Experience and Foresight

 

About Calamos Investments

For more than 30 years, we have helped investors like you manage and build wealth to meet their long-term individual objectives by working to capitalize on the opportunities of the evolving global marketplace. We launched our first open-end mutual fund in 1985 and our first closed-end fund in 2002. Today, we manage five closed-end funds. Two are total-return oriented offerings, which seek current income, with increased emphasis on capital gains potential. Three are enhanced fixed-income offerings, which pursue high current income from income and capital gains. Calamos Global Dynamic Income Fund (CHW) falls into this category. Please see page 5 for a more detailed overview of our closed-end offerings.

 

We are dedicated to helping our clients build and protect wealth. We understand when you entrust us with your assets, you also entrust us with your achievements, goals and aspirations. We believe we best honor this trust by making investment decisions guided by integrity, by discipline, and by our conscientious research.

 

We believe that an active, risk-conscious approach is essential for wealth creation. In the 1970s, we pioneered low-volatility equity strategies, which seek to participate in equity market upside and mitigate some of the potential risks of equity market volatility. Our investment process seeks to manage risk at multiple levels and draws upon our experience investing through multiple market cycles.

 

We have a global perspective. We believe that globalization offers tremendous opportunities for countries and companies all over the world. In our view, this creates significant opportunities for investors. In our U.S., global and international portfolios, we are seeking to capitalize on the potential growth of the global economy.

 

We believe there are opportunities in all markets. Our history traces back to the 1970s, a period of significant volatility and economic concerns. We have invested through multiple market cycles, each with its own challenges. Out of this experience comes our belief that the flipside of volatility is opportunity.

Letter to Shareholders

 

Dear Fellow Shareholder:

 

Welcome to your semiannual report for the six-month period ended April 30, 2011. I encourage you to review this report carefully. It includes commentary and insights from the investment team, as well as a listing of portfolio holdings, financial data and highlights, and detailed information about the performance and allocation of your fund.

 

Calamos Global Dynamic Income Fund (CHW) is an enhanced fixed-income fund. We utilize dynamic asset allocation to pursue high current income, while also maintaining a focus on capital gains.

 

CHW’s enhanced fixed-income approach provided investors with steady monthly distributions, as well as total return.

 

We are pleased to report that CHW provided a steady stream of monthly distributions. Moreover, on an NAV basis, the fund’s total return surpassed both the global equity market and global fixed income market, as measured by the BofA Merrill Lynch Global Broad Market Index and the MSCI World Index, respectively. On a market price basis, the fund outperformed the global bond index and participated significantly in the gains of the global equity market, as measured by the aforementioned indices. We believe that these results—as well as the fund’s longer-term record—illustrate the benefits of dynamic asset allocation as part of an enhanced fixed-income strategy. In the Q&A beginning on page 6, we discuss the fund’s strategy and performance over the reporting period at greater length.

 

Steady and Competitive Distributions

CHW’s distribution policy reflects our long-term perspective, focus on consistency, and risk-aware approach. We recognize that many of our investors prefer consistent monthly distributions, instead of unpredictable ones. This fund has a level rate distribution policy, which means we seek to keep distributions the same from month to month. We and the fund’s Board of Directors are committed to providing distributions that we believe can be sustained over the long-term. In setting the fund’s distribution level, we consider the market and economic environment, prevailing interest rates and the opportunities we see in individual securities and asset classes. We discuss the level distribution policy at greater length on pages 5 and 33.

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Letter to Shareholders

 

Prudent Use of Leverage

In this fund, we have the flexibility to employ leverage to enhance total return and to support the fund’s distribution rate. Leverage involves borrowing money and reinvesting the proceeds. During the reporting period, we believed the economic environment was favorable for the prudent use of leverage. Our use of leverage contributed favorably to overall performance, as we were able to achieve a higher return than our borrowing costs. We intend to continue to utilize leverage judiciously, as long as we believe it will serve the fund’s shareholders well.

 

As part of our emphasis on risk management, we employed interest rate swaps as a hedge against a potential rise in interest rates. We use these swaps to manage the borrowing costs associated with our leverage activities. Through these swaps, we essentially lock down an interest rate that we believe to be attractive. Currently, interest rates are at historically low levels throughout much of the fixed income market. However, given the current economic landscape, we believe that it is possible that rates could surge very quickly, even over a period of weeks, as was the case in the 1970s and 1980s. We believe the fund’s interest rate swaps could be a valuable tool to help protect the fund from increasing borrowing costs, should rates rise.

 

The Market and Economic Environment: Resilience Amid Volatility

During the reporting period, unexpected events unsettled the global markets. These included the earthquake and tsunami in Japan, as well as political turmoil and violence in the Middle East and North Africa. Other longer-running concerns persisted, such as the debt burdens of developed nations, commodity prices, inflationary pressures, and evolving geopolitical relationships between established and rising powers.

 

Yet, on the whole, global markets demonstrated considerable resilience, as market participants seemed to give increased attention to more positive influences. These included robust economic growth in many parts of the world and strong world trade. There were also continued signs of improving economic conditions within the United States. For example, we saw many instances of improving corporate profits and balance sheets, as well as gains in private sector job growth. The credit markets remained open and strong, providing good access to capital for large cap and mid cap companies, in particular.

 

Global equity markets posted brisk returns for the period, with developed markets outperforming emerging markets on the whole. The MSCI World Index, a measure of developed market performance, gained 15.04% for the six-month period, while emerging markets rose 9.84%, as measured by the MSCI Emerging Markets Index. Equity-sensitive securities also participated in this advance, with the BofA Merrill Lynch Global 300 Convertible Index returning 9.68%. However, returns in the global bond market were more muted, with the BofA Merrill Lynch Global Broad Market Index gaining just 1.50%. As investors sought yield, high-yield securities were generally better rewarded; for example, the Credit Suisse High Yield Index rose 6.01%.

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Letter to Shareholders

 

Positioned for Global Growth

Globally, we see considerable investment opportunities being driven by long-term secular trends. As we have discussed previously, one of the most important of these trends is the growing prosperity of emerging economies. We believe that progress in emerging markets has exciting ramifications for countries and companies all over the world. These opportunities extend not only to companies that may benefit from infrastructure build-out, in sectors such as energy, materials and industrials, but also to businesses that provide goods and services that help individuals achieve an improved quality of life. We expect rising prosperity in emerging markets to drive demand for a wide variety of goods and services, ranging from cell phones to health care innovations and education.

 

Other important trends include corporations’ focus on productivity enhancements, which we believe will drive technology spending. We also believe that individuals’ desire to be connected to information, each other and entertainment at all times and price points, creates opportunities for consumer-oriented technologies. We believe secular trends will also drive growth in some areas of health care, as populations in developed markets age.

 

We Are Finding Opportunities Throughout the Global Markets

CHW’s global enhanced fixed income strategy provides us with broad flexibility to invest in multiple asset classes, including convertible securities, high-yield corporate bonds and equities. Our team continues to find compelling investments in each of these groups. Within the global bond and convertible securities markets, we are seeking credits that offer attractive yields, reliable debt servicing prospects and the opportunity for credit upgrades. In keeping with our risk conscious approach, we are maintaining a highly selective approach to the most speculative credits. Across the portfolio, where possible, we focus on businesses with global footprints, global management and global revenue streams.

 

We believe there are compelling investment opportunities around the world for investors who put in the time and effort to separate the leaders from the also-rans. For example, as we have discussed in recent interviews with national television networks and publications, we believe the case for U.S. growth equities is strong. On the whole, we feel that valuations are extremely attractive by a number of measures, such as future cash flows and growth assumptions. Our investment criteria have also led us to compelling investments in the global equity markets, including companies based in developed European markets and select emerging markets.

 

In Closing

We believe that innovation thrives in all market environments. Our investment team continues to find many businesses that are guided by a spirit of creativity and entrepreneurship—companies that we have seen adapt and change as the global economy evolves.

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Letter to Shareholders

 

While I believe that globalization presents a very exciting backdrop for investors, the opportunity potential does vary considerably from company to company and industry to industry. Because of this, we believe that an active investment approach is particularly important. We believe our decades of experience, our selective, risk-aware approach and our unwavering commitment to our shareholders will continue to differentiate CHW as an enhanced fixed income offering.

 

If you would like additional information about this fund or our other closed-end offerings, please contact your financial advisor or our client services team at 800.582.6959 (Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time). We also invite you to visit us at www.calamos.com.

 

We thank you for your continued trust. It is an honor to partner with you to help you achieve your financial goals.

 

Sincerely,

 

 

John P. Calamos, Sr.
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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The Calamos Closed-End Funds: An Overview

 

In our closed-end funds, we draw upon decades of investment experience, including a long history of opportunistically blending asset classes in an attempt to capture upside potential while managing downside risk. We launched our first closed-end fund in 2002.

 

Closed-end funds are long-term investments. Most focus on providing monthly distributions, but there are important differences among individual closed-end funds. Calamos closed-end funds can be grouped into two broad categories: (1) enhanced fixed income and (2) total return. Funds in both groups provide a monthly distribution stream and invest in a combination of asset classes.

 

OBJECTIVE: ENHANCED FIXED INCOME		OBJECTIVE: TOTAL RETURN
Portfolios Positioned to Pursue High Current Income from Income and Capital Gains		Portfolios Positioned to Seek Current Income, with Increased Emphasis on Capital Gains Potential
Calamos Convertible Opportunities and Income Fund (Ticker: CHI) Invests in high-yield and convertible securities, primarily in U.S. markets		Calamos Global Total Return Fund (Ticker: CGO) Invests in equities and higher-yielding convertible securities and corporate bonds, in both U.S. and non-U.S. markets
Calamos Convertible and High Income Fund (Ticker: CHY) Invests in high-yield and convertible securities, primarily in U.S. markets		Calamos Strategic Total Return Fund (Ticker: CSQ) Invests in equities and higher-yielding convertible securities and corporate bonds, primarily in U.S. markets.
Calamos Global Dynamic Income Fund (Ticker: CHW) Invests in global fixed-income securities, alternative investments and equities

 

Our Level Rate Distribution Policy

Investors often choose a closed-end fund because they seek a steady stream of income. In recognition of this, all five Calamos closed-end funds have adopted a level distribution policy. Our policy is to pay a distribution reflective of the funds’ past results and projected earnings potential through income as well as capital gains. Our team is focused on delivering an attractive monthly distribution, while maintaining a long-term focus on risk management. The level of the funds’ distributions can be greatly influenced by market conditions, including the interest rate environment. The funds’ distributions will depend on the individual performance of positions the funds hold, our view of the benefits of retaining leverage, fund tax considerations, and maintaining regulatory requirements.

 

For more information about any of these funds, we encourage you to contact your financial advisor or Calamos Investments at 800.582.6959 (Monday through Friday from 8:00 a.m. to 6:00 p.m., Central Time). You can also visit us at www.calamos.com.

 

For more information on our level rate distribution policy, please see page 33.

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Investment Team Discussion

 

GLOBAL DYNAMIC INCOME FUND

INVESTMENT TEAM DISCUSSION

 

The Calamos Investment Management Team, led by Co-Chief Investment Officers John P. Calamos, Sr. and Nick P. Calamos, CFA, discusses the fund’s strategy, performance and positioning for the six-month period ended April 30, 2011.

 

Q. To provide a context for its performance, please discuss the fund’s strategy and role within an asset allocation.

A. Calamos Global Dynamic Income Fund (CHW) is a global enhanced fixed income offering that seeks to provide an attractive monthly distribution, with a secondary objective of capital appreciation. We believe it offers a diversified way to participate in the long-term potential of global markets.

 

In this portfolio, we are drawing upon our team’s wide-ranging experience in an array of asset classes. We utilize a highly flexible approach and can invest in equities, convertible securities and high yield securities. We also can employ alternative strategies such as convertible arbitrage and covered call writing. In the convertible arbitrage strategy, we invest in convertible securities and short sell the convertibles’ underlying equities to generate income and hedge against risk. Through covered call writing, we seek to generate income by selling (“writing”) options on market indexes.

 

We believe that this broad mandate enhances our ability to capitalize on market volatility, manage potential downside risks and generate more income versus traditional fixed income funds. The allocation to each asset class and strategy is dynamic, and reflects our view of the economic landscape as well as the potential of individual securities. By combining asset classes and strategies, we believe that we are well positioned to generate income and capital gains. The broader range of security types also provides us with increased opportunities to manage the risk and reward characteristics of the portfolio over full market cycles.

 

We invest in both U.S. and non-U.S. companies, with at least 40% of assets invested in non-U.S. companies. We emphasize companies we believe offer reliable debt servicing, respectable balance sheets, and sustainable prospects for growth. Regardless of a company’s country of domicile, we favor, where possible, companies with geographically diversified revenue streams and global business strategies.

 

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 4/30/11

 

6		CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT

Investment Team Discussion

 

Q. How did the fund perform over the reporting period?

A. CHW gained 18.22% on a net asset value (NAV) basis for the six-month period ending April 30, 2011, outperforming the global equity market as measured MSCI World Index, up 15.04%, and the global bond market, as measured by the BofA Merrill Lynch Global Broad Market Index, which gained 1.50%. On a market price basis, the fund returned 13.80% for the same period.

 

Q. How do NAV and market price return differ?

A. Closed-end funds trade on exchanges, where the price of shares may be driven by factors other than the value of the underlying securities. The price of a share in the market is called market value. Market price may be influenced by factors unrelated to the performance of the fund’s holdings.

 

A fund’s NAV return measures the return of the individual securities in the portfolio, less fund expenses. It also measures how a manager was able to capitalize on market opportunities. Because we believe closed-end funds are best utilized as a long-term holding within asset allocations, we believe that NAV return is the better measure of a fund’s performance.

 

Q. Please discuss the fund’s distributions during the annual period.

A. As we discussed in the opening letter, we employ a level rate distribution policy within this fund, with the goal of providing shareholders with a consistent distribution stream. The fund provided a steady distribution stream over the period. Monthly distributions were $0.0500 per share, and the fund’s annual distribution rate was 6.63% of market price as of April 30, 2011.

 

We believe that the fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of the marketplace. For example, as of April 30, 2011, the dividend yield of S&P 500 Index stocks averaged 1.8%. Yields also remained low in the U.S. government bond market, with 10-Year Treasurys and 30-Year Treasurys yielding 3.5% and 4.5%, respectively. Moreover, we believe the fund’s distribution rate is particularly compelling in that the fund also captured much of the equity market’s return, demonstrating the potential merits of a total return approach.

 

Q. The fund is currently trading at a discount to its NAV. Please discuss this discount.

A. At of the close of the reporting period, the fund was trading at a discount of 13.97%. This means that its market share price is 13.97% less than its NAV price. As we have noted in the past, we believe that this may be favorable for long-term investors seeking to purchase shares because investors can buy shares of the portfolio at a price that is lower than the fair value of the portfolio, as measured by its NAV.

 

Q. What factors influenced performance over the reporting period?

A. As we noted in the overview of the fund’s enhanced fixed income approach, we invest across asset classes and also employ alternative strategies. During the reporting period, the fund benefited from its holdings in U.S. equities, non-U.S. equities, convertible securities and high yield corporate bonds, as well as from our use of convertible arbitrage.

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Investment Team Discussion

 

Within its U.S. equity allocation, an overweight in the energy sector relative to the S&P 500 Index proved particularly advantageous as the price of oil increased over the period. An underweight to the financials sector also enhanced relative performance. The fund’s underweight reflects our long-standing concerns about the potential risks within much of the sector. For example, we believe unfolding regulation and deleveraging may hinder revenue and profit growth in many banks. In contrast, while the fund’s information technology stake contributed favorably on an absolute basis, our positioning hindered performance relative to the S&P 500 Index. We maintain a high degree of conviction in many information technology stocks. We’ve favored companies that we believe are positioned to benefit from capital spending as companies seek to enhance their productivity. We are also interested in companies that are providing consumers with technologies that help them communicate, innovate and gain access to information. We are finding companies with high-growth characteristics, such as higher cash levels and lower debt levels, at valuations we believe are attractive.

 

Within the international equity portion of the portfolio, our positioning within information technology provided a significant boost to returns relative to the MSCI EAFE Index. Here, the fund’s semiconductors stake contributed notably. Health care holdings also furthered the fund’s advance, in areas such as health care equipment and pharmaceuticals. In contrast, an underweight position to the materials sector detracted from performance versus the MSCI EAFE Index. Within the sector, we have maintained a close eye on steepening valuations.

 

The fund’s global high yield bonds and convertible securities gained ground. As market participants pursued yield, this resulted in a narrowing of credit spreads in these markets which drove prices up. This quest for income in many cases led investors to favor the most speculative issues in the market. However, because we take a total return approach that focuses on avoiding downside risk, we took a very selective approach to lower rated issues, particularly those rated CCC. The fund was significantly underweighted in these credits.

 

Turning to alternative strategies, as convertible markets advanced briskly over the reporting period, the convertible arbitrage portion of the fund participated, benefiting from improved convertible valuations and narrowing credit spreads. During the period, we opted to suspend the use of covered call writing, based on our assessment of volatility in the marketplace (covered call writing is often more profitable during periods of higher volatility) and our view of equity market upside. By writing covered calls, we could have potentially capped our participation in the gains of the fund’s equity holdings that would have been used to cover our call writing activities.

 

Our use of leverage was also beneficial to the fund’s performance. We were able to borrow at low rates and then invest the proceeds in securities that generated higher returns. As we discussed in the opening letter, we utilized interest rate swaps to lock in an interest rate we believe to be attractive and to provide a hedge against a potential rise in interest rates.

 

Q. What is your outlook for Calamos Global Dynamic Income Fund?

A. Despite our concerns about some macroeconomic influences, we believe that the global markets offer ample opportunities for this fund’s enhanced fixed income approach, and that the fund’s broad investment universe provides us with important

8		CALAMOS GLOBAL DYNAMIC INCOME FUND SEMIANNUAL REPORT

Investment Team Discussion

advantages, both in the current low-rate environment as well as in an environment where rates could rise in the U.S., perhaps quite suddenly. Because of its innovative portfolio structure, this fund may be less susceptible to interest rate changes that could result from dollar devaluation or debt burdens, compared to those closed-end funds that rely primarily on U.S. Treasury bonds or municipal securities for yield.

 

In our view, active, multi-faceted risk management will remain very important. Global economic recovery is underway, but we do not believe that the current environment is one in which “a rising tide will lift all boats.” We do expect continued spikes in volatility, and in this environment, we believe that our ability to utilize a broad range of securities will remain an important differentiator of our enhanced fixed income approach. In this current climate, we also feel that our focus on companies with respectable balance sheets and good prospects for debt servicing remains prudent. Although the most speculative credits may provide incrementally higher income, we believe that a number of them fail to provide a return potential that is commensurate with their potential risks. Additionally, where possible, we maintain an emphasis companies with global strategies and reach, as they may be particularly well positioned for an evolving global economy.

 

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