ETF Outcome Pro Tool
Protected Bitcoin ETFs
| Reference Asset Market Information | Current | Reference Asset Market Scenarios | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Asset/ Ticker |
Days Rem. |
Ref. Asset Ret. |
ETF Ret. |
Price | -30% | -20% | -10% | 0% | +10% | +20% | +30% | +40% | +50% | +60% | +70% | +80% |
| Bitcoin | 84,463 | 59,124 | 67,570 | 76,017 | 84,463 | 92,909 | 101,356 | 109,802 | 118,248 | 126,695 | 135,141 | 143,587 | 152,033 | |||
| CBTJ | 316 | -14.80% | -6.32% | $23.42 | -15.23% | -15.23% | -15.23% | -9.62% | -0.43% | 8.76% | 17.95% | 27.14% | 36.33% | 45.52% | 54.71% | 61.07% |
| CBXJ | 316 | -14.80% | -3.60% | $24.10 | -7.27% | -7.27% | -7.27% | -7.27% | -3.37% | 5.56% | 14.49% | 23.42% | 32.35% | 33.33% | 33.33% | 33.33% |
| CBOJ | 316 | -19.41% | -0.92% | $24.77 | 0.24% | 0.24% | 0.24% | 0.24% | 0.24% | 0.24% | 5.09% | 11.99% | 11.99% | 11.99% | 11.99% | 11.99% |
S&P 500® Structured Protection Equity ETFs
| Reference Asset Market Information | Current | Reference Asset Market Scenarios | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Asset/ Ticker |
Days Rem. |
Ref. Asset Ret. |
ETF Ret. |
Price | -20% | -15% | -10% | -5% | 0% | +5% | +10% | +15% | +20% | +30% |
| S&P 500® | 565 | 452 | 481 | 509 | 537 | 565 | 594 | 622 | 650 | 679 | 735 | |||
| CPSR | 344 | -4.83% | -0.67% | $23.62 | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 0.07% | 4.79% | 7.75% | 7.75% | 7.75% |
| CPSF | 316 | -6.04% | -0.83% | $23.88 | 0.26% | 0.26% | 0.26% | 0.26% | 0.26% | 0.26% | 3.65% | 7.80% | 7.80% | 7.80% |
| CPSY | 286 | -3.51% | -0.26% | $23.40 | -0.37% | -0.37% | -0.37% | -0.37% | -0.37% | 0.95% | 5.78% | 7.22% | 7.22% | 7.22% |
| CPSD | 253 | -6.15% | -0.54% | $23.99 | -0.04% | -0.04% | -0.04% | -0.04% | -0.04% | -0.04% | 3.21% | 7.92% | 8.07% | 8.07% |
| CPSN | 225 | -0.55% | 1.00% | $25.28 | -1.57% | -1.57% | -1.57% | -1.57% | -1.57% | 2.80% | 5.78% | 5.78% | 5.78% | 5.78% |
| CPSO | 194 | -1.44% | 0.59% | $25.41 | -1.18% | -1.18% | -1.18% | -1.18% | -1.18% | 2.28% | 5.45% | 5.45% | 5.45% | 5.45% |
| CPST | 162 | 0.32% | 1.57% | $25.20 | -2.10% | -2.10% | -2.10% | -2.10% | -1.78% | 3.14% | 5.28% | 5.28% | 5.28% | 5.28% |
| CPSA | 133 | 2.67% | 2.89% | $24.95 | -3.38% | -3.38% | -3.38% | -3.38% | -0.80% | 4.18% | 5.10% | 5.10% | 5.10% | 5.10% |
| CPSJ | 102 | 3.91% | 3.71% | $24.85 | -4.15% | -4.15% | -4.15% | -4.15% | -0.40% | 4.60% | 4.94% | 4.94% | 4.94% | 4.94% |
| CPSM | 41 | 12.65% | 7.56% | $26.89 | -7.56% | -7.56% | -6.30% | -1.08% | 1.68% | 1.68% | 1.68% | 1.68% | 1.68% | 1.68% |
Nasdaq-100® Structured Protection Equity ETFs
| Reference Asset Market Information | Current | Reference Asset Market Scenarios | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Asset/ Ticker |
Days Rem. |
Ref. Asset Ret. |
ETF Ret. |
Price | -20% | -15% | -10% | -5% | 0% | +5% | +10% | +15% | +20% | +30% |
| Nasdaq-100® | 479 | 383 | 407 | 431 | 455 | 479 | 503 | 527 | 551 | 575 | 623 | |||
| CPNM | 344 | -5.69% | -0.61% | $24.26 | -0.01% | -0.01% | -0.01% | -0.01% | -0.01% | -0.01% | 3.76% | 8.21% | 8.21% | 8.21% |
| CPNQ | 253 | -5.98% | 0.00% | $24.49 | -0.62% | -0.62% | -0.62% | -0.62% | -0.62% | -0.62% | 2.81% | 7.50% | 8.04% | 8.04% |
| CPNS | 162 | 0.63% | 2.02% | $25.28 | -2.55% | -2.55% | -2.55% | -2.55% | -1.93% | 2.99% | 5.62% | 5.62% | 5.62% | 5.62% |
| CPNJ | 71 | 6.34% | 5.09% | $24.77 | -5.40% | -5.40% | -5.40% | -4.44% | 0.59% | 4.31% | 4.31% | 4.31% | 4.31% | 4.31% |
Russell 2000® Structured Protection Equity ETFs
| Reference Asset Market Information | Current | Reference Asset Market Scenarios | ||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Asset/ Ticker |
Days Rem. |
Ref. Asset Ret. |
ETF Ret. |
Price | -20% | -15% | -10% | -5% | 0% | +5% | +10% | +15% | +20% | +30% |
| Russell 2000® | 205 | 164 | 174 | 185 | 195 | 205 | 215 | 226 | 236 | 246 | 267 | |||
| CPRY | 286 | -7.20% | -0.57% | $24.62 | -0.03% | -0.03% | -0.03% | -0.03% | -0.03% | -0.03% | 2.06% | 6.73% | 9.61% | 9.61% |
| CPRO | 194 | -7.17% | -0.40% | $24.65 | -0.21% | -0.21% | -0.21% | -0.21% | -0.21% | -0.21% | 1.92% | 6.57% | 8.27% | 8.27% |
| CPRJ | 102 | 1.07% | 2.83% | $25.05 | -3.36% | -3.36% | -3.36% | -3.36% | -2.33% | 2.57% | 7.48% | 7.52% | 7.52% | 7.52% |
All potential outcome returns are shown after fees and expenses.
Reference Asset - The reference asset is the underlying ETF that uses a replication strategy to mimic the returns of a set index. In the table above the reference asset for the S&P 500 Index is SPY, the reference asset for the Nasdaq-100 Index is QQQ, the reference asset for the Russell 2000 index is IWM, and the reference asset for the CME CF Bitcoin Reference Rate - New York Variant ("BRRNY") ("Spot bitcoin") is MBTX.
Outcome Period - The defined length of time (measured in days) over which the outcomes are sought.
Current ETF Return - The current return of the Fund, after fees and expenses, since the start of the outcome period.
Current Reference Asset Return - The current return of the reference asset since the start of the outcome period.
The ETF Outcome Pro Tool is a tool designed to evaluate the potential performance of ETFs under various hypothetical market scenarios. It calculates returns by adjusting the reference asset's current price for different levels of market shocks. This allows users to see how different market conditions could impact the ETF's performance. The ETF Outcome Pro only evaluates the Calamos Structured Protection suite of ETFs. No other funds or fund families are included in the analysis. The ETF Outcome Pro includes all funds in the Calamos Structured Protection ETFs suite without favoring any particular ETF. Other ETFs outside of the Calamos suite may have characteristics similar or superior to those being shown by the ETF Outcome Pro. IMPORTANT: The projections or other information generated by the ETF Outcome Pro regarding the likelihood of various investment outcomes are hypothetical in nature, do not reflect actual investment results and are not guarantees of future results.
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’s website, www.calamos.com, provides 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.
Structured Alt Protection ETF Additional Information
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.
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.
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.
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.
Bitcoin Structured Alt Protection ETF Additional Information
Investing involves risks. Loss of principal is possible. The Fund(s) face numerous market trading risks, including authorized participation concentration risk, underlying ETP risk, cap change risk, capital protection risk, capped upside risk, cash holdings risk, concentration risk, clearing member default risk, correlation risk, costs of buying and selling fund shares, counterparty risk, derivatives risk, equity securities risk, FLEX options risk, interest rate risk, investment in a subsidiary, investment timing risk, liquidity risk, management risk, market maker risk, market risk, new fund risk, non-diversification risk, options risk, OTC options risk, position limits risk, premium-discount risk, secondary market trading risk, sector risk, tax risk, trading issues risk, U.S. Government security risk, U.S. Treasury risk, and valuation risk. For a detailed list of fund risks see the prospectus.
The Calamos Bitcoin Structured Alt Protection ETFs seek to provide investment results that, before taking fees and expenses into account, track the positive price return of the CME CF Bitcoin Reference Rate – New York Variant (“BRRNY”) (“Spot bitcoin”) up to a predetermined upside cap (the “Cap”) while seeking to protect against 100%, 90% or 80%, respectively, of losses (before total fund operating fees and expenses) of Spot bitcoin over a period of approximately one (1) year (the “Outcome Period”). The Funds will not invest directly in bitcoin. Instead, the Funds seek to provide investment results that, before taking total fund operating fees and expenses into account, track the positive price return of Spot bitcoin by investing in options that reference the price performance of one or more underlying exchange-traded products (“Underlying ETPs”) which, in turn, own bitcoin and/or one or more indexes that are designed to track the price of bitcoin (“Bitcoin Index”).
The Target Outcome may not be achieved, and investors may lose some or all of their money. The Funds are designed to achieve the Target Outcome only if an investor buys on the first day of the Outcome Period and holds a Fund until the end of the Outcome Period. While the Funds seek to provide 100%, 90% or 80% protection against losses experienced by the price of Spot bitcoin for shareholders who hold Fund Shares for an entire Outcome Period, there is no guarantee a Fund will successfully do so. If a Fund's NAV has increased significantly, a shareholder that purchases Fund Shares after the first day of an Outcome Period could lose their entire investment. An investment in the Funds is only appropriate for shareholders willing to bear those losses. There is no guarantee the Capital Protection and Cap will be successful, and a shareholder investing at the beginning of an Outcome Period could also lose their entire investment.
Digital Assets Risk: The bitcoin network was first launched in 2009 and bitcoins were the first cryptographic digital assets created to gain global adoption and critical mass. Although the bitcoin network is the most established digital asset network, the bitcoin network and other cryptographic and algorithmic protocols governing the issuance of digital assets represent a new and rapidly evolving industry that is subject to a variety of factors that are difficult to evaluate. Moreover, because digital assets, including bitcoin, have been in existence for a short period of time and are continuing to develop, there may be additional risks in the future that are impossible to predict as of the date of this prospectus. Digital assets represent a new and rapidly evolving industry, and the value of the Underlying ETPs' shares depends on the acceptance of bitcoin. The realization of one or more of the following risks could materially adversely affect the value of the Underlying ETPs' shares.