If You Invested in Calamos S&P 500 Structured Alt Protection ETF - May (CPSM)

The Calamos S&P 500 Structured Alt Protection ETF — May (CPSM) is part of the Calamos Structured Protection ETF suite. According to Calamos Investments, CPSM is designed to provide investors with 100% downside protection against negative S&P 500 returns over a defined one-year outcome period, before fees and expenses, while also offering an upside return that is capped for that same period.

CPSM seeks to deliver point-to-point exposure to the price return of the SPDR S&P 500 ETF Trust (SPY), which is based on the S&P 500 Index. The fund uses a basket of FLEX Options issued and guaranteed for settlement by the Options Clearing Corporation (OCC). As Calamos explains, this structure means the ETF is not expected to move directly in line with the reference asset during the interim period, and the outcomes the fund seeks to provide are tied to holding shares over the full outcome period.

Outcome period and cap structure

Calamos describes CPSM as operating over a one-year outcome period. For each outcome period, the fund is designed to provide:

• Structured protection: 100% downside protection against negative S&P 500 returns if shares are held for the full one-year outcome period, before fees and expenses.
• Upside cap: A pre-determined maximum percentage return (the "Cap") that limits the upside an investor can achieve over that outcome period.

In connection with a reset scheduled for May 1, 2025, Calamos announced that CPSM is expected to have an estimated upside cap range of 6.88%–7.45% over the one-year outcome period from May 1, 2025 to April 30, 2026, before fees and expenses. Structured Protection ETFs reset annually, offering a new upside cap with refreshed protection against negative benchmark returns over each subsequent 12-month period.

Reference asset and benchmarks

For CPSM, Calamos identifies the reference asset as the price return of SPDR S&P 500 ETF Trust (SPY), based on the S&P 500 Index. The fund lists benchmarks including:

• S&P 500 Index, Price Return
• MerQube Capital Protected US Large Cap Index – May

It is not possible to invest directly in an index, and CPSM is structured to provide capital-protected exposure to the price return of the reference asset over its stated outcome period, subject to the cap and other fund characteristics described by Calamos.

Role within Calamos Structured Protection ETFs

CPSM is described by Calamos as one of its S&P 500 Structured Alt Protection ETFs. The Structured Protection ETF suite combines Calamos’ experience in alternatives, risk management and options investing with the ETF structure. CPSM was identified as the firm’s first S&P 500 Structured Alt Protection ETF in a launch schedule that also lists additional S&P 500, Nasdaq-100, and Russell 2000 Structured Alt Protection ETFs with their own tickers, outcome periods, and cap ranges.

Calamos notes that Structured Protection ETFs are designed so that, after the conclusion of an outcome period, another outcome period begins, with the fund resetting its cap and protection parameters in line with prevailing market conditions and its stated design.

Tax treatment and holding considerations

Calamos states that gains in an ETF grow tax-deferred and, if shares are held longer than one year, they will be taxed at long-term capital gain rates, subject to applicable tax rules. For Structured Protection ETFs, including CPSM, Calamos indicates that if shares are held beyond a single outcome period, potential gains can continue to grow tax-deferred and may be taxed at long-term capital gains rates, and shares can be held indefinitely.

Calamos emphasizes that the outcomes the fund seeks to provide may only be realized if an investor is holding shares on the first day of the outcome period and continues to hold them on the last day of that period, which is approximately one year. Investors purchasing shares after an outcome period has begun may experience results that differ from the fund’s stated investment objective, and may have different exposure to both the cap and the protection level.

Key risks and structural features

According to Calamos, an investment in CPSM is subject to risks and loss of principal is possible. The firm notes that the fund faces numerous market and trading risks, including:

• Capital protection risk and capped upside risk, reflecting the possibility that the fund may not achieve its intended protection and that returns are limited by the cap.
• Derivatives and options risk, as the fund uses FLEX Options whose values may not increase or decrease at the same rate as the reference asset and may be affected by factors other than the price of the reference asset.
• Liquidity, market, and trading risks, including liquidity risk, market maker risk, premium-discount risk, and secondary market trading risk.
• Underlying ETF risk, since the fund’s exposure is tied to the price return of SPY.

Calamos also highlights that 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, while 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.

Important considerations for CPSM investors

Calamos cautions that there are no assurances the fund will be successful in providing the sought-after protection or achieving its investment objective. The cap may rise or fall from one outcome period to the next, and an investor’s position relative to the cap and protection level can change over time. If the outcome period has begun and the underlying ETF has already increased in value, any appreciation of the fund 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 its original price at the commencement of the outcome period.

Similarly, if the outcome period has begun and the fund has increased in value to a level near the cap, an investor purchasing at that price has little or no ability to achieve additional gains for that outcome period but remains exposed to downside risks. Calamos indicates that the cap and the fund’s position relative to it should be considered before investing.

For detailed information on CPSM’s investment objectives, risks, charges, and expenses, Calamos directs investors to the fund’s prospectus and summary prospectus. The firm notes that investing involves risks, that loss of principal is possible, and that the fund is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency.