Bitcoin has become one of the world’s largest assets, but for many investors, one question persists: how do you capture its potential without the notorious volatility? Protected Bitcoin ETFs may offer the solution you’ve been seeking. Read Now

Deconstructing Bitcoin Returns

  • While Bitcoin has been one of the best performing asset classes in recent years, its meteoric rise has not been without volatility.
  • Since 2015, Bitcoin has had negative returns in 42% of months - with a fifth of all those months seeing returns worse than -10%.
  • Despite this, Bitcoin has finished 8 of the past 10 calendar years with outsized positive returns. 

Make Bitcoin Investable

  • Despite Bitcoin's strong returns in recent years, its volatility and drawdowns remain in a league of their own.
  • For investors looking to participate in Bitcoin's upside potential without its drastic drawdowns, Protected Laddered Bitcoin strategies can bring Bitcoin's volatility in line with other familiar asset classes while still allowing for high return potential.

Protected Bitcoin May Improve the Efficient Frontier 

  • Laddered Protected Bitcoin strategies transform Bitcoin from a wild ride to a smoother journey that still delivers.
  • These innovative strategies can help investors access Bitcoin's return potential with the volatility profile of traditional asset classes they already trust.

 

Learn more about Calamos Protected Bitcoin ETFs here: www.calamos.com/bitcoin

Related: Autocallable Yield Advantage and Market Reception

Protected Bitcoin Methodology

Each Protected Bitcoin strategy ladders four 1-year rolling quarterly strategies, starting on April 1, 2019. Bitcoin options data are sourced from Amberdata, with the options traded on the Deribit exchange. The options contract on Deribit is based on Bitcoin futures, which have the same expiration date as options. Since options on Deribit are traded 24 hours, 3 PM CST was chosen to calculate daily return. Black–Scholes model is utilized for the option pricing. The risk-free rates with the maturity matching the days-to-expiry of the options are used. The returns for protected strategies are before transaction cost.

 

The performance shown is hypothetical in nature and does not represent the performance and/or investment risk characteristics of any specific client. While the performance listed for each respective strategy is based on actual performance, the aggregate portfolio performance, allocations listed and account comparisons shown are hypothetical in nature, as no actual clients are invested in these strategies. Hypothetical performance results have many inherent limitations, including those described below: • Hypothetical performance results are generally prepared with the benefit of hindsight. • There are limitations inherent in model results, such results do not represent actual trading and they may not reflect the impact that material economic and/or market factors might have had on the adviser’s decision making if the adviser were actually managing clients’ money. • The hypothetical performance shown does not involve financial risk and no hypothetical performance calculation can completely account for the impact of financial risk on an actual investment portfolio. • The ability to withstand actual losses or to adhere to a particular investment strategy in spite of losses are material points which can adversely affect actual investment results. There are distinct differences between hypothetical and actual performance results and the actual results subsequently achieved by a particular investment portfolio. No representation is being made that an account will or is likely to achieve profits or losses similar to those shown, and any investment may result in loss of principal. As with any hypothetical illustration there can be additional unforeseen factors that cannot be accounted for which may impact actual investment returns. Hypothetical performance and index returns presented assume reinvestment of any and all earnings/distributions.

The Target Outcome may not be achieved, and investors may lose some or all of their strategy. The strategy is designed to achieve the Target Outcome only if an investor buys on the first day of the Outcome Period and holds the strategy until the end of the Outcome Period. While our strategy seek to provide 100%, 90% or 80% protection against losses experienced by the price of Spot bitcoin for investors who hold the strategy for an entire Outcome Period, there is no guarantee a strategy will successfully do so. If a strategy has increased significantly, an investor that purchases the strategy after the first day of an Outcome Period could lose their entire investment. An investment in the strategy is only appropriate for investors willing to bear those losses. There is no guarantee the Capital Protection and Cap will be successful, and an investor investing at the beginning of an Outcome Period could also lose their entire investment.