase the portfolio's capacity
for solid capital gains. Although this approach means that our monthly
distribution rate is lower than income-only vehicles, the portfolio offers
significantly more exposure to the upside potential from the stocks of companies
based all over the world and includes a distribution significantly higher than
equity dividend rates.
Although the closed-end fund universe tends to be focused on yield, we believe
that CGO, with its flexible portfolio, judicious use of leverage, and
total-return focus offers closed-end fund investors a unique opportunity to
capitalize on the closed-end fund structure while enjoying both a sizable
distribution as well as the potential for significant long-term total returns.
As portfolio managers, our job is to focus on the capital appreciation and
income that the portfolio can produce and deliver to the Fund's shareholders a
steady source of income with ample exposure to global equity upside potential,
which we believe to be a formula for long-term wealth creation. We will continue
to strive to achieve our objective and will continue to make efforts to help
market participants realize the potential value of this investment to long-term
shareholders.
SPEAKING OF LEVERAGE, INTEREST RATES CONTINUED TO MOVE HIGHER OVER THE PERIOD,
WITH THE FEDERAL FUNDS RATE MOVING FROM 4.00% AT THE BEGINNING OF THE PERIOD TO
4.75% AT THE END OF APRIL 2006. HOW DID THIS RISING-RATE ENVIRONMENT IMPACT THE
PORTFOLIO?
Global Total Return Fund
6 SEMIANNUAL REPORT Investment Team Interview
Investment Team Interview
Rising short-term U.S. interest rates had a moderate impact on the Fund's cost
of leverage. Many closed-end funds leverage the portfolio by borrowing funds at
short-term rates. As short-term interest rates rise, this increases the cost of
leverage and can impact the yield and total return of the portfolio.
Long-term U.S. interest rates also rose over the period, with the yield on the
10-year Treasury moving from 4.57% at the beginning of the period to 5.07% at
the end of April 2006. Rising long-term interest rates tend to negatively affect
traditional high-quality fixed-income securities. As noted above, this portfolio
combines global equity, high yield corporate bonds and convertible bonds that
tend to be more economically sensitive and much less interest rate sensitive.
This is shown by the positive performance delivered over the period as the
portfolio benefited from continued economic expansion and a rising equity
market.
TEN YEAR TREASURY AS OF APRIL 30, 2006
[LINE GRAPH]
31 Oct'05 4.57%
Nov'05 4.49%
Dec'05 4.39%
Jan'06 4.53%
Feb'06 4.55%
Mar'06 4.86%
Apr'06 5.07%
Furthermore, as noted above the portfolio continues to provide an attractive
yield for shareholders: CGO's monthly distribution equated to a 6.23% annualized
distribution rate based on the market price as of April 30, 2006.
HOW DID THE FUND BENEFIT FROM POSITIONING DURING THE REPORTING PERIOD?
By combining global equities, high-yield bonds and convertible securities, the
Fund aims to exhibit better downside protection than an all-equity portfolio
while still offering the upside potential of global economic growth. This type
of dynamic asset allocation is designed to provide global diversification as
well as a consistent balance
Global Total Return Fund
Investment Team Interview SEMIANNUAL REPORT 7
Investment Team Interview
between risk and reward throughout the entire market cycle. This top-down asset
allocation also has the biggest impact on the Fund's performance.
During the reporting period, the portfolio's gains were the result of proper
positioning within asset categories, regional allocation and security selection
based on our long-term outlook. Each of the Fund's asset classes--global
common stocks, global convertible securities, and high-yield bonds--posted
positive returns.
Overall, performance during the period was helped by the Fund's global equity
sensitivity, reflected in its stock and convertible security allocations. While
high-yield securities lagged equities this period, over a full market cycle, we
expect that the combination of asset classes within this portfolio should
provide investors with a higher yield and attractive risk/reward results
relative to the equity-only markets.
During the period, the global economic expansion showed convincing signs of its
authenticity, and international markets, for the most part, responded favorably.
The Fund's positioning in the strongest-performing regions contributed to
overall performance.
COUNTRY ALLOCATION
------------------
United States 42.5%
United Kingdom 9.8
Australia 7.9
Sweden 4.8
South Africa 4.5
Switzerland 3.5
Japan 3.3
Finland 2.9
Singapore 2.8
Other Combined 18.0
Approximately 42.5% of our assets are currently invested in the United States,
with the majority of assets allocated in foreign markets. Although positive,
U.S. equities and convertible securities generally offered returns below their
foreign counterparts, supporting the argument for the long-term benefits of
maintaining international exposure in a portfolio.
Among the regions overseas, the Fund was helped by the exceptional performance
of the Japanese market. Japan is in the early-stage recovery phase of its
economic cycle versus the United States, which is in the mid-cycle growth phase.
In Japan, all leading indicators point toward attractive future growth. We favor
economically sensitive sectors in Japan as well as additional mid-cap exposure.
We feel that Europe is between Japan and the United States in terms of its
economic cycle. In Europe, we found success by concentrating on financial names
Global Total Return Fund
8 SEMIANNUAL REPORT Investment Team Interview
Investment Team Interview
or areas that are more economically sensitive.
In terms of sectors, the Fund garnered positive performance from sectors such as
Health Care and Technology, as well as an overweighting in the Energy sector. On
a relative basis, the Fund's allocation to Materials and Consumer Discretionary
sectors had a negative impact on return for the period.
SECTOR ALLOCATION
-----------------
Financials 21.5%
Industrials 17.2
Consumer Discretionary 15.3
Energy 10.9
Information Technology 9.6
Consumer Staples 9.2
Health Care 7.1
Materials 4.8
Utilities 2.6
Telecommunication Services 1.8
Sector allocations are based on total investments (excluding security lending
collateral and short-term investments) and may vary over time.
DO YOU ANTICIPATE MAKING ANY CHANGES WITHIN THE PORTFOLIO GOING FORWARD?
The portfolio continues to be actively managed to take advantage of
opportunities in the global marketplace. Through extensive fundamental analysis,
we are focusing on issues that have stable growth prospects and solid balance
sheets, which can benefit from the current economic backdrop of their respective
markets or regions. For example, during a slow-but-stable growth phase of the
U.S economy, larger companies tend to outperform, as do sectors such as Consumer
Staples. The fund's higher exposure to larger-capitalized holdings reflects our
move into a more stable growth positioning as this particular region's economic
cycle ages. It is also important to note that we believe U.S. large-cap growth
stocks offer the best relative valuation opportunity in a generation. While
current convertible valuations remain attractive, should valuations improve, the
allocation to convertible securities would likely be reduced. We will continue
to make use of our fundamental research as we look for securities with stable
growth prospects, solid balance sheets, and good risk/reward profiles.
WHAT IS YOUR MARKET OUTLOOK, AND HOW IS THE PORTFOLIO POSITIONED TO TAKE
ADVANTAGE OF THIS ENVIRONMENT?
The equity-sensitive nature of the Fund may benefit should the Fed complete this
cycle of raising interest rates. In the past, this has triggered renewed
excitement for stocks, and the Fund -- unlike traditional fixed-income holdings
-- has the potential to significantly benefit from such enthusiasm.
Global Total Return Fund
Investment Team Interview SEMIANNUAL REPORT 9
Investment Team Interview
As one of the drivers of global expansion, we believe the U.S. economy is in the
mid-cycle growth phase characterized by:
- Positive but slowing gross domestic product growth
- Strong corporate earnings, albeit slowing
- High household net worth and wage growth
- Strong corporate balance sheets that support increased capital
expenditures
Within the United States, we believe that we'll find more opportunities in the
large-cap, stable-growth areas, such as Consumer Staples. It is also important
to reiterate that we believe large-cap growth stocks in the United States offer
the best relative valuation opportunity in decades.
Looking ahead, we expect that Japan and Europe will do well as their economies
continue to recover and participate in global expansion. As mentioned, because
Japan is in an earlier phase of its economic cycle, we will continue to look for
opportunities in the small- and mid-cap segments as well as the more
economically sensitive sectors.
In emerging markets, we continue to be opportunistic, favoring southeast Asian
economies, but vigilant in exploring other exciting opportunities the world
over. In some situations, we may purchase the convertible securities of emerging
country companies rather than straight equities. Convertible securities should
lower the volatility of the more volatile emerging equities while improving
yield and lowering downside risk.
Given the choice, we're a little more biased toward the emerging Asian economies
than emerging markets elsewhere, in part because of the healthy relationship
that exists between the United States and China. We're avoiding Russia, which we
believe is headed down the wrong path regarding private property rights, rule of
law, accounting transparency and other economic freedoms that drive wealth
creation.
In addition to all the asset class and geographic considerations mentioned, we
look for long-term themes and are excited about the explosive growth of global
communications. For example, in more stable emerging markets, cell phones have
taken over as the main form of connectivity, and demand shows no sign of
abating. We are investing where we feel communication systems have taken solid
root and should continue to flourish.
As active investors ourselves, we view any opportunity to purchase assets 1)
with capital appreciation potential, 2) that are managed with consistent, sound
management, and 3) trading at a discount, to be an enticing prospect.
(2)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
Analytical Services.
Global Total Return Fund
10 SEMIANNUAL REPORT Investment Team Interview
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
--------------- ------------
CORPORATE BONDS (41.0%)
CONSUMER DISCRETIONARY (12.5%)
$ 2,500,000 Asbury Automotive Group, Inc.<>
9.000%, 06/15/12 $ 2,593,750
2,250,000 Beazer Homes USA, Inc.
8.375%, 04/15/12 2,354,062
1,875,000 Goodyear Tire & Rubber Company@
7.857%, 08/15/11 1,856,250
1,800,000 GSC Holdings Corp.*@
8.000%, 10/01/12 1,811,250
350,000 Jarden Corp.
9.750%, 05/01/12 365,750
2,325,000 NCL Holding, ASA
10.625%, 07/15/14 2,359,875
2,500,000 Russell Corp.@
9.250%, 05/01/10 2,625,000
825,000 Warner Music Group
7.375%, 04/15/14 816,750
1,750,000 William Lyon Homes, Inc.
10.750%, 04/01/13 1,758,750
----------
16,541,437
----------
CONSUMER STAPLES (6.3%)
1,500,000 Del Monte Foods Company
8.625%, 12/15/12 1,582,500
2,250,000 Gold Kist, Inc.@
10.250%, 03/15/14 2,390,625
1,900,000 Revlon, Inc.
9.500%, 04/01/11 1,871,500
2,250,000 WH Intermediate Holdings, Ltd.
9.500%, 04/01/11 2,418,750
----------
8,263,375
----------
ENERGY (2.0%)
1,700,000 Paramount Resources, Ltd.
8.500%, 01/31/13 1,776,500
750,000 Petroleo Brasileiro, SA@
8.375%, 12/10/18 843,750
----------
2,620,250
----------
FINANCIALS (0.4%)
500,000 E*TRADE Financial Corporation
7.875%, 12/01/15 527,500
----------
Global Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 11
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
----------- -----------
INDUSTRIALS (9.4%)
$ 2,225,000 Accuride Corp.<>
8.500%, 02/01/15 $ 2,208,312
1,730,000 Columbus McKinnon Corp.
8.875%, 11/01/13 1,816,500
1,750,000 Commercial Vehicle Group, Inc.
8.000%, 07/01/13 1,758,750
1,700,000 General Cable Corp.
9.500%, 11/15/10 1,844,500
2,200,000 Greenbrier Companies, Inc.
8.375%, 05/15/15 2,312,750
1,750,000 Orbital Sciences Corp.
9.000%, 07/15/11 1,876,875
500,000 Sequa Corp.
8.875%, 04/01/08 523,750
-----------
12,341,437
-----------
INFORMATION TECHNOLOGY (2.1%)
900,000 Avago Technologies*
11.875%, 12/01/15 994,500
1,700,000 SunGard Data Systems Inc.*
9.125%, 08/15/13 1,823,250
-----------
2,817,750
-----------
MATERIALS (3.8%)
2,000,000 Aleris International, Inc.<>
9.000%, 11/15/14 2,100,000
900,000 EUR Ineos Group Holdings, PLC*
7.875%, 02/15/16 1,092,861
1,815,000 U.S. Concrete, Inc.
8.375%, 04/01/14 1,873,988
-----------
5,066,849
-----------
TELECOMMUNICATION SERVICES (2.6%)
2,250,000 Alamosa Holdings, Inc.
11.000%, 07/31/10 2,500,313
900,000 Citizens Communications Company
9.000%, 08/15/31 969,750
-----------
3,470,063
-----------
Global Total Return Fund
12 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
PRINCIPAL
AMOUNT VALUE
---------- ------------
UTILITIES (1.9%)
$ 750,000 Edison International
7.730%, 06/15/09 $ 771,563
1,600,000 PSEG Energy Holdings, Inc.
10.000%, 10/01/09 1,768,000
------------
2,539,563
------------
TOTAL CORPORATE BONDS
(Cost $53,486,614) 54,188,224
============
CONVERTIBLE BONDS (12.6%)
CONSUMER DISCRETIONARY (2.2%)
1,500,000 GBP Punch Taverns Redwood Jersey Co. Ltd.
5.000%, 12/14/10 2,931,239
------------
ENERGY (2.0%)
2,000,000 Petroleos Mexicanos (Repsol YpF, S.A.)[]
4.500%, 01/26/11 2,690,225
------------
FINANCIALS (0.9%)
1,000,000 Deutsche Bank Luxembourg S.A. (USA Interactive)*++[]
5.349%, 05/01/12 1,195,000
------------
HEALTH CARE (1.4%)
1,700,000 Wyeth++
4.239%, 01/15/24 1,809,820
------------
INDUSTRIALS (2.0%)
1,500,000 Allied Waste Industries, Inc.@
4.250%, 04/15/34 1,473,750
750,000 Quanta Services, Inc.
4.500%, 10/01/23 1,180,313
------------
2,654,063
------------
INFORMATION TECHNOLOGY (2.8%)
1,000,000 DST Systems, Inc.
4.125%, 08/15/23 1,361,250
2,200,000 Electronic Data Systems Corp.
3.875%, 07/15/23 2,296,250
------------
3,657,500
------------
MATERIALS (1.3%)
10,000,000 ZAR Harmony Gold Mining Company, Ltd.
4.875%, 05/21/09 1,792,440
------------
TOTAL CONVERTIBLE BONDS
(Cost $ 16,238,165) 16,730,287
============
Global Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 13
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
----------- ------------
CONVERTIBLE PREFERRED STOCKS (12.6%)
CONSUMER DISCRETIONARY (1.9%)
90,000 Ford Motor Company Capital Trust II<>
6.500% $ 2,511,000
------------
FINANCIALS (8.2%)
550,000 Fortis Insurance, N.V. (Assurant,Inc.)*<>[]
7.750% 721,875
32,000 Genworth Financial, Inc.<>
6.000% 1,160,640
101,000 Lehman Brothers Holdings, Inc. (General Mills, Inc.)<>[]
6.250% 2,627,010
22,000 Morgan Stanley & Co. Incorporated (Nuveen Investments, Inc.)[]
5.875% 957,330
44,000 National Australia Bank, Ltd.<>
7.875% 2,061,400
4,200,000 CHF Swiss Re
6.000% 3,272,688
------------
10,800,943
------------
INDUSTRIALS (2.5%)
900,000 GBP BAE Systems, PLC
7.750% 3,324,671
------------
TOTAL CONVERTIBLE PREFERRED STOCKS
(Cost $ 15,944,355) 16,636,614
============
COMMON STOCKS (78.3%)
CONSUMER DISCRETIONARY (5.4%)
116,000 SEK Electrolux AB 3,474,270
176,000 Grupo Televisa, S.A.<> 3,731,200
------------
7,205,470
------------
CONSUMER STAPLES (7.1%)
140,000 GBP British American Tobacco p.l.c. 3,567,276
540,000 ZAR Pick'n Pay Stores Ltd. 2,855,786
27,000 Reynolds American, Inc.@ 2,960,550
------------
9,383,612
------------
ENERGY (11.7%)
30,000 Chevron Corp.<> 1,830,600
121,000 EUR ENI S.p.A. 3,702,795
132,000 EUR Motor Oil (Hellas) Corinth Refineries S.A. 3,861,223
Global Total Return Fund
14 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
----------- ------------
20,000 EUR OMV, AG $ 1,388,970
42,000 PetroChina Company, Ltd.<> 4,720,800
------------
15,504,388
------------
FINANCIALS (21.6%)
140,000 AUD Australian Stock Exchange, Ltd. 3,495,611
60,000 Bancolombia, SA<> 2,076,000
23,000 EUR EFG Eurobank Ergasias 916,503
7,000 Goldman Sachs Group, Inc. 1,122,030
73,000 GBP Investec, PLC 4,144,123
40,000 J.P. Morgan Chase & Company 1,815,200
53,000 AUD Macquarie Bank Limited 2,874,205
240,000 AUD QBE Insurance Group Limited 4,083,848
1,950,000 SGD Singapore Exchange, Ltd. 5,309,663
59,000 Washington Mutual, Inc. 2,658,540
------------
28,495,723
------------
HEALTH CARE (8.8%)
10,000 Alcon, Inc. 1,017,100
240,000 ZAR Aspen Pharmacare Holdings, Ltd. 1,694,927
80,000 Bristol-Myers Squibb Company@ 2,030,400
80,000 Merck & Company, Inc.<> 2,753,600
4,000 CHF Nobel Biocare Holding AG 984,799
72,000 Pfizer, Inc. 1,823,760
9,000 CHF Roche Holding AG 1,381,257
------------
11,685,843
------------
INDUSTRIALS (11.1%)
170,000 SEK Alfa Laval AB 5,535,551
9,000 Boeing Company 751,050
11,000 JPY FANUC, Ltd. 1,039,725
70,000 JPY Komatsu Ltd. 1,492,565
190,000 AUD Leighton Holdings Limited 2,416,844
260,000 GBP Rolls-Royce Group plc 2,252,648
40,000 EUR YIT-Yhtyma Oyj 1,127,992
------------
14,616,375
------------
INFORMATION TECHNOLOGY (9.1%)
47,000 JPY HOYA Corp. 1,898,387
17,000 Infosys Technologies, Ltd. 1,337,050
22,000 Microsoft Corp.<> 531,300
Global Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 15
See accompanying Notes to Schedule of Investments.
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
NUMBER OF
SHARES VALUE
----------- ------------
190,000 EUR Nokia Corp. $ 4,310,168
175,000 ZAR Reunert, Ltd. 2,181,255
270,000 JPY Toshiba Corp. 1,713,512
------------
11,971,672
------------
MATERIALS (1.7%)
33,000 CAD Teck Cominco Ltd. 2,275,068
------------
UTILITIES (1.8%)
115,000 GBP Scottish & Southern Energy 2,358,155
------------
TOTAL COMMON STOCKS
(Cost $ 86,690,860) 103,496,306
============
PRINCIPAL
AMOUNT VALUE
----------- ------------
SHORT-TERM INVESTMENT (0.5%)
$ 630,000 Citigroup, Inc.
4.770%, 05/01/06
(Cost $ 630,000) 630,000
------------
NUMBER OF
SHARES VALUE
----------- ------------
INVESTMENT OF CASH COLLATERAL FOR SECURITIES ON LOAN (11.2%)
14,804,969 Bank of New York Institutional Cash Reserve Fund
current rate 4.894%
(Cost $ 14,804,969) 14,804,969
------------
TOTAL INVESTMENTS (156.2%)
(Cost $ 187,794,963) 206,486,400
============
NUMBER OF
CONTRACTS VALUE
----------- ------------
WRITTEN OPTIONS (-1.5%)
IShares MSCI EAFE Index Fund#
300 Call, 06/17/06 Strike 62.00 (193,500)
1,400 Call, 06/17/06 Strike 64.00 (658,000)
1,300 Call, 06/17/06 Strike 63.00 (715,000)
1,200 SPDR Trust, Series 1#
Call, 09/16/06, Strike 134.00 (372,000)
------------
TOTAL WRITTEN OPTIONS
(Premium $879,373) (1,938,500)
============
Global Total Return Fund
16 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Schedule of Investments.
APRIL 30, 2006 (UNAUDITED)
Schedule of Investments
VALUE
------------
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-11.2%) $(14,804,969)
------------
OTHER ASSETS, LESS LIABILITIES (1.1%) 1,505,257
------------
PREFERRED SHARES AT REDEMPTION VALUE INCLUDING DIVIDENDS PAYABLE (-44.6%) (59,039,749)
------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) $132,208,439
============
NOTES TO SCHEDULE OF INVESTMENTS
Note: Value for Securities denominated in foreign currencies are shown in
U.S. dollars. The principal amount for such securities is shown in
the respective foreign currency. The date shown on options
represents the expiration date of the option contract. The option
contracts may be exercised at any date on or before the date shown.
* Securities issued and sold pursuant to a Rule 144A transaction are
excepted from the registration requirement of the Securities Act of 1933,
as amended. These securities may only be sold to qualified institutional
buyers ("QIBs"), such as the Fund. Any resale of these securities must
generally be effected through a sale that is registered under the Act or
otherwise exempted or excepted from such registration requirements. At
April 30, 2006, the market value of 144A securities that could not be
exchanged to the registered form is $7,638,736 or 5.8% of net assets.
@ Security, or portion of security, is on loan.
# Non-income producing security.
++ Variable rate security. The interest rate shown is the rate in effect at
April 30, 2006.
<> Security position is held in a segregated account as collateral for
written options aggregating a total market value of $27,947,677.
[] Securities exchangeable or convertible into securities of an entity
different than the issuer. Such entity is identified in the paranthetical.
FOREIGN CURRENCY ABBREVIATIONS
AUD Australian Dollar
CAD Canadian Dollar
CHF Swiss Franc
EUR European Monetary Unit
GBP British Pound Sterling
JPY Japanese Yen
SEK Swedish Krona
SGD Singapore Dollar
ZAR South African Rand
Global Total Return Fund
Schedule of Investments SEMIANNUAL REPORT 17
See accompanying Notes to Financial Statements.
Schedule of Investments
APRIL 30, 2006 (UNAUDITED)
COUNTRY ALLOCATION
Country % of Portfolio
----------- --------------
United States 42.5%
United Kingdom 9.8
Australia 7.9
Sweden 4.8
South Africa 4.5
Switzerland 3.5
Japan 3.3
Finland 2.9
Singapore 2.8
Greece 2.5
China 2.5
Canada 2.1
Mexico 2.0
Italy 2.0
Spain 1.4
Cayman Islands 1.3
Bermuda 1.3
Colombia 1.1
Austria .7
India .7
Brazil .4
Total: 100.0%
Country allocations are based on total investments (excluding security lending
collateral and short-term investments) and may vary over time.
Global Total Return Fund
18 SEMIANNUAL REPORT Schedule of Investments
See accompanying Notes to Financial Statements.
Statement of Assets and Liabilities
APRIL 30, 2006 (UNAUDITED)
--------------------------------------------------------------------------------------------------------------
ASSETS
Investments, at value* (cost $ 187,794,963) $ 206,486,400
Cash with custodian (interest bearing) 288
Restricted cash for open options (interest bearing) 1,000
Accrued interest and dividends receivables 2,036,896
Prepaid expenses 10,029
Other assets 5,556
--------------------------------------------------------------------------------------------------------------
Total assets 208,540,169
--------------------------------------------------------------------------------------------------------------
LIABILITIES
Options written, at value (premium $ 879,373) 1,938,500
Payable upon return of securities loaned 14,804,969
Payable for income distribution 156,111
Payable for offering 197,003
Payable to investment advisor 122,167
Payable to financial accountant 1,721
Payable for deferred compensation to Trustees 5,556
Other accounts payable and accrued liabilities 65,954
--------------------------------------------------------------------------------------------------------------
Total liabilities 17,291,981
--------------------------------------------------------------------------------------------------------------
PREFERRED SHARES
$25,000 liquidation value per share applicable to 2,360 shares, including dividends payable 59,039,749
--------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS 132,208,439
--------------------------------------------------------------------------------------------------------------
COMPOSITION OF NET ASSETS APPLICABLE TO
COMMON SHAREHOLDERS
Common stock, no par value, unlimited shares authorized 8,006,981 shares issued and
outstanding $ 113,532,604
Undistributed net investment income (loss) (229,867)
Accumulated net realized gain (loss) on investments, options and
foreign currency transactions 1,257,453
Net unrealized appreciation (depreciation) on investments, options and
foreign currency translations 17,648,249
--------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS $ 132,208,439
--------------------------------------------------------------------------------------------------------------
Net asset value per common share based on 8,006,981 shares issued and outstanding $ 16.51
--------------------------------------------------------------------------------------------------------------
* Includes $ 14,426,507 of securities loaned.
Global Total Return Fund
Statement of Assets and Liabilities SEMIANNUAL REPORT 19
See accompanying Notes to Financial Statements.
Statement of Operations
SIX MONTHS ENDED APRIL 30, 2006 (UNAUDITED)
--------------------------------------------------------------------------------------------
INVESTMENT INCOME
Interest $ 2,641,120
Dividends (net of foreign taxes withheld of $65,890) 1,516,674
Securities lending income 16,293
--------------------------------------------------------------------------------------------
Total investment income 4,174,087
============================================================================================
EXPENSES
Investment advisory fees 787,927
Financial accounting fees 8,891
Auction agent and rating agency fees 48,489
Printing and mailing fees 34,567
Audit and legal fees 29,294
Registration fees 15,754
Accounting fees 12,627
Custodian fees 11,291
Transfer agent fees 9,206
Trustees' fees and officer compensation 7,755
Other 3,125
--------------------------------------------------------------------------------------------
Total expenses 968,926
============================================================================================
NET INVESTMENT INCOME (LOSS) 3,205,161
============================================================================================
REALIZED AND UNREALIZED GAIN (LOSS) FROM
INVESTMENTS, WRITTEN OPTIONS AND FOREIGN CURRENCY
NET REALIZED GAIN (LOSS) FROM:
Investments 1,045,929
Written options (9,580)
Foreign currency transactions 221,104
CHANGE IN NET UNREALIZED APPRECIATION/DEPRECIATION ON:
Investments 18,691,437
Written options (1,059,127)
Foreign currency translations 15,939
--------------------------------------------------------------------------------------------
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS,
WRITTEN OPTIONS AND FOREIGN CURRENCY 18,905,702
============================================================================================
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS 22,110,863
============================================================================================
DIVIDENDS TO PREFERRED SHAREHOLDERS FROM
Net investment income (832,756)
--------------------------------------------------------------------------------------------
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS RESULTING FROM OPERATIONS $ 21,278,107
============================================================================================
Global Total Return Fund
20 SEMIANNUAL REPORT Statement of Operations
See accompanying Notes to Financial Statements.
Statements of Changes in Net Assets
Six Months Ended
April 30, 2006 Period Ended
(unaudited) October 31, 2005*
--------------------------------------------------------------------------------------------------------------------
OPERATIONS
Net investment income (loss) $ 3,205,161 $ (20,861)
Net realized gain (loss) from investments, written options and
foreign currency transactions 1,257,453 --
Change in net unrealized appreciation/depreciation on investments,
written options and foreign currency translations 17,648,249 --
Distributions to preferred shareholders from
Net investment income (832,756) --
--------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets applicable to common
shareholders resulting from operations 21,278,107 (20,861)
--------------------------------------------------------------------------------------------------------------------
DISTRIBUTIONS TO COMMON
SHAREHOLDERS FROM
Net investment income (2,602,272) --
--------------------------------------------------------------------------------------------------------------------
Net decrease in net assets from distributions to common shareholders (2,602,272) --
--------------------------------------------------------------------------------------------------------------------
CAPITAL STOCK TRANSACTIONS
Proceeds from initial offering -- 114,700,000
Offering costs on common shares -- (240,209)
Offering costs on preferred shares (906,326) --
--------------------------------------------------------------------------------------------------------------------
Net increase (decrease) in net assets from capital stock transactions (906,326) 114,459,791
--------------------------------------------------------------------------------------------------------------------
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE
TO COMMON SHAREHOLDERS 17,769,509 114,438,930
--------------------------------------------------------------------------------------------------------------------
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS
Beginning of period 114,438,930 --
--------------------------------------------------------------------------------------------------------------------
End of period $ 132,208,439 $ 114,438,930
====================================================================================================================
Undistributed net investment income (loss) $ (229,867) $ --
* The Fund commenced operations on October 27, 2005.
Global Total Return Fund
Statements of Changes in Net Assets SEMIANNUAL REPORT 21
See accompanying Notes to Financial Statements.
Notes to Financial Statements (Unaudited)
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 Fund's investment objective is to provide total return through a combination
of capital appreciation and current income.
PORTFOLIO VALUATION. In computing the Fund's net asset value, portfolio
securities that are traded on a securities exchange in the United States, except
for option securities, are valued at the last reported sale price as of the time
of valuation, or lacking any current reported sale at the time of valuation, at
the mean between the most recent bid and asked quotations. Each option security
traded on a securities exchange in the United States is valued at the last
current reported sale price as of the time of valuation if the last current
reported sale price falls within the consolidated bid/ask quote for the option
security. If the last current reported sale price as of the time of valuation
does not fall within the consolidated bid/ask quote for the option security, the
security is valued at the mid-point of the consolidated bid/ask quote for the
option security. Each security traded in the over-the-counter market and quoted
on the NASDAQ National Market System, is valued at the NASDAQ Official Closing
Price ("NOCP"), as determined by NASDAQ, or lacking an NOCP, the last current
reported sale price as of the time of valuation by NASDAQ, or lacking any
current reported sale on NASDAQ at the time of valuation, at the mean between
the most recent bid and asked quotations. Each over-the-counter option that is
not traded through the Options Clearing Corporation is valued by the
counterparty, or if the counterparty's price is not readily available then by
using the Black-Scholes method. Each other security traded over-the-counter is
valued at the mean between the most recent bid and asked quotations. Short-term
securities with maturities of 60 days or less are valued at amortized cost,
which approximates market value.
When market quotations are not readily available or when the valuation methods
mentioned above are not reflective of a fair value of the security, the security
is valued at a fair value following procedures and/or guidelines approved by the
Board of Trustees, which may include utilizing a systematic fair valuation model
provided by an independent pricing system. The Fund may also use fair value
pricing, if the value of a security it holds is, pursuant to Board of Trustees'
guidelines, materially affected by events occurring before the Fund's pricing
time but after the close of the primary market or exchange on which the security
is traded. These procedures
Global Total Return Fund
22 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (Unaudited)
may utilize valuations furnished by pricing services approved by the Board of
Trustees, which may be based on market transactions for comparable securities
and various relationships between securities that are generally recognized by
institutional traders, a computerized matrix system, or appraisals derived from
information concerning the securities or similar securities received from
recognized dealers in those securities. When fair value pricing is employed, the
value of the portfolio security used to calculate the Fund's net asset value may
differ from quoted or official closing prices.
Securities that are principally traded in a foreign market are valued at the
last current sale price at the time of valuation or lacking any current or
reported sale, at the time of valuation, at the mean between the most recent bid
and asked quotations as of the close of the appropriate exchange or other
designated time. Trading in securities on European and Far Eastern securities
exchanges and over-the-counter markets is normally completed at various times
before the close of business on each day on which the New York Stock Exchange
("NYSE") is open. Trading of these securities may not take place on every NYSE
business day. In addition, trading may take place in various foreign markets on
Saturdays or on other days when the NYSE is not open and on which the Fund's net
asset value is not calculated. As stated above, if the market prices are not
readily available or are not reflective of the fair value of the security, the
security will be priced at a fair value following procedures approved by the
Board of Trustees. In light of the judgment involved in fair value decisions,
there can be no assurance that a fair value assigned to a particular security is
accurate.
INVESTMENT TRANSACTIONS AND INVESTMENT INCOME. Short-term investment
transactions are recorded on a trade date basis. Long-term investment
transactions are recorded on a trade date plus one basis, except for fiscal
quarter ends, which are recorded on trade date. Net realized gains and losses
from investment transactions are reported on an identified cost basis. Interest
income is recognized using the accrual method and includes accretion of original
issue and market discount and amortization of premium. Dividend income is
recognized on the ex-dividend date, except that certain dividends from foreign
securities are recorded as soon as the information becomes available.
FOREIGN CURRENCY TRANSLATION. Except for securities of foreign issuers valued by
a pricing service, values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate
quoted by any major bank or dealer in the particular currency market, as
reported by a recognized quotation dissemination service.
Global Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 23
Notes to Financial Statements (Unaudited)
The Fund does not isolate that portion of the results of operations resulting
from changes in foreign exchange rates on investments from the fluctuations
arising from changes in market prices of securities held. Such fluctuations are
included with the net realized and unrealized gain or loss from investments.
Reported net realized foreign currency gains or losses arise from disposition of
foreign currency, the difference 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 purchased
call options is increased by premiums paid. The proceeds from securities sold
through the exercise of purchased put options are decreased by the premiums
paid.
When the Fund writes an option, an amount equal to the premium received by the
Fund is recorded as a liability and is subsequently adjusted to the current
value of the option written. Premiums received from writing options that expire
unexercised are treated by the Fund on the expiration date as realized gains
from written options. The difference between the premium and the amount paid on
effecting a closing purchase transaction, including brokerage commissions, is
also treated as a realized gain, or, if the premium is less than the amount paid
for the closing purchase transaction, as a realized loss. If a written call
option is exercised, the premium is added to the proceeds from the sale of the
underlying security or currency in determining whether the Fund has realized a
gain or loss. If a written put option is exercised, the premium reduces the cost
basis of the securities purchased by the Fund. The Fund as writer of an option
bears the market risk of an unfavorable change in the price of the security
underlying the written option.
USE OF ESTIMATES. The preparation of financial statements in conformity with
U.S. generally accepted accounting principles requires management to make
estimates
Global Total Return Fund
24 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (Unaudited)
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
Fund's policy is to continue to qualify as a regulated investment company under
Internal Revenue Code of 1986, as amended (the "Code") and distribute to
shareholders substantially all of its taxable income and net realized gains.
Dividends and distributions paid to shareholders are recorded on the ex-dividend
date. The amount of dividends and distributions from net investment income and
net realized capital gains is determined in accordance with federal income tax
regulations, which may differ from U.S. generally accepted accounting
principles. To the extent these "book/tax" differences are permanent in nature,
such amounts are reclassified within the capital accounts based on their federal
tax-basis treatment. These differences are primarily due to differing treatments
for foreign currency transactions, contingent payment debt instruments and
methods of amortizing and accreting fixed income securities. Financial records
are not adjusted for temporary differences.
INDEMNIFICATIONS. Under the Fund's organizational documents, its officers and
trustees are indemnified against certain liabilities incurred by them by reason
of having been an officer or trustee of the Fund. In addition, in the normal
course of business, the Fund enters into contracts that provide general
indemnifications to other parties. The Fund's maximum exposure under these
arrangements is unknown as this would involve future claims that may be made
against the Fund that have not yet occurred. However, the Fund has not had prior
claims or losses pursuant to these contracts and expects the risk of loss to be
remote.
NOTE 2 - INVESTMENT ADVISOR AND TRANSACTIONS WITH AFFILIATES OR CERTAIN OTHER
PARTIES
Pursuant to an investment advisory agreement with Calamos Advisors LLC ("Calamos
Advisors"), the Fund pays an annual fee, payable monthly, equal to 1.00% based
on the average weekly managed assets. "Managed assets" means the Fund's total
assets (including any assets attributable to any leverage that may be
outstanding) minus total liabilities (other than debt representing financial
leverage).
Calamos Advisors receives a fee payable monthly at the annual rate of 0.0175% on
the first $1 billion of combined assets; 0.0150% on the next $1 billion of
combined assets; and 0.0110% on combined assets above $2 billion for financial
accounting services (for purposes of this calculation "combined assets" means
the total of the
Global Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 25
Notes to Financial Statements (Unaudited)
average daily net assets of Calamos Investment Trust and Calamos Advisors Trust
and the average weekly managed assets of Calamos Convertible and High Income
Fund, Calamos Convertible Opportunities and Income Fund, Calamos Strategic Total
Return Fund and Calamos Global Total Return Fund). Financial accounting services
include, but are not limited to, the following: managing expenses and expense
payment processing; monitoring the calculation of expense accrual amounts;
calculating, tracking, and reporting tax adjustments on all assets and
liabilities and monitoring trustee deferred compensation plan accruals and
valuations. The Fund will pay its pro rata share of the financial accounting
service fee payable to Calamos Advisors based on the Fund's relative portion of
combined assets.
The Fund reimburses the advisor for compensation paid to the Fund's Chief
Compliance Officer. This compensation is reported as part of "Trustees' fees and
officer compensation" expenses on the Statement of Operations.
Certain officers and trustees of the Fund are also officers and directors of
Calamos Financial Services LLC ("CFS") and Calamos Advisors. All officers and
affiliated Trustees serve without direct compensation from the Fund, except for
the Chief Compliance Officer as described above.
The Fund has adopted a deferred compensation plan (the "Plan"). Under the Plan,
a trustee who is not an "interested person" (as defined in the 1940 Act) of CFS
or Calamos Advisors and has elected to participate in the Plan (a "participating
trustee") may defer receipt of all or a portion of his compensation from the
Fund. The deferred compensation payable to the participating trustee is credited
to the trustee's deferral account as of the business day such compensation would
have been paid to the participating trustee. The value of the account increases
with contributions to the account or with increases in the value of the
measuring shares, and the value of the account decreases with withdrawals from
the account or with declines in the value of the measuring shares. Deferred
compensation of $5,556 is included in "Other assets" on the Statement of Assets
and Liabilities at April 30, 2006. The Fund's obligation to make payments under
the Plan is a general obligation of the Fund and is included in "Payable for
deferred compensation to Trustees" on the Statement of Assets and Liabilities at
April 30, 2006.
Global Total Return Fund
26 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (Unaudited)
NOTE 3 - INVESTMENTS
Purchases and sales of investments, other than short-term obligations, for the
six months ended April 30, 2006 were as follows:
Purchases $ 185,286,385
Proceeds from sales 13,902,844
The cost basis of investments for Federal income tax purposes at April 30, 2006
was as follows:
Cost basis of investments $ 187,966,353
-------------
Gross unrealized appreciation 21,003,146
Gross unrealized depreciation (2,483,099)
-------------
Net unrealized appreciation (depreciation) $ 18,520,047
-------------
NOTE 4 - INCOME TAXES
Distributions during the fiscal year ended October 31, 2005 were characterized
for Federal income tax purposes as follows:
DISTRIBUTIONS PAID FROM:
Ordinary income $ --
Long-Term capital gains --
As of October 31, 2005, the components of accumulated earnings on a tax basis
were as follows:
Undistributed ordinary income $ --
Undistributed capital gains --
--------------
Total undistributed earnings --
Accumulated capital and other losses --
Net unrealized gains --
--------------
Total accumulated earnings --
Other --
Paid-in capital 114,438,930
--------------
Net assets applicable to common shareholders $ 114,438,930
--------------
Global Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 27
Notes to Financial Statements (Unaudited)
NOTE 5 - COMMON STOCK
There are unlimited common shares of beneficial interest authorized and
8,006,981 shares outstanding at April 30, 2006. Calamos Advisors owned 2,360 of
the outstanding shares at April 30, 2006. Transactions in common shares were as
follows:
FOR THE SIX FOR THE
MONTHS ENDED PERIOD ENDED
APRIL 30, 2006 OCTOBER 31, 2005*
------------------------------------------------------------------------------------------------
Beginning shares 8,006,981 --
Shares sold -- 8,006,981
Shares issued through reinvestment of distributions -- --
--------------------------------------
Ending shares 8,006,981 8,006,981
======================================
* The Fund commenced operations on October 27, 2005.
NOTE 6 - FORWARD FOREIGN CURRENCY CONTRACTS
The Fund may engage in portfolio hedging with respect to changes in currency
exchange rates by entering into forward foreign currency contracts to purchase
or sell currencies. A forward foreign currency contract is a commitment to
purchase or sell a foreign currency at a future date at a negotiated forward
rate. Risks associated with such contracts include, among other things, movement
in the value of the foreign currency relative to the U.S. dollar and the ability
of the counterparty to perform. The net unrealized gain, if any, represents the
credit risk to the Fund on a forward foreign currency contract. The contracts
are valued daily at forward exchange rates, and an unrealized gain or loss is
recorded. The Fund realizes a gain or loss when a position is closed or upon
settlement of the contracts. There were no open forward foreign currency
contracts at April 30, 2006.
NOTE 7 - SYNTHETIC CONVERTIBLE SECURITIES
The Fund may establish a "synthetic" convertible instrument by combining
separate securities that possess the economic characteristics similar to a
convertible security, i.e., fixed-income securities ("fixed-income component")
and the right to acquire equity securities ("convertible component"). The
fixed-income component is achieved by investing in non-convertible, fixed income
securities such as bonds, preferred stocks and money market instruments. The
convertible component is achieved by investing in warrants or options to buy
common stock at a certain exercise price, or options on a stock index. In
establishing a synthetic instrument, the Fund may pool a basket of fixed-income
securities and a basket of warrants or
Global Total Return Fund
28 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (Unaudited)
options that produce the economic characteristics similar to a convertible
security. Within each basket of fixed-income securities and warrants or options,
different companies may issue the fixed-income and convertible components, which
may be purchased separately and at different times.
The Fund may purchase synthetic convertible instruments created by other
parties, typically investment banks, including convertible structured notes.
Convertible structured notes are fixed-income debentures linked to equity.
Convertible structured notes have the attributes of a convertible security;
however, the investment bank that issued the convertible note assumes the credit
risk associated with the investment, rather than the issuer of the underlying
common stock into which the note is convertible. Purchasing synthetic
convertible securities may offer more flexibility than purchasing a convertible
security. Different companies may issue the fixed-income and convertible
components, which may be purchased separately and at different times.
NOTE 8 - WRITTEN OPTIONS TRANSACTIONS
The Fund may engage in options transactions and in doing so achieve the similar
objectives to what it would achieve through the sale or purchase of individual
securities. Transactions in options written during the six months ended April
30, 2006 were as follows:
NUMBER OF PREMIUMS
CONTRACTS RECEIVED
------------------------------------------------------------------------
Options outstanding at October 31, 2005 -- $ --
Options written 5,610 1,469,323
Options closed (1,410) (589,950)
Options expired -- --
Options exercised -- --
-----------------------
Options outstanding at April 30, 2006 4,200 $ 879,373
NOTE 9 - PREFERRED SHARES
There are unlimited shares of Auction Rate Cumulative Preferred Shares
("Preferred Shares") authorized. The Preferred Shares have rights as determined
by the Board of Trustees. The 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.
Global Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 29
Notes to Financial Statements (Unaudited)
Dividends on the Preferred Shares are cumulative at a rate typically reset every
seven days based on the results of an auction. Dividend rates ranged from 4.10%
to 4.92% for the six months ended April 30, 2006. Under the 1940 Act, the Fund
may not declare dividends or make other distributions on shares of common stock
or purchase any such shares if, at the time of the declaration, distribution or
purchase, asset coverage with respect to the outstanding Preferred Shares would
be less than 200%.
The Preferred Shares are redeemable at the Fund's option, in whole or in part,
on any dividend payment date at $25,000 per share plus any accumulated but
unpaid dividends. The Preferred Shares are also subject to mandatory redemption
at $25,000 per share plus any accumulated but unpaid dividends, whether or not
declared, if certain requirements relating to the composition of the assets and
liabilities of the Fund as set forth in the Statement of Preferences are not
satisfied.
The holders of Preferred Shares have voting rights equal to the holders of
common stock (one vote per share) and will vote together with holders of shares
of common stock as a single class except on matters affecting only the holders
of Preferred Shares or the holders of common shares.
NOTE 10 - SECURITIES LENDING
During the six months ended April 30, 2006, the Fund loaned certain of their
securities to broker-dealers and banks. Any such loan must be continuously
secured by collateral in cash or cash equivalents maintained on a current basis
in an amount at least equal to the market value of the securities loaned by the
Fund. The Fund continues to receive the equivalent of the interest or dividends
paid by the issuer on the securities loaned and also receives an additional
return that may be in the form of a fixed fee or a percentage of the collateral.
The Fund may pay reasonable fees to persons unaffiliated with the Fund for
services in arranging these loans. The Fund has the right to call the loan and
obtain the securities loaned at any time on notice of not more than five
business days. The Fund does not have the right to vote the securities during
the existence of the loan but could call the loan in an attempt to permit voting
of the securities in certain circumstances. Upon return of the securities
loaned, the cash or cash equivalent collateral will be returned to the borrower.
In the event of bankruptcy or other default of the borrower, the Fund could
experience both delays in liquidating the loan collateral or recovering the
loaned securities and losses, including (a) possible decline in the value of the
collateral or in the value of the securities loaned during the period while the
Fund seeks to enforce its rights
Global Total Return Fund
30 SEMIANNUAL REPORT Notes to Financial Statements
Notes to Financial Statements (Unaudited)
thereto, (b) possible subnormal levels of income and lack of access to income
during this period, and (c) the expenses of enforcing its rights. In an effort
to reduce these risks, Calamos Advisors and the security lending agent will
monitor the creditwor-thiness of the firms to which the Fund lends securities.
At April 30, 2006, the Fund had securities valued at $14,426,507 that were on
loan to broker-dealers and banks and $14,804,969 in cash or cash equivalent
collateral.
Global Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT 31
Financial Highlights
SELECTED DATA FOR A SHARE OUTSTANDING THROUGHOUT EACH PERIOD WERE AS FOLLOWS:
October 27,
Six Months Ended 2005*
April 30, through
(unaudited) October 31,
------------------------------
2006 2005
--------------------------------------------------------------------------------------------------------------
Net asset value, beginning of period $ 14.29 $ 14.32(a)
--------------------------------------------------------------------------------------------------------------
Income from investment operations:
Net investment income (loss) 0.40 --(b)
--------------------------------------------------------------------------------------------------------------
Net realized and unrealized gain (loss) from investments,
options and foreign currency 2.36 --
--------------------------------------------------------------------------------------------------------------
Dividends to preferred shareholders from:
Net investment income (common share equivalent basis) (0.10) --
--------------------------------------------------------------------------------------------------------------
Total from investment operations 2.66 --
--------------------------------------------------------------------------------------------------------------
Less dividends to common shareholders from:
Net investment income (0.33) --
--------------------------------------------------------------------------------------------------------------
Capital charge resulting from issuance of common and preferred shares (0.11) (0.03)
--------------------------------------------------------------------------------------------------------------
Net asset value, end of period $ 16.51 $ 14.29
--------------------------------------------------------------------------------------------------------------
Market value, end of period $ 14.44 $ 15.00
--------------------------------------------------------------------------------------------------------------
Total investment return based on(c):
Net asset value 18.16% (0.24)%
--------------------------------------------------------------------------------------------------------------
Market value (1.54)% 0.00%
--------------------------------------------------------------------------------------------------------------
Ratios and supplemental data:
Net assets applicable to common shareholders, end of period
(000's omitted) $ 132,208 $ 114,439
--------------------------------------------------------------------------------------------------------------
Preferred shares, at redemption value ($25,000 per share
liquidation preference) (000's omitted) $ 59,000 --
--------------------------------------------------------------------------------------------------------------
Ratios to average net assets applicable to common shareholders:
Net expenses(d)(e) 1.60% 1.33%
--------------------------------------------------------------------------------------------------------------
Gross expenses prior to reimbursement of expenses by the advisor(d)(e) 1.60% 3.37%
--------------------------------------------------------------------------------------------------------------
Net investment income (loss)(d)(e) 5.30% (1.33)%
--------------------------------------------------------------------------------------------------------------
Preferred share dividends 1.38% --
--------------------------------------------------------------------------------------------------------------
Net investment income (loss), net of preferred share dividends 3.92% --
--------------------------------------------------------------------------------------------------------------
Portfolio turnover rate 9% --
--------------------------------------------------------------------------------------------------------------
Average commission rate paid $ 0.0228 --
--------------------------------------------------------------------------------------------------------------
Asset coverage per preferred share, at end of period(f) $ 81,037 --
--------------------------------------------------------------------------------------------------------------
* Commencement of operations.
(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 stock
on the opening of the first day and a sale on the closing of the last day
of the period reported. Dividends and distributions are assumed, for
purposes of this calculation, to be reinvested at prices obtained under
the Fund's dividend reinvestment plan. Total return is not annualized for
periods less than one year. Brokerage commissions are not reflected. NAV
per share is determined by dividing the value of the Fund's portfolio
securities, cash and other assets, less all liabilities, by the total
number of common shares outstanding. The common share market price is the
price the market is willing to pay for shares of the Fund at a given time.
Common share market price is influenced by a range of factors, including
supply and demand and market conditions.
(d) Annualized for periods less than one year.
(e) Does not reflect the effect of dividend payments to Preferred
Shareholders.
(f) Calculated by subtracting the Fund's total liabilities (not including
Preferred Shares) from the Fund's total assets and dividing this by the
number of Preferred Shares outstanding.
32 Global Total Return Fund
SEMIANNUAL REPORT Financial Highlights
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
Calamos Global Total Return Fund
We have reviewed the accompanying statement of assets and liabilities, including
the schedule of investments, of CALAMOS Global Total Return Fund (the "Fund") as
of April 30, 2006, and the related statements of operations and changes in net
assets and the financial highlights for the semi-annual period then ended. These
interim financial statements and financial highlights are the responsibility of
the Fund's management.
We conducted our review in accordance with standards of the Public Company
Accounting Oversight Board (United States). A review of interim financial
information consists principally of applying analytical procedures and making
inquiries of persons responsible for financial and accounting matters. It is
substantially less in scope than an audit conducted in accordance with the
standards of the Public Company Accounting Oversight Board (United States), the
objective of which is the expression of an opinion regarding the financial
statements taken as a whole. Accordingly, we do not express such an opinion.
Based on our review, we are not aware of any material modifications that should
be made to such interim financial statements and financial highlights for them
to be in conformity with accounting principles generally accepted in the United
States of America.
We have previously audited, in accordance with standards of the Public Company
Accounting Oversight Board (United States), the statement of changes in net
assets and the financial highlights for the period from October 27, 2005
(commencement of operations) through October 31, 2005; and in our report dated
December 16, 2005, we expressed an unqualified opinion on such statement of
changes in net assets and financial highlights.
/s/ (DELOITTE & TOUCHE LLP)
---------------------------
Chicago, Illinois
June 21,2006
Global Total Return Fund
Report of Independent Registered Public Accounting Firm SEMIANNUAL REPORT 33
Other Information (Unaudited)
RESULTS OF SHAREHOLDER MEETING. The Annual Meeting of Shareholders of the Fund
was held on March 30, 2006 where shareholders voted on the elections of
trustees. With regard to the election, each trustee standing for election was
elected by the shareholders as follows:
# OF COMMON
TRUSTEES AND PREFERRED SHARES
------------------------------
FOR WITHHELD
--------- --------
Joe F. Hanauer 7,461,786 52,186
John E. Neal 7,465,170 48,802
David D. Tripple 7,465,296 48,703
The other trustees of the Fund whose terms did not expire in 2006 are John P.
Calamos, Sr., Nick P. Calamos, Weston W. Marsh, William R. Rybak, and Stephen B.
Timbers.
Global Total Return Fund
34 SEMIANNUAL REPORT Other information
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About Closed-End Funds
WHAT IS A CLOSED-END FUND?
A closed-end fund is a publicly traded investment company that raises its
initial investment capital through the issuance of a fixed number of shares to
investors in a public offering. Shares of a closed-end fund are listed on a
stock exchange or traded in the over-the-counter market. Like all investment
companies, a closed-end fund is professionally managed and offers investors a
unique investment solution based on its investment objective approved by the
fund's Board of Directors.
ADVANTAGES OF CLOSED-END FUND INVESTING
- DEFINED ASSET POOL ALLOWS EFFICIENT PORTFOLIO MANAGEMENT -- Although
closed-end fund shares trade actively on a securities exchange, this
doesn't affect the closed-end fund manager because there are no new
investors buying into or selling out of the fund's portfolio.
- MORE FLEXIBILITY IN THE TIMING AND PRICE OF TRADES -- Investors can
purchase and sell shares of closed-end funds throughout the trading day,
just like the shares of other publicly traded securities.
- LOWER EXPENSE RATIOS -- The expense ratios of closed-end funds are
oftentimes less than those of mutual funds. Over time, a lower expense
ratio could enhance investment performance.
- CLOSED-END STRUCTURE MAKES SENSE FOR LESS-LIQUID ASSET CLASSES -- A
closed-end structure makes sense for investors considering less-liquid
asset classes, such as high-yield bonds or micro-cap stocks.
- ABILITY TO PUT LEVERAGE TO WORK -- Closed-end funds may issue senior
securities (such as preferred stock or debentures) or borrow money to
"leverage" their investment positions.
- NO MINIMUM INVESTMENT REQUIREMENTS
Global Total Return Fund
About Closed End Funds SEMIANNUAL REPORT 37
Leverage
USING LEVERAGE TO ENHANCE TOTAL RETURN
Closed-end funds can use leverage which utilizes borrowed money to increase the
return on invested capital. The Fund will invest the borrowed assets into
securities, which we believe will provide a greater total return to investors
than the cost of the borrowing.
HIGHLIGHTS ON LEVERAGE CONCERNING THIS FUND
- Leveraging the portfolio allows the investment team to potentially enhance
the income and total returns of the Fund. To find out more see our Special
Report titled "Using Leverage and Interest Rate Swaps in Today's Market"
on our website, www.calamos.com.
- In leveraged closed-end funds that invest in interest-rate sensitive
securities (high-quality traditional fixed income), rising rates can hurt
a fund in two ways: first, the cost of leverage increases; second, the
value of securities drops.
- This portfolio does not have notable sensitivity to rising interest rates.
The portfolio seeks to invest in securities that should be more
economically sensitive and less interest rate sensitive.
Global Total Return Fund
38 SEMIANNUAL REPORT Leverage
Level Rate Distribution Policy
USING A LEVEL RATE DISTRIBUTION POLICY TO PROMOTE
DEPENDABLE INCOME AND TOTAL RETURN
The goal of the level rate distribution policy is to provide investors a
predictable, though not assured, level of cash flow, which can either serve as a
stable income stream or, through reinvestment, contribute significantly to
long-term total return.
We understand the importance that investors place on the stability of dividends
and their ability to contribute to long-term total return, which is why we have
instituted a level rate distribution policy for the Fund. Under the policy,
monthly distributions paid may include net investment income, net realized
short-term capital gains and, if necessary, return of capital. In addition, a
limited number of distributions per calendar year may include net realized
long-term capital gains. There is no guarantee that the Fund will realize
capital gains in any given year. Distributions are subject to
re-characterization for tax purposes after the end of the fiscal year. All
shareholders with taxable accounts will receive written notification regarding
the components and tax treatment for distributions via Form 1099-DIV.
Distributions from the Fund are generally subject to Federal income taxes. For
purposes of maintaining the level rate distribution policy, the Fund may realize
short-term capital gains on securities that, if sold at a later date, would have
resulted in long-term capital gains. Maintenance of a level rate distribution
policy may increase transaction and tax costs associated with the Fund.
Global Total Return Fund
Level Rate Distribution Policy SEMIANNUAL REPORT 39
Automatic Dividend Reinvestment Plan
MAXIMIZING INVESTMENT WITH AN AUTOMATIC DIVIDEND REINVESTMENT PLAN
The Automatic Dividend Reinvestment Plan offers a simple, cost-efficient and
convenient way to reinvest your dividends and capital gains distributions in
additional shares of the Fund, allowing you to increase your investment in the
Fund.
BENEFITS
- COMPOUNDED GROWTH: By automatically reinvesting with the Plan, you gain
the potential to allow your dividends and capital gains to compound over
time.
- POTENTIAL FOR LOWER COMMISSION COSTS: Additional shares are purchased in
large blocks, with brokerage commissions shared among all plan
participants. There is no cost to enroll in the Plan.
- CONVENIENCE: After enrollment, the Plan is automatic and includes detailed
statements for participants. Participants can terminate their enrollment
at any time.
For additional information about the Plan, please contact the Plan Agent, The
Bank of New York, at 800-432-8224 or visit us on the web at
www.calamos.com/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.
We're pleased to provide our shareholders with the additional benefit of the
Fund's Dividend Reinvestment Plan and hope that it may serve your financial
plan.
Global Total Return Fund
40 SEMIANNUAL REPORT Automatic Dividend Reinvestment Plan
Calamos Closed-End Funds
INTELLIGENT ASSET ALLOCATION IN FOUR DISTINCT CLOSED-END FUNDS
Depending on which Calamos closed-end fund you currently own, you may want to
consider one or more of our other closed-end strategies to help further
diversify your investment portfolio.
Seek the advice of your financial advisor, who can help you determine your
financial goals, risk tolerance, time horizon and income needs. To learn more,
you can also visit our website at www.calamos.com.
FUND ASSET ALLOCATION AS OF 4/30/06 FUND PROFILE
CALAMOS CONVERTIBLE OPPORTUNITIES AND INCOME FUND (CHI)
[PIE CHART]
CONVERTIBLE SECURITIES 46.3%
HIGH YIELD/CORPORATE BONDS 53.5%
SHORT-TERM INVESTMENTS 0.2%
PROVIDING ENHANCED FIXED INCOME
OBJECTIVE: THE FUND SEEKS TOTAL RETURN THROUGH a combination of capital
appreciation and current income by investing in a diversified portfolio of
convertible securities and below investment-grade (high-yield) fixed-income
securities.
CALAMOS CONVERTIBLE AND HIGH INCOME FUND (CHY)
[PIE CHART]
CONVERTIBLE SECURITIES 40.3%
HIGH YIELD/CORPORATE BONDS 58.5%
SHORT-TERM INVESTMENTS 1.2%
PROVIDING ENHANCED FIXED INCOME
OBJECTIVE: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of
convertible securities and below investment-grade (high-yield) fixed-income
CALAMOS STRATEGIC TOTAL RETURN FUND (CSQ)
[PIE CHART]
COMMON STOCK 42.3%
CONVERTIBLE SECURITIES 30.8%
HIGH YIELD/CORPORATE BONDS 25.7%
SHORT-TERM INVESTMENTS 1.2%
PROVIDING DEFENSIVE EQUITY
OBJECTIVE: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified CORPORATE BONDS
portfolio of equity, convertible and high-yield securities.
CALAMOS GLOBAL TOTAL RETURN FUND (CGO)
[PIE CHART]
COMMON STOCK 54.0%
CONVERTIBLE SECURITIES 17.4%
HIGH YIELD/CORPORATE BONDS 28.3%
SHORT-TERM INVESTMENTS 0.3%
PROVIDING DEFENSIVE GLOBAL EQUITY
OBJECTIVE: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio of
global equity, global convertible and high-yield securities.
Global Total Return Fund
Calamos Closed-End Funds SEMIANNUAL REPORT 41
[CALAMOS INVESTMENTS LOGO]
Calamos Investments | 2020 Calamos Court | Naperville, IL 60563-2787
800.582.6959 | www.calamos.com
A description of the Calamos Proxy Voting Policies and Procedures is available
free of charge upon request by calling (800) 582-6959, by visiting the Calamos
website at www.calamos.com, by writing Calamos at: Calamos Investments, Attn:
Client Services, 2020 Calamos Court, Naperville, IL 60563 and by visiting the
SEC's Web site at www.sec.gov. The Fund's proxy voting record for the twelve
month period ended June 30, 2005, is also available free of charge upon request
by calling or writing Calamos Investments and by visiting the SEC Web site at
www.sec.gov.
The Fund files a complete list of its portfolio holdings with the SEC for the
first and third quarters each fiscal year on Form N-Q. The Form N-Q is available
free of charge, upon request, by calling or writing Calamos Investments or by
visiting the SEC website. You may also review or, for a fee, copy the forms at
the SEC's Public Reference Room in Washington, D.C. (202) 942-8090.
FOR 24 HOUR SHAREHOLDER ASSISTANCE
800.432.8224
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB SITE
www.calamos.com
INVESTMENT ADVISOR
Calamos Advisors LLC
2020 Calamos Court
Naperville, IL 60563-2787
FUND ACCOUNTING AGENT
State Street Bank and Trust Company
225 Franklin Street
Boston, MA 02111
CUSTODIAN AND TRANSFER AGENT
The Bank of New York
P.O. Box 11258
Church Street Station
New York, NY 10286
800.524.4458
INDEPENDENT REGISTERED PUBLIC
ACCOUNTING FIRM
Deloitte & Touche LLP
Chicago, IL
LEGAL COUNSEL
Bell, Boyd & Lloyd LLC
Chicago, IL
(C) 2006 Calamos Holdings LLC. All Rights Reserved.
Calamos(R), CALAMOS INVESTMENTS(R), STRATEGIES FOR
SERIOUS MONEY(R) and the Calamos(R) logo are
registered trademarks of Calamos Holdings LLC.
CGOSAN 2706 2006
ITEM 2. CODE OF ETHICS.
Not applicable.
ITEM 3. AUDIT COMMITTEE FINANCIAL EXPERT.
Not applicable.
ITEM 4. PRINCIPAL ACCOUNTANT FEES AND SERVICES.
Not applicable.
ITEM 5. AUDIT COMMITTEE OF LISTED REGISTRANTS.
Not applicable.
ITEM 6. SCHEDULE OF INVESTMENTS
Included in the Report to Shareholders in Item 1
ITEM 7. DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END
MANAGEMENT INVESTMENT COMPANIES.
Not applicable.
ITEM 8. PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES.
Not applicable
ITEM 9. PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT
COMPANY AND AFFILIATED PURCHASERS.
(c) TOTAL
NUMBER OF (d) MAXIMUM
(a) SHARES (OR NUMBER (OR
TOTAL (b) UNITS) APPROXIMATE
NUMBER AVERAGE PURCHASED AS DOLLAR VALUE) OF
OF PRICE PART OF SHARES (OR UNITS)
SHARES PAID PER PUBLICLY THAT MAY YET BE
(OR SHARE ANNOUNCED PURCHASED UNDER
UNITS) (OR PLANS OR THE PLANS OR
PERIOD PURCHASED UNIT) PROGRAMS PROGRAMS
------------------------- --------- -------- ------------ -----------------
November 1 to November 30 N/A N/A N/A N/A
December 1 to December 31 N/A N/A N/A N/A
January 1 to January 31 N/A N/A N/A N/A
February 1 to February 28 N/A N/A N/A N/A
March 1 to March 31 N/A N/A N/A N/A
April 1 to April 30 N/A N/A N/A N/A
Total N/A N/A N/A N/A
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
No material changes.
ITEM 11. CONTROLS AND PROCEDURES.
a) The registrant's principal executive officer and principal financial officer
have evaluated the registrant's disclosure controls and procedures within 90
days of this filing and have concluded that the registrant's disclosure controls
and procedures were effective, as of that date, in ensuring that information
required to be disclosed by the registrant in this Form N-CSR was recorded,
processed, summarized, and reported timely.
b) There were no changes in the registrant's internal controls over financial
reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940)
that occurred during the second fiscal quarter of the period covered by this
report that has materially affected, or is reasonably likely to materially
affect, the registrant's internal control over financial reporting.
ITEM 12. EXHIBITS.
(a)(1) Code of Ethics -- NOT APPLICABLE
(a)(2)(i) Certification of Principal Executive Officer.
(a)(2)(ii) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report
to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Global Total Return Fund
By: /s/ John P. Calamos, Sr.
----------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: June 29, 2006
By: /s/ Patrick H. Dudasik
----------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: June 29, 2006
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Global Total Return Fund
By: /s/ John P. Calamos, Sr.
----------------------------------
Name: John P. Calamos, Sr.
Title: Principal Executive Officer
Date: June 29, 2006
By: /s/ Patrick H. Dudasik
----------------------------------
Name: Patrick H. Dudasik
Title: Principal Financial Officer
Date: June 29, 2006