CSQ Calamos Strategic Total Return Fund

TIMELY INFORMATION INSIDE

Strategic Total Return Fund (CSQ)

SEMIANNUAL REPORT APRIL 30, 2023

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TABLE OF CONTENTS

Our Managed Distribution Policy

Closed-end fund investors often seek a steady stream of income. Recognizing this important need, Calamos closed-end funds adhere to a managed distribution policy in which we aim to provide consistent monthly distributions through the disbursement of the following:

•Net investment income

•Net realized short-term capital gains

•Net realized long-term capital gains

•And, if necessary, return of capital

We set distributions at levels that we believe are sustainable for the long term. The Fund’s current monthly distribution is $0.1025 per share as of April 30, 2023. Our team focuses on delivering an attractive monthly distribution, while maintaining a long-term emphasis on risk management. The level of the Fund’s distribution can be greatly influenced by market conditions, including the interest rate environment, the individual performance of securities held by the funds, our view of retaining leverage, fund tax considerations, and regulatory requirements.

You should not draw any conclusions about the Fund’s investment performance from the amount of its distribution or from the terms of the Fund’s plan. The Fund’s Board of Trustees may amend or terminate the managed distribution policy at any time without prior notice to the Fund’s shareholders. However, at this time there are no reasonably foreseeable circumstances that might cause the termination of the Fund’s managed distribution policy.

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

Note: The Fund adopted a managed distribution policy on January 1, 2018.

Experience and Foresight

John P. calamos, sr.

Founder, Chairman
and Global Chief
Investment Officer

CALAMOS Strategic 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 Strategic Total Return Fund (CSQ).

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, CSQ is managed to provide steady (although not assured) monthly distributions. As of April 30, 2023, the monthly per share distribution was $0.1025, and the annualized distribution rate was 8.94%^† 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.

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.

2   CALAMOS Strategic Total Return Fund SEMIANNUAL REPORT

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, CSQ 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 Strategic 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

4   CALAMOS Strategic 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 Strategic 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%SPX-25%VXA0-25%BBGUSHY2%Cap Index is blended from 50%- S&P 500 Index (SPX), 25% - ICE BofA All US Convertibles Index (VXA0) and 25% - Bloomberg US HY 2% Issuer Capped Index.

The S&P 500 Index is an unmanaged index generally considered representative of the US stock market.

The ICE BofA All US Convertibles Index is comprised of approximately 700 issues of only convertible bonds and preferreds of all qualities.

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 Strategic 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.

STRATEGIC TOTAL RETURN FUND (CSQ)

INVESTMENT TEAM DISCUSSION

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

Calamos Strategic Total Return Fund (CSQ) seeks to provide total return through a combination of capital appreciation and current income. We invest in a diversified portfolio of equities, convertible securities and high-yield bonds. The allocation to each asset class is dynamic based on our view of the economic landscape and the potential of individual securities to contribute to the portfolio. By using these asset classes in combination, we believe that 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.

While we are often more heavily weighted in the securities of US issuers, we favor those companies that are actively participating in globalization with geographically diversified revenue streams and global business strategies. We emphasize companies that we believe offer reliable debt servicing, respectable balance sheets, solid free cash flow and good prospects for sustainable growth. These profitable companies should be more resilient to inflationary pressures and rising interest rates.

How did the Fund perform over the semiannual period?

The Fund returned 8.67% on a net asset value (NAV) basis and 4.59% on a market price basis for the six months ended April 30, 2023 (“semiannual period”) versus a return of 6.10% for a comparator index comprising 50% S&P 500 Index, 25% ICE BofA All US Convertibles Index and 25% Bloomberg US Corporate High Yield 2% Issuer Capped Index over the same period. At the end of the semiannual period, the Fund’s shares traded at a -2.41% discount to NAV.

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 share price in the market is called the 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 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 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 that we believe will optimize its overall price performance and returns based on market value.

Please discuss the Fund’s distributions during the period.

We employ a managed 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 $0.1025 per share, and the Fund’s annualized distribution rate on market price on April 30, 2023, was 8.94%.

CALAMOS Strategic Total Return Fund SEMIANNUAL REPORT   7

We believe that both the Fund’s distribution rate and level remained attractive and competitive, as 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 was 1.66%. Despite recent tightening, yields were also relatively low within the US government bond market with the 10-year US Treasury yielding 3.45%.

What factors influenced performance over the period?

Generally speaking, sharp recoveries in US equity markets contributed to the Fund’s positive return over the period. The US stock market, as measured by the S&P 500 Index, returned 8.63% during the period.

The period was greatly influenced by macroeconomic factors, especially given that the Fed and central bankers around the world were in the midst of raising interest rates in an effort to tackle inflation. Prior to the beginning of the semiannual period, the US equity market, as measured by the S&P 500 Index, had made a near-term bottom in October 2022 after the market had absorbed 300 basis points of interest rate increases in the fed funds rate. Those increases were made in historically short order (approximately six months), and the market, not surprisingly, did not react favorably, falling -24% from late December 2021 through early October 2022. During this six-month reporting period, the Fed continued its mission to squelch inflation and raised rates another 175 basis points, but equity investors came to believe that the end of rate hikes might be at hand. The S&P 500 Index recovered with a gain of 8.63%, yet the broad market has been somewhat range bound as investors grapple with conflicting evidence.

On the one hand, employment is quite strong, and wage gains have helped households as inflation drops from historically high levels. Corporate earnings have retreated, although the past few quarters have seen earnings data beat market expectations. Although the cost of capital has increased, data suggest that US homeowners and corporations are currently less interest-rate sensitive than in years past. On the other hand, although job openings are still relatively plentiful, select industries and businesses have announced job cuts and the rapid increase in interest rates has found its way into the banking sector. Notable failures, including Silicon Valley Bank in the US and Credit Suisse overseas, raised concerns that there could be more banking

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.

8   CALAMOS Strategic Total Return Fund SEMIANNUAL REPORT

industry risks that would likely lead to a slowdown in credit availability and overall economic growth. Although supply-chain headaches have subsided, and energy prices have retreated, inflation is still higher than central bankers would like to see.

The market showed a strong preference for large-cap stocks over small caps, and the Russell 1000 Index’s 7.24% return for the period handily outpaced the Russell 2000 Index’s -3.46% return. And across the market-cap spectrum, growth outpaced value as investors turned to stocks that perhaps had been oversold and favored businesses that might be better able to provide growth in an overall slow-growth environment. Within the S&P 500 Index, communication services (+23.2%), information technology (+18.7%) and materials (+9.9%) led the market, whereas consumer staples (+8.1%), industrials (+6.9%), utilities (+4.9%), real estate (+4.8%), consumer discretionary (+3.0%), health care (+1.4%), financials (-1.0%) and energy (-3.4%) lagged behind the market.

Other factors that contributed and detracted from Fund performance included the following:

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

•On an unleveraged basis, the portfolio slightly outperformed the comparator index during the period. Our overweight and selection in stocks and mutual funds relative to the comparator index were beneficial to returns. Conversely, our underweight and selection in corporate bonds and our use of put options hindered performance.

•Our selection in the information technology sector, namely in the semiconductor industry, was helpful to relative returns. In addition, selection in the communication services sector was beneficial, namely in the interactive media and services industry.

•Conversely, our selection in the health care sector, primarily an overweight in the managed health care industry, detracted from performance relative to the comparator index. In addition, an overweight and selection in the financials sector, specifically in diversified banks, detracted from performance.

How is the Fund positioned?

In terms of asset class positioning, we maintain a relatively high allocation to common stocks and convertibles, whose combined exposure represents approximately 79% of the portfolio’s percent of net assets as of April 30, 2023.

From an asset class perspective, we continue to favor equities over fixed income with convertible securities being the most favored class outside of stocks. Traditional fixed income continues to face pressure in a rising interest-rate environment. Overall, we are emphasizing companies with higher-quality characteristics, such as balance sheet strength, earnings quality, and stable cash flow generation, among other factors. Thematically, we are seeking companies positioned to benefit from a goods-to-services transition, where demand is improving not decelerating. We are likely to become more positive and constructive once the investment markets stabilize out of this period of rebasing expectations.

CALAMOS Strategic Total Return Fund SEMIANNUAL REPORT   9

Previously, we had outlined the case for modestly increasing the risk posture in the Fund by focusing on select areas of the economy that we believe should show improving economic growth in 2023 and 2024 and on companies that can improve returns of capital during that time. Our premise to selectively add risk was based on several factors, including our conviction in the long-term US economic growth trajectory, positive policy changes, and improvements in certain parts of the economy. The events of Q1 2023 (banking issues, the slowing of central bank rate increases, continued moderate slowing of inflation and economic growth, and corporate cost-cutting measures) have in aggregate supported our current risk profile but have also honed our risk-taking focus on select growth and return improvement areas. Finally, we combine our risk profile with a focus on a security’s valuation to target an appropriate return for the risk in this volatile environment.

We believe the best positioning for this environment still begins with a higher-quality portfolio to provide a defensive posture while assuming additional risk in specific areas that have real growth tailwinds, in companies with improving capital returns, and in equities and convertible structures with valuations at favorable expected risk-adjusted returns. We see compelling prospects for companies that offer exposure to new products and geographic growth opportunities, specific infrastructure spending areas and policy change areas, and the normalization of supply chains and the service economy. We are still favoring higher-credit-quality companies with improving free cash flow. We are selectively using options to gain differentiated exposure to some higher-risk areas. From an asset-class perspective, cash and short-term Treasuries remain useful tools to lower volatility in a multi-asset-class portfolio given their yields.

The portfolio currently holds large absolute allocations to growth-focused sectors such as information technology, health care and consumer discretionary where we are finding secular opportunities in areas such as e-payments, e-commerce and many “at-home” trends that accelerated during the pandemic and are now ingrained in consumer behaviors. We believe there are also strong cyclical opportunities as consumers unleash pent-up demand for goods and services. The portfolio’s largest relative underweight exposures include more defensive areas, such as the utilities and real estate sectors, where it appears opportunities are less attractive at this time.

As of April 30, 2023, the average credit quality of the portfolio is BB+, and approximately 23% of the fixed income portion of our portfolio is rated investment grade. Our credit process tends to guide us away from the most speculative corporate securities. However, we recognize there are occasions when lower-credit securities can enhance performance.

We are also cognizant of the fact that rising interest rates may have a detrimental effect on longer-term fixed-income securities. Consequently, managing the duration of the fixed-income assets of our portfolio is a priority in mitigating this potential impact. As of April 30, 2023, the weighted average duration of the portfolio’s bonds is 2.8 years, which is low compared to longer-duration fixed-income instruments.

We believe that over time the prudent use of leverage should enhance total return and support the Fund’s distribution rate. As of April 30, 2023, the Fund’s leverage stood at approximately 33%.

10   CALAMOS Strategic Total Return Fund SEMIANNUAL REPORT

What are your closing thoughts for Fund shareholders?

We remain confident that the positive long-term growth trajectory of the US economy and the cash-flow-generation capabilities of US companies are intact. The ability of management teams to identify emerging short- and long-term trends and the adaptability of business models and cost structures are central to our long-term favorable view. We see an attractive long-term upside in the US equity market from current market levels, which we believe are at fair value or below fair value for a majority of US companies.

Policy changes are often a catalyst for economic improvement, although that improvement may require time to materialize. Positive policy changes that occur toward the end of an economic slowdown have historically caused equity markets to rally even when the economy continues to deteriorate. We believe several recent policy changes will be catalysts for future growth in certain parts of the economy. These policies include recently passed US legislation, such as the Infrastructure Investment and Jobs Act, the Inflation Reduction Act, and the CHIPS and Science Act. Increased US fiscal discipline from a divided government should also help. In addition, there is the potential for additional bank regulation and FDIC insurance limit changes that could improve the stability of the banking industry while increasing compliance costs. Global policy shifts also are having an impact, most notably China’s decision to lift Covid-19 restrictions and reopen its economy, and the slowing of global central bank interest rate increases. Although these policies will take time to have a direct and positive impact, we believe equities will reflect these positives in the short term.

Finally, we continue to identify a divergence in growth in different parts of the economy and corporate returns on capital. Some parts of the economy have been slowing for quarters and may be nearing their individual cyclic bottoms, whereas other parts of the economy are still showing improvement from pre-Covid levels. Many companies are focused on improving their returns on capital through improved efficiencies, normalized supply chains, clarity on the interest rate environment, and an improved currency environment in the case of multinationals. The pace of corporate cost-cutting and restructuring has increased over the past several months across several areas, providing more opportunities to identify companies with improving returns on capital. Over the short- and intermediate-terms, improved real returns on capital should drive higher equity prices.