Calamos Structured Protection ETFs

Calamos Announces Two New Structured Protection ETFs:
  • CPRJ: Calamos Russell 2000® Structured Alt Protection ETF™ - July, estimated cap range 10.45% - 11.18%
  • CPSJ: Calamos S&P 500® Structured Alt Protection ETF™ - July, estimated cap range 9.15% - 9.67%

Structured Protection ETFs

100% Capital Protection

No downside risk over the 1-year outcome period

Defined Upside Participation

Exposure to S&P 500®, Nasdaq-100® or Russell 2000® to a cap

Tax Alpha

Seeks tax-deferred growth inside the tax-efficient ETF wrapper

Why Use Structured Protection ETFs

Investors who seek: Solves for: Alternative to:
Downside protection
  • Eliminates drawdowns and market timing
  • Prevents fear of missing out on up markets
  • Passive equity
  • Buffer strategies
  • Structured notes
To reallocate cash
  • Growth is tax deferred and taxed at capital gains rates, not ordinary income
  • Activates cash on the sidelines with equity upside and no downside risk
  • Money market funds
  • CDs
  • Short-term bonds
  • Structured notes
Capital preservation near or during retirement
  • Delivers preservation of principal for those in decumulation
  • Prevents exposure to down markets approaching or in retirement
  • Buffer strategies
  • Target date funds
  • Bonds

How Do Structured Protection ETFs Work?

Structured Protection ETFs are designed to avoid losses when the market goes down over the one-year outcome period.

How a Structured Protection Strategy Compares to Equities in Different Markets

When To Buy Structured Protection ETFs

Entry points into Structured Protection ETFs offer a range of opportunities if held over the course of the one-year period.

Potential Entry Points: Upside and Downside Participation: Reason to Buy:
Index at launch Day-1 ETF NAV
  • Upside: 100% of cap potential
  • Downside: 100% protection
  • At launch, the stated cap rate and 100% downside protection are guaranteed
  • Defined results at launch help with planning
Index is near Day-1 ETF NAV
  • Upside: near Day-1 cap
  • Downside: near 100% protection
  • Upside participation is similar to the Day-1 cap rate over a shorter period of time, meaning higher annualized return potential
Index is below Day-1 ETF NAV
  • Upside: potential to exceed Day-1 cap
  • Downside: 100% protection
  • Upside participation could exceed Day-1 cap rate over a shorter period of time, meaning higher annualized return potential
Index is above Day-1 ETF NAV
  • Upside: less than Day-1 cap
  • Downside: less than 100% protection
  • Can serve as insurance against large drawdowns after the market has run up

Why Calamos?

Alternatives and options-based investing is in our DNA

Calamos portfolio managers have been investing in options for nearly 50 years, creating new and innovative strategies to help investors manage risk.

Calamos is a leading US manager of alternatives investments, overseeing $16 billions in liquid alternatives with the majority of total fund assets in options-related strategies.

Calamos Financial Services LLC, Distributor

Check the background of the firm and its investment professionals on FINRA's BrokerCheck.

Before investing, carefully consider the fund's investment objectives, risks, charges and expenses. Please see the prospectus and summary prospectus containing this and other information which can be obtained by calling 1-866-363-9219. Read it carefully before investing.

©2024 Calamos Investments LLC. All Rights Reserved. Calamos®, Calamos Investments® and Investment strategies for your serious money® are registered trademarks of Calamos Investments LLC.

Calamos Investments LLC, referred to herein as Calamos Investments®, is a financial services company offering such services through its subsidiaries: Calamos Advisors LLC, Calamos Wealth Management LLC, Calamos Financial Services LLC and Calamos Antetokounmpo Asset Management LLC.

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Cap rate and ranges are shown gross of management fees.

The information in each fund's prospectus and statement of additional information) is not complete and may be changed. We may not sell the securities of any fund until such fund's registration statement filed with the Securities and Exchange Commission is effective. Each fund's prospectus and statement of additional information is not an offer to sell such fund's securities and is not soliciting an offer to buy such fund's securities in any state where the offer or sale is not permitted.

Calamos Investments LLC, referred to herein Calamos is a financial services company offering such services through its subsidiaries: Calamos Advisors LLC, Calamos Wealth Management LLC, Calamos Investments LLP, and Calamos Financial Services LLC.

An investment in the Fund(s) is subject to risks, and you could lose money on your investment in the Fund(s). There can be no assurance that the Fund(s) will achieve its investment objective. Your investment in the Fund(s) is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. The risks associated with an investment in the Fund(s) can increase during times of significant market volatility. The Fund(s) also has specific principal risks, which are described below. More detailed information regarding these risks can be found in the Fund's prospectus.

The Calamos Russell 2000 Structured Alt Protection ETFs are currently reflected in an initial SEC filing under the name Calamos Capital Protected Russell 2000 ETFs.

Investing involves risks. Loss of principal is possible. The Fund(s) face numerous market trading risks, including authorized participation concentration risk, cap change risk, capital protection risk, capped upside risk, cash holdings risk, clearing member default risk, correlation risk, derivatives risk, equity securities risk, investment timing risk, large-capitalization investing risk, liquidity risk, market maker risk, market risk, non-diversification risk, options risk, premium-discount risk, secondary market trading risk, sector risk, tax risk, trading issues risk, underlying ETF risk and valuation risk. For a detailed list of fund risks see the prospectus.

There are no assurances the Fund will be successful in providing the sought-after protection. The outcomes that the Fund seeks to provide may only be realized if you are holding shares on the first day of the Outcome Period and continue to hold them on the last day of the Outcome Period, approximately one year. There is no guarantee that the Outcomes for an Outcome Period will be realized or that the Fund will achieve its investment objective. If the Outcome Period has begun and the Underlying ETF has increased in value, any appreciation of the Fund by virtue of increases in the Underlying ETF since the commencement of the Outcome Period will not be protected by the sought-after protection, and an investor could experience losses until the Underlying ETF returns to the original price at the commencement of the Outcome Period. Fund shareholders are subject to an upside return cap (the "Cap") that represents the maximum percentage return an investor can achieve from an investment in the funds' for the Outcome Period, before fees and expenses. If the Outcome Period has begun and the Fund has increased in value to a level near to the Cap, an investor purchasing at that price has little or no ability to achieve gains but remains vulnerable to downside risks. Additionally, the Cap may rise or fall from one Outcome Period to the next. The Cap, and the Fund's position relative to it, should be considered before investing in the Fund. The Fund's website, www.calamos.com, provides important Fund information as well information relating to the potential outcomes of an investment in a Fund on a daily basis.

The Fund(s) are designed to provide point-to-point exposure to the price return of the reference asset via a basket of Flex Options. As a result, the ETFs are not expected to move directly in line with the reference asset during the interim period. Investors purchasing shares after an outcome period has begun may experience very different results than fund's investment objective. Initial outcome periods are approximately 1-year beginning on the fund's inception date. Following the initial outcome period, each subsequent outcome period will begin on the first day of the month the fund was incepted. After the conclusion of an outcome period, another will begin.

FLEX Options Risk The Fund(s) will utilize FLEX Options issued and guaranteed for settlement by the Options Clearing Corporation (OCC). In the unlikely event that the OCC becomes insolvent or is otherwise unable to meet its settlement obligations, the Fund(s) could suffer significant losses. Additionally, FLEX Options may be less liquid than standard options. In a less liquid market for the FLEX Options, the Fund(s) may have difficulty closing out certain FLEX Options positions at desired times and prices. The values of FLEX Options do not increase or decrease at the same rate as the reference asset and may vary due to factors other than the price of reference asset. Shares are bought and sold at market price, not net asset value (NAV), and are not individually redeemable from the fund. NAV represents the value of each share's portion of the fund's underlying assets and cash at the end of the trading day. Market price returns reflect the midpoint of the bid/ask spread as of the close of trading on the exchange where fund shares are listed.

100% capital protection is over a one-year period before fees and expenses. All caps are pre-determined.

Cap Range – Cap ranges are estimates based on the last 15 trading days prior to range announcement, based on market conditions during the sample period, and are subject to change. The actual cap rate may be different based on market events.

Protection Level – Amount of protection the Fund is designed to achieve over the Days Remaining.

Outcome Period – Number of days in the Outcome Period.

Nasdaq® and Nasdaq-100 are registered trademarks of Nasdaq, Inc. (which with its affiliates is referred to as the “Corporations”) and are licensed for use by Calamos Advisors LLC. The Fund has not been passed on by the Corporations as to their legality or suitability. The Fund is not issued, endorsed, sold, or promoted by the Corporations. The Corporations make no warranties and bear no liability with respect to the Fund(s).

Annuities data according to Limra. Structured products data according to SRP.