Calamos Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
	CORPORATE BONDS (20.7%)
		Airlines (0.3%)
	34,043	Air Canada Pass Through Trust Series 2013-1, Class B* 5.375%, 11/15/22	$	30,592
	360,332	Air Canada Pass Through Trust Series 2015-2, Class B* 5.000%, 06/15/25		298,108
	1,400,000	Alaska Airlines Pass Through Trust Series 2020-1, Class A*µ 4.800%, 02/15/29		1,452,675
	1,105,000	Alaska Airlines Pass Through Trust Series 2020-1, Class B*µ 8.000%, 02/15/27		1,142,946
	429,981	Continental Airlines Pass Through Trust Series 2010-1, Class Aµ 4.750%, 07/12/22		417,340
	462,067	UAL Pass Through Trust Series 2007-1 6.636%, 01/02/24		406,494
	1,312,781	United Airlines Pass Through Trust Series 2014-2, Class B 4.625%, 03/03/24		1,176,652
	739,000	United Airlines Pass Through Trust Series 2019-2, Class Bµ 3.500%, 11/01/29		518,475
				5,443,282
		Communication Services (3.1%)
	1,975,000	Altice France, SA* 7.375%, 05/01/26		2,107,522
	1,490,000	Arrow Bidco, LLC* 9.500%, 03/15/24		1,178,523
	1,205,000	Ashtead Capital, Inc.*µ 4.000%, 05/01/28		1,257,219
	910,000	Brink’s Company* 5.500%, 07/15/25		968,927
		CenturyLink, Inc.*^
	1,400,000	4.000%, 02/15/27µ		1,466,031
	575,000	5.125%, 12/15/26		604,014
	2,135,000	Cincinnati Bell, Inc.* 8.000%, 10/15/25		2,266,228
		CSC Holdings, LLC*
	4,240,000	5.500%, 04/15/27µ		4,553,336
	2,600,000	5.750%, 01/15/30^		2,889,159
	1,600,000	5.500%, 05/15/26µ		1,677,808
	2,275,000	Cumulus Media New Holdings, Inc.* 6.750%, 07/01/26		2,069,283
	906,000	Diamond Sports Group, LLC / Diamond Sports Finance Company*µ 5.375%, 08/15/26		696,053
	6,841,000	Embarq Corp.µ 7.995%, 06/01/36		8,106,517
		Entercom Media Corp.*
	1,662,000	6.500%, 05/01/27^		1,496,348
	1,015,000	7.250%, 11/01/24		850,301
		Frontier Communications Corp.@
	2,890,000	7.625%, 04/15/24		946,518
	1,820,000	11.000%, 09/15/25		646,610
	1,500,000	10.500%, 09/15/22		516,240
	905,000	8.500%, 04/01/26*		893,185

PRINCIPAL AMOUNT			VALUE
	605,000	8.000%, 04/01/27*	$	625,271
	301,000	Go Daddy Operating Company, LLC / GD Finance Company, Inc.* 5.250%, 12/01/27		321,427
		Hughes Satellite Systems Corp.
	748,000	6.625%, 08/01/26^		834,252
	345,000	5.250%, 08/01/26µ		379,309
	500,000	iHeartCommunications, Inc. 8.375%, 05/01/27		497,500
		Intelsat Jackson Holdings, SA@
	2,140,000	9.750%, 07/15/25*		1,428,600
	935,000	8.000%, 02/15/24*		955,757
	585,000	5.500%, 08/01/23		366,921
	1,050,000	LCPR Senior Secured Financing DAC* 6.750%, 10/15/27		1,132,855
		Netflix, Inc.µ
	910,000	4.875%, 06/15/30*		1,071,916
	610,000	4.875%, 04/15/28		710,156
	2,100,000	Scripps Escrow, Inc.* 5.875%, 07/15/27		2,109,922
		Sirius XM Radio, Inc.*
	1,500,000	5.500%, 07/01/29^		1,672,522
	1,500,000	4.625%, 07/15/24		1,580,550
		Sprint Corp.
	4,245,000	7.125%, 06/15/24		4,961,896
	2,435,000	7.875%, 09/15/23		2,830,176
	1,400,000	7.625%, 03/01/26		1,753,472
	880,000	Telecom Italia Capital, SA 6.000%, 09/30/34		1,068,175
		Telesat Canada / Telesat, LLC*
	976,000	4.875%, 06/01/27		996,506
	575,000	6.500%, 10/15/27^		592,423
	2,545,000	United States Cellular Corp. 6.700%, 12/15/33		3,184,813
	125,000	Vodafone Group, PLC^‡ 7.000%, 04/04/79 USD 5 year swap rate + 4.87%		149,592
		Windstream Services, LLC / Windstream Finance Corp.@
	464,000	7.750%, 10/01/21		9,046
	158,000	10.500%, 06/30/24*		7,846
				64,430,725
		Consumer Discretionary (3.3%)
	598,000	American Axle & Manufacturing, Inc.^ 6.875%, 07/01/28		611,081
		Ashton Woods USA, LLC / Ashton Woods Finance Company*
	856,000	6.625%, 01/15/28		863,892
	661,000	9.875%, 04/01/27		719,654
	1,500,000	Boyd Gaming Corp. 6.000%, 08/15/26		1,520,520
	1,740,000	Caesars Resort Collection, LLC / CRC Finco, Inc.* 5.250%, 10/15/25		1,571,351
	582,000	Carnival Corp.* 10.500%, 02/01/26		603,406
		CCO Holdings, LLC / CCO Holdings Capital Corp.*
	3,900,000	5.125%, 05/01/27		4,149,405
	1,410,000	5.750%, 02/15/26		1,479,372
	620,000	5.000%, 02/01/28		658,781
	598,000	4.250%, 02/01/31		627,846

See accompanying Notes to Schedule of Investments

1

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
	900,000	Cedar Fair, LP^ 5.250%, 07/15/29	$	852,971
		Century Communities, Inc.
	1,500,000	6.750%, 06/01/27		1,606,740
	1,330,000	5.875%, 07/15/25^		1,381,544
	2,500,000	Dana Financing Luxembourg Sarl*^ 6.500%, 06/01/26		2,636,487
		DISH DBS Corp.
	926,000	7.750%, 07/01/26^		1,041,218
	300,000	7.375%, 07/01/28*		318,750
		ESH Hospitality, Inc.*
	820,000	5.250%, 05/01/25		838,389
	600,000	4.625%, 10/01/27^		578,622
		Expedia Group, Inc.*µ
	715,000	7.000%, 05/01/25		771,710
	436,000	6.250%, 05/01/25		477,176
	735,000	Ford Motor Company 8.500%, 04/21/23		816,416
		Ford Motor Credit Company, LLC
	1,600,000	4.063%, 11/01/24µ		1,639,352
	1,400,000	4.134%, 08/04/25		1,436,113
	1,400,000	3.664%, 09/08/24		1,412,670
	600,000	4.389%, 01/08/26		616,824
	400,000	5.125%, 06/16/25		426,218
	1,275,000	G-III Apparel Group, Ltd.* 7.875%, 08/15/25		1,286,348
	292,000	Gap, Inc.*^ 8.875%, 05/15/27		327,345
	125,000	General Motors Financial Company, Inc.‡ 6.500%, 09/30/28 3 mo. USD LIBOR + 3.44%		121,524
	1,500,000	GLP Capital, LP / GLP Financing II, Inc. 5.250%, 06/01/25		1,625,962
	2,400,000	goeasy, Ltd.* 5.375%, 12/01/24		2,491,488
	2,160,000	Guitar Center, Inc.* 9.500%, 10/15/21		1,526,310
	301,000	Installed Building Products, Inc.* 5.750%, 02/01/28		319,952
		International Game Technology, PLC*µ
	1,500,000	6.250%, 01/15/27^		1,599,030
	374,000	5.250%, 01/15/29		382,342
		L Brands, Inc.
	1,708,000	6.875%, 11/01/35		1,638,416
	594,000	9.375%, 07/01/25*		662,859
	297,000	6.694%, 01/15/27		289,106
	294,000	6.875%, 07/01/25*µ		316,948
	1,500,000	Lennar Corp.µ 5.250%, 06/01/26		1,682,085
		M/I Homes, Inc.
	1,295,000	5.625%, 08/01/25		1,344,650
	855,000	4.950%, 02/01/28		883,087
	1,574,000	Macy’s Retail Holdings, LLC 3.875%, 01/15/22		1,480,859
	605,000	Macy’s, Inc.*µ 8.375%, 06/15/25		633,465
		Mattel, Inc.*^
	1,505,000	5.875%, 12/15/27		1,620,418
	1,390,000	6.750%, 12/31/25		1,486,306
	1,365,000	Mclaren Finance, PLC* 5.750%, 08/01/22		1,120,802
	1,480,000	Meredith Corp.*µ 6.500%, 07/01/25		1,513,344

PRINCIPAL AMOUNT			VALUE
	3,280,000	Meritage Homes Corp.µ 7.000%, 04/01/22	$	3,549,846
		Newell Brands, Inc.µ
	1,122,000	4.700%, 04/01/26		1,217,707
	294,000	4.875%, 06/01/25		320,107
		Penske Automotive Group, Inc.
	1,400,000	5.500%, 05/15/26^		1,464,337
	650,000	5.375%, 12/01/24		667,371
	2,048,000	Rite Aid Corp.* 8.000%, 11/15/26		2,114,355
		Royal Caribbean Cruises, Ltd.*µ
	600,000	11.500%, 06/01/25		661,797
	300,000	10.875%, 06/01/23		316,749
	1,500,000	Speedway Motorsports, LLC / Speedway Funding II, Inc.* 4.875%, 11/01/27		1,368,825
	901,000	Taylor Morrison Communities, Inc.* 5.750%, 01/15/28		1,012,661
	1,500,000	Twin River Worldwide Holdings, Inc.* 6.750%, 06/01/27		1,460,753
	488,818	US Airways Pass Through Trust Series 2012-2, Class B 6.750%, 12/03/22		392,921
	290,000	Viking Cruises, Ltd.* 13.000%, 05/15/25		316,187
	1,200,000	VOC Escrow, Ltd.* 5.000%, 02/15/28		979,560
				69,852,330
		Consumer Staples (0.8%)
	900,000	Dean Foods Company*@ 6.500%, 03/15/23		19,773
	588,000	Edgewell Personal Care Company*µ 5.500%, 06/01/28		637,389
	1,000,000	Energizer Holdings, Inc.* 6.375%, 07/15/26		1,068,830
	780,000	Fresh Market, Inc.* 9.750%, 05/01/23		640,134
		JBS USA LUX, SA / JBS USA Finance, Inc.*
	1,738,000	5.875%, 07/15/24		1,775,193
	1,475,000	6.750%, 02/15/28µ		1,651,004
	480,000	JBS USA LUX, SA / JBS USA Food Company / JBS USA Finance, Inc.*^ 6.500%, 04/15/29		544,467
		Kraft Heinz Foods Company*µ
	296,000	4.250%, 03/01/31		326,812
	296,000	3.875%, 05/15/27		319,334
	125,000	Land O’Lakes, Inc.*µ 7.000%, 09/18/28		112,141
		New Albertson’s, Inc.
	751,000	7.750%, 06/15/26		838,856
	298,000	8.000%, 05/01/31		338,048
		Pilgrim’s Pride Corp.*
	1,720,000	5.875%, 09/30/27^		1,824,593
	600,000	5.750%, 03/15/25		618,171
		Post Holdings, Inc.*
	1,430,000	5.750%, 03/01/27		1,524,981
	450,000	5.500%, 12/15/29		494,420
	300,000	5.625%, 01/15/28		328,590
	1,185,000	Simmons Foods, Inc.* 7.750%, 01/15/24		1,250,003

See accompanying Notes to Schedule of Investments

2

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
	1,585,000	Vector Group, Ltd.* 6.125%, 02/01/25	$	1,575,775
				15,888,514
		Energy (1.9%)
	590,000	Apache Corp. 5.100%, 09/01/40		574,560
	896,000	Bruin E&P Partners, LLC*@ 8.875%, 08/01/23		1,900
		Buckeye Partners, LP
	900,000	3.950%, 12/01/26		902,993
	600,000	5.850%, 11/15/43^		552,975
	614,000	Calfrac Holdings, LP* 8.500%, 06/15/26		66,429
	2,587,000	California Resources Corp.*@ 8.000%, 12/15/22		59,747
	915,000	ChampionX Corp. 6.375%, 05/01/26		858,984
	1,500,000	Chaparral Energy, Inc.* 8.750%, 07/15/23		149,535
	1,200,000	Cheniere Energy Partners, LPµ 5.625%, 10/01/26		1,270,068
	768,000	Chesapeake Energy Corp.*@ 11.500%, 01/01/25		72,799
		Continental Resources, Inc.
	1,175,000	3.800%, 06/01/24^		1,140,102
	875,000	4.375%, 01/15/28µ		818,453
	1,950,000	DCP Midstream Operating, LP*‡ 5.850%, 05/21/43 3 mo. USD LIBOR + 3.85%		1,502,290
		Denbury Resources, Inc.@
	1,439,000	7.750%, 02/15/24*		612,158
	565,000	9.250%, 03/31/22*		240,475
	358,000	5.500%, 05/01/22		7,212
	515,000	Diamond Offshore Drilling, Inc.@ 7.875%, 08/15/25		57,085
	900,000	eG Global Finance, PLC* 6.750%, 02/07/25		942,570
		Energy Transfer Operating, LPµ
	2,610,000	3.269%, 11/01/66‡ 3 mo. USD LIBOR + 3.02%		1,294,403
	2,150,000	5.500%, 06/01/27		2,379,093
	575,000	Energy Transfer Operating, LPµ 5.875%, 01/15/24		633,423
		EnLink Midstream Partners, LP
	1,775,000	6.000%, 12/15/22‡ 3 mo. USD LIBOR + 4.11%		679,017
	1,285,000	4.850%, 07/15/26µ		998,863
	255,000	Enterprise Products Operating, LLCµ‡ 5.250%, 08/16/77 3 mo. USD LIBOR + 3.03%		239,339
		EP Energy, LLC / Everest Acquisition Finance, Inc.*@
	1,100,000	9.375%, 05/01/24		858
	720,000	7.750%, 05/15/26		194,915
		EQT Corp.^
	850,000	8.750%, 02/01/30µ		986,255
	500,000	7.875%, 02/01/25		549,915
	1,173,000	Genesis Energy, LP / Genesis Energy Finance Corp. 6.250%, 05/15/26		1,104,614
		Gulfport Energy Corp.
	1,080,000	6.000%, 10/15/24		570,996
	1,000,000	6.375%, 05/15/25		495,325

PRINCIPAL AMOUNT			VALUE
	302,000	Hess Midstream Operations, LP*µ 5.125%, 06/15/28	$	307,655
	313,000	HighPoint Operating Corp. 7.000%, 10/15/22		80,075
	286,000	Holly Energy Partners, LP / Holly Energy Finance Corp.* 5.000%, 02/01/28		282,241
	985,000	Laredo Petroleum, Inc.^ 10.125%, 01/15/28		698,449
	1,910,000	Lonestar Resources America, Inc.* 11.250%, 01/01/23		285,421
	1,500,000	Magnolia Oil & Gas Operating, LLC / Magnolia Oil & Gas Finance Corp.* 6.000%, 08/01/26		1,447,087
		Moss Creek Resources Holdings, Inc.*
	600,000	10.500%, 05/15/27		372,060
	540,000	7.500%, 01/15/26		308,553
	135,000	MPLX, LPµ‡ 6.875%, 02/15/23 3 mo. USD LIBOR + 4.65%		118,444
	600,000	Murphy Oil Corp.µ 5.875%, 12/01/27		552,630
	540,000	Nine Energy Service, Inc.* 8.750%, 11/01/23		249,032
	735,000	Oasis Petroleum, Inc.* 6.250%, 05/01/26		133,616
		Occidental Petroleum Corp.
	3,245,000	4.300%, 08/15/39		2,637,568
	2,396,000	2.700%, 08/15/22		2,320,622
	2,375,000	2.900%, 08/15/24		2,239,862
	920,000	Par Petroleum, LLC / Par Petroleum Finance Corp.* 7.750%, 12/15/25		790,082
	900,000	Parkland Fuel Corp.* 5.875%, 07/15/27		958,153
	515,000	Parsley Energy, LLC / Parsley Finance Corp.* 5.250%, 08/15/25		529,103
	1,390,000	Plains All American Pipeline, LP‡ 6.125%, 11/15/22 3 mo. USD LIBOR + 4.11%		974,473
	1,165,000	SESI, LLC 7.750%, 09/15/24		406,923
	327,000	SM Energy Company* 10.000%, 01/15/25		323,321
	250,000	Transcanada Trustµ‡ 5.300%, 03/15/77 3 mo. USD LIBOR + 3.21%		251,568
		Transocean, Inc.*
	815,000	7.500%, 01/15/26		399,472
	575,000	8.000%, 02/01/27		281,500
	1,450,000	Vine Oil & Gas, LP / Vine Oil & Gas Finance Corp.* 8.750%, 04/15/23		842,784
	600,000	Viper Energy Partners, LP* 5.375%, 11/01/27		624,399
	1,665,000	W&T Offshore, Inc.* 9.750%, 11/01/23		1,110,988
	552,000	Weatherford International, Ltd.*^ 11.000%, 12/01/24		399,822
	1,115,000	Whiting Petroleum Corp.@ 6.625%, 01/15/26		208,020

See accompanying Notes to Schedule of Investments

3

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
	302,000	WPX Energy, Inc. 5.875%, 06/15/28	$	308,689
				40,399,963
		Financials (4.1%)
	3,918,000	Acrisure, LLC / Acrisure Finance, Inc.* 7.000%, 11/15/25		3,959,668
	570,000	AG Issuer, LLC* 6.250%, 03/01/28		577,823
	2,500,000	Alliant Holdings Intermediate, LLC / Alliant Holdings Co-Issuer* 6.750%, 10/15/27		2,655,862
	1,899,000	Ally Financial, Inc. 8.000%, 11/01/31		2,629,555
	250,000	American International Group, Inc.µ‡ 5.750%, 04/01/48 3 mo. USD LIBOR + 2.87%		271,635
	2,383,000	Amwins Group, Inc.* 7.750%, 07/01/26		2,625,923
	2,700,000	AssuredPartners, Inc.* 7.000%, 08/15/25		2,757,186
		Aviation Capital Group, LLC*µ
	1,017,000	3.500%, 11/01/27		913,551
	606,000	3.875%, 05/01/23		595,098
	295,000	6.750%, 04/06/21		301,050
	1,385,000	Bank of America Corp.^‡ 4.300%, 01/28/25 3 mo. USD LIBOR + 2.66%		1,312,004
	220,000	Bank of Montrealµ^‡ 4.800%, 08/25/24 5 year CMT + 2.98%		220,656
	400,000	Bank of New York Mellon Corp.µ^‡ 4.700%, 09/20/25 5 year CMT + 4.36%		432,044
	400,000	Bank of Nova Scotiaµ‡ 4.900%, 06/04/25 5 year CMT + 4.55%		410,068
	70,000	Bank OZK‡ 5.500%, 07/01/26 3 mo. USD LIBOR + 4.43%		70,229
	200,000	Barclays, PLC‡ 7.875%, 03/15/22 USD 5 year swap rate + 6.77%		205,865
	120,000	BP Capital Markets, PLCµ‡ 4.875%, 03/22/30 5 year CMT + 4.40%		128,890
	2,975,000	Brookfield Property REIT, Inc. / BPR Cumulus, LLC / BPR Nimbus, LLC / GGSI Sellco, LLC*^ 5.750%, 05/15/26		2,468,357
		Charles Schwab Corp.µ‡
	235,000	5.375%, 06/01/25 5 year CMT + 4.97%		258,156
	125,000	5.000%, 12/01/27 3 mo. USD LIBOR + 2.58%		128,273
	250,000	CIT Group, Inc.‡ 5.800%, 06/15/22 3 mo. USD LIBOR + 3.97%		196,163
		Citigroup, Inc.µ‡
	825,000	5.000%, 09/12/24 SOFR + 3.81%		826,988

PRINCIPAL AMOUNT			VALUE
	75,000	4.700%, 01/30/25 SOFR + 3.23%	$	72,183
		Credit Acceptance Corp.µ
	1,500,000	6.625%, 03/15/26^		1,580,400
	1,092,000	5.125%, 12/31/24*		1,112,087
	200,000	Credit Suisse Group, AG*µ‡ 7.500%, 12/11/23 USD 5 year swap rate + 4.60%		220,102
	372,000	Cushman & Wakefield US Borrower, LLC*µ 6.750%, 05/15/28		398,825
		Discover Financial Servicesµ‡
	135,000	5.500%, 10/30/27 3 mo. USD LIBOR + 3.08%		126,357
	120,000	6.125%, 06/23/25 5 year CMT + 5.78%		127,682
	1,500,000	Donnelley Financial Solutions, Inc.^ 8.250%, 10/15/24		1,521,855
	550,000	Fifth Third Bancorp‡ 4.500%, 09/30/25 5 year CMT + 4.22%		560,780
	980,000	Global Aircraft Leasing Company, Ltd.* 6.500%, 09/15/24 7.250% PIK rate		611,295
	500,000	Goldman Sachs Group, Inc.‡ 4.400%, 02/10/25 5 year CMT + 2.85%		473,030
	1,891,000	Greystar Real Estate Partners, LLC* 5.750%, 12/01/25		1,922,457
		HAT Holdings I, LLC / HAT Holdings II, LLC*
	900,000	5.250%, 07/15/24		939,146
	295,000	6.000%, 04/15/25		317,767
	5,150,000	HUB International, Ltd.* 7.000%, 05/01/26		5,398,590
		Huntington Bancshares, Inc.‡
	125,000	5.625%, 07/15/30^ 10 year CMT + 4.95%		138,054
	70,000	5.700%, 04/15/23µ 3 mo. USD LIBOR + 2.88%		65,121
	1,455,000	Icahn Enterprises, LP / Icahn Enterprises Finance Corp.µ^ 5.250%, 05/15/27		1,533,883
	2,448,000	ILFC E-Capital Trust II*µ‡ 3.270%, 12/21/65 3 mo. USD LIBOR + 1.80%		1,266,558
	2,625,000	Iron Mountain, Inc.*^ 5.250%, 03/15/28		2,760,896
		Jefferies Finance, LLC / JFIN Co- Issuer Corp.*
	3,825,000	7.250%, 08/15/24		3,538,584
	1,500,000	6.250%, 06/03/26µ		1,521,503
	865,000	JPMorgan Chase & Companyµ‡ 4.600%, 02/01/25 SOFR + 3.13%		841,943
	159,000	KeyCorpµ‡ 5.000%, 09/15/26 3 mo. USD LIBOR + 3.61%		157,489
		Ladder Capital Finance Holdings LLLP / Ladder Capital Finance Corp.*
	2,606,000	5.250%, 10/01/25		2,377,037
	288,000	4.250%, 02/01/27^		243,644

See accompanying Notes to Schedule of Investments

4

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
	990,000	Level 3 Financing, Inc.µ 5.375%, 05/01/25	$	1,022,680
	200,000	Lloyds Banking Group, PLCµ‡ 7.500%, 06/27/24 USD 5 year swap rate + 4.76%		211,588
	2,646,000	LPL Holdings, Inc.* 5.750%, 09/15/25		2,763,813
	240,000	Markel Corp.µ‡ 6.000%, 06/01/25 5 year CMT + 5.66%		253,126
	2,990,000	MetLife, Inc.µ 6.400%, 12/15/66		3,694,743
	120,000	Nationwide Financial Services, Inc.µ 6.750%, 05/15/87		143,632
		Navient Corp.
	2,555,000	5.000%, 03/15/27		2,449,581
	1,240,000	6.750%, 06/25/25		1,299,030
	575,000	6.500%, 06/15/22		599,831
	1,130,000	NexBank Capital, Inc.*‡ 6.375%, 09/30/27 3 mo. USD LIBOR + 4.59%		1,122,740
	200,000	Nordea Bank Abp*µ‡ 6.625%, 03/26/26 5 year CMT + 4.11%		217,873
		OneMain Finance Corp.
	2,030,000	6.875%, 03/15/25		2,272,818
	1,500,000	7.125%, 03/15/26		1,762,582
	400,000	8.875%, 06/01/25		452,850
	301,000	6.625%, 01/15/28		345,143
	708,000	Park Intermediate Holdings, LLC / PK Domestic Property, LLC / PK Finance Co-Issuer* 7.500%, 06/01/25		754,254
	48,000	PNC Financial Services Group, Inc.µ‡ 6.750%, 08/01/21 3 mo. USD LIBOR + 3.68%		48,948
	545,000	Principal Financial Group, Inc.µ‡ 3.436%, 05/15/55 3 mo. USD LIBOR + 3.04%		497,476
	400,000	Progressive Corp.µ^‡ 5.375%, 03/15/23 3 mo. USD LIBOR + 2.54%		403,566
	180,000	Prudential Financial, Inc.µ^‡ 5.700%, 09/15/48 3 mo. USD LIBOR + 2.67%		212,956
	200,000	QBE Insurance Group, Ltd.*^‡ 5.875%, 05/12/25 5 year CMT + 5.51%		209,522
	1,500,000	Radian Group, Inc. 4.875%, 03/15/27		1,462,755
	1,500,000	Simmons First National Corp.‡ 5.000%, 04/01/28 3 mo. USD LIBOR + 2.15%		1,495,095
	1,500,000	Starwood Property Trust, Inc.^ 4.750%, 03/15/25		1,449,188
	800,000	State Street Corp.µ‡ 5.625%, 12/15/23 3 mo. USD LIBOR + 2.54%		800,204
	605,000	StoneX Group, Inc.* 8.625%, 06/15/25		649,797
	640,000	Towne Bank‡ 4.500%, 07/30/27 3 mo. USD LIBOR + 2.55%		648,320
	525,000	Tronox Finance, PLC* 5.750%, 10/01/25		524,698

PRINCIPAL AMOUNT			VALUE
		Truist Financial Corp.µ‡
	415,000	4.800%, 09/01/24 5 year CMT + 3.00%	$	415,882
	125,000	4.950%, 09/01/25 5 year CMT + 4.61%		133,450
	200,000	UBS Group, AG*‡ 7.000%, 01/31/24 USD 5 year swap rate + 4.34%		213,819
	750,000	US Bancorpµ‡ 5.300%, 04/15/27 3 mo. USD LIBOR + 2.91%		783,971
		VICI Properties, LP / VICI Note Company, Inc.*
	1,141,000	3.750%, 02/15/27		1,151,075
	638,000	4.625%, 12/01/29		671,871
	570,000	4.125%, 08/15/30		577,507
	250,000	Voya Financial, Inc.‡ 6.125%, 09/15/23 5 year CMT + 3.36%		256,373
				85,745,069
		Health Care (2.1%)
	2,680,000	Acadia Healthcare Company, Inc. 6.500%, 03/01/24		2,770,477
	3,285,000	Bausch Health Americas, Inc.* 8.500%, 01/31/27		3,677,426
	1,216,000	Centene Corp. 4.250%, 12/15/27		1,298,421
		CHS/Community Health Systems, Inc.
	6,285,000	8.125%, 06/30/24*		4,022,149
	1,325,000	8.000%, 03/15/26*		1,357,807
	875,000	6.250%, 03/31/23		886,130
	1,477,000	DaVita, Inc.* 4.625%, 06/01/30		1,576,062
		Encompass Health Corp.
	600,000	4.750%, 02/01/30		635,586
	600,000	4.500%, 02/01/28		634,779
		HCA, Inc.
	4,905,000	5.875%, 05/01/23µ		5,405,972
	1,450,000	7.500%, 11/06/33		1,955,717
	360,000	5.375%, 02/01/25µ		408,098
	1,955,000	Mallinckrodt International Finance, SA / Mallinckrodt CB, LLC* 5.625%, 10/15/23		317,345
	1,251,000	Team Health Holdings, Inc.* 6.375%, 02/01/25		736,720
		Tenet Healthcare Corp.
	2,710,000	6.250%, 02/01/27*		2,882,180
	1,600,000	4.625%, 07/15/24		1,638,400
	1,575,000	6.875%, 11/15/31		1,517,662
	1,520,000	4.875%, 01/01/26*		1,591,212
	1,680,000	Teva Pharmaceutical Finance Company, BV 2.950%, 12/18/22		1,665,762
		Teva Pharmaceutical Finance Netherlands III, BV
	3,930,000	2.800%, 07/21/23		3,822,357
	2,380,000	6.000%, 04/15/24		2,521,777
	2,815,000	West Street Merger Sub, Inc.* 6.375%, 09/01/25		2,859,533
				44,181,572

See accompanying Notes to Schedule of Investments

5

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
		Industrials (3.1%)
	1,480,000	Abercrombie & Fitch Management Company* 8.750%, 07/15/25	$	1,481,140
	1,300,000	ACCO Brands Corp.*^ 5.250%, 12/15/24		1,336,881
		Albertsons Companies, Inc. / Safeway, Inc. / New Albertsons, LP / Albertsons, LLC
	1,470,000	5.750%, 03/15/25		1,522,347
	1,425,000	4.625%, 01/15/27*		1,516,841
	848,000	4.875%, 02/15/30*		916,077
		Allison Transmission, Inc.*
	1,300,000	4.750%, 10/01/27		1,354,080
	380,000	5.000%, 10/01/24^		388,668
	300,000	5.875%, 06/01/29		332,088
		American Airlines Group, Inc.*
	1,190,000	5.000%, 06/01/22		665,918
	850,000	3.750%, 03/01/25		378,246
	3,100,000	ARD Finance, SA* 6.500%, 06/30/27 7.250% PIK rate		3,174,198
		Avolon Holdings Funding, Ltd.*µ
	600,000	5.250%, 05/15/24		558,852
	510,000	2.875%, 02/15/25		438,903
	1,480,000	Beacon Roofing Supply, Inc.*^ 4.875%, 11/01/25		1,453,323
		Cascades, Inc. /Cascades USA, Inc.*
	901,000	5.125%, 01/15/26		933,422
	600,000	5.375%, 01/15/28^		625,164
		Colt Merger Sub, Inc.*
	605,000	8.125%, 07/01/27		618,613
	605,000	6.250%, 07/01/25		634,415
		Covanta Holding Corp.
	1,810,000	5.875%, 03/01/24		1,859,042
	270,000	5.875%, 07/01/25		282,519
	1,445,000	Delphi Technologies, PLC* 5.000%, 10/01/25		1,598,408
		Delta Air Lines, Inc.µ
	297,000	7.375%, 01/15/26		294,905
	297,000	3.800%, 04/19/23		277,487
	575,000	EnerSys*µ 4.375%, 12/15/27		582,558
	3,205,000	Fly Leasing, Ltd. 5.250%, 10/15/24		2,612,956
	250,000	General Electric Company^‡ 5.000%, 01/21/21 3 mo. USD LIBOR + 3.33%		198,474
		Golden Nugget, Inc.*
	1,730,000	6.750%, 10/15/24		1,205,637
	1,400,000	8.750%, 10/01/25^		735,077
	673,000	GPC Merger Sub, Inc.* 7.125%, 08/15/28		701,603
	600,000	Granite US Holdings Corp.*^ 11.000%, 10/01/27		578,517
	750,000	Graphic Packaging International, LLC* 4.750%, 07/15/27		815,692
	1,500,000	Great Lakes Dredge & Dock Corp. 8.000%, 05/15/22		1,557,007
	1,830,000	H&E Equipment Services, Inc. 5.625%, 09/01/25		1,905,643
	1,500,000	Herc Holdings, Inc.* 5.500%, 07/15/27		1,592,370

PRINCIPAL AMOUNT			VALUE
		Howmet Aerospace, Inc.µ
	1,375,000	5.125%, 10/01/24^	$	1,478,874
	511,000	6.875%, 05/01/25		579,661
	1,450,000	Jeld-Wen, Inc.* 4.625%, 12/15/25		1,472,801
	614,000	KeHE Distributors, LLC / KeHE Finance Corp.* 8.625%, 10/15/26		663,924
	598,000	MasTec, Inc.* 4.500%, 08/15/28		625,454
	1,867,000	Meritor, Inc.^ 6.250%, 02/15/24		1,915,113
	722,000	Moog, Inc.*µ^ 4.250%, 12/15/27		737,610
	1,425,000	Nationstar Mortgage Holdings, Inc.* 6.000%, 01/15/27		1,472,531
		Navistar International Corp.*
	1,030,000	6.625%, 11/01/25		1,057,115
	590,000	9.500%, 05/01/25		674,515
	1,140,000	Novelis Corp.* 4.750%, 01/30/30		1,192,406
	2,070,000	Park-Ohio Industries, Inc. 6.625%, 04/15/27		1,822,635
	600,000	Patrick Industries, Inc.* 7.500%, 10/15/27		640,782
	302,000	Picasso Finance Sub, Inc.* 6.125%, 06/15/25		322,660
	885,000	Scientific Games International, Inc.* 5.000%, 10/15/25		879,553
		Standard Industries, Inc.*
	575,000	5.000%, 02/15/27		615,977
	302,000	4.375%, 07/15/30		326,619
	100,000	Stanley Black & Decker, Inc.µ‡ 4.000%, 03/15/60 5 year CMT + 2.66%		104,451
		Station Casinos, LLC*
	1,725,000	4.500%, 02/15/28		1,546,299
	1,491,000	5.000%, 10/01/25		1,414,638
	985,000	Tennant Company 5.625%, 05/01/25		1,023,563
	1,200,000	TransDigm UK Holdings, PLC 6.875%, 05/15/26		1,214,436
		TransDigm, Inc.
	1,490,000	6.250%, 03/15/26*		1,573,924
	875,000	7.500%, 03/15/27		893,957
		United Rentals North America, Inc.
	640,000	5.875%, 09/15/26		684,563
	615,000	6.500%, 12/15/26		683,382
	297,000	3.875%, 02/15/31		297,000
	750,000	Waste Pro USA, Inc.* 5.500%, 02/15/26		768,851
		WESCO Distribution, Inc.*
	563,000	7.125%, 06/15/25		619,238
	283,000	7.250%, 06/15/28		309,673
	299,000	WR Grace & Co-Conn* 4.875%, 06/15/27		318,794
	1,500,000	XPO Logistics, Inc.* 6.750%, 08/15/24		1,614,352
				64,672,422
		Information Technology (0.5%)
	600,000	CDK Global, Inc.* 5.250%, 05/15/29		657,357

See accompanying Notes to Schedule of Investments

6

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
	1,385,000	CommScope Technologies, LLC* 6.000%, 06/15/25	$	1,417,485
		Dell International, LLC / EMC Corp.*µ
	1,405,000	6.020%, 06/15/26		1,647,404
	925,000	6.100%, 07/15/27		1,094,141
	545,000	5.850%, 07/15/25		637,394
	586,000	Fair Isaac Corp.* 4.000%, 06/15/28		613,568
	900,000	MTS Systems Corp.* 5.750%, 08/15/27		876,348
	855,000	Open Text Corp.* 3.875%, 02/15/28		894,014
	784,000	PTC, Inc.*^ 4.000%, 02/15/28		824,172
	1,790,000	Vericast Corp.*^ 8.375%, 08/15/22		1,450,142
				10,112,025
		Materials (0.9%)
	1,835,000	Alcoa Nederland Holding, BV* 7.000%, 09/30/26		1,990,232
	600,000	Allegheny Technologies, Inc.^ 5.875%, 12/01/27		571,308
	900,000	ArcelorMittal, SA 7.250%, 10/15/39		1,197,558
	507,000	Ardagh Packaging Finance, PLC / Ardagh Holdings USA, Inc.* 6.000%, 02/15/25		530,489
	250,000	Constellium, SE* 5.625%, 06/15/28		262,005
	800,000	First Quantum Minerals, Ltd.* 7.250%, 04/01/23		804,820
		Freeport-McMoRan, Inc.
	780,000	5.000%, 09/01/27^		832,486
	570,000	5.450%, 03/15/43		634,895
	515,000	5.400%, 11/14/34		579,375
	1,100,000	INEOS Group Holdings, SA*^ 5.625%, 08/01/24		1,108,057
	900,000	JW Aluminum Continuous Cast Company* 10.250%, 06/01/26		951,403
		Kaiser Aluminum Corp.*
	900,000	4.625%, 03/01/28		896,189
	535,000	6.500%, 05/01/25		569,754
	295,000	Mineral Resources, Ltd.* 8.125%, 05/01/27		326,394
		New Gold, Inc.*
	1,093,000	6.375%, 05/15/25		1,136,633
	300,000	7.500%, 07/15/27		326,301
	301,000	Norbord, Inc.* 5.750%, 07/15/27		320,890
	593,000	Owens-Brockway Glass Container, Inc.* 6.625%, 05/13/27		647,802
		PBF Holding Company, LLC / PBF Finance Corp.^
	2,455,000	7.250%, 06/15/25		2,218,092
	296,000	9.250%, 05/15/25*		331,514
	1,328,000	Silgan Holdings, Inc. 4.125%, 02/01/28		1,364,693
	906,000	Univar Solutions USA, Inc.* 5.125%, 12/01/27		958,326
				18,559,216

PRINCIPAL AMOUNT			VALUE
		Real Estate (0.2%)
	1,500,000	CBL & Associates, LP 5.250%, 12/01/23	$	359,948
		Forestar Group, Inc.*
	1,500,000	8.000%, 04/15/24		1,618,215
	862,000	5.000%, 03/01/28		860,780
		Service Properties Trust
	1,500,000	4.350%, 10/01/24		1,346,617
	550,000	5.250%, 02/15/26		495,701
				4,681,261
		Utilities (0.4%)
	856,000	Calpine Corp.* 4.500%, 02/15/28		894,854
	65,000	CenterPoint Energy, Inc.µ‡ 6.125%, 09/01/23 3 mo. USD LIBOR + 3.27%		64,664
	175,000	CMS Energy Corp.^‡ 4.750%, 06/01/50 5 year CMT + 4.12		187,196
	250,000	Dominion Energy, Inc.µ‡ 4.650%, 12/15/24 5 year CMT + 2.99%		253,229
	330,000	Duke Energy Corp.µ‡ 4.875%, 09/16/24 5 year CMT + 3.39%		344,134
	65,000	National Rural Utilities Cooperative Finance Corp.µ‡ 5.250%, 04/20/46 3 mo. USD LIBOR + 3.63%		70,220
	265,000	NextEra Energy Capital Holdings, Inc.µ^‡ 4.800%, 12/01/77 3 mo. USD LIBOR + 2.41%		280,607
	810,000	NRG Energy, Inc. 6.625%, 01/15/27		870,742
	2,251,000	PPL Capital Funding, Inc.µ‡ 2.973%, 03/30/67 3 mo. USD LIBOR + 2.67%		1,704,795
	125,000	Sempra Energy^‡ 4.875%, 10/15/25 5 year CMT + 4.55%		129,386
		Talen Energy Supply, LLC*
	600,000	10.500%, 01/15/26		465,918
	300,000	7.250%, 05/15/27		312,243
	1,500,000	TerraForm Power Operating, LLC* 5.000%, 01/31/28		1,650,892
	125,000	WEC Energy Group, Inc.µ‡ 2.505%, 05/15/67 3 mo. USD LIBOR + 2.11%		97,243
				7,326,123
		TOTAL CORPORATE BONDS (Cost $452,853,145)		431,292,502
	CONVERTIBLE BONDS (19.5%)
		Communication Services (3.0%)
	4,155,000	GCI Liberty, Inc.* 1.750%, 09/30/46		6,558,107
		Liberty Media Corp.
	15,900,000	2.250%, 09/30/46		7,593,920
	7,750,000	1.375%, 10/15/23		8,437,968

See accompanying Notes to Schedule of Investments

7

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
	7,150,000	Liberty Media Corp. / Liberty Formula One 1.000%, 01/30/23	$	8,299,255
	1,883,000	Live Nation Entertainment, Inc. 2.500%, 03/15/23		1,981,763
	3,000,000	Match Group FinanceCo 2, Inc.*~ 0.875%, 06/15/26		4,136,145
	2,500,000	Match Group FinanceCo 3, Inc.* 2.000%, 01/15/30		3,674,900
	5,800,000	Sea, Ltd.* 2.375%, 12/01/25		8,980,546
	4,856,000	Snap, Inc.* 0.750%, 08/01/26		6,107,998
	4,935,000	Zynga, Inc. 0.250%, 06/01/24		6,608,853
				62,379,455
		Consumer Discretionary (3.5%)
	1,187,000	Bloomin’ Brands, Inc.* 5.000%, 05/01/25		1,495,976
	15,201,000	Booking Holdings, Inc.*^ 0.750%, 05/01/25		19,215,508
	7,785,000	Burlington Stores, Inc.* 2.250%, 04/15/25		8,784,244
	1,244,000	Chegg, Inc. 0.125%, 03/15/25		2,083,289
	3,793,000	Dick’s Sporting Goods, Inc.* 3.250%, 04/15/25		5,721,703
	3,049,000	DISH Network Corp. 2.375%, 03/15/24		2,804,943
	4,475,000	Etsy, Inc.* 0.125%, 10/01/26		6,800,836
	1,108,000	Guess, Inc. 2.000%, 04/15/24		775,478
		Liberty Interactive, LLC
	1,470,000	4.000%, 11/15/29		1,047,404
	790,000	3.750%, 02/15/30		561,888
		NCL Corp., Ltd.*
	2,439,000	5.375%, 08/01/25		2,272,148
	1,505,000	6.000%, 05/15/24		1,769,188
	11,345,000	Royal Caribbean Cruises, Ltd.* 4.250%, 06/15/23		10,865,504
	4,160,000	Under Armour, Inc.* 1.500%, 06/01/24		5,004,854
	3,935,000	Winnebago Industries, Inc.* 1.500%, 04/01/25		4,630,806
				73,833,769
		Energy (0.5%)
	537,000	Denbury Resources, Inc.*@ 6.375%, 12/31/24		73,499
	4,850,000	Nabors Industries, Inc. 0.750%, 01/15/24		1,479,856
	6,515,000	Pioneer Natural Resources Company* 0.250%, 05/15/25		7,734,901
				9,288,256
		Financials (1.4%)
		Ares Capital Corp.
	7,500,000	3.750%, 02/01/22		7,598,512
	3,000,000	4.625%, 03/01/24		3,065,910
		JPMorgan Chase Bank, N.A.
	9,400,000	0.125%, 01/01/23*^		11,240,144
	5,500,000	0.000%, 12/30/20		5,816,663

PRINCIPAL AMOUNT			VALUE
	1,490,000	Prospect Capital Corp. 4.950%, 07/15/22	$	1,508,141
				29,229,370
		Health Care (3.1%)
		BioMarin Pharmaceutical, Inc.
	3,773,000	1.250%, 05/15/27*		4,402,355
	1,960,000	1.500%, 10/15/20		2,523,088
	1,850,000	CONMED Corp.^ 2.625%, 02/01/24		2,108,279
	9,218,000	DexCom, Inc.* 0.250%, 11/15/25		9,978,577
	3,673,000	Envista Holdings Corp.* 2.375%, 06/01/25		4,629,394
	5,500,000	Exact Sciences Corp. 0.375%, 03/15/27		6,051,843
	5,015,000	Insulet Corp.* 0.375%, 09/01/26		5,780,791
	3,845,000	Jazz Investments I, Ltd.* 2.000%, 06/15/26		3,965,618
	2,865,000	NanoString Technologies, Inc.* 2.625%, 03/01/25		3,008,608
	1,844,000	Natera, Inc.* 2.250%, 05/01/27		2,735,242
	2,290,000	NuVasive, Inc.* 0.375%, 03/15/25		2,124,032
	7,755,000	Pacira BioSciences, Inc.* 0.750%, 08/01/25		7,895,365
	2,540,000	Repligen Corp. 0.375%, 07/15/24		3,683,991
	3,215,000	Tandem Diabetes Care, Inc.* 1.500%, 05/01/25		3,971,120
	1,985,000	Tricida, Inc.* 3.500%, 05/15/27		1,537,124
				64,395,427
		Industrials (2.5%)
	8,180,000	Air Canada* 4.000%, 07/01/25		8,556,444
	4,600,000	Air Transport Services Group, Inc. 1.125%, 10/15/24		4,644,988
	7,915,000	American Airlines Group, Inc. 6.500%, 07/01/25		6,561,891
	2,035,000	Chart Industries, Inc.* 1.000%, 11/15/24		2,723,908
	2,516,000	Lyft, Inc.* 1.500%, 05/15/25		2,693,139
	23,675,000	Southwest Airlines Company 1.250%, 05/01/25		27,643,759
				52,824,129
		Information Technology (4.7%)
	5,335,000	Akamai Technologies, Inc.* 0.375%, 09/01/27		6,154,056
	2,455,000	Alteryx, Inc.* 1.000%, 08/01/26		3,016,814
	2,293,000	Cloudflare, Inc.* 0.750%, 05/15/25		3,108,804
	7,715,000	Coupa Software, Inc.* 0.375%, 06/15/26		9,685,257
	4,030,000	Datadog, Inc.* 0.125%, 06/15/25		5,094,726
	1,355,000	Five9, Inc.* 0.500%, 06/01/25		1,568,040
	2,170,000	II-VI, Inc. 0.250%, 09/01/22		2,765,556

See accompanying Notes to Schedule of Investments

8

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
	3,415,000	Inphi Corp.* 0.750%, 04/15/25	$	4,449,028
	3,860,000	Lumentum Holdings, Inc.* 0.500%, 12/15/26		4,527,201
	6,950,000	Microchip Technology, Inc. 1.625%, 02/15/27		10,182,966
	4,605,000	MongoDB, Inc.* 0.250%, 01/15/26		6,009,088
	5,015,000	Okta, Inc.* 0.125%, 09/01/25		6,835,169
		ON Semiconductor Corp.
	2,940,000	1.625%, 10/15/23^		3,675,882
	2,935,000	1.000%, 12/01/20		3,484,109
	2,260,000	Q2 Holdings, Inc. 0.750%, 06/01/26		2,816,819
	2,965,000	RingCentral, Inc.* 0.000%, 03/01/25		3,257,645
	3,524,000	Silicon Laboratories, Inc.* 0.625%, 06/15/25		3,861,300
	3,558,000	Slack Technologies, Inc.* 0.500%, 04/15/25		4,332,879
	1,230,000	Wix.com, Ltd. 0.000%, 07/01/23		2,581,647
	2,670,000	Workday, Inc. 0.250%, 10/01/22		3,607,664
	3,645,000	Zendesk, Inc.* 0.625%, 06/15/25		4,121,966
	2,852,000	Zscaler, Inc.* 0.125%, 07/01/25		3,246,546
				98,383,162
		Real Estate (0.4%)
	6,120,000	IH Merger Sub, LLC 3.500%, 01/15/22		8,399,149
		Utilities (0.4%)
	7,455,000	NRG Energy, Inc. 2.750%, 06/01/48		7,527,873
		TOTAL CONVERTIBLE BONDS (Cost $358,582,027)		406,260,590
	BANK LOANS (2.4%) ¡
		Communication Services (0.5%)
	1,563,188	Clear Channel Outdoor Holdings, Inc.‡ 3.761%, 08/21/26 3 mo. LIBOR + 3.50%		1,397,263
	893,250	CommScope, Inc.‡ 3.411%, 04/06/26 1 mo. LIBOR + 3.25%		877,430
	595,508	CSC Holdings, LLC‡ 2.675%, 04/15/27 1 mo. LIBOR + 2.50%		578,449
	1,528,214	Frontier Communications Corp.‡ 3.918%, 06/15/24 1 mo. LIBOR + 3.75%		1,509,112
	1,159,175	iHeartCommunications, Inc.‡ 3.161%, 05/01/26 1 mo. LIBOR + 3.00%		1,088,338
	2,791,100	Intelsat Jackson Holdings, SA 8.630%, 01/02/24		2,823,491
	1,275,000	Intelsat Jackson Holdings, SA‡ 8.750%, 01/02/24 3 mo. LIBOR + 5.50%		1,287,928

PRINCIPAL AMOUNT			VALUE
	885,000	Parexel International Corp.‡ 2.911%, 09/27/24 1 mo. LIBOR + 2.75%	$	853,074
	342,549	Townsquare Media, Inc.‡ 4.000%, 04/01/22 3 mo. LIBOR + 3.00%		327,277
				10,742,362
		Consumer Discretionary (0.4%)
	1,137,615	Michaels Stores, Inc.‡ 3.534%, 01/30/23 6 mo. LIBOR + 2.50%		1,088,556
	3,303,238	PetSmart, Inc.‡ 5.000%, 03/11/22 3 mo. LIBOR + 4.00%		3,294,997
	1,699,098	Staples, Inc.‡ 5.687%, 04/16/26 3 mo. LIBOR + 5.00%		1,471,495
	2,268,182	Weight Watchers International, Inc.‡ 5.500%, 11/29/24 1 mo. LIBOR + 4.75%		2,258,542
				8,113,590
		Energy (0.1%)
	900,000	Epic Crude Services, LP‡ 5.370%, 03/02/26 3 mo. LIBOR + 5.00%		714,001
	241,119	McDermott Technology Americas, Inc.‡ 4.167%, 06/30/25 1 mo. LIBOR + 4.00%		194,904
	19,639	McDermott Technology Americas, Inc.‡ 3.167%, 06/30/24 1 mo. LIBOR + 3.00%		17,675
	1,329,079	Par Pacific Holdings, Inc.‡ 7.020%, 01/12/26 3 mo. LIBOR + 6.75%		1,176,235
				2,102,815
		Financials (0.1%)
	1,546,125	Connect Finco Sarl‡ 5.500%, 12/11/26 1 mo. LIBOR + 4.50%		1,510,696
	707,515	GLP Financing, LLC‡ 1.664%, 04/28/21 1 mo. LIBOR + 1.50%		705,746
	303,595	Level 3 Financing, Inc.‡ 1.911%, 03/01/27 1 mo. LIBOR + 1.75%		294,804
				2,511,246
		Health Care (0.6%)
	2,841,330	Amneal Pharmaceuticals, LLC‡ 3.688%, 05/04/25 1 mo. LIBOR + 3.50%		2,683,281
	2,089,231	Endo International, PLC‡ 5.000%, 04/29/24 3 mo. LIBOR + 4.25%		2,007,208
	1,945,951	Gentiva Health Services, Inc.‡ 3.438%, 07/02/25 1 mo. LIBOR + 3.25%		1,922,843

See accompanying Notes to Schedule of Investments

9

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
	1,243,632	Mallinckrodt International Finance, SA‡ 3.500%, 09/24/24 6 mo. LIBOR + 2.75%	$	1,045,745
	1,898,461	Ortho Clinical Diagnostics, SA‡ 3.416%, 06/30/25 1 mo. LIBOR + 3.25%		1,850,999
	2,661,970	Team Health Holdings, Inc.‡ 3.750%, 02/06/24 1 mo. LIBOR + 2.75%		2,124,585
				11,634,661
		Industrials (0.5%)
	2,079,000	Berry Global, Inc.‡ 2.188%, 07/01/26 1 mo. LIBOR + 2.00%		2,021,505
	580,125	BW Gas & Convenience Holdings, LLC‡ 6.430%, 11/18/24 1 mo. LIBOR + 6.25%		568,726
	331,800	BW Gas & Convenience Holdings, LLC! 0.000%, 11/18/24		331,800
	1,236,900	Dun & Bradstreet Corp.‡ 3.922%, 02/06/26 1 mo. LIBOR + 3.75%		1,233,165
	903,175	Granite US Holdings Corp.‡ 6.322%, 09/30/26 3 mo. LIBOR + 5.25%		797,052
	1,500,157	Navistar International Corp.‡ 3.690%, 11/06/24 1 mo. LIBOR + 3.50%		1,458,273
	877,324	RegionalCare Hospital Partners Holdings, Inc.‡ 3.911%, 11/17/25 1 mo. LIBOR + 3.75%		860,089
	1,935,102	Scientific Games International, Inc.‡ 3.473%, 08/14/24 6 mo. LIBOR + 2.75%		1,768,199
	306,113	TransDigm, Inc.‡ 2.411%, 12/09/25 1 mo. LIBOR + 2.25%		287,391
				9,326,200
		Information Technology (0.2%)
	1,403,822	BMC Software Finance, Inc.‡ 4.411%, 10/02/25 1 mo. LIBOR + 4.25%		1,358,738
	1,447,725	Camelot U.S. Acquisition 1 Company‡ 3.161%, 10/30/26 1 mo. LIBOR + 3.00%		1,421,485
	1,381,821	VFH Parent, LLC‡ 3.178%, 03/01/26 1 mo. LIBOR + 3.00%		1,372,321
				4,152,544
		Materials (0.0%)
	877,800	Innophos, Inc.‡ 3.911%, 02/04/27 1 mo. LIBOR + 3.75%		870,119
		TOTAL BANK LOANS (Cost $51,926,661)		49,453,537

PRINCIPAL AMOUNT			VALUE
	CONVERTIBLE PREFERRED STOCKS (11.3%)
		Communication Services (0.9%)
	18,160	2020 Cash Mandatory Exchangeable Trust* 5.250%, 06/01/23	$	18,922,538
		AT&T, Inc.
	6,000	4.750%, 02/18/25^		150,480
	5,000	5.350%, 11/01/66		132,600
	20,000	Qwest Corp. 6.500%, 09/01/56		490,000
	4,950	Telephone & Data Systems, Inc. 7.000%, 03/15/60		125,136
	4,800	United States Cellular Corp. 7.250%, 12/01/64		123,168
				19,943,922
		Consumer Discretionary (0.6%)
	124,295	Aptiv, PLC 5.500%, 06/15/23		12,704,192
	2,700	Ford Motor Company 6.200%, 06/01/59		64,017
				12,768,209
		Consumer Staples (0.2%)
	36,755	Energizer Holdings, Inc. 7.500%, 01/15/22		3,693,877
		Energy (0.2%)
	13,185	Energy Transfer Operating, LP‡ 7.625%, 08/15/23 3 mo. USD LIBOR + 4.74%		243,000
		NuStar Energy, LP‡
	82,205	7.625%, 06/15/22 3 mo. USD LIBOR + 5.64%		1,437,765
	31,109	8.500%, 12/15/21 3 mo. USD LIBOR + 6.77%		598,226
	55,975	NuStar Logistics, LP‡ 7.009%, 01/15/43 3 mo. USD LIBOR + 6.73%		1,127,337
				3,406,328
		Financials (0.6%)
	535	Allstate Corp. 5.100%, 10/15/24		14,434
	80,250	AMG Capital Trust II 5.150%, 10/15/37		3,531,000
	13,585	Arch Capital Group, Ltd. 5.250%, 09/29/21		346,146
	31,880	Assurant, Inc. 6.500%, 03/15/21		3,445,909
	10,100	Axis Capital Holdings, Ltd. 5.500%, 11/07/21		258,560
	500	Bank of America Corp.‡‡ 7.250%		749,505
		Capital One Financial Corp.
	16,635	5.000%, 12/01/24		415,542
	2,774	4.800%, 06/01/25		65,328
	8,000	CIT Group, Inc.^ 5.625%, 12/15/24		178,000
	7,343	Citizens Financial Group, Inc.^ 5.000%, 01/06/25		182,180
	16,896	JPMorgan Chase & Company^ 4.750%, 12/01/24		458,051

See accompanying Notes to Schedule of Investments

10

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

PRINCIPAL AMOUNT			VALUE
	7,427	KeyCorp. 5.650%, 12/15/23	$	200,009
	10,250	Legg Mason, Inc. 5.450%, 09/15/56		264,552
	11,400	MetLife, Inc. 4.750%, 03/15/25		292,980
	24,736	Morgan Stanley^ 4.875%, 01/15/25		649,815
	2,700	Northern Trust Corp. 4.700%, 01/01/25		73,143
	10,000	Oaktree Capital Group, LLC^ 6.550%, 09/15/23		268,800
	10,000	Prospect Capital Corp. 6.250%, 06/15/24		251,700
	11,500	Truist Financial Corp. 4.750%, 09/01/25		289,800
		Wells Fargo & Company
	23,665	4.750%, 03/15/25		577,426
	500	7.500%‡‡		675,750
	14,550	WR Berkley Corp. 5.100%, 12/30/59		372,625
				13,561,255
		Health Care (1.3%)
	90,115	Boston Scientific Corp. 5.500%, 06/01/23		10,119,013
		Danaher Corp.
	9,980	4.750%, 04/15/22		14,162,818
	1,896	5.000%, 04/15/23^		2,322,676
				26,604,507
		Industrials (1.8%)
	6,250	Air Lease Corp.^‡ 6.150%, 03/15/24 3 mo. USD LIBOR + 3.65%		137,500
	21,885	Fortive Corp. 5.000%, 07/01/21		19,351,155
	2,150	QVC, Inc. 6.250%, 11/26/68		48,762
	180,605	Stanley Black & Decker, Inc. 5.250%, 11/15/22		17,240,553
				36,777,970
		Information Technology (1.1%)
	19,390	Broadcom, Inc. 8.000%, 09/30/22		22,122,245
		Real Estate (1.3%)
	5,180	American Homes 4 Rent^ 6.250%, 09/19/23		142,761
		Brookfield Property Partners, LP
	7,275	5.750%, 03/31/25		130,950
	5,000	6.375%, 09/30/24		97,450
	18,105	Crown Castle International Corp. 6.875%, 08/01/20		26,161,725
	5,000	Digital Realty Trust, Inc. 5.850%, 03/13/24		136,500
	5,400	EPR Properties^ 5.750%, 11/30/22		91,584
	10,500	Federal Realty Investment Trust 5.000%, 09/29/22		268,695
	11,000	Kimco Realty Corp.^ 5.250%, 12/20/22		269,610
	5,300	PS Business Parks, Inc.^ 5.200%, 12/07/22		139,072

PRINCIPAL AMOUNT				VALUE
	9,655		Public Storage 4.625%, 06/17/25	$	252,671
	5,250		Spirit Realty Capital, Inc. 6.000%, 10/03/22		132,563
					27,823,581
			Utilities (3.3%)
	5,000		Algonquin Power & Utilities Corp.‡ 6.875%, 10/17/78 3 mo. USD LIBOR + 3.68%		136,750
	313,105		American Electric Power Company, Inc. 6.125%, 03/15/22		16,156,218
	6,000		Brookfield Renewable Partners, LP‡ 5.250%, 03/31/25		153,780
	84,885		CenterPoint Energy, Inc. (Warner Media, LLC, Charter Communications Time, Inc.)§** 4.566%, 09/15/29		4,916,666
	103,035		Dominion Energy, Inc. 7.250%, 06/01/22		10,714,610
			DTE Energy Company
	135,145		6.250%, 11/01/22		6,093,688
	5,100		5.250%, 12/01/77		135,711
	1,401		Entergy Arkansas, LLC 4.750%, 06/01/63		36,216
	10,000		Entergy Louisiana, LLC^ 5.250%, 07/01/52		263,500
	38,825		Essential Utilities, Inc. 6.000%, 04/30/22		2,286,016
	382,660		NextEra Energy, Inc. 4.872%, 09/01/22		21,126,659
			Sempra Energy
	36,190		6.750%, 07/15/21		3,747,113
	35,100		6.000%, 01/15/21		3,585,114
			Southern Company
	10,250		5.250%, 10/01/76		270,497
	2,800		4.950%, 01/30/80		73,360
					69,695,898
			TOTAL CONVERTIBLE PREFERRED STOCKS (Cost $221,594,545)		236,397,792
NUMBER OF SHARES				VALUE
	COMMON STOCKS (84.9%)
			Communication Services (9.6%)
	34,670		Alphabet, Inc. - Class A#		51,587,226
	10,635		Alphabet, Inc. - Class C#		15,771,280
	615,000		AT&T, Inc.^~		18,191,700
	411,425		Comcast Corp. - Class A		17,608,990
	8,050		Cumulus Media, Inc. - Class A#		31,636
	186,910		Facebook, Inc. - Class A^#		47,413,460
	32,360		Netflix, Inc.^#		15,820,157
	300,000		Nintendo Company, Ltd.		16,471,200
	205,085	EUR	Orange, SA		2,403,777
	133,500		Walt Disney Company		15,611,490
					200,910,916
			Consumer Discretionary (11.1%)
	14,720		Alibaba Group Holding, Ltd.#		3,695,014
	35,115		Amazon.com, Inc.^#		111,127,738

See accompanying Notes to Schedule of Investments

11

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

NUMBER OF SHARES			VALUE
	59,260	Carnival Corp.^	$	822,529
	57,270	Dollar Tree, Inc.#		5,346,155
	825,570	Ford Motor Company^		5,457,018
	243,463	General Motors Company		6,059,794
	109,115	Home Depot, Inc.~		28,968,941
	38,550	Lennar Corp. - Class A		2,789,093
	105,270	Lowe’s Companies, Inc.		15,675,756
	62,500	McDonald’s Corp.		12,142,500
	162,800	Nike, Inc. - Class B		15,890,908
	44,300	Royal Caribbean Cruises, Ltd.		2,157,853
	77,770	Starbucks Corp.^		5,951,738
	56,455	Target Corp.		7,106,555
	143,900	TJX Companies, Inc.		7,481,361
				230,672,953
		Consumer Staples (6.5%)
	58,750	Altria Group, Inc.		2,417,562
	459,960	Coca-Cola Company		21,728,510
	41,820	Costco Wholesale Corp.		13,613,665
	250,885	Mondelez International, Inc. - Class A		13,921,609
	112,795	PepsiCo, Inc.		15,527,360
	147,500	Philip Morris International, Inc.^		11,329,475
	234,045	Procter & Gamble Company^		30,687,980
	86,605	Sysco Corp.		4,577,074
	52,650	Walgreens Boots Alliance, Inc.		2,143,382
	154,510	Walmart, Inc.		19,993,594
				135,940,211
		Energy (3.6%)
	475,000	BP, PLC		10,469,000
	237,650	Chevron Corp.^		19,948,341
	130,575	ConocoPhillips		4,882,199
	60,000	Diamond Offshore Drilling, Inc.#		16,782
	70,400	Energy Transfer, LP		461,120
	76,005	Enterprise Products Partners, LP		1,337,688
	355,670	Exxon Mobil Corp.^		14,966,594
	16,000	GasLog, Ltd.^		46,720
	126,365	Hess Corp.^		6,218,422
	232,940	Kinder Morgan, Inc.		3,284,454
	21,360	Magellan Midstream Partners, LP		864,866
	100,220	Marathon Petroleum Corp.		3,828,404
	132,453	Mcdermott International, Ltd.#		470,208
	26,500	Pioneer Natural Resources Company		2,568,380
	156,200	Schlumberger, Ltd.		2,833,468
	31,050	Targa Resources Corp.		567,594
	33,540	Valero Energy Corp.		1,885,954
	18,259	Weatherford International, PLC^#		31,588
	10,000	Williams Companies, Inc.^		191,300
				74,873,082
		Financials (8.1%)
	35,430	Affiliated Managers Group, Inc.^		2,437,230
	65,730	American Express Company		6,133,924
	346,890	American International Group, Inc.		11,149,045
	1,019,405	Bank of America Corp.~		25,362,796
	71,870	Bank of New York Mellon Corp.		2,576,540
	6,365	BlackRock, Inc.		3,659,939
	90,405	Charles Schwab Corp.		2,996,926
	46,700	Chubb, Ltd.		5,942,108
	311,925	Citigroup, Inc.		15,599,369
	125,000	Discover Financial Services		6,178,750
	21,710	First Republic Bank		2,441,941
	51,500	Goldman Sachs Group, Inc.		10,194,940
	33,700	Intercontinental Exchange, Inc.		3,261,486

NUMBER OF SHARES			VALUE
	273,910	JPMorgan Chase & Company~	$	26,470,662
	226,225	KeyCorp		2,716,962
	132,475	Marsh & McLennan Companies, Inc.		15,446,585
	290,930	Morgan Stanley^		14,220,658
	43,760	Northern Trust Corp.^		3,428,596
	157,631	Starwood Property Trust, Inc.		2,356,583
	150,870	US Bancorp		5,558,051
				168,133,091
		Health Care (11.8%)
	139,700	Abbott Laboratories~		14,059,408
	55,690	Agilent Technologies, Inc.		5,364,618
	44,255	Amgen, Inc.		10,827,871
	18,870	Anthem, Inc.		5,166,606
	149,780	Baxter International, Inc.		12,937,996
	151,745	Bristol-Myers Squibb Company		8,901,362
	26,830	CVS Health Corp.		1,688,680
	82,050	Edwards Lifesciences Corp.#		6,433,541
	109,850	Eli Lilly and Company		16,509,356
	48,980	Gilead Sciences, Inc.^		3,405,579
	26,400	Humana, Inc.		10,360,680
	10,420	Intuitive Surgical, Inc.#		7,142,285
	176,230	Johnson & Johnson^		25,687,285
	56,350	Laboratory Corp. of America Holdings#		10,871,042
	156,340	Medtronic, PLC		15,083,683
	251,550	Merck & Company, Inc.		20,184,372
	288,990	Pfizer, Inc.		11,120,335
	20,295	Stryker Corp.		3,923,024
	42,800	Thermo Fisher Scientific, Inc.		17,717,060
	105,000	UnitedHealth Group, Inc.		31,791,900
	26,610	Vertex Pharmaceuticals, Inc.#		7,237,920
				246,414,603
		Industrials (5.2%)
	322,640	CSX Corp.		23,017,138
	836,550	General Electric Company		5,077,858
	104,790	Honeywell International, Inc.		15,652,482
	37,640	Lockheed Martin Corp.		14,264,431
	233,120	Masco Corp.		13,325,139
	37,050	Northrop Grumman Corp.		12,041,620
	231,895	Raytheon Technologies Corp.		13,143,809
	64,480	Union Pacific Corp.		11,177,608
				107,700,085
		Information Technology (26.0%)
	65,132	Accenture, PLC - Class A		14,640,371
	28,285	Adobe, Inc.#		12,567,591
	353,020	Apple, Inc.^~		150,047,621
	322,615	Applied Materials, Inc.		20,753,823
	343,260	Cisco Systems, Inc.		16,167,546
	117,815	Fidelity National Information Services, Inc.		17,237,513
	43,165	Global Payments, Inc.		7,684,233
	56,750	Lam Research Corp.		21,403,830
	190,675	Marvell Technology Group, Ltd.^		6,953,917
	72,315	MasterCard, Inc. - Class A		22,311,347
	158,425	Micron Technology, Inc.#		7,929,963
	621,710	Microsoft Corp.^~		127,456,767
	1,520,000	Nokia Corp.^		7,265,600
	53,055	NVIDIA Corp.		22,526,623
	41,985	Oracle Corp.		2,328,068
	27,590	PayPal Holdings, Inc.#		5,409,571
	66,010	QUALCOMM, Inc.		6,971,316
	86,580	Salesforce.com, Inc.^#		16,870,113

See accompanying Notes to Schedule of Investments

12

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

NUMBER OF SHARES			VALUE
	21,845	ServiceNow, Inc.^#	$	9,594,324
	44,000	Skyworks Solutions, Inc.		6,405,520
	85,550	Taiwan Semiconductor Manufacturing Company, Ltd.		6,749,040
	178,525	Visa, Inc. - Class A^		33,991,160
				543,265,857
		Materials (1.3%)
	80,575	Linde, PLC		19,749,738
	82,000	Nucor Corp.		3,439,900
	40,555	PPG Industries, Inc.		4,365,746
				27,555,384
		Real Estate (1.0%)
	81,115	American Tower Corp.		21,202,650
		Utilities (0.7%)
	122,123	DTE Energy Company		14,121,082
		TOTAL COMMON STOCKS (Cost $1,462,001,609)		1,770,789,914
	RIGHTS (0.0%) #
		Financials (0.0%)
	22,573	Motors Liquidation Company (Cost $—)		34,424
	WARRANTS (0.0%) #
		Energy (0.0%)
	57,470	Mcdermott International, Ltd. 05/01/24, Strike $15.98		6
	51,723	Mcdermott International, Ltd. 05/01/24, Strike $12.33		5
	47,885	Tidewater, Inc. 11/14/42, Strike $0.00		327,533
	16,676	Tidewater, Inc. 11/14/42, Strike $0.00		114,064
		TOTAL WARRANTS (Cost $3,820,994)		441,608
	EXCHANGE-TRADED FUNDS (1.7%)
		Other (1.7%)
	25,700	iShares iBoxx High Yield Corporate Bond ETF		2,194,523
	195,550	iShares MSCI EAFE ETF		12,133,877
	5,525	iShares Preferred & Income Securities ETF^		199,895
	93,905	iShares Russell 2000 Value ETF^		9,343,547
	113,666	SPDR Bloomberg Barclays High Yield Bond ETF		12,059,963
		TOTAL EXCHANGE-TRADED FUNDS (Cost $40,074,275)		35,931,805

NUMBER OF CONTRACTS/ NOTIONAL AMOUNT			VALUE
	PURCHASED OPTIONS (0.3%) #
		Other (0.3%)
	2,400	Invesco QQQ Trust Series
	63,789,600	Put, 09/18/20, Strike $265.00	$	2,304,000
	1,220	iShares Russell 2000 ETF
	17,977,920	Call, 09/18/20, Strike $155.00		365,390
	285	S&P 500 Index
	93,226,920	Put, 11/30/20, Strike $3,000.00		3,107,925
		TOTAL PURCHASED OPTIONS (Cost $10,035,433)		5,777,315
NUMBER OF SHARES			VALUE
	SHORT TERM INVESTMENT (3.3%)
	68,062,475	Morgan Stanley Institutional Liquidity Funds – Government Portfolio, 0.040%*** (Cost $68,062,475)		68,062,475
	TOTAL INVESTMENTS (144.1%) (Cost $2,668,951,164)			3,004,441,962
	MANDATORY REDEEMABLE PREFERRED SHARES, AT LIQUIDATION VALUE (-11.6%)			(242,000,000	)
	LIABILITIES, LESS OTHER ASSETS (-32.5%)			(677,093,657	)
	NET ASSETS (100.0%)		$	2,085,348,305
NUMBER OF CONTRACTS/ NOTIONAL AMOUNT			VALUE
	WRITTEN OPTION (0.0%) #
		Other (0.0%)
	1,200	Invesco QQQ Trust Series
	31,894,800	Put, 09/18/20, Strike $230.00 (Premium $479,276)		(248,400	)

NOTES TO SCHEDULE OF INVESTMENTS

*	Securities issued and sold pursuant to a Rule 144A transaction are excepted from the registration requirement of the Securities Act of 1933, as amended. These securities may only be sold to qualified institutional buyers (“QIBs”), such as the Fund. Any resale of these securities must generally be effected through a sale that is registered under the Act or otherwise exempted from such registration requirements.
µ	Security, or portion of security, is held in a segregated account as collateral for note payable aggregating a total value of $85,687,110.
^	Security, or portion of security, is on loan.
@	In default status and considered non-income producing.
‡	Variable rate security. The rate shown is the rate in effect at July 31, 2020.

See accompanying Notes to Schedule of Investments

13

Strategic Total Return Fund

SCHEDULE OF INVESTMENTS JULY 31, 2020 (UNAUDITED)

~ Security, or portion of security, is segregated as collateral (or potential collateral for future transactions) for written options. The aggregate value of such securities is $4,915,399.

¡ Bank loans generally are subject to mandatory and/or optional prepayment. As a result, the actual remaining maturity of bank loans may be substantially less than the stated maturities shown.

! This position represents an unsettled loan commitment at period end. Certain details associated with this purchase are not known prior to the settlement date, including coupon rate, which will be adjusted on settlement date.

‡‡ Perpetual maturity.

§ Securities exchangeable or convertible into securities of one or more entities that are different than the issuer. Each entity is identified in the parenthetical.

** Step coupon security. Coupon changes periodically based upon a predetermined schedule. The rate shown is the rate in effect at July 31, 2020.

# Non-income producing security.

*** The rate disclosed is the 7 day net yield as of July 31, 2020.

FOREIGN CURRENCY ABBREVIATION

EUR        European Monetary Unit

Note: The date on options represents the expiration date of the option contract. The option contract may be exercised at any date on or before the date shown. (0.0%)

See accompanying Notes to Schedule of Investments

14

Note 1 – Organization and Significant Accounting Policies

Organization. Calamos Strategic Total Return Fund (the “Fund”) was organized as a Delaware statutory trust on December 31, 2003 and is registered under the Investment Company Act of 1940 (the “1940 Act”) as a diversified, closed-end management investment company. The Fund commenced operations on March 26, 2004.

The Fund’s investment strategy is to provide total return through a combination of capital appreciation and current income. Under normal circumstances, the Fund will invest primarily in common and preferred stocks, convertible securities and income-producing securities such as investment grade and below investment grade (high yield/high risk) debt securities. The Fund, under normal circumstances, will invest at least 50% of its managed assets in equity securities (including securities that are convertible into equity securities). The Fund may invest up to 35% of its managed assets in securities of foreign issuers, including debt and equity securities of corporate issuers and debt securities of government issuers in developed and emerging markets. The Fund may invest up to 15% of its managed assets in securities of foreign issuers in emerging markets. “Managed assets” means the Fund’s total assets (including any assets attributable to any leverage that may be outstanding) minus total liabilities (other than debt representing financial leverage).

Significant Accounting Policies. The Schedule of Investments has been prepared in conformity with accounting principles generally accepted in the United States of America (U.S. GAAP). The Fund is considered an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies. The following summarizes the significant accounting policies of the Fund:

In March 2017, FASB issued ASU No. 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The ASU shortens the amortization period for certain callable debt securities held at a premium. The Fund adopted this ASU as of November 1, 2019, with no material impact on the Fund’s Schedule of Investments.

Fund Valuation. The valuation of the Fund’s investments is in accordance with policies and procedures adopted by and under the ultimate supervision of the board of trustees.

Fund securities that are traded on U.S. securities exchanges, except option securities, are valued at the official closing price, which is the last current reported sales price on its principal exchange at the time each Fund determines its net asset value (“NAV”). Securities traded in the over-the-counter market and quoted on The NASDAQ Stock Market are valued at the NASDAQ Official Closing Price, as determined by NASDAQ, or lacking a NASDAQ Official Closing Price, the last current reported sale price on NASDAQ at the time the Fund determines its NAV. When a last sale or closing price is not available, equity securities, other than option securities, that are traded on a U.S. securities exchange and other equity securities traded in the over-the-counter market are valued at the mean between the most recent bid and asked quotations on its principal exchange in accordance with guidelines adopted by the board of trustees. Each option security traded on a U.S. securities exchange is valued at the mid-point of the consolidated bid/ask quote for the option security, also in accordance with guidelines adopted by the board of trustees. Each over-the-counter option that is not traded through the Options Clearing Corporation is valued either by an independent pricing agent approved by the board of trustees or based on a quotation provided by the counterparty to such option under the ultimate supervision of the board of trustees.

Fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives are normally valued by independent pricing services or by dealers or brokers who make markets in such securities. Valuations of such fixed income securities, bank loans, certain convertible preferred securities, and non-exchange traded derivatives consider yield or price of equivalent securities of comparable quality, coupon rate, maturity, type of issue, trading characteristics and other market data and do not rely exclusively upon exchange or over-the-counter prices.

Trading on European and Far Eastern exchanges and over-the-counter markets is typically completed at various times before the close of business on each day on which the New York Stock Exchange (“NYSE”) is open. Each security trading on these exchanges or in over-the-counter markets may be valued utilizing a systematic fair valuation model provided by an independent pricing service approved by the board of trustees. The valuation of each security that meets certain criteria in relation to the valuation model is systematically adjusted to reflect the impact of movement in the U.S. market after the foreign markets close. Securities that do not meet the criteria, or that are principally traded in other foreign markets, are valued as of the last reported sale price at the time the Fund determines its NAV, or when reliable market prices or quotations are not readily available, at the mean between the most recent bid and asked quotations as of the close of the appropriate exchange or other designated time. Trading of foreign securities may not take place on every NYSE business day. In addition, trading may take place in various foreign markets on Saturdays or on other days when the NYSE is not open and on which the Fund’s NAV is not calculated.

If the pricing committee determines that the valuation of a security in accordance with the methods described above is not reflective of a fair value for such security, the security is valued at a fair value by the pricing committee, under the ultimate supervision of the board of trustees, following the guidelines and/or procedures adopted by the board of trustees.

The Fund also may use fair value pricing, pursuant to guidelines adopted by the board of trustees and under the ultimate supervision of the board of trustees, if trading in the security is halted or if the value of a security it holds is materially affected by events occurring before the Fund’s pricing time but after the close of the primary market or exchange on which the security is listed. Those procedures may utilize valuations furnished by pricing services approved by the board of trustees, which may be based on market transactions for comparable securities and various relationships between securities that are generally recognized by institutional traders, a computerized matrix system, or appraisals derived from information concerning the securities or similar securities received from recognized dealers in those securities.

When fair value pricing of securities is employed, the prices of securities used by a Fund to calculate its NAV may differ from market quotations or official closing prices. There can be no assurance that the Fund could purchase or sell a portfolio security at the price used to calculate the Fund’s net asset value (“NAV”).

Foreign Currency Translation. Values of investments and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using a rate quoted by a major bank or dealer in the particular currency market, as reported by a recognized quotation dissemination service.

Option Transactions. For hedging and investment purposes, the Fund may purchase or write (sell) put and call options. One of the risks associated with purchasing an option is that the Fund pays a premium whether or not the option is exercised. Additionally, the Fund bears the risk of loss of premium and change in value should the counterparty not perform under the contract. The Fund as writer of an option bears the market risk of an unfavorable change in the price of the security underlying the written option.

Note 2 – Investments

The cost basis of investments for federal income tax purposes at July 31, 2020 was as follows*:

Cost basis of investments	$	2,668,471,888
Gross unrealized appreciation		625,103,043
Gross unrealized depreciation		(289,381,369	)
Net unrealized appreciation (depreciation)	$	335,721,674

* Because tax adjustments are calculated annually, the above table does not reflect tax adjustments. For the previous fiscal year’s federal income tax information, please refer to the Notes to Financial Statements section in the Fund’s most recent semi-annual or annual report.

Note 3 – Mandatory Redeemable Preferred Shares

On September 6, 2017, the Fund issued 9,680,000 mandatory redeemable preferred shares (“MRPS”) with an aggregate liquidation preference of $242.0 million. Offering costs incurred by the Fund in connection with the MRPS issuance are aggregated with the outstanding liability and are being amortized to Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares over the respective life of each series of MRPS and shown in the Statement of Operations.

The MRPS are divided into three series with different mandatory redemption dates and dividend rates. The table below summarizes the key terms of each series of the MRPS at July 31, 2020.

Series	Term Redemption Date	Dividend Rate	Shares (000’s)	Liquidation Preference Per Share	Aggregate Liquidation Preference
Series A	9/06/22	3.70%	3,220	$25	$80,500,000
Series B	9/06/24	4.00%	3,220	$25	$80,500,000
Series C	9/06/27	4.24%	3,240	$25	$81,000,000
				Total	$242,000,000

The MRPS are not listed on any exchange or automated quotation system. The MRPS are considered debt of the issuer; therefore, the liquidation preference, which approximates fair value of the MRPS, is recorded as a liability in the Statement of Assets and Liabilities net of deferred offering costs. The MRPS are categorized as Level 2 within the fair value hierarchy.

Holders of MRPS are entitled to receive monthly cumulative cash dividends payable on the first business day of each month. The MRPS currently are rated “AA” by Fitch Ratings, Inc. (“Fitch”). If on the first day of a monthly dividend period the MRPS of any class are rated lower than “A” by Fitch (or lower than the equivalent of such rating by any other rating agency providing a rating pursuant to the request of the Fund), the dividend rate for such period shall be increased by 0.5%, 2.0% or 4.0% according to an agreed upon schedule. The MRPS’ dividend rate is also subject to increase during periods when the Fund has not made timely payments to MRPS holders and/or the MRPS do not have a current credit rating, subject to various terms and conditions. Dividends accrued and paid to the shareholders of MRPS are included in “Interest expense and amortization of offering costs on Mandatory Redeemable Preferred Shares” within the Statement of Operations.

The MRPS rank junior to the Fund’s borrowings under the SSB Agreement and senior to the Fund’s outstanding common stock. The Fund may, at its option, subject to various terms and conditions, redeem the MRPS, in whole or in part, at the liquidation preference amount plus all accumulated but unpaid dividends, plus a make whole premium equal to the discounted value of the remaining scheduled payments. Each class of MRPS is subject to mandatory redemption on the term redemption date specified in the table above. Periodically, the Fund is subject to an overcollateralization test based on applicable rating agency criteria (the “OC Test”) and an asset coverage test with respect to its outstanding senior securities (the “AC Test”). The Fund may be required to redeem MRPS before their term redemption date if it does not comply with one or both tests. So long as any MRPS are outstanding, the Fund may not declare, pay or set aside for payment cash dividends or other distributions on shares of its common stock unless (1) the Fund has satisfied the OC Test on at least one testing date in the preceding 65 days, (2) immediately after such transaction, the Fund would comply with the AC Test, (3) full cumulative dividends on the MRPS due on or prior to the date of such transaction have been declared and paid and (4) the Fund has redeemed all MRPS required to have been redeemed on such date or has deposited funds sufficient for such redemption, subject to certain grace periods and exceptions.

Except as otherwise required pursuant to the Fund’s governing documents or applicable law, the holders of the MRPS have one vote per share and vote together with the holders of common stock of the Fund as a single class except on matters affecting only the holders of MRPS or the holders of common stock. Pursuant to the 1940 Act, holders of the MRPS have the right to elect at least two trustees of the Fund, voting separately as a class. Except during any time when the Fund has failed to make a dividend or redemption payment in respect of MRPS outstanding, the holders of MRPS have agreed to vote in accordance with the recommendation of the board of trustees on any matter submitted to them for their vote or to the vote of shareholders of the Fund generally.