TOTAL RETURN* AS OF 4/30/17
Common Shares – Inception 6/27/07
			Since
	6 Months	1 Year	Inception**
On Market Price	21.56%	29.38%	3.84%
On NAV	12.75%	18.34%	4.92%
* Total return measures net investment income and net realized gain or loss from Fund investments, and change in net unrealized appreciation and depreciation, assuming reinvestment of income and net realized gains distributions.
**Annualized since inception.
SECTOR WEIGHTINGS
Information Technology			22.2	%
Consumer Discretionary			15.2
Industrials			12.6
Health Care			10.1
Financials			9.2
Energy			7.7
Consumer Staples			6.1
Telecommunication Services			6.0
Materials			3.0
Real Estate			2.7
Utilities			1.2
Sector Weightings are based on managed assets and may vary over time. Sector Weightings exclude any government/sovereign bonds or options on broad market indexes the Fund may hold.

GLOBAL DYNAMIC INCOME FUND (CHW)

INVESTMENT TEAM DISCUSSION

 

Please discuss the Fund’s strategy and role within an asset allocation.

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

 

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 it reflects our view of the economic landscape and 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/reward characteristics of the portfolio over full market cycles. For the period, our exposure to the equity markets was beneficial to the overall performance of the Fund.

 

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 with reliable debt servicing, respectable balance sheets and sustainable prospects for growth. Regardless of a company’s country of domicile, we favor companies with geographically diversified revenue streams and global business strategies.

 

How did the Fund perform over the reporting period?

The Fund returned 12.75% on a net asset value (NAV) basis for the six-month period ended April 30, 2017. On a market price basis, the Fund returned 21.56%. For the sake of comparison to the broader global markets, the MSCI EAFE Index (which measures developed market equity performance, excluding the U.S. and Canada) returned 10.60%, the MSCI World Index returned 12.44%, and the S&P 500 Index gained 13.32% during the period.

 

At the end of the reporting period, the Fund’s shares traded at a -5.40% discount to NAV.

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 4/30/17

 

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost. Returns at NAV reflect the deduction of the Fund’s management fee, debt leverage costs and all other applicable fees and expenses. You can obtain performance data current to the most recent month end by visiting www.calamos.com.

 

How do NAV and market price return differ?

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, such as general market sentiment or future expectation. A fund’s NAV return measures the actual 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 long-term within asset allocations, we believe that NAV return is the better measure of a fund’s performance. However, when managing the fund, we strongly consider actions and policies that we believe will optimize its overall price performance and returns based on market price.

 

Please discuss the Fund’s distributions during the annual period.

We employ a level rate distribution policy within this Fund with the goal of providing shareholders with a consistent distribution stream. In each month of the period, the Fund distributed $0.0700 per share, resulting in a current annualized distribution rate of 10.21% of market price as of April 30, 2017.

 

We believe that both 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, 2017, the dividend yield of S&P 500 Index stocks averaged approximately 2.13%. Yields also were low within the U.S. government bond market, with the 10-year U.S. Treasury and 30-year U.S. Treasury yielding 2.29% and 2.96%, respectively.

 

What factors influenced performance over the reporting period?

The Fund has the ability to invest in a range of strategies including convertible securities, high yield, U.S. equities, international equities, as well as convertible arbitrage. This enables us to participate in a myriad of opportunities on behalf of our shareholders. Given this flexibility, we were able to maintain our exposure to the equity markets through our convertible holdings, which allowed us to participate in the general upward trajectory of equities. Broad improvements in both domestic and global equity

 

and fixed income markets contributed to the Fund’s strong performance over the period. Price performance was enhanced by good valuations in the stock relative to the NAV earlier in the period, which served as an enticement to many investors.

 

The Fund’s U.S. equity sleeve outperformed relative to the S&P 500 Index as selection in information technology, specifically an overweight in technology hardware, storage and peripherals, outperformed relative to the index. In addition, our selection in consumer discretionary, namely an overweight in hotels, resorts and cruise lines, was additive.

 

Conversely, our selection in health care (health care equipment) impeded performance relative to the index. In addition, our selection in industrials (industrial conglomerates) was not helpful.

 

The Fund’s global equity sleeve underperformed relative to the MSCI World Index. Our underweight to and selection in consumer staples (packaged foods and meats) was helpful. Our selection in energy (avoidance of oil and gas exploration and production) also proved beneficial.

 

Conversely, our underweight to and selection in financials, specifically selection in asset management and custody banks, detracted relative to the index. Our selection in information technology (communications equipment) also weighed on results.

 

Our holdings in Japan helped performance relative to the MSCI Index. However, our holdings in Germany were a disappointing offset.

 

The Fund’s international sleeve underperformed relative to the MSCI EAFE Index. Our overweight and allocation in information technology (specifically selection in technology hardware, storage and peripherals) was beneficial relative to the index. In addition, selection in industrials (an overweight to aerospace and defense) was helpful. Our selection in Japan was also positive.

 

Conversely, an underweight to and selection in financials (an underweight and selections with respect to diversified banks) impeded performance relative to the MSCI EAFE Index. In addition, our selection in materials (an overweight to gold) hindered return. Our overweight to Canada relative to the index was not helpful.

 

Convertible Arbitrage entails owning a convertible bond long and then shorting its underlying stock. It is employed as a strategy to enhance returns. The convertible arbitrage sleeve contributed positively toward the end of the period. Overall volatility declined from the beginning of the period and was low throughout. Intraday volatility, however, did provide some opportunities to gamma trade though not at the levels we would see with normal volatility. Narrowing high yield credit spreads were also supportive to convertible arbitrage during the period. Moreover, convertible valuations richened during the period, supporting the long convertible position and contributing modestly to return.

 

How is the Fund positioned?

We continued to find opportunities across asset classes. We maintained a preference for larger-cap growth-oriented companies with global presence and geographically diversified revenue streams. We believe that such companies should be particularly well positioned to capitalize on the global growth trends we see. In keeping with an emphasis on risk management, we focus on companies that we believe have respectable balance sheets, solid free cash flows, good prospects for sustainable growth and reliable debt servicing.

The portfolio’s largest allocations—in absolute terms—are found in the information technology, consumer discretionary and industrials sectors. We believe that many information technology companies offer compelling fundamentals and participation in secular growth trends. In regard to consumer discretionary, we believe that companies in the sector should benefit from improving economic conditions highlighted by higher employment, lower energy costs, improved consumer sentiment and relatively low interest rates. In addition, we believe that our exposure to financial companies will do well in a rising interest rate, lower regulatory and reflationary environment. Conversely, we are maintaining relatively low exposures to utilities, which we believe are fully valued at this point in the cycle.

 

As noted, we pursue a risk-managed approach to total return. This said, the Fund’s portfolio includes a blend of high yield and investment grade credits. We take a very selective approach to CCC-rated credits. Given our expectation that economic growth may feel stop-and-go, we believe it is particularly important to favor companies that offer the best prospects for reliable debt servicing.

 

The Fund currently employs leverage at 27%. We currently borrow through floating rate bank debt. Although our borrowing costs increased over the period due to rising short-term interest rates, the overall use of leverage contributed favorably to the Fund’s return, as the performance of the Fund’s holdings exceeded the cost of borrowing.

 

What are your closing thoughts for Fund shareholders?

Given our outlook for a continued period of economic growth, we are favoring quality growth companies over cyclicals. Favorable factors within the U.S. include solid job creation, low interest rates, range bound energy prices, increasing consumer confidence and limited inflationary pressures. We are emphasizing investments in companies with solid cash flow generation and stronger balance sheets. From a thematic and sector perspective, we see opportunities in the technology sector, consumer discretionary companies tied to global consumption, and companies positioned to benefit from improving fundamentals and fewer political concerns in Europe. We are also optimistic about financials, as we believe that many of these companies are favorably valued and positioned to grow revenues in a rising interest rate environment. We are also cautious about companies in the consumer staples sector. We believe they may be fully valued as investors seek those stocks for income rather than growth. We are selective regarding the healthcare sector, favoring those companies that are more product growth oriented. We believe our active, risk-managed investment approach positions us to take advantage of the volatility and opportunities in global equities and convertible securities.

 

We believe that fiscal policy is likely to remain a focal point of market anxiety. However, we also believe that the Fed’s policy will be accommodative toward fiscal growth. In our view, equities continue to offer compelling risk/reward characteristics, and we are finding companies with attractively valued fundamentals in many industries.