Calamos Global Total Return Fund posted strong gains in 2006. We asked the management team, led by Co-Chief Investment Officers, John P. Calamos, Sr. and Nick P. Calamos, to discuss how they invested the portfolio as well as their perspective on the economic and market climate.

Q. What is the Fund's investment strategy?

A. As you know, Calamos Global Total Return Fund (CGO) seeks to offer investors a defensive means to participate in the broad global equity market, an opportunity for significant long-term total return, and the benefit of an attractive monthly distribution. By judiciously blending global equities, global convertibles and high-yield corporate securities, the Fund has the potential to generate capital gains as well as income, using its flexibility to help manage risk and reward across the vast global economy. Because convertible and high-yield securities tend to follow the movements of their companies' equity counterparts more than traditional fixed-income securities, the Fund can be viewed as having substantial equity sensitivity, yet offers the added benefit—and potential downside protection—of a level monthly distribution. In addition, the Fund seeks to participate in the long-term upward trend of the global growth story by taking advantage of opportunities resulting from globalization, democratization, and new technologies.

Q. How did the Fund perform in 2006?

A. Brought to market late in 2005, Calamos Global Opportunities Fund (CGO) had a tremendous year in 2006. Investors' appetite for global investing and the Fund's ability to defensively blend asset classes boosted its appeal. For the year ended December 31, 2006, the Fund returned 28.10 (market price) and 23.05% (NAV), strongly outpacing the MSCI World Index* return of 20.65%. Given the robust performance of the underlying portfolio, the Board of Directors elected to raise the monthly distribution by 17% in June 2006 to $0.0875 per share. The Fund continued to deliver this monthly distribution through the end of the year. As of December 31, 2006, this equated to an annualized distribution rate¹ of 6.18% based on the Fund's market price.

*The MSCI World Index (U.S. Dollars) is a market-capitalization-weighted index composed of companies representative of the market structure of developed market countries in North America, Europe and the Asia/Pacific region. Investors cannot invest directly in an index. Source: Lipper Analytical Services.

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.

View most recent month-end performance.

Q. What benefited the Fund in 2006?

A. During 2006, the portfolio's gains were the result of proper positioning within asset categories, regional allocation and security selection based on our long-term outlook. Each of the Fund's asset classes—global common stocks, global convertible securities, and high-yield bonds—posted positive returns. During the period, we made no dramatic shifts in asset classes weighting, and at year end, equities represented approximately 55% of assets, high-yield, 28% and convertibles, 16%. Less than half of the portfolio was invested in the United States, with the next largest allocations going to the Australia, the United Kingdom and Japan. Overall, performance during the period was helped by the Fund's equity sensitivity, reflected in its stock and convertible security allocations, which did exceptionally well. Our
favoring the securities of larger-cap companies also aided results.

From a sector perspective, nine of the portfolio's 10 major sector allocations garnered strong double-digit returns in 2006. The Fund's selection within the financials, industrials, information technology and energy proved especially advantageous.

*Sector and portfolio asset allocation are based on net assets.

Q. What held back performance?

A. During the period, the Fund expanded its use of a covered call strategy. This strategy enables CGO to generate income from option premiums by writing (selling) options.

While the portfolio's high-yield and convertible securities did post positive returns, they finished behind equities during the period. Over a full market cycle, however, we believe that the combination of asset classes within this portfolio should provide investors with a higher yield and attractive risk/reward balance relative to the broad equity-only market. Based on this belief, we did not make significant shifts in asset-class weightings during the period.

From a sector perspective, the Fund's selection in the consumer discretionary sector was a significant detractor. The Fund's underweight and security selection in the materials and utilities sectors also impeded performance.

Q. What is your outlook in the coming year and how are you positioning the portfolio accordingly?

A. Stable growth and large-cap equities appear attractive around the globe. We believe the United States is in the midst of a mid-cycle slowdown. However, we don't believe the risk of inflation or recession is high at this time. One significant change that occurred in past mid-cycle slowdowns was a shift from a pro-cyclical market to a more growth-oriented market. On a much broader scale, we believe the global economy is in good shape, and we are looking for many of the same qualities in businesses globally as we favor domestically, including strong top-line growth, high return on invested capital, low debt-to-capital, good valuations and reliable cash flow.

Convertible bonds continue to offer an attractive risk/reward choice for investors. We favor higher-quality, equity-sensitive convertibles, so that we can continue to participate in the upward movement of the stock market. Here, too, the emphasis is on higher-quality, sustainable-growth companies. At the same time, we have reduced our allocation to cyclicals, such as energy, industrials and materials; we believe businesses that owe their growth to volatile commodity prices or to strong recovery-level growth in the GDP pose a higher risk today.

Selective opportunities in the high-yield market could also benefit the portfolio. The performance of high-yield bonds typically tracks more closely to the performance of the underlying issuer than it does to interest rates, making them more sensitive to stock price. The Fund seeks to take advantage of this equity-sensitive characteristic, relying on our proven research to determine the financial strength of issuing companies.

In our assessment of investing opportunities around the world, we continue to follow trends we believe will have an increasing influence in the global economic landscape, such as the growing role of the emerging-market consumer and the move toward outsourcing of labor to foreign countries. Within developed markets, we've increased our allocations in Asia.

In particular, we added to Japan, based on our belief that the economic and market landscape there remains favorable. Before he stepped down in September, Prime Minister Koizumi set into motion broad economic reforms, and we believe that these will continue to benefit the Japanese markets. Deflationary trends finally seem to have dissipated, and consumer trends are gaining strength. We are, however, closely monitoring the country's new prime minister, Shinzo Abe, to ensure his economic policies support continued growth.

In emerging markets, we're favoring emerging Asia. In contrast, we are avoiding investment in other parts of Latin America, where the direction of many countries' economic policies concerns us. In our modest emerging markets' stake, we continue to focus on companies that are global leaders—those that are being driven by the global economy rather than a single local economy. We believe that this is a more prudent approach, both in terms of risk management and growth potential.