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STRATEGIC TOTAL RETURN FUND (CSQ)

CEF Market and Fund Update – September 2017

Calamos CEFs Price Returns Exceed Relative Index Returns Through September
September 2017

Our SVP, Director of Closed-End Fund Products Robert F. Bush, Jr. provides an September 2017 update on the closed-end fund market. He discusses how the Calamos closed-end funds demonstrated their ability to optimize the use of leverage, and participate in the upside in multiple and diverse markets and disciplines while generating high distribution levels not necessarily correlated to fixed income markets.

Objective

The Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of equities, convertible securities and high yield corporate bonds.

Investment Strategy & Process

The integrated investment team employs an investment process that considers global macroeconomic factors and investment themes. A comprehensive, investment process includes both fundamental and quantitative research to evaluate the source, sustainability and risk of investment opportunities. Risk is monitored and managed at the diversified portfolio and individual security level.

Fund Highlights

  • Closed-end fund portfolio with a mix of equities, convertibles securities, and high yield bonds.
  • Seeks a level-rate distribution policy designed to provide stable, monthly distributions.
  • At least 50% in equities or securities convertible into equities, up to 35% in foreign issuers, and up to 15% in emerging markets.


Fund Data

AS OF 11/30/17
Managed Assets $2,856,440,923
Total Common Share Assets $2,001,440,923
Shares Outstanding 154,514,000
Average Daily Volume (mo.) 281,206
Total Percent Leveraged 29.93%
Debt Coverage Ratio 466%
Leverage Assets $855,000,000
Debt Leverage $613,000,000
Average Portfolio Turnover 66.3%
Expense Ratio (based upon managed assets) 1.39%

Fees & Expenses

AS OF 11/30/17
Management Fees 1.00%
Debt Leverage Expense 0.32%
Other Expenses 0.07%
Total 1.39%
Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annual percentage of the Fund’s current market price per share. The Fund’s most recent distribution was $0.0825 per share. A breakdown of the Fund’s most recent distribution can be found on the Strategic Total Return Fund Fact Sheet. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. Distribution rate may vary.

Debt Coverage Ratio is the amount of cash flow available to meet annual interest and principal payments on debt. A Debt Coverage Ratio of less than 1 would mean a negative cash flow. For example, a ratio of 0.95 would mean that there was only enough net operating income to cover 95% of annual debt payments.

Past Performance
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a market price that is below their net asset value.

Important Fund Information

The Fund may invest up to 100% of its assets in foreign securities and invest in an array of security types and market-cap sizes, each of which has a unique risk profile. As a result of political or economic instability in foreign countries, there can be special risks associated with investing in foreign securities. These include fluctuations in currency exchange rates, increased price volatility, and difficulty obtaining information.

There are certain risks associated with an investment in a convertible bond such as default risk—that the company issuing a convertible security may be unable to repay principal and interest, and interest rate risk—that the convertible may decrease in value if interest rates increase.

Investments by the Fund in lower-rated securities involve substantial risk of loss and present greater risks than investments in higher-rated securities, including less liquidity and increased price sensitivity to changing interest rates and to a deteriorating economic environment.

Fixed income securities are subject to interest rate risk; as interest rates go up, the value of debt securities in the Fund’s portfolio generally will decline.

The Fund may invest in derivative securities, including options. The use of derivatives present risks different from, and possibly greater than, the risks associated with investing directly in traditional securities. There is no assurance that any derivative strategy used by the Fund will succeed. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised.

The Fund may seek to purchase index put options to help reduce downside exposure. However, the effectiveness of the Fund’s index option-based risk management strategy may be reduced if the Fund’s equity portfolio does not correlate to the performance of the underlying option positions. The Fund also risks losing all or part of the cash paid for purchasing index options. Unusual market conditions or a lack of a ready market of any particular option at a specific time may reduce the effectiveness of the Fund’s options strategies, and for these and other reasons the Fund’s options strategies may not reduce the Fund’s volatility to the extent desired. From time to time, the Fund may reduce its holdings of put options, resulting in an increased exposure to a market decline.

The goal of the level-rate distribution policy is to provide investors a predictable, though not assured, level of cash flow. Monthly distributions paid may include net investment income, net realized short-term capital gains, and, if necessary, return of capital. Maintenance of this policy may increase transaction and tax costs associated with the Fund.

Leverage creates risks which may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares; and fluctuations in the variable rates of the leverage financing. The ratio is the percent of borrowing to total assets.

Each fund has specific risks, which are outlined in the respective funds’ prospectuses. The general risks involved in investing in a closed end fund include market volatility risk, dividend and income risk, and loss of investment risk. Please refer to each fund’s prospectus, annual and semi-annual reports at www.calamos.com for complete information on the fund’s performance, investments and risks.

NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE

Fund Details

AS OF 12/17/17
Market Price:
$12.18
NAV:
$12.93
Premium/Discount:
-5.80%
Market Change:
$0.10
Annual Distribution:
8.13%*
Latest Distribution:
$0.0825
Ticker:
CSQ
NAV Ticker:
XCSQX
IPO Date:
03/26/04
IPO Share Price:
$15.00
IPO NAV:
$14.31

Resources

Distribution History

AS OF 11/30/17

Cumulative Distribution History

AS OF 11/30/17

Current Year Distribution Detail

Ex DatePayable DateDistributionOrdinary IncomeLong-Term Capital GainsReturn Of CapitalPress Releases
December12/11/1712/15/170.08250.06500.00000.0175Press Release
November11/09/1711/15/170.08250.00600.00000.0765Press Release
October10/10/1710/16/170.08250.82500.00000.0000Press Release
September9/11/179/15/170.08250.82500.00000.0000Press Release
August8/08/178/15/170.08250.08250.00000.0000Press Release
July7/07/177/14/170.08250.08250.00000.0000Press Release
June6/08/176/15/170.08250.08250.00000.0000Press Release
May5/08/175/15/170.08250.08250.00000.0000Press Release
April4/07/174/17/170.08250.08250.00000.0000Press Release
March3/08/173/15/170.08250.03470.00000.0478Press Release
February2/08/172/15/170.08250.02300.00000.0595Press Release
January12/28/161/05/170.08250.02090.00000.0616Press Release

Prior Year Distribution Detail

For final tax characterization of distributions click here.

Ordinary income includes net investment income and short-term capital gains. The distribution tables provided here are for informational purposes only. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions may be subject to re-characterization for tax purposes after the end of the fiscal year. Individual (non-corporate) shareholders with taxable accounts will receive written notification regarding the components and tax treatment for distributions via Form 1099-DIV. If your distributions are reinvested in additional shares, you will receive a statement reflecting the reinvestment of the distribution. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters.

USING A LEVEL DISTRIBUTION POLICY TO PROMOTE TOTAL RETURN

We understand the importance that investors place on the stability of dividends along with long-term total return. In April 2005, CSQ announced the adoption of a level rate distribution policy.

The goal is to provide investors with long-term total return, based on our belief that closed-end fund investors consider consistent, dependable distributions to be an important component of total-return.

As a reminder, shareholders can accumulate more shares via the dividend reinvestment plan whether the Fund trades at a premium or discount. If the Fund is trading at a premium, the dividend is reinvested at NAV or at 95% of the market price, whichever is greater. If the Fund is trading at a discount, the dividend is reinvested at the market price.

Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annual percentage of the Fund’s current market price per share. The Fund’s most recent distribution was $0.0825 per share. A breakdown of the Fund’s most recent distribution can be found on the Strategic Total Return Fund Fact Sheet. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. Distribution rate may vary.

Debt Coverage Ratio is the amount of cash flow available to meet annual interest and principal payments on debt. A Debt Coverage Ratio of less than 1 would mean a negative cash flow. For example, a ratio of 0.95 would mean that there was only enough net operating income to cover 95% of annual debt payments.

Past Performance
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a market price that is below their net asset value.

Important Fund Information

The Fund may invest up to 100% of its assets in foreign securities and invest in an array of security types and market-cap sizes, each of which has a unique risk profile. As a result of political or economic instability in foreign countries, there can be special risks associated with investing in foreign securities. These include fluctuations in currency exchange rates, increased price volatility, and difficulty obtaining information.

There are certain risks associated with an investment in a convertible bond such as default risk—that the company issuing a convertible security may be unable to repay principal and interest, and interest rate risk—that the convertible may decrease in value if interest rates increase.

Investments by the Fund in lower-rated securities involve substantial risk of loss and present greater risks than investments in higher-rated securities, including less liquidity and increased price sensitivity to changing interest rates and to a deteriorating economic environment.

Fixed income securities are subject to interest rate risk; as interest rates go up, the value of debt securities in the Fund’s portfolio generally will decline.

The Fund may invest in derivative securities, including options. The use of derivatives present risks different from, and possibly greater than, the risks associated with investing directly in traditional securities. There is no assurance that any derivative strategy used by the Fund will succeed. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised.

The Fund may seek to purchase index put options to help reduce downside exposure. However, the effectiveness of the Fund’s index option-based risk management strategy may be reduced if the Fund’s equity portfolio does not correlate to the performance of the underlying option positions. The Fund also risks losing all or part of the cash paid for purchasing index options. Unusual market conditions or a lack of a ready market of any particular option at a specific time may reduce the effectiveness of the Fund’s options strategies, and for these and other reasons the Fund’s options strategies may not reduce the Fund’s volatility to the extent desired. From time to time, the Fund may reduce its holdings of put options, resulting in an increased exposure to a market decline.

The goal of the level-rate distribution policy is to provide investors a predictable, though not assured, level of cash flow. Monthly distributions paid may include net investment income, net realized short-term capital gains, and, if necessary, return of capital. Maintenance of this policy may increase transaction and tax costs associated with the Fund.

Leverage creates risks which may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares; and fluctuations in the variable rates of the leverage financing. The ratio is the percent of borrowing to total assets.

Each fund has specific risks, which are outlined in the respective funds’ prospectuses. The general risks involved in investing in a closed end fund include market volatility risk, dividend and income risk, and loss of investment risk. Please refer to each fund’s prospectus, annual and semi-annual reports at www.calamos.com for complete information on the fund’s performance, investments and risks.

NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE

SHARE PRICE / NAV HISTORY

PREMIUM / DISCOUNT

Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annual percentage of the Fund’s current market price per share. The Fund’s most recent distribution was $0.0825 per share. A breakdown of the Fund’s most recent distribution can be found on the Strategic Total Return Fund Fact Sheet. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. Distribution rate may vary.

Debt Coverage Ratio is the amount of cash flow available to meet annual interest and principal payments on debt. A Debt Coverage Ratio of less than 1 would mean a negative cash flow. For example, a ratio of 0.95 would mean that there was only enough net operating income to cover 95% of annual debt payments.

Past Performance
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a market price that is below their net asset value.

Important Fund Information

The Fund may invest up to 100% of its assets in foreign securities and invest in an array of security types and market-cap sizes, each of which has a unique risk profile. As a result of political or economic instability in foreign countries, there can be special risks associated with investing in foreign securities. These include fluctuations in currency exchange rates, increased price volatility, and difficulty obtaining information.

There are certain risks associated with an investment in a convertible bond such as default risk—that the company issuing a convertible security may be unable to repay principal and interest, and interest rate risk—that the convertible may decrease in value if interest rates increase.

Investments by the Fund in lower-rated securities involve substantial risk of loss and present greater risks than investments in higher-rated securities, including less liquidity and increased price sensitivity to changing interest rates and to a deteriorating economic environment.

Fixed income securities are subject to interest rate risk; as interest rates go up, the value of debt securities in the Fund’s portfolio generally will decline.

The Fund may invest in derivative securities, including options. The use of derivatives present risks different from, and possibly greater than, the risks associated with investing directly in traditional securities. There is no assurance that any derivative strategy used by the Fund will succeed. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised.

The Fund may seek to purchase index put options to help reduce downside exposure. However, the effectiveness of the Fund’s index option-based risk management strategy may be reduced if the Fund’s equity portfolio does not correlate to the performance of the underlying option positions. The Fund also risks losing all or part of the cash paid for purchasing index options. Unusual market conditions or a lack of a ready market of any particular option at a specific time may reduce the effectiveness of the Fund’s options strategies, and for these and other reasons the Fund’s options strategies may not reduce the Fund’s volatility to the extent desired. From time to time, the Fund may reduce its holdings of put options, resulting in an increased exposure to a market decline.

The goal of the level-rate distribution policy is to provide investors a predictable, though not assured, level of cash flow. Monthly distributions paid may include net investment income, net realized short-term capital gains, and, if necessary, return of capital. Maintenance of this policy may increase transaction and tax costs associated with the Fund.

Leverage creates risks which may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares; and fluctuations in the variable rates of the leverage financing. The ratio is the percent of borrowing to total assets.

Each fund has specific risks, which are outlined in the respective funds’ prospectuses. The general risks involved in investing in a closed end fund include market volatility risk, dividend and income risk, and loss of investment risk. Please refer to each fund’s prospectus, annual and semi-annual reports at www.calamos.com for complete information on the fund’s performance, investments and risks.

NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE

Annualized Returns

AS OF 11/30/17
Market Price-0.29%5.16%8.65%32.53%10.56%13.88%7.94%7.27%
NAV2.19%6.50%9.53%23.80%10.63%13.81%7.17%8.10%

Calendar Year-To-Date Total Return

AS OF 11/30/17
Market Price27.43%14.66%-5.03%14.16%20.22%27.86%-3.46%13.71%55.60%-49.36%-2.75%25.45%3.92%-2.42%
NAV20.40%14.70%-0.30%8.14%26.52%16.00%-1.15%14.98%47.26%-44.57%3.73%20.28%2.42%11.74%

*2004 performance data from inception date of 3/26/04 through 12/31/04

Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annual percentage of the Fund’s current market price per share. The Fund’s most recent distribution was $0.0825 per share. A breakdown of the Fund’s most recent distribution can be found on the Strategic Total Return Fund Fact Sheet. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. Distribution rate may vary.

Debt Coverage Ratio is the amount of cash flow available to meet annual interest and principal payments on debt. A Debt Coverage Ratio of less than 1 would mean a negative cash flow. For example, a ratio of 0.95 would mean that there was only enough net operating income to cover 95% of annual debt payments.

Past Performance
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a market price that is below their net asset value.

Important Fund Information

The Fund may invest up to 100% of its assets in foreign securities and invest in an array of security types and market-cap sizes, each of which has a unique risk profile. As a result of political or economic instability in foreign countries, there can be special risks associated with investing in foreign securities. These include fluctuations in currency exchange rates, increased price volatility, and difficulty obtaining information.

There are certain risks associated with an investment in a convertible bond such as default risk—that the company issuing a convertible security may be unable to repay principal and interest, and interest rate risk—that the convertible may decrease in value if interest rates increase.

Investments by the Fund in lower-rated securities involve substantial risk of loss and present greater risks than investments in higher-rated securities, including less liquidity and increased price sensitivity to changing interest rates and to a deteriorating economic environment.

Fixed income securities are subject to interest rate risk; as interest rates go up, the value of debt securities in the Fund’s portfolio generally will decline.

The Fund may invest in derivative securities, including options. The use of derivatives present risks different from, and possibly greater than, the risks associated with investing directly in traditional securities. There is no assurance that any derivative strategy used by the Fund will succeed. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised.

The Fund may seek to purchase index put options to help reduce downside exposure. However, the effectiveness of the Fund’s index option-based risk management strategy may be reduced if the Fund’s equity portfolio does not correlate to the performance of the underlying option positions. The Fund also risks losing all or part of the cash paid for purchasing index options. Unusual market conditions or a lack of a ready market of any particular option at a specific time may reduce the effectiveness of the Fund’s options strategies, and for these and other reasons the Fund’s options strategies may not reduce the Fund’s volatility to the extent desired. From time to time, the Fund may reduce its holdings of put options, resulting in an increased exposure to a market decline.

The goal of the level-rate distribution policy is to provide investors a predictable, though not assured, level of cash flow. Monthly distributions paid may include net investment income, net realized short-term capital gains, and, if necessary, return of capital. Maintenance of this policy may increase transaction and tax costs associated with the Fund.

Leverage creates risks which may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares; and fluctuations in the variable rates of the leverage financing. The ratio is the percent of borrowing to total assets.

Each fund has specific risks, which are outlined in the respective funds’ prospectuses. The general risks involved in investing in a closed end fund include market volatility risk, dividend and income risk, and loss of investment risk. Please refer to each fund’s prospectus, annual and semi-annual reports at www.calamos.com for complete information on the fund’s performance, investments and risks.

NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE

Sector Weightings

AS OF 11/30/17
% of Assets
Information Technology 19.2%
Financials 15.1%
Consumer Discretionary 14.7%
Health Care 12.5%
Industrials 8.5%
Energy 7.8%
Consumer Staples 6.1%
Telecom Services 3.3%
Materials 2.4%
Real Estate 2.1%
Utilities 2.0%

Portfolio Asset Allocation

AS OF 11/30/17

Top 10 Holdings Adobe Logo View All Holdings

AS OF 11/30/17
Company Security Type % of Net Assets
Apple, Inc. Common Stocks 2.7%
Citigroup, Inc. Common Stocks 2.5%
JPMorgan Chase & Company Common Stocks 2.1%
Microsoft Corp. Common Stocks 1.9%
Amazon.com, Inc. Common Stocks 1.5%
Exxon Mobil Corp. Common Stocks 1.5%
Facebook, Inc. - Class A Common Stocks 1.4%
Alphabet, Inc. - Class A Common Stocks 1.4%
Chevron Corp. Common Stocks 1.4%
Johnson & Johnson Common Stocks 1.3%
Total 17.7%

Country Exposure

AS OF 11/30/17
Country%
United States 90.7%
United Kingdom 1.9%
Ireland 0.9%
Germany 0.7%
Japan 0.5%
Switzerland 0.4%
Luxembourg 0.4%
Canada 0.3%
Netherlands 0.3%
Finland 0.3%

Regional Exposure

AS OF 11/30/17
North America 91.0%
Europe 5.0%
Asia/Pacific 0.6%
Middle East/Africa 0.1%
Caribbean 0.0%

Quality Allocation

AS OF 11/30/17
Class %
AAA 0.7%
AA 0.0%
A 2.9%
BBB 15.6%
BB 28.8%
B 21.3%
CCC and below 5.0%
Unrated Securities 25.7%

Bond Duration

AS OF 11/30/17
Weighted Avg. Duration 4.5 years
Weighted Avg. Maturity 6.6 years
Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annual percentage of the Fund’s current market price per share. The Fund’s most recent distribution was $0.0825 per share. A breakdown of the Fund’s most recent distribution can be found on the Strategic Total Return Fund Fact Sheet. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. Distribution rate may vary.

Debt Coverage Ratio is the amount of cash flow available to meet annual interest and principal payments on debt. A Debt Coverage Ratio of less than 1 would mean a negative cash flow. For example, a ratio of 0.95 would mean that there was only enough net operating income to cover 95% of annual debt payments.

Past Performance
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a market price that is below their net asset value.

Important Fund Information

The Fund may invest up to 100% of its assets in foreign securities and invest in an array of security types and market-cap sizes, each of which has a unique risk profile. As a result of political or economic instability in foreign countries, there can be special risks associated with investing in foreign securities. These include fluctuations in currency exchange rates, increased price volatility, and difficulty obtaining information.

There are certain risks associated with an investment in a convertible bond such as default risk—that the company issuing a convertible security may be unable to repay principal and interest, and interest rate risk—that the convertible may decrease in value if interest rates increase.

Investments by the Fund in lower-rated securities involve substantial risk of loss and present greater risks than investments in higher-rated securities, including less liquidity and increased price sensitivity to changing interest rates and to a deteriorating economic environment.

Fixed income securities are subject to interest rate risk; as interest rates go up, the value of debt securities in the Fund’s portfolio generally will decline.

The Fund may invest in derivative securities, including options. The use of derivatives present risks different from, and possibly greater than, the risks associated with investing directly in traditional securities. There is no assurance that any derivative strategy used by the Fund will succeed. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised.

The Fund may seek to purchase index put options to help reduce downside exposure. However, the effectiveness of the Fund’s index option-based risk management strategy may be reduced if the Fund’s equity portfolio does not correlate to the performance of the underlying option positions. The Fund also risks losing all or part of the cash paid for purchasing index options. Unusual market conditions or a lack of a ready market of any particular option at a specific time may reduce the effectiveness of the Fund’s options strategies, and for these and other reasons the Fund’s options strategies may not reduce the Fund’s volatility to the extent desired. From time to time, the Fund may reduce its holdings of put options, resulting in an increased exposure to a market decline.

The goal of the level-rate distribution policy is to provide investors a predictable, though not assured, level of cash flow. Monthly distributions paid may include net investment income, net realized short-term capital gains, and, if necessary, return of capital. Maintenance of this policy may increase transaction and tax costs associated with the Fund.

Leverage creates risks which may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares; and fluctuations in the variable rates of the leverage financing. The ratio is the percent of borrowing to total assets.

Each fund has specific risks, which are outlined in the respective funds’ prospectuses. The general risks involved in investing in a closed end fund include market volatility risk, dividend and income risk, and loss of investment risk. Please refer to each fund’s prospectus, annual and semi-annual reports at www.calamos.com for complete information on the fund’s performance, investments and risks.

NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE

Literature

Strategic Total Return Commentary
CSQ Quarterly Commentary A quarterly discussion of the Calamos Strategic Total Return Fund performance, related market commentary, and outlook.
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Strategic Total Return Fund Fact Sheet
CSQ Fact Sheet The CSQ Fund seeks total return through a combination of capital appreciation and current income by investing in a diversified portfolio of equities, convertible securities and below-investment-grade (high-yield) fixed-income securities.
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Strategic Total Return Fund Annual Report
CSQ Annual Report The CSQ annual report includes a letter from John P. Calamos, Sr. to shareholders outlining the fund performance, as well as a comprehensive review of the fund’s activities and financial performance.
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Strategic Total Return Fund Semi- Annual Report
CSQ Semi Annual Report The CSQ semiannual report includes a letter from John P. Calamos, Sr. to shareholders and provides a comprehensive review of the fund’s activities and financial performance for a six month period.
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CSQ Prospectus This prospectus supplement, together with the accompanying prospectus, sets forth concisely the information that you should know before investing. You should read the accompanying prospectus and prospectus supplement, which contain important information, before deciding whether to invest in our securities.
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Strategic Total Return Fund Statement of Additional Information
CSQ SAI This prospectus supplement, together with the accompanying prospectus, sets forth concisely the information that you should know before investing. You should read the accompanying prospectus and prospectus supplement, which contain important information, before deciding whether to invest in our securities.
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Closed-End Funds Webcast
Calamos Closed-End Funds Webcast A presentation from the Calamos quarterly closed-end funds webcast that provides an update and overview of the closed-end funds marketplace, as well as positioning and performance review for the Calamos closed-end funds.
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Closed End Fund Distributions
Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annual percentage of the Fund’s current market price per share. The Fund’s most recent distribution was $0.0825 per share. A breakdown of the Fund’s most recent distribution can be found on the Strategic Total Return Fund Fact Sheet. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. Distribution rate may vary.

Debt Coverage Ratio is the amount of cash flow available to meet annual interest and principal payments on debt. A Debt Coverage Ratio of less than 1 would mean a negative cash flow. For example, a ratio of 0.95 would mean that there was only enough net operating income to cover 95% of annual debt payments.

Past Performance
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a market price that is below their net asset value.

Important Fund Information

The Fund may invest up to 100% of its assets in foreign securities and invest in an array of security types and market-cap sizes, each of which has a unique risk profile. As a result of political or economic instability in foreign countries, there can be special risks associated with investing in foreign securities. These include fluctuations in currency exchange rates, increased price volatility, and difficulty obtaining information.

There are certain risks associated with an investment in a convertible bond such as default risk—that the company issuing a convertible security may be unable to repay principal and interest, and interest rate risk—that the convertible may decrease in value if interest rates increase.

Investments by the Fund in lower-rated securities involve substantial risk of loss and present greater risks than investments in higher-rated securities, including less liquidity and increased price sensitivity to changing interest rates and to a deteriorating economic environment.

Fixed income securities are subject to interest rate risk; as interest rates go up, the value of debt securities in the Fund’s portfolio generally will decline.

The Fund may invest in derivative securities, including options. The use of derivatives present risks different from, and possibly greater than, the risks associated with investing directly in traditional securities. There is no assurance that any derivative strategy used by the Fund will succeed. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised.

The Fund may seek to purchase index put options to help reduce downside exposure. However, the effectiveness of the Fund’s index option-based risk management strategy may be reduced if the Fund’s equity portfolio does not correlate to the performance of the underlying option positions. The Fund also risks losing all or part of the cash paid for purchasing index options. Unusual market conditions or a lack of a ready market of any particular option at a specific time may reduce the effectiveness of the Fund’s options strategies, and for these and other reasons the Fund’s options strategies may not reduce the Fund’s volatility to the extent desired. From time to time, the Fund may reduce its holdings of put options, resulting in an increased exposure to a market decline.

The goal of the level-rate distribution policy is to provide investors a predictable, though not assured, level of cash flow. Monthly distributions paid may include net investment income, net realized short-term capital gains, and, if necessary, return of capital. Maintenance of this policy may increase transaction and tax costs associated with the Fund.

Leverage creates risks which may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares; and fluctuations in the variable rates of the leverage financing. The ratio is the percent of borrowing to total assets.

Each fund has specific risks, which are outlined in the respective funds’ prospectuses. The general risks involved in investing in a closed end fund include market volatility risk, dividend and income risk, and loss of investment risk. Please refer to each fund’s prospectus, annual and semi-annual reports at www.calamos.com for complete information on the fund’s performance, investments and risks.

NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE
Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annual percentage of the Fund’s current market price per share. The Fund’s most recent distribution was $0.0825 per share. A breakdown of the Fund’s most recent distribution can be found on the Strategic Total Return Fund Fact Sheet. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. Distribution rate may vary.

Debt Coverage Ratio is the amount of cash flow available to meet annual interest and principal payments on debt. A Debt Coverage Ratio of less than 1 would mean a negative cash flow. For example, a ratio of 0.95 would mean that there was only enough net operating income to cover 95% of annual debt payments.

Past Performance
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment. Shares of closed-end funds frequently trade at a market price that is below their net asset value.

Important Fund Information

The Fund may invest up to 100% of its assets in foreign securities and invest in an array of security types and market-cap sizes, each of which has a unique risk profile. As a result of political or economic instability in foreign countries, there can be special risks associated with investing in foreign securities. These include fluctuations in currency exchange rates, increased price volatility, and difficulty obtaining information.

There are certain risks associated with an investment in a convertible bond such as default risk—that the company issuing a convertible security may be unable to repay principal and interest, and interest rate risk—that the convertible may decrease in value if interest rates increase.

Investments by the Fund in lower-rated securities involve substantial risk of loss and present greater risks than investments in higher-rated securities, including less liquidity and increased price sensitivity to changing interest rates and to a deteriorating economic environment.

Fixed income securities are subject to interest rate risk; as interest rates go up, the value of debt securities in the Fund’s portfolio generally will decline.

The Fund may invest in derivative securities, including options. The use of derivatives present risks different from, and possibly greater than, the risks associated with investing directly in traditional securities. There is no assurance that any derivative strategy used by the Fund will succeed. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised.

The Fund may seek to purchase index put options to help reduce downside exposure. However, the effectiveness of the Fund’s index option-based risk management strategy may be reduced if the Fund’s equity portfolio does not correlate to the performance of the underlying option positions. The Fund also risks losing all or part of the cash paid for purchasing index options. Unusual market conditions or a lack of a ready market of any particular option at a specific time may reduce the effectiveness of the Fund’s options strategies, and for these and other reasons the Fund’s options strategies may not reduce the Fund’s volatility to the extent desired. From time to time, the Fund may reduce its holdings of put options, resulting in an increased exposure to a market decline.

The goal of the level-rate distribution policy is to provide investors a predictable, though not assured, level of cash flow. Monthly distributions paid may include net investment income, net realized short-term capital gains, and, if necessary, return of capital. Maintenance of this policy may increase transaction and tax costs associated with the Fund.

Leverage creates risks which may adversely affect return, including the likelihood of greater volatility of net asset value and market price of common shares; and fluctuations in the variable rates of the leverage financing. The ratio is the percent of borrowing to total assets.

Each fund has specific risks, which are outlined in the respective funds’ prospectuses. The general risks involved in investing in a closed end fund include market volatility risk, dividend and income risk, and loss of investment risk. Please refer to each fund’s prospectus, annual and semi-annual reports at www.calamos.com for complete information on the fund’s performance, investments and risks.

NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE