SEC Form N-CSRS filed by Calamos Global Total Return Fund

TIMELY INFORMATION INSIDE

Global Total Return Fund (CGO)

SEMIANNUAL REPORT APRIL 30, 2023

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CALAMOS CLOSED-END FUNDS

Innovative Solutions for
the Search for Income

About Calamos Investments:

•An innovator in dynamically allocated closed-end funds since 2002

•Funds offer competitive distributions through our multi-asset class approach and strategies that have been less dependent on interest rates

•Total return and enhanced fixed income funds can meet a range of investor needs

•Distribution policies seek to provide steady monthly income

•Currently managing $7.8 billion in seven closed-end funds*

*As of 4/30/2023.

TABLE OF CONTENTS

John P. calamos, sr.

Founder, Chairman
and Global Chief
Investment Officer

CALAMOS Global Total Return Fund SEMIANNUAL REPORT   1

Dear Fellow Shareholder:

Welcome to your semiannual report for the six months ending April 30, 2023. In this report, you will find commentary from our portfolio management team, a listing of portfolio holdings, financial statements and highlights, and detailed information about the performance and positioning of Calamos Global Total Return Fund (CGO).

Innovative Multi-Asset Approach Supports the Search for Steady, Attractive Income

Our experience with closed-end funds dates back to 2002, and we have always recognized that many investors choose closed-end funds to support their search for income. Like all our closed-end funds, CGO is managed to provide steady (although not assured) monthly distributions. As of April 30, 2023, the monthly per share distribution was $0.0800, and the annualized distribution rate was 10.38%† on market price. In comparison, the dividend yield of S&P 500 Index stocks was 1.66%. Yields were also still relatively low within the US government bond market with the 10-year US Treasury yielding 3.45% at period end. Therefore, the Fund’s annualized distribution rate has soundly outdistanced both fixed income and equity alternatives.

Market Review and Outlook

For the period, stock markets around the world advanced. Market participants were encouraged by the prospect that the Federal Reserve would slow or pause its tightening cycle and by economic data that was often better than initially feared. Looking abroad, investors cheered the economic reopening in China.

2   CALAMOS Global Total Return Fund SEMIANNUAL REPORT

In a reversal of fortunes from 2022, growth stocks outperformed their value counterparts by a wide margin. Technology and communication services companies, including many of the bellwether companies that struggled in 2022, dominated market leadership. Many areas of the fixed income market also posted healthy gains, with both investment grade and high yield benchmarks advancing.

Despite these advances, the period was also volatile. The failures of Silicon Valley Bank in the US and Credit Suisse overseas created a burst of fear and raised the specter of widespread bank runs. However, coordinated action by regulators and other large banks quickly dampened anxiety. Inflation has been another key focal point of investor concern. We expect inflation to continue to moderate through the summer months in an on-again, off-again fashion, punctuated by bouts of volatility in oil prices.

Despite economic and market uncertainties, we continue to see many opportunities across asset classes. We believe individual security selection and active management are essential, given the economic backdrop. In the “Investment Team Discussion,” our portfolio managers discuss where they see opportunities and how they are managing risk.

Perspectives on Asset Allocation

I’m often asked what I believe are the “secrets” of investing. It’s an easy question to answer—there are no secrets. However, there are some basic principles that I believe can best position investors for success.

One of the most fundamental principles is to stay focused on the long term. Trying to predict the short-term ups and downs in the market is a dangerous strategy. Far too often, I’ve seen people give in to emotions, which can result in selling into down markets but missing the up markets.

Another essential principle is diversification. Various investments tend to perform differently depending on interest rates, inflation, or the economic environment. The performance of investments can also be influenced by fiscal policy, political uncertainty, and the geopolitical landscape. Having a blend of assets can help smooth the performance of your portfolio because stronger returns in one area of your portfolio can offset weaker results elsewhere.

For investors who seek equity exposure with lower downside volatility, CGO continues to be a strong choice in our opinion for several reasons:

•Our ability to dynamically adjust the allocations of stocks, convertible bonds and high yield securities enables us to deftly manage the risk/reward characteristics of the portfolio over full market cycles.

CALAMOS Global Total Return Fund SEMIANNUAL REPORT   3

•We look beyond the short-term noise to identify pockets of opportunity among innovative companies with quality fundamentals, those in thematic niches, and those that can demonstrate long-term resilience regardless of the macro backdrop.

•In a rising-interest-rate environment, price-to-earnings multiples can come down even if earnings are good, so our team remains mindful of valuations.

Conclusion

As always, we thank you for your continued trust. To learn more about Calamos Investments’ views of the economy, markets and asset allocation, I invite you to visit our website, www.calamos.com.

Sincerely,

John P. Calamos, Sr.

Founder, Chairman and Global Chief Investment Officer

Before investing, carefully consider a fund’s investment objectives, risks, charges and expenses. Please see the prospectus containing this and other information or call 800-582-6959. Please read the prospectus carefully. Performance data represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted.

Diversification and asset allocation do not guarantee a profit or protection against a loss. Investments in alternative strategies may not be suitable for all investors.

Returns for the six months ended April 30, 2023: The S&P 500 Index, a measure of the US stock market, returned 8.63%. The MSCI All Country World Index, a measure of global stock market performance, returned 12.97%. The MSCI Emerging Market Index, a measure of emerging market equity performance, returned 16.53%. The Russell 3000 Growth Index, a measure of US growth equities, returned 10.77%. The Russell 3000 Value Index, a measure of US value equities, returned 3.86%. The Bloomberg US High Yield 2% Issuer Capped Index, a measure of the performance of high-yield corporate bonds with a maximum allocation of 2% to any one issuer, returned 6.21%. The Bloomberg US Aggregate Bond Index, a measure of the US investment-grade bond market, returned 6.91%, the Bloomberg US Government/Credit 1-3 Year Index, a measure of US short-term bond performance, returned 2.89%.

Source: Calamos Advisors LLC.

Unmanaged index returns assume reinvestment of any and all distributions and, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Returns are in US dollar terms.

Investments in overseas markets pose special risks, including currency fluctuation and political risks. These risks are generally intensified for investments in emerging markets. Countries, regions, and sectors mentioned are presented to illustrate countries, regions, and sectors in which a fund may invest. There are certain risks involved with investing in convertible securities in addition to market risk, such as call risk, dividend risk, liquidity risk and default risk, which should be carefully considered prior to investing.

Investments in alternative strategies may not be suitable for all investors.

Fund holdings are subject to change daily. The Funds are actively managed. The information contained herein is based on internal research derived from various sources and does not purport to be statements of all material facts relating to the securities mentioned. The information contained herein, while not guaranteed as to accuracy or completeness, has been obtained from sources we believe to be reliable.

Opinions are as of the publication date, subject to change and may not come to pass.

This information is being provided for informational purposes only and should not be considered investment advice or an offer to buy or sell any security in the portfolio.

4   CALAMOS Global Total Return Fund SEMIANNUAL REPORT

Enhanced Fixed-Income and Total-Return Strategies

Calamos closed-end funds draw upon decades of our pioneering experience, including a long history of opportunistically blending asset classes in an attempt to capture upside potential while seeking to manage downside risk. Our closed-end funds can be broadly grouped into two categories: enhanced fixed income and total return. The funds share a focus on producing income while offering exposure to various asset classes and sectors.

CALAMOS Global Total Return Fund SEMIANNUAL REPORT   5

AVERAGE ANNUAL TOTAL RETURN^† aS OF 4/30/23

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 and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gain distributions. Source: State Street Corporation and Morningstar Direct.

† Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average assuming reinvestment of dividends and capital gains distributions.

NOTES:

The 50%ACWI(NR)-25%RefinitivGlblCv-25%BBGUSHY2%Cap Index is blended from 50% - MSCI ACWI Index (MXWD), 25% - Refinitiv Global Convertible Bond Index and 25% - Bloomberg US HY 2% Issuer Capped Index.

The MSCI ACWI Index (Net) is a free float-adjusted market-capitalization-weighted index that is designed to measure the equity market performance of developed markets and emerging markets. The index is calculated in both US dollars and local currencies. Net return basis approximates the minimum possible reinvestment of regular cash distributions by deducting withholding tax based on the maximum rate of the company’s country of incorporation applicable to institutional investors.

The Refinitiv Global Convertible Bond Index (USD) is designed to represent the global convertible market.

The Bloomberg US Corporate High Yield 2% Issuer Capped Index measures the performance of high-yield corporate bonds with a maximum allocation of 2% to any one issuer.

Index returns assume reinvestment of dividends and do not reflect deduction of fees and expenses. It is not possible to invest directly in an index.

6   CALAMOS Global Total Return Fund SEMIANNUAL REPORT

TOTAL RETURN* AS OF 4/30/2023

SECTOR WEIGHTINGS

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 TOTAL RETURN FUND (CGO)

INVESTMENT TEAM DISCUSSION

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

Calamos Global Total Return Fund (CGO) seeks to provide total return through a combination of capital appreciation and current income. We invest in a diversified portfolio of global equities, convertible securities and high-yield bonds. The allocation to each asset class is dynamic and reflects our view of the economic landscape and the potential of individual securities. By combining these asset classes, we believe the Fund can be optimally positioned over the long term to generate capital gains and income. This broader range of security types also provides us with increased opportunities to manage the risk/reward characteristics of the portfolio over full market cycles. Through this approach, we seek to offer investors an attractive monthly distribution and equity participation.

As we consider both geopolitical factors and the impact of rising interest rates, we believe having a relatively high level of exposure to convertible and equity assets is advantageous for the portfolio, albeit on a selective, risk-managed basis.

We invest in both US and non-US companies, favoring those with geographically diversified revenue streams and global business strategies. We emphasize companies that we believe offer reliable debt servicing, respectable balance sheets, and sustainable growth prospects.

How did the Fund perform over the period?

The Fund returned 10.98% on a net asset value (NAV) basis for the six months ended April 30, 2023 (“semiannual period”). On a market price basis, the Fund returned 6.67% versus a return of 9.60% for a comparator index comprising 50% MSCI ACWI Index (Net Returns), 25% Refinitiv Global Convertible Bond Index, and 25% Bloomberg US Corporate High Yield 2% Issuer Capped Index. At the end of the semiannual period, the Fund’s shares traded at an -8.60% discount to net asset value.

How do NAV and market price returns differ?

Closed-end funds trade on exchanges, where the price of shares can be driven by factors other than the value of the underlying securities. The price of a share in the market is called market value. The market price may be influenced by factors unrelated to the performance of the Fund’s holdings, such as interest rates, general market sentiment, or future expectations. A fund’s NAV return measures the actual return of the individual securities in the portfolio, less fund expenses. It also measures how a portfolio manager capitalized 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 we deem will optimize its overall price performance and returns based on market value.

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

We employ a level rate distribution policy within this Fund with the goal of providing shareholders with a consistent distribution stream. The Fund’s monthly distribution on April 30, 2023, was $0.0800 per share, resulting in an annualized distribution rate of 10.38% of the market price as of April 30, 2023.

CALAMOS Global Total Return Fund SEMIANNUAL REPORT   7

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 4/30/2023

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.

We believe both the Fund’s distribution rate and level remained attractive and competitive because low-but-rising interest rates limited yield opportunities in much of the marketplace. For example, as of April 30, 2023, the dividend yield of S&P 500 Index stocks averaged approximately 1.66%. Yields within the US government bond market were also still relatively low at the end of the period with the 10-year US Treasury yielding 3.45%.

What factors influenced performance over the reporting period?

Global stocks experienced significant volatility and rotation but generated positive returns over the semiannual period. Investors navigated multiple environments characterized by tighter monetary policy and turmoil in the global banking sector, but also signs of moderating inflation and resilient corporate earnings.

In addition, Federal Reserve activities continued with further rate increases over the period, raising short-term levels three times in the aggregate of 100 basis points between December 2022 and March 2023. This brought the target rate to 4.75%–5.00% at the end of the period. The lead-up expectations and execution of higher interest rates by the Fed fostered overall volatility in financial markets.

In pursuit of our risk-managed equity objective, the Fund navigated choppy markets by actively employing a blend of common stocks, convertibles and options Our holdings in convertible securities provided diversification but lagged the gains of a select group of large caps (or relatively defensive companies). Over the extended multiyear market cycle that began in 2020, however, our wider universe of stocks and convertible securities has been instrumental in managing the risk/reward profile and delivering compelling total returns.

Other factors that affected the Fund’s performance included the following:

•Despite increasing financing costs over the period, our use of leverage helped returns because our reinvestment rate was greater than our associated costs thanks to overall broad financial market improvements, especially in global equities. Although leverage can enhance returns during favorable markets, the opposite can occur during unfavorable conditions.

8   CALAMOS Global Total Return Fund SEMIANNUAL REPORT

•On an unleveraged basis, the portfolio slightly underperformed the comparator index during the period. Our selection and overweight in stocks and underweight in corporate bonds benefited returns relative to the index, whereas our selection of convertible bonds and our use of put options detracted from results.

•Our selection in the health care sector, notably in the pharmaceuticals industry, provided favorable returns relative to the comparator index. In addition, our selection in the semiconductors industry of the information technology sector lifted results.

•From a country perspective, our overweight selection in Danish securities was helpful relative to the comparator index.

•Conversely, our selection in the consumer staples sector, namely in the personal care products industry, underperformed relative to the comparator index. In the consumer discretionary sector, an overweight and selection in the automobile manufacturers industry impeded results.

•From a country perspective, our overweight in China was detrimental to returns.

How is the Fund positioned?

The Fund’s regional and country positioning reflects the combined inputs from our top-down global framework and our bottom-up security analysis. Our investment team evaluates macroeconomic factors as well as growth opportunities and actively integrates these into the investment decision-making process. To tap into selective growth potential in the global economy, we favor growth companies with high-quality balance sheets, strong brands, free cash flows, and experienced management—businesses poised to withstand market volatility.

In terms of Fund positioning, we emphasize companies with favorable pricing power, stronger earnings momentum, quality balance sheets and attractive valuations. Zooming out, information technology, consumer discretionary, financials and industrials constitute the largest sector weights in the Fund. Key industry positions include systems software, automobiles, diversified banks, interactive media & services, semiconductors, aerospace & defense, and oil & gas. We own a range of holdings in energy and materials, spanning companies positioned to benefit from favorable supply-and-demand dynamics and attractive capital efficiency. We maintain an underweight stance in certain defensive areas, including utilities, real estate and more traditional telecoms.

•As of April 30, 2023, our largest exposure is in the US (approximately 48%) where we see a range of attractive bottom-up opportunities across secular growth, cyclicals, and select defensives, reflecting our view of earnings growth and advantaged business models.

•We own diverse holdings in Europe (approximately 21% as of April 30, 2023) where we maintain a blend of secular growth, defensives and select commodities. We continue to evaluate the outlook across Europe given the ongoing war in Ukraine and tightening monetary conditions, although the region’s links to global demand benefited from the broader post-pandemic reopening.

CALAMOS Global Total Return Fund SEMIANNUAL REPORT   9

•We own a range of holdings in emerging markets (approximately 24% as of April 30, 2023). Our positioning reflects our sanguine view of China’s sustained reopening, the US dollar and global monetary policy, and relative valuations. We own positions within key industries including semiconductors, interactive media and higher-quality financials.

•We own multiple positions in Japan (approximately 3% as of April 30, 2023) with attractive business models that offer exposure to secular growth, cyclical, and reopening dynamics in the broader region.

The average credit quality of the portfolio is BB+. As of April 30, 2023, approximately 12% of our rated securities are investment-grade quality. Our process tends to guide us away from the most speculative corporate securities. That said, we recognize that opportunities are available for lower-credit securities to enhance performance.

We are cognizant of rising interest rates and inflation. Although the Fund invests primarily in equities, the weighted average duration of the bonds in our portfolio is only 2.3 years as of April 30, 2023. This relatively low-duration average is expected to mitigate the volatility that our fixed-income securities might incur in a rising rate environment.

We believe the prudent use of leverage may enhance total return and support the Fund’s distribution rate over the long term. As of April 30, 2023, our amount of leveraged assets was approximately 25%.

What are your closing thoughts for Fund shareholders?

Global markets continue to reflect a set of complex crosscurrents. Therefore, we are analyzing many aspects of economic activity, including evolving policy actions, corporate earnings, and the geopolitical backdrop. Considering tighter global monetary policy and mixed inflation dynamics, the financial markets remain uncertain, and we expect volatility to continue until these risks resolve. Within this complicated backdrop, we continue seeking ways to capitalize on volatility, including opportunities at the thematic, regional and market-cap levels. Because markets must navigate geopolitical risks, monetary policy and inflation, we believe the Fund’s focus on providing lower-volatility global equity market participation over full market cycles will serve it well.