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CPSJ

Calamos S&P 500® Structured Alt Protection ETF – July

Important Disclosure

Fund Stats

  • Inception Date

    7/1/24

  • Total Net Assets

    $36.5 Million

    As of 12/6/24

Calamos S&P 500 Structured Alt Protection ETF – July Overview

Calamos Structured Protected ETFs are designed to match the positive price return of the S&P 500® up to a defined cap while protecting against 100% of losses over a one-year period (before fees and expenses).

Key Features

  • 100% Capital Protection. No downside risk over the one-year outcome period.
  • Defined Upside Participation. Exposure to S&P 500® to a cap.
  • Tax Alpha. Seeks tax-deferred growth inside the tax-efficient ETF wrapper. Learn more about tax alpha >>

Portfolio Fit

For equity risk control, offers 100% capital protection on equity exposure for investors unwilling to risk market drawdowns.

As a tax-advantaged, cash alternative, activates cash on the sidelines with equity upside potential and no downside risk.

For retirees looking to derisk, preserves capital near or during retirement.

Newcomer ETF Firm of the Year Award

Outcome Performance

Current ETF
Price

$25.11

Current Cap
(Current/Net)

4.25% / 3.86%

Current Protection Level
(Current/Net)

95.24% / 94.85%

Remaining Days
Left

206 days

Data as of 12/6/2024 3:31:22 PM CST

Outcome Period Performance

Data from 7/1/2024 to 12/6/2024 3:31:22 PM CST
Data Delayed
View Full Outcome Period
Download Chart Data

Initial Values (Gross/Net)

As of 7/1/24
Fund Price Reference Asset Price Cap Rate Downside Before Protection Protection Level Outcome Period
$23.96 $544.22 9.45% / 8.76% 0.00% / -0.69% 100.00% / 99.31% 365 days

Current values above reflect fund and product expenses incurred to date during the outcome period, based off the number of days elapsed within the outcome period. Net values reflect fund and product expenses over the entire outcome period. Fund return and current outcome period values are based on the price return of the reference asset.

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. 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 reference asset has increased in value, any appreciation of the Fund by virtue of increases in the reference asset since the commencement of the outcome period will not be protected by the sought-after protection, and an investor could experience losses until the reference asset 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 Fund 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' website, www.calamos.com, provides important Fund information.

Performance

Annualized Total Returns

As of 9/30/24 As of 10/31/24
TimeFrame CPSJ Market Price CPSJ NAV MerQube Cap Protect US Lrg Cap PR Indx - Jul (MQU1PP07)
1 Month 0.77 1.06 1.14
3 Month 3.17 3.59 3.59
Since Inception (07/01/24) 3.17 3.59 3.59
TimeFrame CPSJ Market Price CPSJ NAV MerQube Cap Protect US Lrg Cap PR Indx - Jul (MQU1PP07)
1 Month 0.08 -0.56 -0.15
Since Inception (07/01/24) 3.26 3.00 3.43

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 and other expenses, which can be found on the fund fees and expenses tab.You can purchase or sell common shares daily. Like any other stock, market price will fluctuate with the market. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment.

Index data shown reflects full month periods only. If share class inception date is on or before the 15th of the month, the index calculation inception date begins on the first day of that month. If share class inception date is after the 15th of the month, the index calculation inception date begins on the first day of the following month.

The MerQube Capital Protected US Large Cap Index provides an outcome in which the Index provides upside participation in the returns of the SPDR S&P 500 ETF (SPY) until a "cap" that is at least 1% for every 1 years. In some cases, the protection is lowered from the maximum of 100% to provide a minimum "cap" of 1%.

Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.

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 gains distributions.

The fund's expense ratio as of the prospectus dated 12/2/2024 is 0.69%.

NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE

Portfolio

Holdings

As of 12/5/24
Flex® Options Position Strike Expiration
SPDR S&P 500 ETF Trust (SPY) Long Call Option 0.76 6/30/25
SPDR S&P 500 ETF Trust (SPY) Long Put Option 544.27 6/30/25
SPDR S&P 500 ETF Trust (SPY) Short Call Option 595.70 6/30/25

A list of all fund holdings is made available daily through the link below.

View All Holdings

Holdings and weightings are subject to change daily. Holdings are provided for informational purposes only and should not be deemed as a recommendation to buy or sell the securities mentioned.

Capital Gains Schedule
This ETF has no distributed capital gains.
To view the entire Calamos ETF capital gains distribution estimates posted November 1, 2024, click here.

Pricing

Fund Details

As of 12/6/24
Detail Value
Ticker CPSJ
NAV $25.18
Market Price $25.11
Premium/Discount -0.28%
Exchange NYSE Arca, Inc.
Inception Date 7/01/24

30 Day Median Bid/Ask

As of 12/5/24
30 Day Median Bid/Ask
0.36%

Premium / Discount

As of 12/6/24
Date Value
07/01/2024 0.17
07/02/2024 0
07/03/2024 0.12
07/05/2024 0.08
07/08/2024 0.12
07/09/2024 -0.29
07/10/2024 -0.29
07/11/2024 -0.25
07/12/2024 0
07/15/2024 -0.04
07/16/2024 -0.25
07/17/2024 -0.37
07/18/2024 0.04
07/19/2024 -0.21
07/22/2024 -0.29
07/23/2024 -0.37
07/24/2024 -0.08
07/25/2024 0.08
07/26/2024 -0.04
07/29/2024 0.04
07/30/2024 -0.33
07/31/2024 -0.37
08/01/2024 -0.17
08/02/2024 -0.17
08/05/2024 0
08/06/2024 -0.29
08/07/2024 -0.17
08/08/2024 -0.41
08/09/2024 -0.29
08/12/2024 -0.37
08/13/2024 0.17
08/14/2024 0.04
08/15/2024 -0.12
08/16/2024 -0.25
08/19/2024 -0.33
08/20/2024 -0.16
08/21/2024 -0.41
08/22/2024 -0.25
08/23/2024 -0.33
08/26/2024 -0.12
08/27/2024 -0.29
08/28/2024 -0.16
08/29/2024 -0.12
08/30/2024 -0.12
09/03/2024 -0.12
09/04/2024 -0.29
09/05/2024 -0.21
09/06/2024 0
09/09/2024 0.16
09/10/2024 -0.12
09/11/2024 -0.2
09/12/2024 -0.04
09/13/2024 -0.41
09/16/2024 -0.28
09/17/2024 -0.2
09/18/2024 -0.32
09/19/2024 -0.08
09/20/2024 -0.28
09/23/2024 -0.28
09/24/2024 -0.12
09/25/2024 0.08
09/26/2024 -0.28
09/27/2024 -0.28
09/30/2024 -0.4
10/01/2024 -0.52
10/02/2024 -0.32
10/03/2024 -0.24
10/04/2024 -0.24
10/07/2024 -0.4
10/08/2024 -0.28
10/09/2024 -0.44
10/10/2024 -0.28
10/11/2024 -0.32
10/14/2024 -0.32
10/15/2024 -0.4
10/16/2024 -0.28
10/17/2024 -0.28
10/18/2024 -0.28
10/21/2024 -0.2
10/22/2024 0.08
10/23/2024 -0.24
10/24/2024 -0.04
10/25/2024 -0.04
10/28/2024 -0.04
10/29/2024 -0.08
10/30/2024 -0.12
10/31/2024 0.24
11/01/2024 -0.04
11/04/2024 -0.08
11/05/2024 -0.12
11/06/2024 0.04
11/07/2024 -0.2
11/08/2024 -0.16
11/11/2024 -0.04
11/12/2024 -0.2
11/13/2024 -0.16
11/14/2024 -0.12
11/15/2024 -0.16
11/18/2024 -0.28
11/19/2024 -0.2
11/20/2024 -0.08
11/21/2024 -0.12
11/22/2024 -0.12
11/25/2024 -0.16
11/26/2024 -0.2
11/27/2024 -0.2
11/29/2024 -0.2
12/02/2024 -0.48
12/03/2024 -0.24
12/04/2024 -0.2
12/05/2024 -0.2
12/06/2024 -0.28

Premium and Discount

As of 12/5/24
Q1 2024 Q2 2024 Q3 2024 Q4 2024
Days Traded at Premium 0 0 12 3
Days Traded at Discount 0 0 52 44

The above chart presents information about the difference between the daily market price for shares of the ETF and the ETF's net asset value. The market price displayed is the official closing price reported by the exchange​. The vertical axis of the chart shows the premium or discount expressed in basis points (bps). If the fund's market price exceeds its NAV, it is trading at a premium and is expressed by a positive value. If the fund's market price is below the NAV, the ETF is trading at a discount and is represented by a negative value. This value is recorded daily over the time period displayed along the horizontal axis.

Fees & Expenses

Fees & Expenses

Expense %
Total 0.69%

Fund Information

Name Fund
Inception Date 7/01/24
Ticker Symbol CPSJ
CUSIP number 12811T803

Literature

About the Fund

Calamos S&P 500 Structured Alt Protection ETF – July Investor Sheet

The Calamos S&P 500 Structured Alt Protection ETF – July investor sheet provides a snapshot of the investment team and product strategy.

Structured Protection ETFs Weekly Rate Sheet

Subscribe to the Weekly Rate Sheet to stay up to date on our caps and cap ranges.

Prospectus and Reports

Summary Prospectus

This summary contains important information about the investment objective, fees and expenses, principal investment strategies, principal risks and performance.

Statutory Prospectus

You should read the accompanying prospectus and any accompanying prospectus supplement, which contain important information, before deciding whether to invest in our securities.

SAI

The statement of additional information is a supplementary document to the fund’s prospectus and contains additional information about the fund and includes further disclosure regarding its operations.

Annual Report

The annual report includes a letter from John P. Calamos, Sr. to shareholders outlining the fund's performance, as well as a comprehensive review of the fund’s activities and financial performance.

N-CSR

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.

The personal data collected by Calamos on this website, or by any other means, is collected and stored in accordance with the General Data Protection Regulation (EU) 2016/679 ("GDPR").

Important Legal Information | Privacy Policy | Business Continuity | Code of Business Conduct and Ethics | ERISA 408(b)(2)

Important Fund Information

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.

An investment in the Fund is subject to risks, and you could lose money on your investment in the Fund. There can be no assurance that the Fund will achieve its investment objective. Your investment in the Fund 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 can increase during times of significant market volatility. The Fund also has specific principal risks, which are described below. More detailed information regarding these risks can be found in the Fund's prospectus.

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(s) will be successful in providing the sought-after protection. The outcomes that the Fund(s) 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(s) will achieve its investment objective. If the outcome period has begun and the underlying ETF has increased in value, any appreciation of the Fund(s) 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 fund(s) for the outcome period, before fees and expenses. If the outcome period has begun and the Fund(s) have 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(s). The Fund(s) website, www.calamos.com, provides important Fund information as well information relating to the potential outcomes of an investment in the Fund(s) 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.

The fund's expense ratio as of the prospectus dated 12/2/2024 is 0.69%.

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 Rate - Maximum percentage return an investor can achieve from an investment in the Fund if held over the Outcome Period.

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

Outcome Period - The defined length of time over which the outcomes are sought.

The S&P 500 Price Index (SPX) tracks the price return of the S&P 500 Index, which is generally considered representative of the US stock market.

The MerQube Capital Protected US Large Cap Index provides an outcome in which the Index provides upside participation in the returns of the SPDR S&P 500 ETF (SPY) until a "cap" that is at least 1% for every 1 years. In some cases, the protection is lowered from the maximum of 100% to provide a minimum "cap" of 1%.

The "S&P 500®" is a product of S&P Dow Jones Indices LLC or its affiliates ("SPDJI"), and has been licensed for use by Calamos Advisors LLC ("Calamos Advisors"). S&P®, S&P 500®, US 500, The 500, iBoxx®, iTraxx® and CDX® are trademarks of S&P Global, Inc. or its affiliates ("S&P"); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC ("Dow Jones"); and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by Calamos Advisors LLC ("Calamos Advisors"). It is not possible to invest directly in an index. Calamos S&P 500® Structured Protection ETFs are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, any of their respective affiliates (collectively, "S&P Dow Jones Indices"). S&P Dow Jones Indices makes no representation or warranty, express or implied, to the owners of the Calamos S&P 500® Structured Protection ETFs or any member of the public regarding the advisability of investing in securities generally or in Calamos S&P 500® Structured Protection ETFs particularly or the ability of the "S&P 500®" to track general market performance. Past performance of an index is not an indication or guarantee of future results. S&P Dow Jones Indices' only relationship to Calamos Advisors LLC ("Calamos Advisors") with respect to the "S&P 500®" is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The "S&P 500®" is determined, composed and calculated by S&P Dow Jones Indices without regard to Calamos Advisors LLC ("Calamos Advisors") or the Calamos S&P 500® Structured Protection ETFs. S&P Dow Jones Indices has no obligation to take the needs of Calamos Advisors LLC ("Calamos Advisors") or the owners of Calamos S&P 500® Structured Protection ETFs into consideration in determining, composing or calculating the "S&P 500®". S&P Dow Jones Indices has no obligation or liability in connection with the administration, marketing or trading of Calamos S&P 500® Structured Protection ETFs. There is no assurance that investment products based on the "S&P 500®" will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment adviser, commodity trading advisory, commodity pool operator, broker dealer, fiduciary, promoter" (as defined in the Investment Company Act of 1940, as amended), "expert" as enumerated within 15 U.S.C. § 77k(a) or tax advisor.

NEITHER S&P DOW JONES INDICES NOR THIRD PARTY LICENSOR GUARANTEES THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE "S&P 500®" OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY CALAMOS ADVISORS LLC ("CALAMOS ADVISORS"), OWNERS OF THE CALAMOS S&P 500® STRUCTURED PROTECTION ETFS, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE "S&P 500®" OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBLITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. S&P DOW JONES INDICES HAS NOT REVIEWED, PREPARED AND/OR CERTIFIED ANY PORTION OF, NOR DOES S&P DOW JONES INDICES HAVE ANY CONTROL OVER, THE LICENSEE PRODUCT REGISTRATION STATEMENT, PROSPECTUS OR OTHER OFFERING MATERIALS. THERE ARE NO THIRD-PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND CALAMOS ADVISORS LLC ("CALAMOS ADVISORS"), OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

Notes

Market price refers to the price at which shares of the fund trade in the market.

NAV or Net asset value refers to the net value of all the assets held in the fund on a per share basis.

CUSIP identifiers have been provided by CUSIP Global Services, managed on behalf of the American Bankers Association by S&P Global Market Intelligence LLC, and are not for use or dissemination in a manner that would serve as a substitute for any CUSIP service. The CUSIP Database, © 2011 American Bankers Association. "CUSIP" is a registered trademark of the American Bankers Association.

NOT FDIC INSURED | NO BANK GUARANTEE | MAY LOSE VALUE