JOHN P. CALAMOS, SR.
Chairman and Global CIO 

Dear Fellow Shareholder:

Welcome to your annual report for the 12-month period ended October 31, 2016. In this report, you will find commentary as well as a listing of portfolio holdings, financial statements and highlights and detailed information about the Fund’s performance and positioning. I encourage you to review this information carefully.

Calamos Strategic Total Return Fund (CSQ) is an income-oriented total return fund. This means we are focused not only on delivering a competitive stream of distributions, but also on total return. We utilize dynamic asset allocation to pursue high current income with a less rate-sensitive approach, while also maintaining a focus on capital gains.

Distribution

During the period, the Fund provided a compelling monthly distribution of $0.0825 per share. We believe the Fund’s current annualized distribution rate, which was 9.95%* on a market price basis as of October 31, 2016, was very competitive, given the low interest rates in many segments of the bond market. In our view, the Fund’s distributions illustrate the benefits of a multi-asset class approach and flexible allocation strategy.

We understand that many closed-end fund investors seek steady, predictable distributions instead of distributions that fluctuate. Therefore, this Fund has a level rate distribution policy. As part of this policy, we aim to keep distributions consistent from month to month, and at a level that we believe can be sustained over the long term. In setting the Fund’s distribution rate, the investment management team and the Fund’s Board of Trustees consider the interest rate, market and economic environment. We also factor in our assessment of individual securities and asset classes. (For additional information on our level rate distribution policy, please see “The Calamos Closed-End Funds: An Overview” on page 5 and “Level Rate Distribution Policy” on page 38.)

*      Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annualized percentage of the Fund’s current market price per share. The Fund’s 10/14/16 distribution was $0.0825 per share. Based on our current estimates, we anticipate that approximately $0.0825 is paid from ordinary income or capital gains and that approximately $0.0000 represents a return of capital. Estimates are calculated on a tax basis rather than on a generally accepted accounting principles (GAAP) basis, but should not be used for tax reporting purposes. Distributions are subject to re-characterization for tax purposes after the end of the fiscal year. This information is not legal or tax advice. Consult a professional regarding your specific legal or tax matters. Under the Fund’s level rate distribution policy, distributions paid to common shareholders may include net investment income, net realized short-term capital gains and return of capital. When the net investment income and net realized short-term capital gains are not sufficient, a portion of the level rate distribution will be a return of capital. In addition, a limited number of distributions per calendar year may include net realized long-term capital gains. Distribution rate may vary.

Outlook

As we look to the future, our team is closely monitoring evolving geopolitical relationships, oil prices and global central bank policies. We remain highly attentive to the impact of populist crosscurrents, particularly in Europe, where several key elections are approaching.

We continue to believe the global economy is positioned for continued slow economic expansion, although the pace of growth is likely to vary among countries. In the U.S., economic growth is likely to ramp up a bit from recent levels, and our expectations for inflation have risen. As the economy continues to expand, we see an increased likelihood that the Federal Reserve Open Market Committee raises short-term interest rates. However, the aggressive quantitative easing of other global central banks is likely to limit how far interest rates can move.

As we look to the future, our team sees opportunities across a range of asset classes, with increased potential in cyclical growth areas. We believe U.S. equities can benefit from President-Elect Trump’s pro-growth stance, with corporate tax reform, individual tax reform and infrastructure spending providing support to the bull market.

However, there is considerable uncertainty surrounding many elements of the President-Elect’s vision for America and its implications for the global economy. As greater clarity emerges around fiscal and foreign policy over these next months, winners and losers will emerge. Investors should be prepared for volatility spikes and market rotation. Consequently, selectivity and attention to fundamentals remains paramount, especially given the high valuations we see in some segments of the market.

We believe the case for actively managed convertible securities is strong. It has been many years since investors contended with rising U.S. interest rates and inflation. I remember in the 1970s, and again in the 1980s, how investors were caught very much by surprise by rising rates. Although the backdrop is different now than it was in either of those periods, there are plenty of reasons for investors to revisit the interest rate exposure in their asset allocations. Historically, convertible securities have demonstrated greater resilience to rising interest rates than traditional fixed income securities, due to convertibles’ equity characteristics.

Letter to Shareholders

Conclusion

These past months should remind investors that volatility is a part of all markets, including bull markets. As importantly, we are reminded of the resilience of the markets and the global economy. In July, the UK’s vote in favor of leaving the European Union took markets by surprise, leading to a precipitous drop immediately following the result. Yet markets soon regained their equilibrium and rose higher. Similarly, many market participants were surprised by President-Elect Donald Trump’s victory but once again, the choppiness was short lived.

The start of a new year is an excellent opportunity to consult with your financial advisor, who can help ensure that your asset allocation aligns with your long-term goals and risk tolerance. As you prepare for these conversations, I invite you to visit our website, www.calamos.com. You’ll find a range of resources, including blogs and videos from our investment team and thought leadership pieces.

In closing, thank you for the trust that you have placed in us to help you achieve your financial goals. We are honored to serve you.

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.

The MSCI World Index is a market-capitalization weighted index composed of companies representative of the market structure of developed market countries in North America, Europe and the Asia/Pacific region. The S&P 500 Index is an unmanaged index generally considered representative of the U.S. stock market. The MSCI Emerging Markets Index is a free float-adjusted market capitalization index considered broadly representative of emerging market equity performance. The index represents companies within the constituent emerging markets that are available to investors worldwide. The BofA Merrill Lynch All U.S. Convertibles ex-Mandatory Index represents the U.S. convertible securities market excluding mandatory convertibles. The BofA Merrill Lynch Global 300 Convertible Index is a global convertible index composed of companies representative of the market structure of countries in North America, Europe and the Asia/Pacific region. The Credit Suisse U.S. High Yield Index is an unmanaged index of high yield debt securities. The Bloomberg Barclays U.S. Aggregate Bond Index is considered generally representative of the investment-grade bond market. Sources: Lipper, Inc.; Morningstar, Inc.

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. 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. Fund holdings are subject to change daily. The Fund is 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 the accuracy or completeness, has been obtained from sources we believe to be reliable. 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, that should be carefully considered prior to investing. 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 STRATEGIC TOTAL RETURN FUND ANNUAL REPORT

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

Closed-end funds are long-term investments. Most focus on providing monthly distributions, but there are important differences among individual closed-end funds. Calamos closed-end funds can be grouped into multiple categories that seek to produce income while offering exposure to various asset classes and sectors.

Our Level Rate Distribution Policy

Closed-end fund investors often look for a steady stream of income. Recognizing this, Calamos closed-end funds have a level rate distribution policy in which we aim to keep monthly income consistent through the disbursement of net investment income, net realized capital gains and, if necessary, return of capital. We set distributions at levels that we believe are sustainable for the long term. Our team is focused on delivering an attractive monthly distribution, while maintaining a long-term focus on risk management. The level of the funds’ distributions can be greatly influenced by market conditions, including the interest rate environment. The funds’ distributions will depend on the individual performance of positions the funds hold, our view of the benefits of retaining leverage, fund tax considerations, and maintaining regulatory requirements.

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

For more information on our level rate distribution policy, please see page 38.

STRATEGIC TOTAL RETURN FUND (CSQ)

INVESTMENT TEAM DISCUSSION

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

Calamos Strategic Total Return Fund (CSQ) is a total-return-oriented offering that seeks to provide a steady stream of income paid out on a monthly basis. We invest in a diversified portfolio of equities, convertible securities and high yield securities. The allocation to each asset class is dynamic and reflects our view of the economic landscape as well as the potential of individual securities. By combining these asset classes, we believe that we are well positioned over the long term to generate capital gains as well as 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 as well as equity participation. Like all six Calamos closed-end funds, the Fund seeks to provide a steady stream of distributions paid out on a monthly basis through investment in multiple asset classes.

We are finding opportunities in the convertible market as issuance of these securities continues at a steady pace. We believe our exposure to the equity markets via these adjustments was beneficial to the overall performance and risk management of the Fund, and will allow us to optimize our performance going forward.

While we invest primarily in securities of U.S. 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 and good prospects for sustainable growth. We continue to remain cautiously optimistic with respect to the U.S. equity market and look forward to continued growth through modest economic improvement.

How did the Fund perform over the reporting period?

The Fund gained 5.48% on a net asset value (NAV) basis for the 12-month period ended October 31, 2016, while the S&P 500 Index gained 4.51%. On a market price basis, the Fund returned 7.89% during this time.

At the end of the reporting period, the Fund’s shares traded at a 10.60% discount to net asset value.

How do NAV and market price return differ?

Closed-end funds trade on exchanges, where the price of shares may be driven by factors other than the value of the underlying securities. The price of a share in the market is called market value. Market price may be influenced by factors unrelated to the performance of the fund’s holdings, such as general market sentiment or future 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 was able to capitalize on market opportunities. Because we believe closed-end funds are best utilized as a long-term holding within asset allocations, we believe that NAV return is the better measure of a fund’s performance. 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.

SINCE INCEPTION MARKET PRICE AND NAV HISTORY THROUGH 10/31/16

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.

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

We employ a level rate distribution policy for this Fund with the goal of providing shareholders with a consistent distribution stream. The Fund provided monthly distributions of $0.0825 per share. The annual distribution rate was 9.88% of market price as of October 31, 2016.

We believe that both the Fund’s distribution rate and level remained attractive and competitive, as low interest rates limited yield opportunities in much of the marketplace. For example, as of October 31, 2016, the dividend yield of S&P 500 Index stocks averaged 2.19%. Yields also remained low within the U.S. government bond market, with 10-year U.S. Treasury and 30-year U.S. Treasury yielding 1.84% and 2.58%, respectively.

What factors influenced performance over the reporting period?

The portfolio has wide set of investment parameters that allow us to take advantage of investment opportunities around the world through many different types of investment vehicles. By optimizing the advantages of such flexibility, we were able to maintain the Fund’s exposure to the equity markets, which generally advanced during the period. Both convertibles and bonds provided income to the portfolio during the period.

Relative to the S&P 500 Index, our security selection in health care positively impacted returns in the period. Specifically, holdings in the pharmaceutical industry outperformed their Index constituents as security-specific factors drove positive results. An underweight relative to the Index in biotechnology also helped performance. In addition, selection in the consumer discretionary sector was beneficial during the period.

Our overweight position and selection in the financials sector, notably diversified banks, caused our performance to lag relative to the S&P 500 Index for the period. Our underweight within utilities, notably electric utilities, also trailed relative to the Index.

How is the Fund positioned?

We continue to favor businesses with compelling growth opportunities and global revenue drivers. We continue to believe an enhanced focus on risk management and valuation-sensitivity will remain beneficial. We continue to believe that the U.S. economy is in a reset period, as investors contemplate the prospects of slowing economic growth and mixed messages from the Fed.

We are also cognizant of the fact that rising interest rates can have a potentially detrimental effect on longer-term fixed income securities. As a consequence, managing the duration of our portfolio is a priority in mitigating that potential impact.

With regard to positioning, we maintained a relatively high allocation to domestic stocks and convertibles, which represented approximately 75% of the portfolio at period end. This is consistent with our cautiously optimistic position on equities. We are excited about the opportunities in the convertible market as steady issuance continues to offer choice in the space. Accordingly, we have been able to establish meaningful exposure in those investments that offer potential equity market appreciation and provide income.

The portfolio is currently positioned with large absolute allocations to the information technology, consumer discretionary and financial sectors. We expect our positioning to benefit in the future as more companies seek solutions to enhance and improve productivity and business performance. We believe these sectors remain poised to benefit from many of our long-term secular themes, including robust consumer demand for products and services that provide access to information. We have also maintained our position in financials as we expect the sector will benefit during periods of rising interest rates and improving valuations. We continue to maintain an overweight relative to the S&P 500 Index in the consumer discretionary, energy and industrials sectors. We continue to be underweight to consumer staples, utilities and health care relative to the Index.

The average credit quality of the portfolio is higher than that of the Credit Suisse High Yield Index. This is typical for the Fund, as our credit process tends to guide us away from the most speculative corporate securities. This process benefitted us, particularly near the end of the period, as lower-grade bonds especially suffered as spreads widened. In spite of the recent sell-off, we still view the lowest credit tiers of the market as less attractive given their pricing and our outlook for a slower-growth global economy.

The Fund is currently leveraged at approximately 27%, which we believe is a relatively moderate amount. We currently borrow through floating rate bank debt. Given low borrowing rates, this has been beneficial to the performance of the Fund. In addition, approximately 14% of our floating rate debt is hedged through interest rate swaps. This is a defensive strategy that mitigates the Fund’s overall exposure to a quick rise in short-term interest rates.

What is your outlook for the Fund?

Our outlook for global growth equities remains favorable and we have positioned the Fund accordingly. In our view, equities continue to offer compelling risk-reward characteristics and we are finding companies with attractively valued fundamentals in many industries. We have also seen steady issuance in the convertible markets, which is presenting additional investment opportunities to receive income while participating in the appreciation of the equity markets.

Although we anticipate the continuation of periods of heightened volatility, we also see growth potential, with particularly attractive prospects among secular and cyclical growth stocks. Our secular themes, as distinguished from the S&P 500 Index, place an emphasis on mobility and productivity enhancements within technology. We believe both the U.S. and global economies are likely to maintain a modest expansion over the near term. Likewise, we believe that infrastructure development may provide a catalyst to propel growth. We believe financials should benefit from a likely rise in interest rates and an improving economy.

In our view, the U.S. consumer remains strong, fostered by job growth, continued low interest rates and lower energy costs. While we expect continued volatility due to concerns over fiscal policy and the uncertainty surrounding the 2016 U.S. presidential election, we believe there are opportunities, especially in growth-oriented companies. In spite of recent volatility, we believe that the markets will eventually focus on fundamentals, including earnings growth and healthy balance sheets. We believe we will be rewarded for investing in companies with these dynamics.