nvcsrs
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
INVESTMENT COMPANY ACT FILE NUMBER: 811-21484
EXACT NAME OF REGISTRANT AS SPECIFIED IN CHARTER: Calamos Strategic Total Return Fund
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ADDRESS OF PRINCIPAL EXECUTIVE OFFICES:
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2020 Calamos Court, Naperville, |
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Illinois 60563-2787 |
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NAME AND ADDRESS OF AGENT FOR SERVICE:
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James S. Hamman, Jr., Secretary, |
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Calamos Advisors LLC |
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2020 Calamos Court |
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Naperville, Illinois |
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60563-2787 |
REGISTRANTS TELEPHONE NUMBER, INCLUDING AREA CODE: (630) 245-7200
DATE OF FISCAL YEAR END: October 31, 2007
DATE OF REPORTING PERIOD: November 1, 2006 through April 30, 2007
TABLE OF CONTENTS
ITEM 1. REPORTS TO SHAREHOLDERS
Include a copy of the report transmitted to stockholders pursuant to Rule 30e-1 under the Act (17 CFR 270.30e-1).
Managing Your Calamos Funds Investments
Calamos Investments offers several convenient means to monitor, manage and feel
confident about your Calamos investment choice.
CALAMOS INVESTMENTS offers several convenient means to monitor, manage and feel confident about
your Calamos investment choice. |
TABLE OF CONTENTS
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Letter to Shareholders |
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1 |
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Economic and Market Review |
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3 |
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Investment Team Interview |
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4 |
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Schedule of Investments |
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8 |
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Statement of Assets and Liabilities |
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16 |
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Statement of Operations |
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17 |
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Statements of Changes In Net Assets |
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18 |
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Notes to Financial Statements |
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19 |
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Financial Highlights |
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26 |
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Report of Independent Registered Public Accounting Firm |
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27 |
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About Closed-End Funds |
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29 |
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Leverage |
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30 |
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Level Rate Distribution Policy and Automatic Dividend Reinvestment Plan |
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31 |
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The Calamos Investments Advantage |
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32 |
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Calamos Closed-End Funds |
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33 |
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24-HOUR AUTOMATED SHAREHOLDER ASSISTANCE
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800.823.7386
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Through a single toll-free number, Calamos 24-Hour
Shareholder Assistance is fast and easy. |
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Get fund prices and account balances |
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Review recent transactions |
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Order statements, literature and more |
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PERSONAL ASSISTANCE |
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800.582.6959
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Dial this toll-free number to speak with a knowledgeable
Client Services Representative who can help answer
questions or address issues concerning your Calamos Fund. |
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YOUR FINANCIAL ADVISOR |
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We encourage you to talk to your financial advisor to
determine how Calamos Investments can benefit your
investment portfolio based on your financial goals, risk
tolerance, time horizon and income needs. |
Go Paperless!
Sign Up for e-Delivery
Its convenient, its timely and it helps reduce mailbox clutter.
You can view shareholder communications, including fund prospectuses, annual reports and proxy
statements online long before the printed publications would have arrived by traditional mail.
Visit www.calamos.com and sign up for e-delivery.
Visit www.calamos.com for timely fund performance, detailed fund profiles, fund news and insightful
market commentary.
Letter to Shareholders
Dear Fellow Shareholders:
Enclosed is your semiannual report for the six months ended April 30, 2007. As always, we value the
opportunity to communicate with you and encourage you to review these materials with care. Youll
find share price and NAV performance information, commentary about the Fund and markets, portfolio
allocations, as well as a complete listing of holdings and financial highlights.
As youll learn in this report, the Fund posted a solid gain for the period and continued to
provide a stable monthly dividend to shareholders. We believe the Funds performanceboth during
the period and since its inceptionspeaks to the value of dynamically blending securities from
different asset classes to pursue returns and manage risk.
This year marks an important milestone for us30 years of helping investors achieve their long-term
goals. When I look back to 1977, in many ways, it was a very different world. Personal computers
were years away from being standard office equipment, and we still did calculations with pencils,
paper and French curves. The Dow Jones Industrial Average was trading well below the 13,000 close
it achieved in April. In fact, it was trading below 1,000! Without the benefit of todays
technologies, we were less connected to other countries and markets.
Although much has changed since 1977, the core values that guided Calamos
Investments then continue to inform each decision we make today. We place you,
our shareholders, first. We recognize the assets you entrust with us are the result of hard work
and carefully thought-out choices. We regard the management of your assets as both a responsibility
and an honorone which we welcome with the utmost dedication.
We continue to believe strongly in the value of teamwork. Each Calamos fund is managed by a team of
investment professionals. In our view, teams maximize individual talent and the best ideas emerge
from an environment of collaboration. As we have grown, we have continued to strengthen our team by
adding new and talented associates. Im pleased to announce that during these past six months, this
growth has continued with the addition of seasoned fixed-income and cash management investment
professionals to our ranks.
Thirty years ago, innovative and entrepreneurial spirit served to set us apart. Then, we were using
convertible securitieswhich were little understoodto maximize return potential while managing
risk. Throughout our history, we have continually challenged ourselves to understand and maximize
the potential of the evolving marketplaceindeed, the world. We believe that globalization has
given rise to truly exciting opportunities for growth and progress, and believe that this fund is
well positioned to participate in the dynamic global marketplace.
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Letter to Shareholders
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Strategic Total Return Fund
SEMIANNUAL REPORT
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1 |
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Letter to Shareholders
We view the long-term results we achieve for you as the most important measure of our
success. Consistent with this, we seek to invest ahead of events rather than chase performance, and
always keep a close eye on understanding and managing risk. As we have for 30 years, we view this
focus on risk managementon protecting your principal over the long-termas a key differentiator of
our investment process.
If you have any questions about your portfolio, please contact your financial advisor, or, contact
us at 800.582.6959, Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time.
We thank you for your trust and look forward to helping you achieve your financial goals in the
years to come.
Sincerely,
John P. Calamos, Sr.
Chairman, CEO and Co-CIO
Calamos Advisors LLC
This report is for informational purposes only and should not be considered investment
advice.
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2
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Strategic Total Return Fund SEMIANNUAL REPORT
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Letter to Shareholders |
Economic and Market Review
For the latest market and economic outlook, please visit our website at www.calamos.com and select the Individual Investors button.
For the six months ended April 30, 2007, the major markets marched ahead. Gains were earned against
a backdrop of continued global economic growth and corporate profitability and towards the end of
the period, an increase in volatility in the equity markets. In the first quarter, Alan Greenspans
comments about the potential for a recession in the United States roiled markets around the globe.
The slide of the U.S. sub-prime mortgage market and the deflation of the housing bubble further
unsettled investors.
As the period came to a close, indications of a change in leadership in the equity and convertible
markets may have begun to emerge. Concerns over weaker economic growth prompted investors to
reassess the risks in the market and, specifically, the prices they have paid for the securities
they own. In 2006 and during the first months of 2007, the market rewarded stocks with more
cyclical long-term earnings growth prospects, particularly in the United States. After the market
correction in February, however, investors began to favor quality companies with stable growth
prospects. Echoing these trends, higher quality convertible securities outperformed during the
final portion of the reporting period.
The high-yield market benefited from strong issuance, particularly in 2007; and defaults have
remained near record lows. Unlike the equity markets, which experienced considerable volatility
throughout the period, the high-yield market climbed at a fairly steady pace. Lower-quality credits
outperformed the higher tiers of the high-yield universe for the period. Credit spreads remained
narrow, particularly in the CCC segment of the market.
Convertible securities continued to offer investors compelling opportunities. Issuance remained
strong, particularly in 2007, and valuations continued to improve. For the six-month period
overall, investors rewarded lower-quality convertible securities most; speculative-grade issues
outperformed investment-grade issues. From a sector perspective, cyclical and value-oriented
companies outperformed growth sectors. However, as in the equity markets, indications emerged that
the tide may be turning away from cyclical and lower-quality issues. After the February market
correction, investors began to return their attention to higher-quality, growth-oriented
convertibles.
We believe the economy is sound and a recession is not imminent. While gas prices have increased
again, core inflation is in an acceptable range. Under Chairman Bernanke, the Fed has done a good
job of managing the economy and has sufficient room to move rates either up or down. On the whole,
consumers have access to credit. Productivity and labor trends remain positive. Despite higher
prices at the gas pump, consumer trends are strong, with good gains in wage growth supporting
consumer spending. Earnings growth seems likely to drop from double-digit levels in 2006, but we
believe this is simply a return to more normal levels. Merger-and-acquisition activity and stock
buy-backs also further the case that corporate America appears to be on solid ground.
Although the housing market remains a source of apprehension for many, it is important to remember
the strength of the economy is due to its diversification, productivity gains, inflation
containment and global reach. For example, since the 1980s, the U.S. economy has experienced
rolling recessions in various sectors (including agriculture, commodities, banking, information
technology)while avoiding a significant overall decline.
History has shown that even during periods of economic slowdown, the markets may offer considerable
upside potential. This has held true during the semiannual period. Looking forward, we believe many
opportunities exist for long-term investors, across asset classes. With its broad diversification
among stocks, corporate bonds and convertibles, Calamos Strategic Total Return Fund is well
positioned, in our view, to pursue income and total return.
This report is presented for
informational purposes and should
not be considered investment
advice.
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Economic and Market Review
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Strategic Total Return Fund
SEMIANNUAL REPORT
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3 |
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Investment Team Interview
In the following interview, the Calamos Investment Team, led by Co-Chief Investment Officers John
P. Calamos, Sr. and Nick P. Calamos, CFA, discuss the Funds performance, strategy and positioning
during the six-month period ended April 30, 2007.
TOTAL RETURN*
Common Shares Inception 03/26/04
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6 |
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Since |
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Months |
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1 Year |
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Inception** |
On Share Price |
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7.77 |
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20.51 |
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8.36 |
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On NAV |
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9.62 |
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15.66 |
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12.47 |
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Total return measures net investment income and capital gain or loss from portfolio investments,
assuming reinvestment of income and capital gains distributions. |
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Annualized since inception. |
Q. How did the Fund perform over the reporting period?
A. Calamos Strategic Total Return Fund (CSQ) posted strong gains over the
semiannual period. Its underlying portfolio (as represented by net asset value, or
NAV) returned 9.62% for the six-month period, outpacing the all-equity S&P 500
Index,1 up 8.60%. On a market price basis, the Fund returned 7.77%.
The Fund continued to provide shareholders with a steady level of income.
Throughout the period, the Fund delivered a stable monthly distribution of
$0.0975 per share.
DISTRIBUTION HISTORY (LATEST 12 MONTHS)
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Date Paid |
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Per Share |
April |
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$ |
0.0975 |
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March |
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0.0975 |
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February |
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0.0975 |
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January |
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0.0975 |
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December |
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0.0975 |
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November |
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0.0975 |
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October |
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0.0975 |
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September |
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0.0975 |
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August |
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0.0975 |
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July |
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0.0975 |
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June |
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0.0975 |
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May |
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0.0975 |
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Includes $0.0604 in net realized short-term capital gains and $0.0371 in net investment income. |
Monthly distributions are from net investment income, short-term capital gains and/or long-term
capital gains. For more details please go to the Tax Center located at www.calamos.com.
Q. Before you discuss the performance of the Fund in greater detail, can you
provide an overview of its strategy?
A. The Fund offers investors a defensive approach to equity participation and an
attractive monthly distribution. In pursuit of capital gains and income, the
Fund opportunistically combines equities, convertible bonds and higher-yielding
corporate securities. By dynamically investing across asset classes, the Fund
seeks to manage risk and enhance return through full market cycles. In effect,
the Fund seeks to participate in long-term upward trends of the equity markets
but with the added benefitand potential downside protectionof a stable monthly
distribution.
Q. How is the Fund positioned?
A. As of the close of the period, common stocks represented approximately 47% of
total investments, convertible securities represented approximately 28% and
corporate bonds represented approximately 25%.
Given our view that the economy has entered a period of mid-cycle slowdown, weve
focused on traditional growth sectors, such as financials, consumer discretionary
and health care. Were seeking companies with steady prospects for earnings
growth, good cash
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4
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Strategic Total Return Fund
SEMIANNUAL REPORT
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Investment Team Interview |
Investment Team Interview
flow, high return on invested capital, capable management and sound
business strategies. In contrast, we are avoiding more cyclical areas of the
market, where earnings growth prospects are entirely dependent on commodity
prices or the health of the economy.
Overall, we are favoring higher quality credits within the convertible and
corporate bond segments of the portfolio, investing very selectively in the more
speculative tiers of the credit universe. Also, within the Funds convertible
stake, we are emphasizing issues with a greater degree of equity sensitivity.
Q. What factors helped performance?
A. The Funds advance was broad based, fuelled by positive returns across
all market sectors. Security selection in consumer discretionary was particularly
helpful, with holdings in the media and auto industries among the notable
leaders. Consumer staples were another strong area for the Fund. Here, soft drink
and packaged foods companies did especially well.
On an asset class level, the stock, convertible and corporate bond allocations
of the portfolio all contributed positively to performance, with equities and
convertibles leading. Additionally, within the convertible stake, a bias toward
equity sensitive issues proved advantageous as the stock market advanced
rapidly.
SECTOR ALLOCATION
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Financials |
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20.5 |
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Consumer Discretionary |
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19.8 |
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Health Care |
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12.4 |
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Energy |
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9.2 |
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Consumer Staples |
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8.6 |
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Information Technology |
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8.1 |
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Telecommunication Services |
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7.8 |
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Industrials |
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6.8 |
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Materials |
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3.1 |
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Utilities |
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2.8 |
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Sector allocations are based on net assets and may vary over time.
Q. What factors hindered performance?
A. Security selection in the energy sector detracted from relative
performance. Here, we favored companies with better prospects for sustainable
growth, such as service-oriented names. While these holdings posted good gains in
absolute terms, the strongest performers in the index were companies whose
earnings prospects are more dependent on commodity prices and the economy. We
believe that in a period of mid-cycle slowdown, there may be considerably more
downside than upside in the most commodity-driven names. Selection in the
materials sector also hindered relative performance.
Within our corporate and convertible bond stakes, a quality bias tempered
relative performance. We believe, however, that a quality emphasis is more
appropriate in a period of mid-cycle slowdown. For us, a higher coupon or income
stream cannot make up for a default.
Q. How did your leverage strategy influence performance over the period?
A. Our leverage activities enhanced the returns to the Funds common
shareholders. (See Leverage for more information). Leverage strategies typically
involve borrowing at very short-term rates and investing the proceeds at long-term
rates of return. As short-term rates rise, the cost of borrowing increases, which
may make leverage strategies less profitable. During the period, short-term and
long-term rates generally held steady.
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Investment Team Interview
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Strategic Total Return Fund SEMIANNUAL REPORT
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5 |
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Investment Team Interview
However, we have been able to mitigate the influence of rate increases
through our use of interest rate swaps. We had locked in a majority of the cost
of leverage earlier in the interest rate cycle, when rates were lower. (For more
on the Funds use of leverage and interest rate swaps, see the section
Leverage.)
Additionally, is important to note that the Fund is a total-return oriented
offering, with investments in a broader pool of securities than funds with a pure
income focus. We continued to find attractive opportunitiesacross asset
classeswith returns that more than offset the cost of our borrowing activities.
QUALITY ALLOCATION
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Weighted Average Credit Quality |
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BB |
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AAA |
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2.9 |
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AA |
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3.3 |
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A |
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11.6 |
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BBB |
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15.2 |
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BB |
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27.2 |
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B |
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24.7 |
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CCC or below |
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8.1 |
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Not Rated |
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7.0 |
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Data is based on portfolio holdings. Credit quality shown reflects the higher of the ratings of
Standard & Poors Corporation or Moodys Investors Service, Inc. Ratings are relative, subjective
and not absolute standards of quality. Excludes equity securities and cash.
Q. As of the close of the period, the Fund was trading at a modest discount
of 6.69%. In your opinion, how should investors evaluate this discount?
A. In the first four months of 2007, many new closed-end funds were
brought to market, changing the supply/demand trends in the closed-end market.
In our view, these short-term factors contributed to the discount. For
long-term investors, this discount may be viewed as an opportunity to invest in
an established portfolio with demonstrated track record, at a value price. We
believe that the Funds NAV returns and steady distributionsover both the
reporting period and longer time periodsspeak to the value of the Fund within
an overall asset allocation.
Q. What is your outlook for the Fund?
A. Were optimistic about the prospects of the Fund. As we noted in the
Economic and Market Review, we believe that a great deal of long-term potential
exists across asset classeseven during a period of mid-cycle slowdown. With its
opportunistic blend of equities, convertible bonds and corporate bonds, the Fund
may serve as a compelling portfolio cornerstone.
Good corporate profitability and global economic growthalong with
merger-and-acquisition activityare among the factors which should continue to
provide support for stocks. Within the equity market, we believe that
traditional, higher quality growth companies offer the most compelling
prospects.
We believe that the inclusion of convertible securities in the Fund will
continue to benefit shareholders. As we noted, convertible securities tend to
benefit from rising equity markets and volatility. Higher volatility tends to
increase the value of the
bonds conversion feature. Although valuations have improved, our research shows
that the convertible market still offers attractively valued securities. We
remain most interested in convertibles that offer a higher degree of equity
sensitivity.
The health of corporate America should continue to provide support for
financially sound high-yield issuers. However, given that the economy is slowing,
we believe that the most speculative high-yield securities merit particular
caution. Consistent with our view that the U.S. economy has entered a period of
mid-cycle slowdown, were continuing to emphasize investment grade issues and
issues from the higher tiers of
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6
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Strategic Total Return Fund
SEMIANNUAL REPORT
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Investment Team Interview |
Investment Team Interview
the high-yield universe, while avoiding truly distressed issues. A great
deal of credit has been extended during the past few years, and investors seem
to be complacent in owning virtually any corporate debt; this is underscored by
historically tight spreads in the CCC rated segment of the debt market. We
believe a more prudent approach is the better course.
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1 |
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The S&P 500 Index is an unmanaged index generally considered representative of
the U.S. stock market. Source: Lipper Analytical Services. |
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Investment Team Interview
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Strategic Total Return Fund
SEMIANNUAL REPORT
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7 |
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Schedule of Investments
APRIL 30, 2007 (UNAUDITED)
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PRINCIPAL |
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AMOUNT |
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VALUE |
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CORPORATE BONDS (36.0%) |
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Consumer Discretionary (12.0%) |
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$ |
4,518,000 |
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Asbury Automotive Group, Inc.
8.000%, 03/15/14 |
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$ |
4,630,950 |
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10,261,000 |
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Beazer Homes USA, Inc.
8.375%, 04/15/12 |
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10,235,348 |
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4,518,000 |
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Boyd Gaming Corp.^
7.750%, 12/15/12 |
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4,721,310 |
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8,358,000 |
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DIRECTV Financing Company, Inc.
8.375%, 03/15/13 |
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8,859,480 |
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14,006,000 |
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EchoStar DBS Corp.
7.125%, 02/01/16 |
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14,653,778 |
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5,874,000 |
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GBP |
EMI Group, PLC
8.250%, 05/20/08 |
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12,157,356 |
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18,976,000 |
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Expedia, Inc.^
7.456%, 08/15/18 |
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19,935,256 |
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8,133,000 |
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GameStop Corp.
8.000%, 10/01/12 |
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8,712,476 |
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13,554,000 |
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General Motors Corp.^
7.200%, 01/15/11 |
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12,977,955 |
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18,072,000 |
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Goodyear Tire & Rubber Company^
7.857%, 08/15/11 |
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18,998,190 |
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7,681,000 |
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Group 1 Automotive, Inc.
8.250%, 08/15/13 |
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7,988,240 |
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15,362,000 |
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Hanes Brands, Inc.*
8.735%, 12/15/14 |
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15,861,265 |
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8,133,000 |
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Hovnanian Enterprises, Inc.^
7.750%, 05/15/13 |
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7,604,355 |
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8,133,000 |
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Idearc, Inc.*
8.000%, 11/15/16 |
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8,519,318 |
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3,795,000 |
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Jarden Corp.
7.500%, 05/01/17 |
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3,904,106 |
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2,930,000 |
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Kellwood Company
7.625%, 10/15/17 |
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2,731,082 |
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6,777,000 |
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Landrys Restaurants, Inc.
7.500%, 12/15/14 |
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6,777,000 |
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4,518,000 |
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Liberty Media Corp.^
8.250%, 02/01/30 |
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4,551,650 |
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10,392,000 |
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Linens n Things, Inc.^
10.981%, 01/15/14 |
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9,833,430 |
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Mandalay Resort Group^
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13,143,000 |
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10.250%, 08/01/07 |
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13,340,145 |
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5,874,000 |
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7.625%, 07/15/13 |
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5,903,370 |
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11,747,000 |
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Meritage Corp.
7.000%, 05/01/14 |
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11,365,223 |
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5,422,000 |
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NCL Holding, ASA
10.625%, 07/15/14 |
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5,422,000 |
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4,518,000 |
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Oxford Industries, Inc.
8.875%, 06/01/11 |
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4,710,015 |
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Pinnacle Entertainment, Inc.
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8,133,000 |
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8.250%, 03/15/12 |
|
|
8,397,323 |
|
|
4,649,000 |
|
|
8.750%, 10/01/13^ |
|
|
4,927,940 |
|
|
11,747,000 |
|
|
Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 |
|
|
11,691,260 |
|
|
17,169,000 |
|
|
Service Corp. International
6.750%, 04/01/16 |
|
|
16,954,387 |
|
|
13,554,000 |
|
|
Standard Pacific Corp.^
9.250%, 04/15/12 |
|
|
13,282,920 |
|
|
1,988,000 |
|
|
Station Casinos, Inc.
6.875%, 03/01/16 |
|
|
1,878,660 |
|
|
4,518,000 |
|
|
Vail Resorts, Inc.
6.750%, 02/15/14 |
|
|
4,585,770 |
|
|
|
|
|
Warner Music Group
|
|
|
|
|
|
16,717,000 |
|
|
7.375%, 04/15/14 |
|
|
16,131,905 |
|
2,259,000 |
|
GBP |
8.125%, 04/15/14 |
|
|
4,506,029 |
|
|
1,988,000 |
|
|
Wynn Las Vegas, LLC^
6.625%, 12/01/14 |
|
|
2,002,910 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
308,752,402 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (2.3%) |
|
|
|
|
|
1,807,000 |
|
|
Alimentation Couche-Tard Inc.
7.500%, 12/15/13 |
|
|
1,874,763 |
|
|
7,681,000 |
|
|
Central Garden & Pet Company
9.125%, 02/01/13 |
|
|
8,045,847 |
|
|
13,328,000 |
|
|
Chiquita Brands International, Inc.^
7.500%, 11/01/14 |
|
|
12,261,760 |
|
|
10,392,000 |
|
|
Del Monte Foods Company
8.625%, 12/15/12 |
|
|
10,963,560 |
|
|
9,940,000 |
|
|
NBTY, Inc.
7.125%, 10/01/15 |
|
|
10,113,950 |
|
|
|
|
|
Pilgrims Pride Corp.
|
|
|
|
|
|
10,843,000 |
|
|
8.375%, 05/01/17^ |
|
|
11,032,752 |
|
|
5,422,000 |
|
|
7.625%, 05/01/15 |
|
|
5,516,885 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
59,809,517 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (5.2%) |
|
|
|
|
|
10,843,000 |
|
|
Arch Western Finance, LLC
6.750%, 07/01/13 |
|
|
10,815,892 |
|
|
|
|
|
Chesapeake Energy Corp.
|
|
|
|
|
|
6,325,000 |
|
|
6.875%, 01/15/16 |
|
|
6,467,313 |
|
|
3,614,000 |
|
|
7.500%, 06/15/14 |
|
|
3,803,735 |
|
|
3,827,000 |
|
|
Comstock Resources, Inc.
6.875%, 03/01/12 |
|
|
3,760,028 |
|
|
13,374,000 |
|
|
Giant Industries, Inc.
8.000%, 05/15/14 |
|
|
14,042,700 |
|
|
4,518,000 |
|
|
Houston Exploration Company
7.000%, 06/15/13 |
|
|
4,563,180 |
|
|
6,325,000 |
|
|
Mariner Energy, Inc.^
8.000%, 05/15/17 |
|
|
6,396,156 |
|
|
4,518,000 |
|
|
Petrohawk Energy Corp.
7.125%, 04/01/12 |
|
|
4,495,410 |
|
|
|
|
|
Petróleo Brasileiro, SA
|
|
|
|
|
|
14,910,000 |
|
|
9.125%, 07/02/13 |
|
|
17,631,075 |
|
|
14,006,000 |
|
|
8.375%, 12/10/18 |
|
|
16,947,260 |
|
|
1,807,000 |
|
|
Premcor Refining Group, Inc.
7.500%, 06/15/15 |
|
|
1,866,727 |
|
|
4,518,000 |
|
|
Superior Energy Services, Inc.
6.875%, 06/01/14 |
|
|
4,608,360 |
|
See accompanying Notes to Schedule of Investments.
|
|
|
8
|
|
Strategic Total Return Fund
SEMIANNUAL REPORT Schedule of Investments |
Schedule of Investments
APRIL 30, 2007 (UNAUDITED)
|
|
|
|
|
|
|
|
|
PRINCIPAL |
|
|
|
|
|
|
AMOUNT |
|
|
|
|
VALUE |
|
|
$ |
10,234,000 |
|
|
Swift Energy Company^
9.375%, 05/01/12 |
|
$ |
10,745,700 |
|
|
6,822,000 |
|
|
Whiting Petroleum Corp.
7.250%, 05/01/12 |
|
|
6,736,725 |
|
|
18,072,000 |
|
|
Williams Companies, Inc.
7.750%, 06/15/31 |
|
|
19,562,940 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
132,443,201 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (3.7%) |
|
|
|
|
|
|
|
|
Dow Jones & Company, Inc.*^
|
|
|
|
|
|
18,072,000 |
|
|
7.500%, 06/29/12 |
|
|
17,992,483 |
|
|
18,072,000 |
|
|
6.750%, 06/29/12 |
|
|
18,026,820 |
|
|
|
|
|
E*TRADE Financial Corp.
|
|
|
|
|
|
17,494,000 |
|
|
7.375%, 09/15/13 |
|
|
18,346,833 |
|
|
12,063,000 |
|
|
7.875%, 12/01/15 |
|
|
13,073,276 |
|
|
3,072,000 |
|
|
8.000%, 06/15/11 |
|
|
3,244,800 |
|
|
13,554,000 |
|
|
Leucadia National Corp.
7.000%, 08/15/13 |
|
|
13,655,655 |
|
|
9,488,000 |
|
|
Senior Housing Properties Trust
8.625%, 01/15/12 |
|
|
10,413,080 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
94,752,947 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (2.7%) |
|
|
|
|
|
4,518,000 |
|
|
Ameripath, Inc.^
10.500%, 04/01/13 |
|
|
4,941,562 |
|
|
2,711,000 |
|
|
Angiotech Pharmaceuticals, Inc.^
7.750%, 04/01/14 |
|
|
2,514,453 |
|
|
4,518,000 |
|
|
Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 |
|
|
4,704,367 |
|
|
1,988,000 |
|
|
DaVita, Inc.^
7.250%, 03/15/15 |
|
|
2,042,670 |
|
|
|
|
|
HCA, Inc.*
|
|
|
|
|
|
3,163,000 |
|
|
9.125%, 11/15/14^ |
|
|
3,423,947 |
|
|
1,355,000 |
|
|
9.250%, 11/15/16 |
|
|
1,480,338 |
|
|
9,940,000 |
|
|
Psychiatric Solutions, Inc.
7.750%, 07/15/15 |
|
|
10,213,350 |
|
|
15,994,000 |
|
|
Tenet Healthcare Corp.
9.250%, 02/01/15 |
|
|
16,073,970 |
|
|
11,747,000 |
|
|
Valeant Pharmaceuticals International
7.000%, 12/15/11 |
|
|
11,453,325 |
|
|
12,199,000 |
|
|
Vanguard Health Systems, Inc.^
9.000%, 10/01/14 |
|
|
12,702,209 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
69,550,191 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (2.6%) |
|
|
|
|
|
6,009,000 |
|
|
American Airlines, Inc.^
7.250%, 02/05/09 |
|
|
6,114,157 |
|
|
2,711,000 |
|
|
Armor Holdings, Inc.
8.250%, 08/15/13 |
|
|
2,860,105 |
|
|
2,033,000 |
|
|
Belden CDT, Inc.*
7.000%, 03/15/17 |
|
|
2,089,399 |
|
|
14,910,000 |
|
|
CNH Global, NV
9.250%, 08/01/11 |
|
|
15,748,687 |
|
|
1,807,000 |
|
|
FTI Consulting, Inc.^
7.625%, 06/15/13 |
|
|
1,874,763 |
|
|
4,518,000 |
|
|
Gardner Denver, Inc.
8.000%, 05/01/13 |
|
|
4,811,670 |
|
|
4,093,000 |
|
|
H&E Equipment Service, Inc.
8.375%, 07/15/16 |
|
|
4,461,370 |
|
|
3,393,000 |
|
|
Manitowoc Company, Inc.
10.500%, 08/01/12 |
|
|
3,622,028 |
|
|
4,518,000 |
|
|
Sequa Corp.
8.875%, 04/01/08 |
|
|
4,664,835 |
|
|
5,196,000 |
|
|
Trinity Industries, Inc.
6.500%, 03/15/14 |
|
|
5,196,000 |
|
|
4,518,000 |
|
|
WESCO International, Inc.
7.500%, 10/15/17 |
|
|
4,653,540 |
|
|
4,518,000 |
|
|
Westinghouse Air Brake Technologies Corp.
6.875%, 07/31/13 |
|
|
4,563,180 |
|
|
4,970,000 |
|
|
Williams Scotsman International, Inc.^
8.500%, 10/01/15 |
|
|
5,293,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
65,952,784 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (2.0%) |
|
|
|
|
|
16,512,000 |
|
|
Advanced Micro Devices, Inc.^
7.750%, 11/01/12 |
|
|
16,264,320 |
|
|
1,988,000 |
|
|
Avago Technologies^
11.875%, 12/01/15 |
|
|
2,281,230 |
|
|
7,681,000 |
|
|
Celestica, Inc.^
7.875%, 07/01/11 |
|
|
7,604,190 |
|
|
15,362,000 |
|
|
Freescale Semiconductor, Inc.*
8.875%, 12/15/14 |
|
|
15,458,013 |
|
|
9,488,000 |
|
|
SunGard Data Systems, Inc.
9.125%, 08/15/13 |
|
|
10,223,320 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
51,831,073 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (2.7%) |
|
|
|
|
|
2,711,000 |
|
|
Century Aluminum Company^
7.500%, 08/15/14 |
|
|
2,816,051 |
|
|
7,889,000 |
|
|
Freeport-McMoRan Copper & Gold, Inc.^
10.125%, 02/01/10 |
|
|
8,288,420 |
|
|
1,988,000 |
|
|
Gibraltar Industries, Inc.
8.000%, 12/01/15 |
|
|
2,012,850 |
|
|
|
|
|
Ineos Group Holdings, PLC*
|
|
|
|
|
12,199,000 |
EUR |
7.875%, 02/15/16 |
|
|
15,773,371 |
|
|
2,259,000 |
|
|
8.500%, 02/15/16^ |
|
|
2,196,877 |
|
|
9,036,000 |
|
|
IPSCO, Inc.
8.750%, 06/01/13 |
|
|
9,712,516 |
|
|
2,711,000 |
|
|
P.H. Glatfelter Company
7.125%, 05/01/16 |
|
|
2,741,499 |
|
|
|
|
|
Union Carbide Corp.
|
|
|
|
|
|
9,895,000 |
|
|
7.875%, 04/01/23^ |
|
|
10,593,587 |
|
|
7,816,000 |
|
|
7.500%, 06/01/25 |
|
|
8,029,377 |
|
|
6,642,000 |
|
|
Westlake Chemical Corp.
6.625%, 01/15/16 |
|
|
6,492,555 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
68,657,103 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (1.8%) |
|
|
|
|
|
11,747,000 |
|
|
Alamosa Holdings, Inc.^
8.500%, 01/31/12 |
|
|
12,398,865 |
|
See accompanying Notes to Schedule of Investments.
|
|
|
|
|
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT
|
|
|
9 |
|
Schedule of Investments
APRIL 30, 2007 (UNAUDITED)
|
|
|
|
|
|
|
|
|
PRINCIPAL |
|
|
|
|
|
|
AMOUNT |
|
|
|
|
VALUE |
|
|
$ |
1,536,000 |
|
|
Citizens Communications Company
9.000%, 08/15/31 |
|
$ |
1,693,440 |
|
|
8,133,000 |
|
|
Leap Wireless International, Inc.^*
9.375%, 11/01/14 |
|
|
8,722,643 |
|
|
4,093,000 |
|
|
Qwest Communications International, Inc.^
7.750%, 02/15/31 |
|
|
4,174,860 |
|
|
4,518,000 |
|
|
Sprint Nextel Corp.
11.000%, 07/31/10 |
|
|
4,812,397 |
|
|
4,518,000 |
|
|
Syniverse Technologies, Inc.
7.750%, 08/15/13 |
|
|
4,450,230 |
|
|
8,133,000 |
|
|
Windstream Corp.
8.625%, 08/01/16 |
|
|
8,966,632 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
45,219,067 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (1.0%) |
|
|
|
|
|
10,843,000 |
|
|
Edison International
7.730%, 06/15/09 |
|
|
11,439,365 |
|
|
16,265,000 |
|
|
TXU Corp.
6.500%, 11/15/24 |
|
|
14,157,284 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
25,596,649 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS |
|
|
|
|
|
|
|
|
(Cost $907,509,281) |
|
|
922,564,934 |
|
|
|
|
|
|
|
|
|
CONVERTIBLE BONDS (14.0%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (4.9%) |
|
|
|
|
|
7,000,000 |
|
|
General Motors Corp.
6.250%, 07/15/33 |
|
|
6,437,200 |
|
|
21,500,000 |
|
|
Interpublic Group of Companies, Inc.*
5.705%, 06/15/09 |
|
|
26,919,225 |
|
|
5,680,000 |
|
|
Liberty Media Corp. (CBS Corp.)
3.250%, 03/15/31 |
|
|
4,899,000 |
|
16,500,000 |
GBP |
Punch Taverns Redwood Jersey Company Ltd.
5.000%, 12/14/10 |
|
|
43,956,654 |
|
|
|
|
|
United Auto Group, Inc.
|
|
|
|
|
|
2,931,000 |
|
|
3.500%, 04/01/26* |
|
|
3,117,851 |
|
|
1,345,000 |
|
|
3.500%, 04/01/26 |
|
|
1,430,744 |
|
|
32,000,000 |
|
|
Walt Disney Company^
2.125%, 04/15/23 |
|
|
39,280,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
126,040,674 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (1.7%) |
|
|
|
|
|
7,000,000 |
|
|
Host Hotels & Resorts, Inc.*^
2.625%, 04/15/27 |
|
|
6,746,250 |
|
|
34,000,000 |
|
|
Prudential Financial, Inc.
2.600%, 11/15/35 |
|
|
36,233,120 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
42,979,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (2.7%) |
|
|
|
|
|
32,750,000 |
|
|
L-3 Communications Holdings, Inc.^
3.000%,
08/01/35 |
|
|
35,574,687 |
|
|
16,000,000 |
|
|
Lockheed Martin Corp.
5.110%, 08/15/33 |
|
|
21,911,520 |
|
|
7,500,000 |
|
|
Quanta Services, Inc.^
3.750%, 04/30/26 |
|
|
10,425,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
67,911,207 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (1.8%) |
|
|
|
|
|
17,000,000 |
|
|
Electronic Data Systems Corp.^
3.875%, 07/15/23 |
|
|
17,765,000 |
|
|
18,880,000 |
|
|
Linear Technology Corp.*^
3.000%, 05/01/27 |
|
|
19,517,200 |
|
|
8,000,000 |
|
|
Mentor Graphics Corp.*
6.250%, 03/01/26 |
|
|
9,790,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
47,072,200 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (2.9%) |
|
|
|
|
|
20,000,000 |
|
|
CenterPoint Energy, Inc.
3.750%, 05/15/23 |
|
|
33,525,000 |
|
5,750,000 |
|
EUR |
International Power, PLC
3.250%, 07/20/13 |
|
|
10,567,093 |
|
8,750,000 |
|
GBP |
Scottish & Southern Energy, PLC
3.750%, 10/29/09 |
|
|
29,534,561 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
73,626,654 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE BONDS |
|
|
|
|
|
|
|
|
(Cost $320,127,062) |
|
|
357,630,105 |
|
|
|
|
|
|
|
|
|
SYNTHETIC CONVERTIBLE SECURITIES (4.5%) |
|
|
|
|
Corporate Bonds (3.8%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (1.3%) |
|
|
|
|
|
482,000 |
|
|
Asbury Automotive Group, Inc.
8.000%, 03/15/14 |
|
|
494,050 |
|
|
1,094,000 |
|
|
Beazer Homes USA, Inc.
8.375%, 04/15/12 |
|
|
1,091,265 |
|
|
482,000 |
|
|
Boyd Gaming Corp.^
7.750%, 12/15/12 |
|
|
503,690 |
|
|
892,000 |
|
|
DIRECTV Financing Company, Inc.
8.375%, 03/15/13 |
|
|
945,520 |
|
|
1,494,000 |
|
|
EchoStar DBS Corp.
7.125%, 02/01/16 |
|
|
1,563,097 |
|
626,000 |
|
GBP |
EMI Group, PLC
8.250%, 05/20/08 |
|
|
1,295,626 |
|
|
2,024,000 |
|
|
Expedia, Inc.^
7.456%, 08/15/18 |
|
|
2,126,315 |
|
|
867,000 |
|
|
GameStop Corp.
8.000%, 10/01/12 |
|
|
928,774 |
|
|
1,446,000 |
|
|
General Motors Corp.^
7.200%, 01/15/11 |
|
|
1,384,545 |
|
|
1,928,000 |
|
|
Goodyear Tire & Rubber Company^
7.857%, 08/15/11 |
|
|
2,026,810 |
|
|
819,000 |
|
|
Group 1 Automotive, Inc.
8.250%, 08/15/13 |
|
|
851,760 |
|
|
1,638,000 |
|
|
Hanes Brands, Inc.*
8.735%, 12/15/14 |
|
|
1,691,235 |
|
|
867,000 |
|
|
Hovnanian Enterprises, Inc.^
7.750%, 05/15/13 |
|
|
810,645 |
|
|
867,000 |
|
|
Idearc, Inc.*
8.000%, 11/15/16 |
|
|
908,183 |
|
|
405,000 |
|
|
Jarden Corp.
7.500%, 05/01/17 |
|
|
416,644 |
|
See accompanying Notes to Schedule of Investments.
|
|
|
10
|
|
Strategic Total Return Fund
SEMIANNUAL REPORT Schedule of Investments |
Schedule of Investments
APRIL 30, 2007 (UNAUDITED)
|
|
|
|
|
|
|
|
|
PRINCIPAL |
|
|
|
|
|
|
AMOUNT |
|
|
|
|
VALUE |
|
|
$ |
313,000 |
|
|
Kellwood Company
7.625%, 10/15/17 |
|
$ |
291,750 |
|
|
723,000 |
|
|
Landrys Restaurants, Inc.
7.500%, 12/15/14 |
|
|
723,000 |
|
|
482,000 |
|
|
Liberty Media Corp.^
8.250%, 02/01/30 |
|
|
485,590 |
|
|
1,108,000 |
|
|
Linens n Things, Inc.^
10.981%, 01/15/14 |
|
|
1,048,445 |
|
|
|
|
|
Mandalay Resort Group^
|
|
|
|
|
|
1,402,000 |
|
|
10.250%, 08/01/07 |
|
|
1,423,030 |
|
|
626,000 |
|
|
7.625%, 07/15/13 |
|
|
629,130 |
|
|
1,253,000 |
|
|
Meritage Corp.
7.000%, 05/01/14 |
|
|
1,212,277 |
|
|
578,000 |
|
|
NCL Holding, ASA
10.625%, 07/15/14 |
|
|
578,000 |
|
|
482,000 |
|
|
Oxford Industries, Inc.
8.875%, 06/01/11 |
|
|
502,485 |
|
|
|
|
|
Pinnacle Entertainment, Inc.
|
|
|
|
|
|
867,000 |
|
|
8.250%, 03/15/12 |
|
|
895,178 |
|
|
496,000 |
|
|
8.750%, 10/01/13^ |
|
|
525,760 |
|
|
1,253,000 |
|
|
Royal Caribbean Cruises, Ltd.
7.500%, 10/15/27 |
|
|
1,247,055 |
|
|
1,831,000 |
|
|
Service Corp. International
6.750%, 04/01/16 |
|
|
1,808,112 |
|
|
1,446,000 |
|
|
Standard Pacific Corp.^
9.250%, 04/15/12 |
|
|
1,417,080 |
|
|
212,000 |
|
|
Station Casinos, Inc.
6.875%, 03/01/16 |
|
|
200,340 |
|
|
482,000 |
|
|
Vail Resorts, Inc.
6.750%, 02/15/14 |
|
|
489,230 |
|
|
|
|
|
Warner Music Group
|
|
|
|
|
|
1,783,000 |
|
|
7.375%, 04/15/14 |
|
|
1,720,595 |
|
241,000 |
|
GBP |
8.125%, 04/15/14 |
|
|
480,723 |
|
|
212,000 |
|
|
Wynn Las Vegas, LLC^
6.625%, 12/01/14 |
|
|
213,590 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
32,929,529 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.2%) |
|
|
|
|
|
193,000 |
|
|
Alimentation Couche-Tard Inc.
7.500%, 12/15/13 |
|
|
200,238 |
|
|
819,000 |
|
|
Central Garden & Pet Company
9.125%, 02/01/13 |
|
|
857,902 |
|
|
1,422,000 |
|
|
Chiquita Brands International, Inc.^
7.500%, 11/01/14 |
|
|
1,308,240 |
|
|
1,108,000 |
|
|
Del Monte Foods Company
8.625%, 12/15/12 |
|
|
1,168,940 |
|
|
1,060,000 |
|
|
NBTY, Inc.
7.125%, 10/01/15 |
|
|
1,078,550 |
|
|
|
|
|
Pilgrims Pride Corp.
|
|
|
|
|
|
1,157,000 |
|
|
8.375%, 05/01/17^ |
|
|
1,177,247 |
|
|
578,000 |
|
|
7.625%, 05/01/15 |
|
|
588,115 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,379,232 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.5%) |
|
|
|
|
|
1,157,000 |
|
|
Arch Western Finance, LLC
6.750%, 07/01/13 |
|
|
1,154,107 |
|
|
|
|
|
Chesapeake Energy Corp.
|
|
|
|
|
|
675,000 |
|
|
6.875%, 01/15/16 |
|
|
690,188 |
|
|
386,000 |
|
|
7.500%, 06/15/14 |
|
|
406,265 |
|
|
408,000 |
|
|
Comstock Resources, Inc.
6.875%, 03/01/12 |
|
|
400,860 |
|
|
1,426,000 |
|
|
Giant Industries, Inc.
8.000%, 05/15/14 |
|
|
1,497,300 |
|
|
482,000 |
|
|
Houston Exploration Company
7.000%, 06/15/13 |
|
|
486,820 |
|
|
675,000 |
|
|
Mariner Energy, Inc.^
8.000%, 05/15/17 |
|
|
682,594 |
|
|
482,000 |
|
|
Petrohawk Energy Corp.
7.125%, 04/01/12 |
|
|
479,590 |
|
|
|
|
|
Petróleo Brasileiro, SA
|
|
|
|
|
|
1,590,000 |
|
|
9.125%, 07/02/13 |
|
|
1,880,175 |
|
|
1,494,000 |
|
|
8.375%, 12/10/18 |
|
|
1,807,740 |
|
|
193,000 |
|
|
Premcor Refining Group, Inc.
7.500%, 06/15/15 |
|
|
199,379 |
|
|
482,000 |
|
|
Superior Energy Services, Inc.
6.875%, 06/01/14 |
|
|
491,640 |
|
|
1,091,000 |
|
|
Swift Energy Company^
9.375%, 05/01/12 |
|
|
1,145,550 |
|
|
728,000 |
|
|
Whiting Petroleum Corp.
7.250%, 05/01/12 |
|
|
718,900 |
|
|
1,928,000 |
|
|
Williams Companies, Inc.
7.750%, 06/15/31 |
|
|
2,087,060 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
14,128,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.4%) |
|
|
|
|
|
|
|
|
Dow Jones & Company, Inc.*^
|
|
|
|
|
|
1,928,000 |
|
|
7.500%, 06/29/12 |
|
|
1,919,517 |
|
|
1,928,000 |
|
|
6.750%, 06/29/12 |
|
|
1,923,180 |
|
|
|
|
|
E*TRADE Financial Corp.
|
|
|
|
|
|
1,866,000 |
|
|
7.375%, 09/15/13 |
|
|
1,956,968 |
|
|
1,287,000 |
|
|
7.875%, 12/01/15 |
|
|
1,394,786 |
|
|
328,000 |
|
|
8.000%, 06/15/11 |
|
|
346,450 |
|
|
1,446,000 |
|
|
Leucadia National Corp.
7.000%, 08/15/13 |
|
|
1,456,845 |
|
|
1,012,000 |
|
|
Senior Housing Properties Trust
8.625%, 01/15/12 |
|
|
1,110,670 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
10,108,416 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.3%) |
|
|
|
|
|
482,000 |
|
|
Ameripath, Inc.^
10.500%, 04/01/13 |
|
|
527,187 |
|
|
289,000 |
|
|
Angiotech Pharmaceuticals, Inc.^
7.750%, 04/01/14 |
|
|
268,048 |
|
|
482,000 |
|
|
Bio-Rad Laboratories, Inc.
7.500%, 08/15/13 |
|
|
501,882 |
|
|
212,000 |
|
|
DaVita, Inc.^
7.250%, 03/15/15 |
|
|
217,830 |
|
See accompanying Notes to Schedule of Investments.
|
|
|
|
|
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT
|
|
|
11 |
|
Schedule of Investments
APRIL 30, 2007 (UNAUDITED)
|
|
|
|
|
|
|
|
|
PRINCIPAL |
|
|
|
|
|
|
AMOUNT |
|
|
|
|
VALUE |
|
|
|
|
|
|
HCA, Inc.*
|
|
|
|
|
$ |
337,000 |
|
|
9.125%, 11/15/14^ |
|
$ |
364,803 |
|
|
145,000 |
|
|
9.250%, 11/15/16 |
|
|
158,413 |
|
|
1,060,000 |
|
|
Psychiatric Solutions, Inc.
7.750%, 07/15/15 |
|
|
1,089,150 |
|
|
1,706,000 |
|
|
Tenet Healthcare Corp.
9.250%, 02/01/15 |
|
|
1,714,530 |
|
|
1,253,000 |
|
|
Valeant Pharmaceuticals International
7.000%, 12/15/11 |
|
|
1,221,675 |
|
|
1,301,000 |
|
|
Vanguard Health Systems, Inc.^
9.000%, 10/01/14 |
|
|
1,354,666 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,418,184 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.3%) |
|
|
|
|
|
641,000 |
|
|
American Airlines, Inc.^
7.250%, 02/05/09 |
|
|
652,218 |
|
|
289,000 |
|
|
Armor Holdings, Inc.
8.250%, 08/15/13 |
|
|
304,895 |
|
|
217,000 |
|
|
Belden CDT, Inc.*
7.000%, 03/15/17 |
|
|
223,020 |
|
|
1,590,000 |
|
|
CNH Global, NV
9.250%, 08/01/11 |
|
|
1,679,437 |
|
|
193,000 |
|
|
FTI Consulting, Inc.^
7.625%, 06/15/13 |
|
|
200,238 |
|
|
482,000 |
|
|
Gardner Denver, Inc.
8.000%, 05/01/13 |
|
|
513,330 |
|
|
437,000 |
|
|
H&E Equipment Service, Inc.
8.375%, 07/15/16 |
|
|
476,330 |
|
|
362,000 |
|
|
Manitowoc Company, Inc.
10.500%, 08/01/12 |
|
|
386,435 |
|
|
482,000 |
|
|
Sequa Corp.
8.875%, 04/01/08 |
|
|
497,665 |
|
|
554,000 |
|
|
Trinity Industries, Inc.
6.500%, 03/15/14 |
|
|
554,000 |
|
|
482,000 |
|
|
WESCO International, Inc.
7.500%, 10/15/17 |
|
|
496,460 |
|
|
482,000 |
|
|
Westinghouse Air Brake Technologies Corp.
6.875%, 07/31/13 |
|
|
486,820 |
|
|
530,000 |
|
|
Williams Scotsman International, Inc.^
8.500%, 10/01/15 |
|
|
564,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,035,298 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.2%) |
|
|
|
|
|
1,761,000 |
|
|
Advanced Micro Devices, Inc.^
7.750%, 11/01/12 |
|
|
1,734,585 |
|
|
212,000 |
|
|
Avago Technologies^
11.875%, 12/01/15 |
|
|
243,270 |
|
|
819,000 |
|
|
Celestica, Inc.^
7.875%, 07/01/11 |
|
|
810,810 |
|
|
1,638,000 |
|
|
Freescale Semiconductor, Inc.*
8.875%, 12/15/14 |
|
|
1,648,237 |
|
|
1,012,000 |
|
|
SunGard Data Systems, Inc.
9.125%, 08/15/13 |
|
|
1,090,430 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
5,527,332 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (0.3%) |
|
|
|
|
|
289,000 |
|
|
Century Aluminum Company^
7.500%, 08/15/14 |
|
|
300,199 |
|
|
841,000 |
|
|
Freeport-McMoRan Copper & Gold, Inc.^
10.125%, 02/01/10 |
|
|
883,580 |
|
|
212,000 |
|
|
Gibraltar Industries, Inc.
8.000%, 12/01/15 |
|
|
214,650 |
|
|
|
|
|
Ineos Group Holdings, PLC*
|
|
|
|
|
1,301,000 |
EUR |
7.875%, 02/15/16 |
|
|
1,682,200 |
|
|
241,000 |
|
|
8.500%, 02/15/16^ |
|
|
234,372 |
|
|
964,000 |
|
|
IPSCO, Inc.
8.750%, 06/01/13 |
|
|
1,036,174 |
|
|
289,000 |
|
|
P.H. Glatfelter Company
7.125%, 05/01/16 |
|
|
292,251 |
|
|
|
|
|
Union Carbide Corp.
|
|
|
|
|
|
1,055,000 |
|
|
7.875%, 04/01/23^ |
|
|
1,129,483 |
|
|
834,000 |
|
|
7.500%, 06/01/25 |
|
|
856,768 |
|
|
708,000 |
|
|
Westlake Chemical Corp.
6.625%, 01/15/16 |
|
|
692,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
7,321,747 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (0.2%) |
|
|
|
|
|
1,253,000 |
|
|
Alamosa Holdings, Inc.^
8.500%, 01/31/12 |
|
|
1,322,531 |
|
|
164,000 |
|
|
Citizens Communications Company
9.000%, 08/15/31 |
|
|
180,810 |
|
|
867,000 |
|
|
Leap Wireless International, Inc.^*
9.375%, 11/01/14 |
|
|
929,858 |
|
|
437,000 |
|
|
Qwest Communications International, Inc.^
7.750%, 02/15/31 |
|
|
445,740 |
|
|
482,000 |
|
|
Sprint Nextel Corp.
11.000%, 07/31/10 |
|
|
513,408 |
|
|
482,000 |
|
|
Syniverse Technologies, Inc.
7.750%, 08/15/13 |
|
|
474,770 |
|
|
867,000 |
|
|
Windstream Corp.
8.625%, 08/01/16 |
|
|
955,867 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,822,984 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Utilities (0.1%) |
|
|
|
|
|
1,157,000 |
|
|
Edison International
7.730%, 06/15/09 |
|
|
1,220,635 |
|
|
1,735,000 |
|
|
TXU Corp.
6.500%, 11/15/24 |
|
|
1,510,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2,730,803 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CORPORATE BONDS |
|
|
98,401,693 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
CONTRACTS |
|
|
|
|
VALUE |
|
|
Options (0.7%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (0.3%) |
|
|
|
|
|
3,375 |
|
|
Comcast Corp.#
Call, 01/17/09, Strike $28.37 |
|
|
1,231,875 |
|
|
310 |
|
|
Garmin, Ltd.#
Call, 01/19/09, Strike $55.00 |
|
|
375,100 |
|
See accompanying Notes to Schedule of Investments.
|
|
|
12
|
|
Strategic Total Return Fund
SEMIANNUAL REPORT Schedule of Investments |
Schedule of Investments
APRIL 30, 2007 (UNAUDITED)
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
CONTRACTS |
|
|
|
|
VALUE |
|
|
|
1,450 |
|
|
Harley-Davidson, Inc.#
Call, 01/17/09, Strike $70.00 |
|
$ |
906,250 |
|
|
|
|
|
Nike, Inc.#
|
|
|
|
|
|
1,120 |
|
|
Call, 01/17/09, Strike $55.00 |
|
|
733,600 |
|
|
1,120 |
|
|
Call, 01/17/09, Strike $50.00 |
|
|
1,052,800 |
|
|
1,100 |
|
|
Omnicom Group, Inc.#
Call, 01/17/09, Strike $100.00 |
|
|
1,782,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
6,081,625 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (0.0%) |
|
|
|
|
|
1,250 |
|
|
Kroger Company#
Call, 01/17/09, Strike $30.00 |
|
|
456,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (0.0%) |
|
|
|
|
|
330 |
|
|
Schlumberger N.V. (Schlumberger Ltd.)#
Call, 01/17/09, Strike $80.00 |
|
|
348,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (0.1%) |
|
|
|
|
|
1,150 |
|
|
Charles Schwab Corp.#
Call, 01/19/08, Strike $17.50 |
|
|
330,625 |
|
|
55 |
|
|
Chicago Mercantile Exchange Holdings, Inc.#
Call, 01/19/08, Strike $510.00 |
|
|
317,075 |
|
|
650 |
|
|
E*TRADE Financial Corp.#
Call, 01/19/08, Strike $25.00 |
|
|
102,375 |
|
|
|
|
|
Goldman Sachs Group, Inc.#
|
|
|
|
|
|
265 |
|
|
Call, 01/17/09, Strike $195.00 |
|
|
1,336,925 |
|
|
110 |
|
|
Call, 01/17/09, Strike $220.00 |
|
|
396,000 |
|
|
360 |
|
|
Lehman Brothers Holdings, Inc.#
Call, 01/19/08, Strike $75.00 |
|
|
302,400 |
|
|
380 |
|
|
Merrill Lynch & Company, Inc.#
Call, 01/19/08, Strike $85.00 |
|
|
423,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
3,209,100 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (0.0%) |
|
|
|
|
|
215 |
|
|
Allergan, Inc.#
Call, 01/19/08, Strike $110.00 |
|
|
402,050 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (0.1%) |
|
|
|
|
|
1,400 |
|
|
General Dynamics Corp.#
Call, 01/17/09, Strike $75.00 |
|
|
1,799,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (0.2%) |
|
|
|
|
|
2,100 |
|
|
Apple Computer, Inc.#
Call, 01/19/08, Strike $90.00 |
|
|
3,843,000 |
|
|
820 |
|
|
Hewlett-Packard Company#
Call, 01/19/08, Strike $40.00 |
|
|
434,600 |
|
|
800 |
|
|
Motorola, Inc.#
Call, 01/19/08, Strike $22.50 |
|
|
30,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
4,307,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (0.0%) |
|
|
|
|
|
380 |
|
|
America Movil, S.A. de C.V.#
Call, 01/17/09, Strike $50.00 |
|
|
418,000 |
|
|
230 |
|
|
NII Holdings, Inc.#
Call, 01/17/09, Strike $80.00 |
|
|
342,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
760,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL OPTIONS |
|
|
17,364,475 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL SYNTHETIC CONVERTIBLE SECURITIES |
|
|
|
|
|
|
|
|
(Cost $116,214,985) |
|
$ |
115,766,168 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
SHARES |
|
|
|
|
VALUE |
|
|
CONVERTIBLE PREFERRED STOCKS (19.3%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (4.3%) |
|
|
|
|
|
2,652,400 |
|
|
Ford Motor Company Capital Trust II
6.500% |
|
|
94,955,920 |
|
|
14,788 |
|
|
Stanley Works
6.975% |
|
|
15,873,069 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
110,828,989 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (1.2%) |
|
|
|
|
|
110,000 |
|
|
Chesapeake Energy Corp.
6.250% |
|
|
30,635,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (10.5%) |
|
|
|
|
|
1,600,000 |
|
|
Citigroup, Inc. (Genworth Financial, Inc.)¥
5.683% |
|
|
54,000,000 |
|
|
27,600 |
|
|
Fortis Insurance, N.V. (Assurant, Inc.)*¥
7.750% |
|
|
40,168,792 |
|
|
725,000 |
|
|
Lazard, Ltd.
6.625% |
|
|
33,538,500 |
|
|
1,950,000 |
|
|
Lehman Brothers Holdings, Inc.
(General Mills, Inc.)¥
6.250% |
|
|
54,990,000 |
|
|
460,000 |
|
|
Merrill Lynch & Company, Inc.
(Nuveen Investments, Inc.)¥
6.750% |
|
|
20,843,750 |
|
|
1,400,000 |
|
|
MetLife, Inc.
6.375% |
|
|
46,046,000 |
|
|
685,000 |
|
|
XL Capital, Ltd.
7.000% |
|
|
18,769,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
268,356,042 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (1.8%) |
|
|
|
|
|
639,000 |
|
|
Schering-Plough Corp.
6.000% |
|
|
46,091,070 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Materials (1.5%) |
|
|
|
|
|
200,000 |
|
|
Freeport-McMoRan Copper & Gold, Inc.
6.750% |
|
|
21,708,000 |
|
2,000 |
|
CHF |
Givaudan SA
5.375% |
|
|
16,969,137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
38,677,137 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL CONVERTIBLE
PREFERRED STOCKS |
|
|
|
|
|
|
|
|
(Cost $459,542,220) |
|
|
494,588,238 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
COMMON STOCKS (66.9%) |
|
|
|
|
|
|
|
|
Consumer Discretionary (5.3%) |
|
|
|
|
|
400,000 |
|
|
Carnival Corp.<> |
|
|
19,556,000 |
|
|
300,000 |
|
|
CBS Corp.^ |
|
|
9,531,000 |
|
See accompanying Notes to Schedule of Investments.
|
|
|
|
|
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT
|
|
|
13 |
|
Schedule of Investments
APRIL 30, 2007 (UNAUDITED)
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
SHARES |
|
|
|
|
VALUE |
|
|
340,000 |
|
SEK |
Hennes & Mauritz, AB |
|
$ |
22,476,542 |
|
|
550,000 |
|
|
Home Depot, Inc.^ |
|
|
20,828,500 |
|
|
51,950 |
|
|
Idearc, Inc.^ |
|
|
1,805,262 |
|
|
375,000 |
|
|
Mattel, Inc. |
|
|
10,612,500 |
|
|
375,000 |
|
|
Tupperware Corp.^ |
|
|
10,545,000 |
|
|
450,000 |
|
|
V.F. Corp.^ |
|
|
39,514,500 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
134,869,304 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Consumer Staples (9.6%) |
|
|
|
|
|
320,000 |
|
|
Altria Group, Inc. |
|
|
22,054,400 |
|
|
350,000 |
|
|
Anheuser-Busch Companies, Inc. |
|
|
17,216,500 |
|
|
1,300,000 |
|
|
Coca-Cola Company |
|
|
67,847,000 |
|
|
425,000 |
|
|
H. J. Heinz Company |
|
|
20,021,750 |
|
|
471,447 |
|
|
Kraft Foods, Inc.^ |
|
|
15,779,331 |
|
|
410,000 |
|
|
Procter & Gamble Company |
|
|
26,367,100 |
|
|
840,000 |
|
|
Reynolds American, Inc.^ |
|
|
53,978,400 |
|
|
185,000 |
|
|
Universal Corp.^ |
|
|
11,595,800 |
|
450,000 |
|
AUD |
Woolworths, Ltd. |
|
|
10,539,594 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
245,399,875 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy (6.1%) |
|
|
|
|
|
775,000 |
|
|
Chevron Corp. |
|
|
60,287,250 |
|
|
550,000 |
|
|
ConocoPhillips |
|
|
38,142,500 |
|
|
250,000 |
|
|
Marathon Oil Corp. |
|
|
25,387,500 |
|
|
295,000 |
|
|
PetroChina Company, Ltd. |
|
|
33,081,300 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
156,898,550 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Financials (12.7%) |
|
|
|
|
|
500,000 |
|
|
Bank of America Corp. |
|
|
25,450,000 |
|
|
1,372,000 |
|
|
Citigroup, Inc. |
|
|
73,566,640 |
|
|
250,000 |
|
|
Federal Home Loan Mortgage Corp.^ |
|
|
16,195,000 |
|
|
777,000 |
|
|
Federal National Mortgage Association<> |
|
|
45,780,840 |
|
|
600,000 |
|
|
JPMorgan Chase & Company |
|
|
31,260,000 |
|
|
158,074 |
|
|
Lincoln National Corp.^ |
|
|
11,246,965 |
|
|
500,000 |
|
|
U.S. Bancorp^ |
|
|
17,175,000 |
|
|
360,000 |
|
|
Wachovia Corp.^ |
|
|
19,994,400 |
|
|
2,000,000 |
|
|
Washington Mutual, Inc. |
|
|
83,960,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
324,628,845 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Health Care (12.8%) |
|
|
|
|
|
525,000 |
|
|
Abbott Laboratories |
|
|
29,725,500 |
|
|
300,000 |
|
|
Eli Lilly and Company |
|
|
17,739,000 |
|
|
1,600,000 |
|
|
Johnson & Johnson |
|
|
102,752,000 |
|
|
1,755,000 |
|
|
Merck & Company, Inc. |
|
|
90,277,200 |
|
|
3,300,000 |
|
|
Pfizer, Inc. |
|
|
87,318,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
327,811,700 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Industrials (4.1%) |
|
|
|
|
|
1,175,000 |
|
|
General Electric Company |
|
|
43,310,500 |
|
|
450,000 |
|
|
Masco Corp.^ |
|
|
12,244,500 |
|
|
350,000 |
|
|
R.R. Donnelley & Sons Company |
|
|
14,070,000 |
|
|
435,000 |
|
|
Raytheon Company |
|
|
23,289,900 |
|
|
|
|
|
|
|
|
|
|
|
375,000 |
|
|
Tyco International, Ltd.^ |
|
|
12,236,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
105,151,150 |
|
|
|
|
|
|
|
|
|
|
|
|
|
Information Technology (7.2%) |
|
|
|
|
|
450,000 |
|
|
Cisco Systems, Inc.# |
|
|
12,033,000 |
|
|
615,000 |
|
|
Electronic Data Systems Corp. |
|
|
17,982,600 |
|
|
850,000 |
|
|
Hewlett-Packard Company |
|
|
35,819,000 |
|
|
570,000 |
|
|
Infosys Technologies, Ltd. |
|
|
29,839,500 |
|
|
1,382,000 |
|
|
Intel Corp.<> |
|
|
29,713,000 |
|
|
1,225,000 |
|
|
Microsoft Corp. |
|
|
36,676,500 |
|
|
500,000 |
|
|
Nokia Corp. |
|
|
12,625,000 |
|
|
600,000 |
|
|
Oracle Corp.# |
|
|
11,280,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
185,968,600 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Telecommunication Services (9.1%) |
|
|
|
|
|
4,044,875 |
|
|
AT&T, Inc. |
|
|
156,617,560 |
|
823,500 |
|
CAD |
BCE Inc. |
|
|
27,741,837 |
|
1,500,000 |
|
GBP |
BT Group, PLC |
|
|
9,435,622 |
|
|
1,039,000 |
|
|
Verizon Communications, Inc.^ |
|
|
39,669,020 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
233,464,039 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL COMMON STOCKS |
|
|
|
|
|
|
|
|
(Cost $1,456,372,873) |
|
|
1,714,192,063 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
CONTRACTS |
|
|
|
|
VALUE |
|
|
Put Options (0.2%) |
|
|
|
|
|
|
|
|
Financials (0.2%) |
|
|
|
|
|
1,930 |
|
|
S & P 500 Index#
Put, 12/22/07, Strike $1,350.00
(Cost $7,474,890) |
|
|
3,908,250 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
PRINCIPAL |
|
|
|
|
|
|
AMOUNT |
|
|
|
|
VALUE |
|
|
SHORT-TERM INVESTMENT (0.4%) |
|
|
|
|
|
|
|
|
Commercial Paper (0.4%) |
|
|
|
|
$ |
9,423,000 |
|
|
Citigroup, Inc.
5.250%, 05/01/07
(Cost $9,423,000) |
|
|
9,423,000 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
|
|
|
|
SHARES |
|
|
|
|
|
|
|
|
VALUE |
|
|
INVESTMENTS OF CASH COLLATERAL
FOR SECURITIES ON LOAN (15.2%) |
|
|
|
|
|
390,508,604 |
|
|
Bank of New York Institutional
Cash Reserve Fund
current rate 5.378%
(Cost $390,508,604) |
|
|
390,508,604 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL INVESTMENTS (156.5%) |
|
|
|
|
|
|
(Cost $3,667,172,915) |
|
|
4,008,581,362 |
|
|
|
|
|
|
|
|
|
|
|
|
|
See accompanying Notes to Schedule of Investments.
|
|
|
14
|
|
Strategic Total Return Fund
SEMIANNUAL REPORT Schedule of Investments |
Schedule of Investments
APRIL 30, 2007 (UNAUDITED)
|
|
|
|
|
|
|
|
|
NUMBER OF |
|
|
|
|
|
|
CONTRACTS |
|
|
|
|
VALUE |
|
|
WRITTEN OPTIONS (-0.2%) |
|
|
|
|
|
|
|
|
Financials (-0.2%) |
|
|
|
|
|
1,700 |
|
|
Carnival Corporation & Plc#
Call, 10/20/07, Strike $47.50 |
|
$ |
(697,000 |
) |
|
3,250 |
|
|
Federal National Mortgage Association#
Call, 09/22/07, Strike $55.00 |
|
|
(2,096,250 |
) |
|
6,900 |
|
|
Intel Corp.#
Call, 10/20/07, Strike $20.00 |
|
|
(1,711,200 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
TOTAL WRITTEN OPTIONS
|
|
|
|
|
|
|
|
|
(Premium $2,673,638) |
|
|
(4,504,450 |
) |
|
|
|
|
|
|
|
|
PAYABLE UPON RETURN OF SECURITIES ON LOAN (-15.2%) |
|
|
(390,508,604 |
) |
|
|
|
|
|
|
|
|
OTHER ASSETS, LESS LIABILITIES (1.1%) |
|
|
28,914,435 |
|
|
|
|
|
|
|
|
|
PREFERRED SHARES AT LIQUIDATION VALUE
INCLUDING DIVIDENDS PAYABLE (-42.2%) |
|
|
(1,081,292,689 |
) |
|
|
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON
SHAREHOLDERS (100.0%) |
|
$ |
2,561,190,054 |
|
|
|
|
|
|
|
|
|
NOTES TO SCHEDULE OF INVESTMENTS
Note: Market Value for Securities denominated in foreign currencies are shown in U.S. dollars.
|
|
|
* |
|
144A securities are those that are exempt from
registration under Rule 144A of the Securities Act of
1933, as amended. These securities are generally issued
to qualified institutional buyers (QIBs), such as
the Fund. Any resale of these securities must generally
be effected through a sale that is exempt from
registration (e.g. a sale to another QIB), or the
security must be registered for public sale. At April
30, 2007, the market value of 144A securities that were
not subject to mandatory issuer registration
obligations is $214,578,957 or 8.4% of net assets. |
|
^ |
|
Security, or portion of security, is on loan. |
|
# |
|
Non-income producing security. |
|
|
|
Variable rate or step bond security. The rate shown is
the rate in effect at April 30, 2007. |
|
<> |
|
Security position is held in a segregated account
as collateral for written options aggregating a total
market value of $42,295,300. |
|
¥ |
|
Securities exchangeable or convertible into
securities of an entity different than the issuer.
Such entity is identified in the parenthetical. |
FOREIGN CURRENCY ABBREVIATIONS
|
|
|
AUD |
|
Australian Dollar |
CAD |
|
Canadian Dollar |
CHF |
|
Swiss Franc |
EUR |
|
European Monetary Unit |
GBP |
|
British Pound Sterling |
SEK |
|
Swedish Krona |
See accompanying Notes to Financial Statements.
|
|
|
|
|
Strategic Total Return Fund
Schedule of Investments SEMIANNUAL REPORT
|
|
|
15 |
|
Statement of Assets and Liabilities
|
|
|
|
|
April 30, 2007 (unaudited) |
|
|
|
|
|
ASSETS |
|
|
|
|
Investments, at value* (cost $3,667,172,915) |
|
$ |
4,008,581,362 |
|
Cash with custodian (interest bearing) |
|
|
1,964,427 |
|
Restricted cash for open options (interest bearing) |
|
|
150,000 |
|
Foreign currency (cost $459,101) |
|
|
458,887 |
|
Receivable for investments sold |
|
|
1,504,502 |
|
Accrued interest and dividends receivable |
|
|
30,025,150 |
|
Unrealized appreciation on interest rate swaps |
|
|
2,764,450 |
|
Prepaid expenses |
|
|
91,454 |
|
Other assets |
|
|
60,331 |
|
|
Total assets |
|
|
4,045,600,563 |
|
|
LIABILITIES |
|
|
|
|
Payables: |
|
|
|
|
Cash collateral for securities on loan |
|
|
390,508,604 |
|
Options written, at value (premium $2,673,638) |
|
|
4,504,450 |
|
Investments purchased |
|
|
3,518,767 |
|
Income distribution |
|
|
1,066,442 |
|
Affiliates: |
|
|
|
|
Investment advisory fees |
|
|
2,955,418 |
|
Deferred compensation to Trustees |
|
|
60,331 |
|
Financial accounting fees |
|
|
33,505 |
|
Trustee fees and officer compensation |
|
|
1,137 |
|
Accounts payable and accrued liabilities |
|
|
469,166 |
|
|
Total liabilities |
|
|
403,117,820 |
|
|
PREFERRED SHARES |
|
|
|
|
$25,000 liquidation value per share applicable to 43,200 shares, including dividends payable |
|
|
1,081,292,689 |
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
$ |
2,561,190,054 |
|
|
COMPOSITION OF NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
|
|
|
Common stock, no par value, unlimited shares authorized,154,514,000 shares issued and outstanding |
|
$ |
2,200,733,859 |
|
Undistributed net investment income (loss) |
|
|
(37,174,310 |
) |
Accumulated net realized gain (loss) on investments, written options, foreign currency transactions and interest rate swaps |
|
|
55,214,782 |
|
Net unrealized appreciation (depreciation) on investments, written options, foreign currency translations and interest rate swaps |
|
|
342,415,723 |
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
$ |
2,561,190,054 |
|
|
Net asset value per common share based on 154,514,000 shares issued and outstanding |
|
$ |
16.58 |
|
|
|
|
|
|
* |
|
Including securities on loan with a value of $376,404,623. |
See accompanying Notes to Financial Statements.
|
|
|
16
|
|
Strategic Total Return Fund SEMIANNUAL REPORT Statement of Assets and Liabilities |
Statement of Operations
|
|
|
|
|
Six Months Ended April 30, 2007 (unaudited) |
|
|
|
|
|
INVESTMENT INCOME |
|
|
|
|
Interest |
|
$ |
49,310,346 |
|
Dividends (net of foreign taxes withheld of $22,582) |
|
|
37,470,593 |
|
Securities lending income |
|
|
227,432 |
|
|
Total investment income |
|
|
87,008,371 |
|
|
EXPENSES |
|
|
|
|
Investment advisory fees |
|
|
17,662,918 |
|
Auction agent and rating agency fees |
|
|
1,374,177 |
|
Financial accounting fees |
|
|
199,872 |
|
Printing and mailing fees |
|
|
186,785 |
|
Audit and legal fees |
|
|
95,500 |
|
Accounting fees |
|
|
93,174 |
|
Custodian fees |
|
|
86,016 |
|
Registration fees |
|
|
67,369 |
|
Investor support services |
|
|
57,946 |
|
Trustees fees and officer compensation |
|
|
48,774 |
|
Transfer agent fees |
|
|
16,146 |
|
Other |
|
|
79,710 |
|
|
Total expenses |
|
|
19,968,387 |
|
Less earnings credits |
|
|
(53,388 |
) |
|
Net expenses |
|
|
19,914,999 |
|
|
NET INVESTMENT INCOME (LOSS) |
|
|
67,093,372 |
|
|
REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS, WRITTEN OPTIONS, FOREIGN CURRENCY
AND INTEREST RATE SWAPS |
|
|
|
|
Net realized gain (loss) from: |
|
|
|
|
Investments |
|
|
60,572,053 |
|
Foreign currency transactions |
|
|
180,382 |
|
Interest rate swaps |
|
|
2,297,678 |
|
Change in net unrealized appreciation/depreciation on: |
|
|
|
|
Investments |
|
|
125,218,921 |
|
Written options |
|
|
(1,830,812 |
) |
Foreign currency translations |
|
|
51,468 |
|
Interest rate swaps |
|
|
(1,944,550 |
) |
|
NET REALIZED AND UNREALIZED GAIN (LOSS) FROM INVESTMENTS,WRITTEN OPTIONS,FOREIGN CURRENCY AND
INTEREST RATE SWAPS |
|
|
184,545,140 |
|
|
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS |
|
|
251,638,512 |
|
|
DIVIDENDS TO PREFERRED SHAREHOLDERS FROM |
|
|
|
|
Net investment income |
|
|
(22,357,868 |
) |
Capital gains |
|
|
(5,332,179 |
) |
|
NET INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS RESULTING FROM OPERATIONS |
|
$ |
223,948,465 |
|
|
See accompanying Notes to Financial Statements.
|
|
|
|
|
Strategic Total Return Fund
|
|
|
17 |
|
Statement of Operations SEMIANNUAL REPORT |
|
|
|
Statements of Changes in Net Assets
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
|
Year Ended |
|
|
|
April 30, 2007 |
|
|
October 31, |
|
|
|
(unaudited) |
|
|
2006 |
|
|
OPERATIONS |
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
$ |
67,093,372 |
|
|
$ |
137,603,943 |
|
Net realized gain (loss) from investments, written options, foreign currency transactions and interest rate swaps |
|
|
63,050,113 |
|
|
|
82,747,989 |
|
Change in net unrealized appreciation/depreciation on investments, written options, foreign currency
translations and interest rate swaps |
|
|
121,495,027 |
|
|
|
204,396,753 |
|
Distributions to preferred shareholders from: |
|
|
|
|
|
|
|
|
Net investment income |
|
|
(22,357,868 |
) |
|
|
(50,773,343 |
) |
Capital gains |
|
|
(5,332,179 |
) |
|
|
|
|
|
Net increase (decrease) in net assets applicable to common shareholders resulting from operations |
|
|
223,948,465 |
|
|
|
373,975,342 |
|
|
|
|
|
|
|
|
|
|
|
DISTRIBUTIONS TO COMMON SHAREHOLDERS FROM |
|
|
|
|
|
|
|
|
Net investment income |
|
|
(81,058,049 |
) |
|
|
(118,970,833 |
) |
Capital gains |
|
|
(9,332,646 |
) |
|
|
(58,720,277 |
) |
|
Net decrease in net assets from distributions to common shareholders |
|
|
(90,390,695 |
) |
|
|
(177,691,110 |
) |
|
|
|
|
|
|
|
|
|
|
CAPITAL STOCK TRANSACTIONS |
|
|
|
|
|
|
|
|
Net increase (decrease) in net assets from capital stock transactions |
|
|
|
|
|
|
|
|
|
TOTAL INCREASE (DECREASE) IN NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
|
133,557,770 |
|
|
|
196,284,232 |
|
|
|
|
|
|
|
|
|
|
|
NET ASSETS APPLICABLE TO COMMON SHAREHOLDERS |
|
|
|
|
|
|
|
|
Beginning of period |
|
|
2,427,632,284 |
|
|
|
2,231,348,052 |
|
|
End of period |
|
$ |
2,561,190,054 |
|
|
$ |
2,427,632,284 |
|
|
Undistributed net investment income (loss) |
|
$ |
(37,174,310 |
) |
|
$ |
(851,765 |
) |
See accompanying Notes to Financial Statements.
|
|
|
18
|
|
Strategic Total Return Fund SEMIANNUAL REPORT Statements of Changes in Net Assets |
Notes to Financial Statements (unaudited)
NOTE 1 ORGANIZATION AND SIGNIFICANT ACCOUNTING POLICIES
Organization. CALAMOS Strategic Total Return Fund (the Fund) was organized as a Delaware
statutory trust on December 31, 2003 and is registered under the Investment Company Act of 1940
(the 1940 Act) as a diversified, closed-end management investment company. The Fund commenced
operations on March 26, 2004.
The Funds investment objective is to provide total return through a combination of capital
appreciation and current income. Under normal circumstances, the Fund invests primarily in common
and preferred stocks and income producing securities such as investment grade and below investment
grade debt securities.
Portfolio Valuation. The valuation of the Funds portfolio securities is in accordance
with policies and procedures adopted by and under the ultimate supervision of the Board of
Trustees.
Portfolio securities that are traded on U.S. securities exchanges, except option securities, are
valued at the last current reported sales price at the time as of which the Fund determines its net
asset value (NAV). Securities traded in the over-the-counter (OTC) market and quoted on The
Nasdaq Stock Market are valued at the Nasdaq Official Closing Price (NOCP), as determined by
Nasdaq, or lacking a NOCP, at the last current reported sale price on Nasdaq at the time as of
which the Fund determines its NAV.
When a most recent last sale or closing price is not available, portfolio securities, other than
option securities, that are traded on a U.S. securities exchange and other securities traded in the
OTC market are valued at the mean between the most recent bid and asked quotations in accordance
with guidelines adopted by the Board of Trustees. Each option security traded on a U.S. securities
exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also
in accordance with guidelines adopted by the Board of Trustees. Each OTC option that is not traded
through the Options Clearing Corporation is valued by the counterparty to such option.
Trading in securities on European and Far Eastern securities exchanges and OTC markets is typically
completed at various times before the close of business on each day on which the New York Stock
Exchange (NYSE) is open. Each security trading on these exchanges or OTC markets is evaluated
utilizing a systematic fair valuation model provided by an independent pricing service approved by
the Board of Trustees. The valuation of each security that meets certain criteria in relation to
the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market
after the foreign markets close. Securities that do not meet the criteria, or that are principally
traded in other foreign markets, are valued as of the last current sale price at the time as of
which the Fund determines its NAV, or when reliable market prices or quotations are not readily
available, at the mean between the most recent bid and asked quotations as of the close of the
appropriate exchange or other designated time, in accordance with guidelines adopted by the Board
of Trustees. Trading of foreign securities may not take place on every NYSE business day. In
addition, trading may take place in various foreign markets on Saturdays or on other days when the
NYSE is not open and on which the Funds NAV is not calculated.
If the pricing committee determines that the valuation of a security in accordance with the methods
described above is not reflective of a fair value for such security, the security, including any
thinly-traded security, junk bond or synthetic convertible instrument, is valued at a fair value by
the pricing committee, under the ultimate supervision of the Board of Trustees, following the
guidelines and/or procedures adopted by the Board of Trustees.
The Fund also may use fair value pricing, pursuant to Board of Trustees guidelines and under the
ultimate supervision of the Board of Trustees if the value of a foreign security it holds is
materially affected by events occurring before their valuation time but after the close of the
primary market or exchange on which the security is traded. Those procedures may utilize valuations
furnished by pricing services approved by the Board of Trustees, which may be based on market
transactions for comparable securities and various
relationships between securities that are generally recognized by institutional traders, a
computerized matrix system, or appraisals derived from information concerning the securities or
similar securities received from recognized dealers in those securities.
When fair value pricing of securities is employed, the prices of securities used by the Fund to
calculate its NAV may differ from market quotations or official closing prices.
|
|
|
|
|
Strategic Total Return Fund
|
|
|
19 |
|
Notes to Financial Statements SEMIANNUAL REPORT |
|
|
|
Notes to Financial Statements (unaudited)
Investment Transactions and Investment Income. Short-term investment transactions are
recorded on a trade date basis. Long-term investment transactions are recorded on a trade date plus
one basis, except for fiscal quarter ends, which are recorded on trade date. Net realized gains and
losses from investment transactions are reported on an identified cost basis. Interest income is
recognized using the accrual method and includes accretion of original issue and market discount
and amortization of premium. Dividend income is recognized on the ex-dividend date, except that
certain dividends from foreign securities are recorded as soon as the information becomes
available.
Foreign Currency Translation. Values of investments and other assets and liabilities
denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major
bank or dealer in the particular currency market, as reported by a recognized quotation
dissemination service.
The Fund does not isolate that portion of the results of operations resulting from changes in
foreign exchange rates on investments from the fluctuations arising from changes in market prices
of securities held. Such fluctuations are included with the net realized and unrealized gain or
loss from investments.
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 and assumptions that
affect the amounts reported in the financial statements and accompanying notes. Actual results may
differ from those estimates.
Income Taxes. No provision has been made for U.S. income taxes because the Funds
policy is to continue to qualify as a regulated investment company under the Internal Revenue Code
of 1986, as amended (the Code), and distribute to shareholders substantially all of its taxable
income and net realized gains.
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 contingent payment debt instruments
and methods of amortizing and accreting fixed income securities. Financial records are not adjusted
for temporary differences.
|
|
|
20
|
|
Strategic Total Return Fund SEMIANNUAL REPORT Notes to Financial Statements |
Notes to Financial Statements (unaudited)
Indemnifications. Under the Funds 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 Funds maximum exposure under these
arrangements is unknown as this would involve future claims that may be made against the Fund that
have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these
contracts and expects the risk of loss to be remote.
New Accounting Pronouncements. On July 13, 2006, the Financial Accounting Standards
Board (FASB) released FASB Interpretation No. 48 Accounting for Uncertainty in Income Taxes (FIN
48). FIN 48 provides guidance for how uncertain tax positions should be recognized, measured,
presented and disclosed in the financial statements. FIN 48 requires the evaluation of tax
positions taken in the course of preparing the Funds tax returns to determine whether the tax
positions are more-likely-than-not of being sustained by the applicable tax authority. Tax
benefits of positions not deemed to meet the more-likely-than-not threshold would be recorded as a
tax expense in the current year. Adoption of FIN 48 is required for fiscal years beginning after
December 15, 2006 and is to be applied to all open tax years as of the effective date. At this
time, management is evaluating the implications of FIN 48, and its impact on the financial
statements has not yet been determined.
In addition, in September 2006, the Statement of Financial Accounting Standards No. 157, Fair Value
Measurements (SFAS 157), was issued and is effective for fiscal years beginning after November 15,
2007. SFAS 157 defines fair value, establishes a framework for measuring fair value and expands
disclosures about fair value measurements. Management is currently evaluating the impact the
adoption of SFAS 157 will have on the Funds financial statements and their disclosures, and its
impact has not yet been determined.
NOTE 2 INVESTMENT ADVISER 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.
Pursuant to a financial accounting services agreement, 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
average daily managed net assets of Calamos Investment Trust and Calamos Advisors Trust and the
average weekly managed net 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 monitoring trustee deferred
compensation plan accruals and valuations. The Fund pays its pro rata share of the financial
accounting services fee payable to Calamos Advisors based on the Funds relative portion of
combined assets.
The Fund reimburses Calamos Advisors for a portion of compensation paid to the Funds Chief
Compliance Officer. This compensation is reported as part of Trustees fees and officer
compensation expenses on the Statement of Operations.
Included in the statement of operations under the caption Earnings Credits is an expense offset
of $53,388 arising from credits on cash balances maintained on deposit.
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 the Fund and has elected to
participate in the Plan (a participating trustee) may defer receipt of all or a portion of his
compensation from the Fund. The deferred compensation payable to the participating trustee is
credited to the trustees deferral account as of the business day such compensation would have been
paid to the participating trustee. The value of amounts deferred for a participating trustee is
determined by reference to the change in value of Class I shares of one or more funds of Calamos
Investment Trust designated by the participant. The value of the account increases with
contributions to the account or with increases in the value of the
|
|
|
|
|
Strategic Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT
|
|
|
21 |
|
Notes to Financial Statements (unaudited)
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 $60,331 is included in
Other assets on the Statement of Assets and Liabilities at April 30, 2007. The Funds obligation
to make payments under the Plan is a general obligation of the Fund and is included in Payable for
deferred compensation to Trustees on the Statement of Assets and Liabilities at April 30, 2007.
NOTE 3 INVESTMENTS
Purchases and sales of investments, other than short-term investments for the six months ended
April 30, 2007 were as follows:
|
|
|
|
|
Purchases |
|
$ |
744,422,403 |
|
Proceeds from sales |
|
|
785,566,274 |
|
The following information is presented on a Federal income tax basis as of April 30, 2007.
Differences between the cost basis under U.S. generally accepted accounting principles and Federal
income tax purposes are primarily due to timing differences.
The cost basis of investments for Federal income tax purposes at April 30, 2007 was as follows:
|
|
|
|
|
Cost basis of investments |
|
$ |
3,678,005,257 |
|
|
|
|
|
Gross unrealized appreciation |
|
|
398,535,986 |
|
Gross unrealized depreciation |
|
|
(67,959,881 |
) |
|
|
|
|
Net unrealized appreciation (depreciation) |
|
$ |
330,576,105 |
|
|
|
|
|
NOTE 4 INCOME TAXES
The tax character of distributions for the period ended April 30, 2007 will be determined at
the end of the Funds current fiscal year.
Distributions during the fiscal year ended October 31, 2006 were characterized for Federal income
tax purposes as follows:
|
|
|
|
|
Distributions paid from: |
|
|
|
|
|
Ordinary income |
|
$ |
216,951,537 |
|
Long-term capital gains |
|
|
15,065,115 |
|
As of October 31, 2006, the components of accumulated earnings/(loss) on a tax basis were as follows:
|
|
|
|
|
Undistributed ordinary income |
|
$ |
6,370,479 |
|
Undistributed capital gains |
|
|
17,788,433 |
|
|
|
|
|
Total undistributed earnings |
|
|
24,158,912 |
|
Accumulated capital and other losses |
|
|
|
|
Net unrealized gains/(losses) |
|
|
203,671,995 |
|
|
|
|
|
|
Total accumulated earnings/(losses) |
|
|
227,830,907 |
|
Other |
|
|
(932,482 |
) |
|
Paid-in capital |
|
|
2,200,733,859 |
|
|
|
|
|
Net assets applicable to common shareholders |
|
$ |
2,427,632,284 |
|
|
|
|
|
NOTE 5 COMMON SHARES
There are unlimited common shares of beneficial interest authorized and 154,514,000 shares
outstanding at April 30, 2007. Calamos Advisors owned 17,408 of the outstanding shares at April 30,
2007. Transactions in common shares were as follows:
|
|
|
|
|
|
|
|
|
|
|
For the Six Months |
|
|
|
|
Ended April 30, 2007 |
|
For the Year Ended |
|
|
(unaudited) |
|
October 31, 2006 |
|
Beginning shares |
|
|
154,514,000 |
|
|
|
154,514,000 |
|
Shares issued through reinvestment of distributions |
|
|
|
|
|
|
|
|
|
|
|
Ending shares |
|
|
154,514,000 |
|
|
|
154,514,000 |
|
|
|
|
|
|
|
22
|
|
Strategic Total Return Fund SEMIANNUAL REPORT Notes to Financial Statements |
Notes to Financial Statements (unaudited)
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, 2007.
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, which may be a convertible or non-convertible security) and
the right to acquire equity securities (convertible component). The fixed-income component is
achieved by investing in fixed-income securities such as bonds, preferred stocks or money market
instruments. The convertible component is achieved by investing in warrants or options to buy
common stock at a certain exercise price, or options on a stock index. In establishing a synthetic
instrument, the Fund may pool a basket of fixed-income securities and a basket of warrants or
options that produce the economic characteristics similar to a convertible security. Within each
basket of fixed-income securities and warrants or options, different companies may issue the
fixed-income and convertible components, which may be purchased separately and at different times.
The Fund may also 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.
NOTE 8 WRITTEN OPTIONS TRANSACTIONS
The Fund may engage in options transactions and in doing so achieve objectives similar to what
it would achieve through the sale or purchase of individual securities. Transactions in options
written during the six months ended April 30, 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
Number of |
|
|
Premiums |
|
|
|
Contracts |
|
|
Received |
|
|
Options outstanding at October 31, 2006 |
|
|
|
|
|
$ |
- |
|
Options written |
|
|
11,850 |
|
|
|
2,673,638 |
|
Options closed |
|
|
|
|
|
|
- |
|
Options expired |
|
|
|
|
|
|
- |
|
Options exercised |
|
|
|
|
|
|
|
|
|
|
|
Options outstanding at April 30, 2007 |
|
|
11,850 |
|
|
$ |
2,673,638 |
|
|
|
|
NOTE 9 PREFERRED SHARES
There are unlimited shares of Auction Rate Cumulative Preferred Shares (Preferred Shares)
authorized. The Preferred Shares have rights as determined by the Board of Trustees. The 43,200
Preferred Shares outstanding consist of seven series, 7,040 shares of M, 7,040 shares of TU, 7,040
shares of W, 7,040 shares of TH, 7,040 shares of F, 4,000 shares of A, and 4,000 shares of B. The
Preferred Shares have a liquidation value of $25,000 per share plus any accumulated but unpaid
dividends, whether or not declared.
|
|
|
|
|
Strategic Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT
|
|
|
23 |
|
Notes to Financial Statements (unaudited)
Dividends on the Preferred Shares are cumulative at a rate typically reset every seven or
twenty-eight days based on the results of an auction. Dividend rates ranged from 4.70% to 5.32% for
the six months ended April 30, 2007. Under the 1940 Act, the Fund may not declare dividends or make
other distributions on common shares or purchase any such shares if, at the time of the
declaration, distribution or purchase, asset coverage with respect to the outstanding Preferred
Shares would be less than 200%.
The Preferred Shares are redeemable at the Funds option, in whole or in part, on any dividend
payment date at $25,000 per share plus any accumulated but unpaid dividends. The Preferred Shares
are also subject to mandatory redemption at $25,000 per share plus any accumulated but unpaid
dividends, whether or not declared, if certain requirements relating to the composition of the
assets and liabilities of the Fund as set forth in the Statement of Preferences are not satisfied.
The holders of Preferred Shares have voting rights equal to the holders of common shares (one vote
per share) and will vote together with holders of common shares as a single class, except on
matters affecting only the holders of Preferred Shares or only the holders of common shares, when
the respective classes vote separately or alone.
NOTE 10 INTEREST RATE TRANSACTIONS
The Fund may engage in swaps primarily to manage duration and yield curve risk, or as
alternatives to direct investments. Unrealized gains are reported as an asset and unrealized losses
are reported as a liability on the Statement of Assets and Liabilities. The change in value of
swaps, including accruals of periodic amounts of interest to be paid or received on swaps, is
reported as unrealized gains or losses in the Statement of Operations. A realized gain or loss is
recorded upon payment or receipt of a periodic payment or termination of the swap agreements. Swap
agreements are stated at fair value. Notional principal
amounts are used to express the extent of involvement in these transactions, but the amounts
potentially subject to credit risk are much smaller.
Amounts paid to or by the Fund are accrued daily and included in realized gain (loss) when paid on
swaps in the accompanying Statement of Operations. The contracts are marked-to-market daily based
on dealer-supplied valuations and changes in value are recorded as unrealized appreciation
(depreciation). Gains or losses are realized upon early termination of the contract. Risks may
exceed amounts recognized in the Statement of Assets and Liabilities. These risks include changes
in the returns of the underlying instruments, failure of the counterparties to perform under the
contracts terms and the possible lack of liquidity with respect to the contracts.
If the Fund is required to terminate any swap or cap early due to the Funds failure to maintain a
required 200% asset coverage of the liquidation value of the outstanding Preferred Shares or the
Fund loses its credit rating on its Preferred Shares, then the Fund could be required to make a
termination payment, in addition to redeeming all or some of the Preferred Shares.
Details of the interest rate swap agreements outstanding as of April 30, 2007 were as follows:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Unrealized |
|
|
|
Termination |
|
|
Notional |
|
|
Fixed Rate |
|
|
Floating Rate |
|
|
Appreciation |
|
Counterparty |
|
Date |
|
|
Amount (000) |
|
|
(Fund Pays) |
|
|
(Fund Receives) |
|
|
(Depreciation) |
|
|
Citibank NA |
|
|
6/4/2007 |
|
|
$ |
150,000,000 |
|
|
|
3.610 |
% |
|
1 month LIBOR |
|
$ |
426,080 |
|
Citibank NA |
|
|
6/4/2009 |
|
|
|
200,000,000 |
|
|
|
4.340 |
% |
|
1 month LIBOR |
|
|
2,338,370 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
$ |
2,764,450 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
NOTE 11 SECURITIES LENDING
For the six months ended April 30, 2007, the Fund loaned certain of its securities to
broker-dealers and banks. Any such loan must be continuously secured by collateral in cash or cash
equivalents maintained on a current basis in an amount at least equal to the market value of the
securities loaned by the 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 income earned on 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
|
|
|
24
|
|
Strategic Total Return Fund SEMIANNUAL REPORT Notes to Financial Statements |
Notes to Financial Statements (unaudited)
have the right to vote the securities during the existence of the loan but could call the loan in
an attempt to permit voting of the securities in certain circumstances. Upon return of the
securities loaned, the cash or cash equivalent collateral will be returned to the borrower. In the
event of bankruptcy or other default of the borrower, the Fund could experience both delays in
liquidating the loan collateral or recovering the loaned securities and losses, including (a)
possible decline in the value of the collateral or in the value of the securities loaned during the
period while the Fund seeks to enforce its rights thereto, (b) possible subnormal levels of income
and lack of access to income during this period, and (c) the expenses of enforcing its rights. In
an effort to reduce these risks, the Funds securities lending agent monitors, and reports to
Calamos Advisors on, the creditworthiness of the firms to which the Fund lends securities. At April
30, 2007, the Fund had securities valued at $376,404,623 that were on loan to broker-dealers and
banks and $390,508,604 in cash or cash equivalent collateral.
|
|
|
|
|
Strategic Total Return Fund
Notes to Financial Statements SEMIANNUAL REPORT
|
|
|
25 |
|
Financial Highlights
Selected data for a common share outstanding throughout each period were as follows:
The financial highlights table is intended to help you understand the Funds financial
performance for the periods indicated below. Certain information reflects financial results for a
single Fund share. The total returns in the table represent the rate that an investor would have
earned (or lost) on an investment in the Fund (assuming reinvestment of all dividends and
distributions). The information for the period ended April 30, 2007 is unaudited. Deloitte & Touche
LLP, an independent registered public accounting firm, has audited the information for the fiscal
years ended October 31, 2006 and 2005 and the period ended October 31, 2004.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Six Months Ended |
|
|
|
|
|
|
|
|
|
March 26, 2004* |
|
|
April 30, |
|
|
|
|
|
|
|
|
|
through |
|
|
(Unaudited) |
|
For the Year Ended October 31, |
|
October 31, |
|
|
|
|
|
|
|
|
|
|
|
2007 |
|
2006 |
|
2005 |
|
2004 |
Net asset value, beginning of period |
|
$ |
15.71 |
|
|
$ |
14.44 |
|
|
$ |
14.23 |
|
|
$ |
14.32 |
(a) |
Income from investment operations: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (loss) |
|
|
0.43 |
|
|
|
0.89 |
|
|
|
0.93 |
|
|
|
0.51 |
|
Net realized and unrealized gain (loss) from
investments, written options, foreign
currency
and interest rate swaps |
|
|
1.19 |
|
|
|
1.86 |
|
|
|
0.48 |
|
|
|
(0.09 |
) |
Distributions to preferred shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income (common share
equivalent basis) |
|
|
(0.14 |
) |
|
|
(0.33 |
) |
|
|
(0.21 |
) |
|
|
(0.06 |
) |
Capital gains (common share equivalent basis) |
|
|
(0.03 |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
Total from investment operations |
|
|
1.45 |
|
|
|
2.42 |
|
|
|
1.20 |
|
|
|
0.36 |
|
|
Less distributions to common shareholders from: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net investment income |
|
|
(0.52 |
) |
|
|
(0.77 |
) |
|
|
(0.71 |
) |
|
|
(0.37 |
) |
Capital gains |
|
|
(0.06 |
) |
|
|
(0.38 |
) |
|
|
(0.28 |
) |
|
|
|
|
Capital charge resulting from issuance of
common and preferred shares |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
(0.08 |
) |
Net asset value, end of period |
|
$ |
16.58 |
|
|
$ |
15.71 |
|
|
$ |
14.44 |
|
|
$ |
14.23 |
|
Market value, end of period |
|
$ |
15.47 |
|
|
$ |
14.91 |
|
|
$ |
13.71 |
|
|
$ |
13.34 |
|
Total investment return based on(b): |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net asset value |
|
|
9.62 |
% |
|
|
18.03 |
% |
|
|
8.95 |
% |
|
|
2.10 |
% |
Market value |
|
|
7.77 |
% |
|
|
17.99 |
% |
|
|
10.35 |
% |
|
|
(8.59 |
)% |
Ratios and supplemental data: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net assets applicable to common shareholders,
end of period (000s omitted) |
|
$ |
2,561,190 |
|
|
$ |
2,427,632 |
|
|
$ |
2,231,348 |
|
|
$ |
2,199,229 |
|
Preferred shares, at redemption value ($25,000
per share liquidation preference) (000s
omitted) |
|
$ |
1,080,000 |
|
|
$ |
1,080,000 |
|
|
$ |
1,080,000 |
|
|
$ |
1,080,000 |
|
Ratios to average net assets applicable to
common shareholders: |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Net expenses(c)(d)(e) |
|
|
1.62 |
% |
|
|
1.66 |
% |
|
|
1.67 |
% |
|
|
1.61 |
% |
Net investment income (loss)(c)(d) |
|
|
5.45 |
% |
|
|
5.92 |
% |
|
|
6.25 |
% |
|
|
6.27 |
% |
Preferred share distributions(c) |
|
|
1.82 |
% |
|
|
2.18 |
% |
|
|
1.40 |
% |
|
|
0.67 |
% |
Net investment income (loss), net of
preferred share distributions(c) |
|
|
3.63 |
% |
|
|
3.74 |
% |
|
|
4.85 |
% |
|
|
5.60 |
% |
Portfolio turnover rate |
|
|
21 |
% |
|
|
48 |
% |
|
|
71 |
% |
|
|
11 |
% |
Average commission rate paid |
|
$ |
0.0330 |
|
|
$ |
0.0342 |
|
|
$ |
0.0381 |
|
|
$ |
0.0197 |
|
Asset coverage per preferred share, at end of
period(f) |
|
$ |
84,317 |
|
|
$ |
81,216 |
|
|
$ |
76,667 |
|
|
$ |
75,916 |
|
|
|
|
* |
|
Commencement of operations. |
|
(a) |
|
Net of sales load of $0.675 on initial shares issued and beginning net asset value of $14.325.
|
|
(b) |
|
Total investment return is calculated assuming a purchase of common shares on the opening of
the first day and a sale on the closing of the last day of the period reported. Dividends and distributions are assumed, for purposes of this calculation, to be reinvested at
prices obtained under the Funds dividend reinvestment plan. Total return is not annualized for
periods less than one year. Brokerage commissions are not reflected. NAV per share is determined
by dividing the value of the Funds portfolio securities, cash and other assets, less all
liabilities, by the total number of common shares outstanding. The common share market price is
the price the market is willing to pay for shares of the Fund at a given time. Common share
market price is influenced by a range of factors, including supply and demand and market
conditions. |
|
(c) |
|
Annualized for periods less than one year. |
|
(d) |
|
Does not reflect the effect of dividend payments to Preferred Shareholders. |
|
(e) |
|
Net of custody credits which are less than 0.01% for the six months ended April 30, 2007 and
the year ended October 31, 2006. |
|
(f) |
|
Calculated by subtracting the Funds total liabilities (not including Preferred Shares) from
the Funds total assets and dividing this by the number of Preferred Shares outstanding. |
|
|
|
26
|
|
Strategic Total Return Fund SEMIANNUAL REPORT Financial Highlights |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of Calamos Strategic Total Return Fund
We have reviewed the accompanying statement of assets and liabilities, including the schedule of
investments, of Calamos Strategic Total Return Fund (the Fund) as of April 30, 2007,
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 Funds management.
We conducted our review in accordance with the standards of the Public Company Accounting Oversight
Board (United States). A review of interim financial information consists principally of applying
analytical procedures and making inquiries of persons responsible for financial and accounting
matters. It is substantially less in scope than an audit conducted in accordance with the standards
of the Public Company Accounting Oversight Board (United States), the objective of which is the
expression of an opinion regarding the financial statements and financial highlights taken as a
whole. Accordingly, we do not express such an opinion.
Based on our review, we are not aware of any material modifications that should be made to such
interim financial statements and financial highlights for them to be in conformity with accounting
principles generally accepted in the United States of America.
We have previously audited, in accordance with the standards of the Public Company Accounting
Oversight Board (United States), the statement of changes in net assets of the Fund for the year
ended October 31, 2006 and the financial highlights for each of the two years then ended and for
the period from March 26, 2004 (commencement of operations) through October 31, 2004; and in our
report dated December 19, 2006, we expressed an unqualified opinion on such statement of changes in
net assets and financial highlights.
Chicago, Illinois
June 21, 2007
|
|
|
|
|
Strategic Total Return Fund
Report of Independent Registered Public Accounting Firm SEMIANNUAL REPORT
|
|
|
27 |
|
This page intentionally left blank.
About Closed-End Funds
What is a Closed-End Fund?
A closed-end fund is a publicly traded investment
company that raises its initial investment capital through
the issuance of a fixed number of shares to investors in a
public offering. Shares of a closed-end fund are listed on
a stock exchange or traded in the over-the-counter market.
Like all investment companies, a closed-end fund is
professionally managed and offers investors a unique
investment solution based on its investment objective
approved by the funds Board of Directors.
Potential Advantages of Closed-End Fund Investing
|
|
Defined Asset Pool Allows Efficient Portfolio
ManagementAlthough closed-end fund shares trade
actively on a securities exchange, this doesnt
affect the closed-end fund manager because there are
no new investors buying into or selling out of the
funds portfolio. |
|
|
|
More
Flexibility in the Timing and Price of
TradesInvestors can purchase and sell shares of
closed-end funds throughout the trading day, just
like the shares of other publicly traded securities. |
|
|
|
Lower
Expense RatiosThe expense ratios of closed-end funds
are oftentimes less than those of mutual funds. Over
time, a lower expense ratio could enhance investment
performance. |
|
|
|
Closed-End
Structure Makes Sense for Less-Liquid Asset ClassesA
closed-end structure makes sense for investors
considering less-liquid asset classes, such as
high-yield bonds or micro-cap stocks. |
|
|
|
Ability to
Put Leverage to WorkClosed-end funds may issue
senior securities (such as preferred stock or
debentures) or borrow money to leverage their
investment positions. |
|
|
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No Minimum
Investment Requirements |
OPEN-END MUTUAL FUNDS VERSUS CLOSED-END FUNDS
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Open-End Fund |
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Closed-End Fund |
Issues new shares on an ongoing basis
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Issues a fixed number of shares |
Issues equity shares
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Can issue senior securities such as preferred stock
and bonds |
Sold at NAV plus any sales charge
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Price determined by the marketplace |
Sold through the funds distributor
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Traded in the secondary market |
Fund redeems shares at NAV calculated at
the close of business day
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Fund does not redeem shares |
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Strategic Total Return Fund
About Closed-End Funds SEMIANNUAL REPORT
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29 |
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Leverage
Using Leverage to Enhance Total Return
Closed-end funds can use leverage which utilizes
borrowed money in an attempt to increase the return on
invested capital. The Fund invests the borrowed assets
into securities, which we believe will provide a greater
total return to investors than the cost of the borrowing.
Highlights on Leverage
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Leveraging the portfolio allows the investment team
to potentially enhance the income and total returns
of the Fund. |
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In a
rising-rate environment, the cost of leverage
typically increases. To protect against increases,
the investment team has locked in the cost of
leverage for a longer term. In leveraged closed-end
funds that invest in interest-rate sensitive
securities (high-quality traditional fixed income),
rising rates can negatively impact a fund in two
ways: increasing the cost of leverage and decreasing
the value of securities. |
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This
portfolio does not have notable sensitivity to rising
interest rates. Much of the cost of leverage has been
locked in, and the portfolio seeks to invest in
securities that should be more economically sensitive
and less interest rate-sensitive. |
Managing the Interest Rate Risk of Leverage
In general, leverage can expose a closed-end fund to
the risk of fluctuations in short-term interest rates. As
we discussed in the Investment Team Interview, Calamos
Advisors has taken steps to mitigate some of this risk to
our shareholders. Specifically, we hedged the Funds
preferred shares (used these shares as principal) to enter
into interest rate swap agreements. In its simplest form,
an interest rate swap involves two parties agreeing to
exchange or swap one set of cash flows for another set.
In essence, the agreement allows a party that desires to
avoid a variable rate (the Fund) to pay a fixed rate to a
party that desires variability.
Under these agreements, the Fund pays a potentially higher rate for
borrowing initially, but that rate is fixed for a period of three to five years,
thereby potentially reducing the interest costs that the Fund would otherwise pay
over the period based on a floating or variable rate.
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30
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Strategic Total Return Fund 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.
Automatic Dividend Reinvestment Plan
Maximizing Investment with an Automatic Dividend
Reinvestment Plan
The Automatic Dividend Reinvestment Plan offers a
simple, cost-efficient and convenient way to reinvest your
dividends and capital gains distributions in additional shares of the Fund, allowing you to increase your
investment in the Fund.
Potential Benefits
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Compounded Growth: By automatically reinvesting
with the Plan, you gain the potential to allow your
dividends and capital gains to compound over time. |
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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. |
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Convenience: After enrollment, the Plan is automatic
and includes detailed statements for participants.
Participants can terminate their enrollment at any
time. |
For additional information about the Plan, please contact
the Plan Agent, The Bank of New York, at 800.432.8224 or
visit us on the web at www.calamos.com/csq.aspx. If you
wish to
participate in the Plan and your shares are held in your
own name, simply call the Plan Agent. If your shares are
not held in your name, please contact your brokerage firm,
bank, or other nominee to request that they participate in
the Plan on your behalf. If your brokerage firm, bank, or
other nominee is unable to participate on your behalf, you
may request that your shares be re-registered in your own
name.
Were pleased to provide our shareholders with the
additional benefit of the Funds Dividend Reinvestment
Plan and hope that it may serve your financial plan.
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Strategic Total Return Fund
Level Rate Distribution Policy and Automatic Dividend Reinvestment Plan SEMIANNUAL REPORT
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31 |
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The Calamos Investments Advantage
Calamos history is one of performing well for our clients through nearly 30 years of
advances and declines in the market. We use proprietary risk-management strategies designed to
control volatility, and maintain a balance between risk and reward throughout a market cycle.
Disciplined Investment Philosophy and Process
Calamos Investments has developed a proprietary research
and monitoring process that goes far beyond traditional
security analysis. This process applies to each of our
investment strategies, with emphasis varying by strategy.
When combined with the company-specific research and
industry insights of our investment team, the goal is
nimble, dynamic management of a portfolio that allows us
to anticipate and adapt to changing market conditions. In
each of our investment strategies, from the most
conservative to the most aggressive, our goals include
maximizing return while controlling risk, protecting
principal during volatile markets, avoiding short-term
market timing, and maintaining a vigilant long-term
outlook.
Comprehensive Risk Management
Our approach to risk management includes continual
monitoring, adherence to our discipline, and a focus on
assuring a consistent risk profile during all phases of
the market cycle. Incorporating qualitative and
quantitative factors as well as a strong sell discipline,
this risk-control policy seeks to help preserve investors
capital over the long term.
Proven Management Team
The Calamos Family of Funds benefits from our teams
decades of experience in the investment industry. We
follow a one-team, one-process approach that leverages the
expertise of more than 50 investment professionals, led by
John P. Calamos, Sr. and Nick P. Calamos, whose investment
industry experience dates back to 1970 and 1983,
respectively. Through the collective industry experience
and educational achievements of our research
and portfolio staff, we can respond to the challenges of
the market with innovative and timely ideas.
Sound Proprietary Research
Over the years, we have invested significant time and
resources in developing and refining sophisticated
analytical models that are the foundation of the firms
research capabilities, which we apply in conjunction with
our assessment of broad themes. We believe evolving
domestic policies, the growing global economy, and new
technologies present long-term investment opportunities
for those who can detect them.
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32
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Strategic Total Return Fund SEMIANNUAL REPORT The Calamos Investments Advantage |
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 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.
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Fund Asset Allocation as of 4/30/07 |
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Fund Profile |
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Calamos Convertible Opportunities and Income Fund (CHI) |
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Providing Enhanced Fixed Income Potential
Objective: The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio
of convertible securities and below investment-grade (high-yield) fixed-income securities. |
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Calamos Convertible and High Income Fund (CHY) |
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Providing Enhanced Fixed Income Potential
Objective: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio
of convertible securities and below investment-grade (high-yield) fixed-income securities. |
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Calamos Strategic Total Return Fund (CSQ) |
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Providing Defensive Equity
Objective: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio
of equity, convertible and below investment-grade (high-yield) fixed-income securities. |
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Calamos Global Total Return Fund (CGO) |
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Providing Defensive Global Equity
Objective: The Fund seeks total return through a combination of capital
appreciation and current income by investing in a diversified portfolio
of global equity, global convertible and below investment-grade (high-yield)
fixed-income securities. |
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Strategic Total Return Fund
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33 |
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Calamos Closed-End Funds SEMIANNUAL REPORT |
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A description of the Calamos Proxy Voting
Policies and Procedures and the Funds proxy
voting record for the 12 month period ended
June 30, 2006 are available free of charge upon
request by calling 800.582.6959, by visiting
the Calamos website at www.calamos.com, by
writing Calamos at: Calamos Investments, Attn:
Client Services, 2020 Calamos Court,
Naperville, IL 60563 or by visiting the SEC
website at http://www.sec.gov.
The Fund files its complete list of portfolio
holdings with the SEC for the first and third
quarters each fiscal year on Form N-Q. The
Forms N-Q are available free of charge, upon
request, by calling or writing Calamos
Investments at the phone number or address
provided above or by visiting the SEC website
at http://www.sec.gov. You may also review or,
for a fee, copy the forms at the SECs Public
Reference Room in Washington, D.C. Information
on the operation of the Public Reference Room
may be obtained by calling 800.732.0330. |
FOR 24 HOUR AUTOMATED
SHAREHOLDER ASSISTANCE
800.823.7386
TO OBTAIN INFORMATION
800.582.6959
VISIT OUR WEB SITE
www.calamos.com
INVESTMENT ADVISER
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 LLP
Chicago, IL |
2020 Calamos Court
Naperville, IL
60563-2787
800.582.6959
www.calamos.com |
© 2007 Calamos Holdings LLC. All Rights
Reserved. Calamos ®, Calamos
Investments ®, Investment strategies
for your serious money TM and the
Calamos ® logo are registered
trademarks of Calamos Holdings LLC. |
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.
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(c) Total |
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Number of |
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(d) Maximum |
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(a) |
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Shares (or |
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Number (or |
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Total |
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(b) |
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Units) |
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Approximate |
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Number |
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Average |
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Purchased as |
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Dollar Value) of |
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of |
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Price |
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Part of |
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Shares (or Units) |
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Shares |
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Paid per |
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Publicly |
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that May Yet Be |
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(or |
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Share |
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Announced |
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Purchased Under |
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Units) |
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(or |
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Plans or |
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the Plans or |
Period |
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Purchased |
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Unit) |
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Programs |
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Programs |
November 1 to
November 30
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N/A
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N/A
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N/A
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N/A |
December 1 to
December 31
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N/A
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N/A
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N/A
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N/A |
January 1 to
January 31
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N/A
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N/A
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N/A
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N/A |
February 1 to
February 28
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N/A
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N/A
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N/A
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N/A |
March 1 to March 31
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N/A
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N/A
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N/A
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N/A |
April 1 to April 30
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N/A
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N/A
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N/A
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N/A |
Total
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N/A
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N/A
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N/A
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N/A |
ITEM 10. SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS
No material changes.
ITEM 11. CONTROLS AND PROCEDURES.
a) The registrants principal executive officer and principal financial officer have evaluated the
registrants disclosure controls and procedures within 90 days of this filing and have concluded
that the registrants disclosure controls and procedures were effective, as of that date, in
ensuring that information required to be disclosed by the registrant in this Form N-CSR was
recorded, processed, summarized, and reported timely.
b) There were no changes in the registrants internal controls over financial reporting (as defined
in Rule 30a-3(d) under the Investment Company Act of 1940) that occurred during the second fiscal
quarter of the period covered by this report that has materially affected, or is reasonably likely
to materially affect, the registrants internal control over financial reporting.
ITEM 12. EXHIBITS.
(a) (2) (i) Certification of Principal Executive Officer.
(a) (2) (ii) Certification of Principal Financial Officer.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Calamos Strategic Total Return Fund
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By:
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/s/ John P. Calamos, Sr.
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Name: John P. Calamos, Sr. |
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Title: Principal Executive Officer |
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Date: June 25, 2007 |
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By:
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/s/ Patrick H. Dudasik
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Name: Patrick H. Dudasik |
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Title: Principal Financial Officer |
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Date: June 25, 2007 |
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Pursuant to the requirements of the Securities Exchange Act of 1934 and
the Investment Company Act of 1940, this report has been signed by the following
persons on behalf of the registrant and in the capacities and on the dates
indicated.
Calamos Strategic Total Return Fund
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By:
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/s/ John P. Calamos, Sr.
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Name: John P. Calamos, Sr. |
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Title: Principal Executive Officer |
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Date: June 25, 2007 |
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By:
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/s/ Patrick H. Dudasik
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Name: Patrick H. Dudasik |
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Title: Principal Financial Officer |
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Date: June 25, 2007 |
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