New Calamos Autocallable ETF Offers Growth Approach

On Thursday, April 16, Calamos Investments expanded its selection of autocallable ETF solutions with the launch of the Calamos Autocallable Growth ETF (CAGE).

CAGE operates with a net expense ratio of 74 basis points. True to its name, it seeks to provide long-term growth by exposing investors to a laddered portfolio of autocallable yield notes. Autocallables are market-linked investments that can provide returns or income based on the performance of a particular index.

See More: Uncertain Macro Environment May Call for Autocallable ETFs

Those who have already invested in the Calamos Autocallable Income ETF (CAIE) may be familiar with how autocallables operate, but CAGE does things a bit differently. To start, CAGE does employ the same reference index as CAIE—the MerQube LargeCap Vol Advantage Index. This index offers exposure to E-Mini S&P 500 Futures contracts, targeting an implied volatility of 35% and 6% decrement.

A Distinctly Growth-Focused Approach

However, where CAGE differs from CAIE is how it approaches its autocallable barriers. The way the barriers work is that as long as the index doesn’t drop below a certain threshold, investors in the autocallable can continue to benefit from their strategy.

CAGE’s principal barrier sits at 50%, offering noticeable downside protection—10% higher than CAIE's. Thus, as long as the MerQube index remains above 50%, investors can tap into compelling long-term principal. Should the index fall past 50% when the note is called, investors may be subject to loss of principal.

That being said, the real difference maker is where CAGE’s coupon barrier sits. The coupon barrier sits at 100%—essentially, it only gets called at the money. This is because CAGE is a fund that focuses on long-term growth rather than regular income. Furthermore, these notes are called only annually, rather than the monthly calls CAIE receives.

As an added benefit, CAGE’s laddered autocallable portfolio operates with a memory feature. If the index is down at the end of the first year, no coupon gets paid out. However, if, at the end of the second year, the index is higher, the missing coupon is retroactively credited.

See More: Calamos Showcases Autocallable Interest With Latest ETF Award

The third autocallable ETF to join the Calamos lineup, CAGE, follows immense momentum that began with both CAIE and the Calamos Nasdaq Autocallable Income ETF (CAIQ). CAIE, in particular, has been off to a strong start: not only has the fund won multiple awards, but it has already amassed over $800 million in assets under management, despite being on the market for less than a year.

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Before investing, carefully consider the fund's investment objectives, risks, and 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.

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.

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 principal risks of investing in the Calamos Autocallable Income ETF include: autocallable structure risk, contingent income risk, early redemption risk, barrier risk, authorized participant concentration risk, calculation methodology risk, cash holdings risk, correlation risk, costs of buying and selling fund shares, counterparty risk, credit risk, derivatives risk, equity securities risk, index risk, interest rate risk, investment in a subsidiary, laddered portfolio risk, liquidity risk, market maker risk, market risk, new fund risk, non-diversification risk, premium-discount risk, secondary market trading risk, swap agreement risk, tax risk, trading issues risk, valuation risk, and volatility target index risk.

The principal risks of investing in the Calamos Autocallable Growth ETF include: authorized participant concentration risk, autocallable structure risk, contingent income risk, early redemption risk, barrier risk, calculation methodology risk, cash holdings risk, correlation risk, costs of buying and selling fund shares, counterparty risk, credit risk, derivatives risk, equity securities risk, FLEX Options risk, index risk, interest rate risk, investment in a subsidiary, laddered portfolio risk, liquidity risk, market maker risk, market risk, new fund risk, non-diversification risk, other investment companies risk, premium-discount risk, secondary market trading risk, swap agreement risk, tax risk, trading issues risk, valuation risk, and volatility target index risk. show less

Autocallable Structure Risk --The Fund’s returns are correlated to the performance of a synthetic portfolio of autocallable notes tracked by the Laddered Autocall Index. Autocallable notes have specific structural features that may be unfamiliar to many investors:

--Contingent Income Risk: Coupon payments from the Autocalls are not guaranteed and will not be made if the Underlying Index falls below the Coupon Barrier on observation dates. This means the Fund may generate significantly less income than anticipated during market downturns.

--Early Redemption Risk: Autocalls in the Portfolio may be called before their scheduled maturity if the Underlying Reference Index reaches or exceeds the Autocall Barrier on observation dates. This automatic early redemption could force reinvestment of that portion of the portfolio at lower rates if market yields have declined.

--Barrier Risk: If the Underlying Reference Index falls below the Protection Level Barrier at the maturity of an Autocall in the Portfolio, that portion of the Portfolio will be fully exposed to the negative performance of the Underlying Reference Index from its initial level. This conditional protection creates a binary outcome that can result in sudden, significant losses if barriers are breached

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. 

The Fund enters into swap agreements with J.P. Morgan to obtain exposure to the Autocallable Index. J.P. Morgan is not an advisor, promoter, in any way affiliated with the Fund and has no responsibility for

the Fund's performance, marketing, or trading, or any responsibility regarding the suitability of the Fund as an investment.

Nasdaq® is a registered trademarks of Nasdaq, Inc. (which with its affiliates is referred to as the "Corporations") and is 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).

The MerQube US Large Cap Vol Advantage Index is designed to provide volatility adjusted exposure to E-Mini S&P 500 futures contracts by targeting an implied volatility of 35%, subject to a 6% decrement per annum. Unlike traditional equity indices that maintain fixed allocations, this index dynamically adjusts exposure based on market volatility conditions. During calm or typical market environments, the Index increases exposure to equity futures while during volatile market periods, the Index reduces exposure to equity futures. Unlike other volatility target indices that rebalance daily based on realized volatility, this Index rebalances weekly (at the end of each week) based on one-week implied volatility derived from SPY weekly options prices. This approach seeks to maintain a more consistent risk profile across varying market conditions while potentially reducing drawdowns during market stress and improving risk-adjusted returns over time. The Index is a rules-based, systematic index designed to provide dynamic exposure to US large-capitalization equities while employing a volatility management methodology that seeks to maintain a target volatility level. The Index dynamically adjusts exposure between the Equity Component and a cash position based on prevailing market volatility conditions.

The MerQube Autocallable Growth Index: The MerQube US Large-Cap Vol Advantage Autocallable Growth Index is designed to reflect the collective performance of a theoretical portfolio ofsynthetic Autocallables arranged in a laddered structure with staggered entry points, referencing large-cap U.S. equity securities. It serves as the underlying reference index for CAGE.

The MerQube Nasdaq-100 Vol Advantage Autocallable Index is designed to reflect the collective performance of a theoretical portfolio of 52 to 260 synthetic Autocallables arranged in a laddered structure with staggered entry points with similar fixed parameters (the “Parameters”) as described below within the section entitled “Autocallable Index Portfolio Characteristics”. The Nasdaq-100 Index® is a stock market index made up of equity securities issued by 100 of the largest non-financial companies listed on the Nasdaq stock exchange. It is a modified capitalization weighted index.

Important Award Information

Structured Products Intelligence "Deal of the Year" award methodology is as follows: The jury recognized the Calamos Autocallable Income ETF (CAIE) as Deal of the Year for its innovative approach to income generation and risk management. By combining autocallable yield notes with the accessibility of an ETF, Calamos created a product that offers high monthly income, structured downside protection, and enhanced diversification. The jury highlighted Calamos role in bringing institutional-style strategies to a wider investor base, marking a significant advancement in the evolution of structured income investing.

SRP Americas Awards Methodology: SRP typically conducts a comprehensive market survey involving institutions active in the structured products space. Industry professionals-including issuers, distributors, and service providers-are invited to vote on various award categories. For the "Most Innovative Product" award, the evaluation likely focuses on: product design originality, client-centric innovation, market impact and adoption, risk-return profile enhancements and integration of new technologies or strategies. Finalists are often reviewed by a panel of SRP editors and industry experts who assess the submissions based on qualitative and quantitative factors.

With Intelligence Award Methodology: The With Intelligence Mutual Fund & ETF Awards, now operating under S&P Global, are determined through a two-stage process, beginning with editorial review and shortlist selection, followed by evaluation from an independent judging panel. of senior asset management and ETF industry executives.

Calamos Financial Services LLC, Distributor

New Calamos Autocallable ETF Offers Growth Approach

A Distinctly Growth-Focused Approach

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