What’s an Investor To Do When Logic Goes Out the Window?

“Why, sometimes I’ve believed as many as six impossible things before breakfast.” –The White Queen Through the Looking-Glass

Lately, trying to track geopolitical and economic news and the market’s response is like watching a championship ping-pong match—dizzying, with too many mixed signals flying back and forth.

When will the Middle East conflict end? How high can oil go? What will the Federal Reserve do next? Is the labor market frozen or thawing? Which industries have AI targets on their backs?

And these questions are less overwhelming than the purported answers—so wide-ranging and often conflicting that it’s impossible to know how to respond, other than feeling anxiety.

When humans—investors in this case—sense a threat, they typically respond to fear in one of three ways. Familiar as the concept may be, we’d like to suggest a new twist on managing uncertainty and fear.

You Can Flee

For investors, this would entail classic market timing. You cash out and hope for more propitious times, but we all know how this goes—not well. Study after study has shown that market timing rarely works because the gains from being invested are concentrated in an unpredictable handful of days, and missing even a few of them—while sitting on the sidelines waiting for the “right” moment—can devastate long-term returns.

You Can Freeze

And many investment gurus will recommend this course of inaction, but as an investor, what if you’re standing in the spot that’s about to become a smoldering crater because you took on an inordinate level of risk?

You Can Fight

Here we suggest a more “tactical fight”—the investor doesn’t exit but actively restructures the portfolio to defend against further losses.

For example, investors could rotate into defensive sectors. However, timing the rotation is notoriously difficult. Defensive sectors don’t always behave defensively on cue. If the rotation is mistimed—entering defensives after they’ve already run up in anticipation of a slowdown—you may end up buying high and selling low.

Calamos Structured Protection ETFs: Stand Your Ground and Help Defend Against Losses

Consider a more deliberate approach: maintain diversified exposure to a market, such as the S&P 500, while managing downside risk through a defined risk-reward profile. This is what you can expect from Calamos Structured Protection ETFs.

Designed to match the positive price returns of the S&P 500, Nasdaq-100, Russell 2000, and Bitcoin up to a defined cap, Calamos Structured Protection ETFs protect against up to 100% of losses over one-year outcome periods (before fees and expenses).

Maintain the Calm with a Systematic Laddered Approach

Calamos Laddered S&P 500® Structured Alt Protection ETF® (CPSL) provides S&P 500 exposure while limiting downside risk through a laddered portfolio of 12 monthly 100% protected Calamos S&P 500 Structured Alt Protection ETFs with staggered annual outcome periods to eliminate market timing considerations.

Calamos Laddered Bitcoin Structured Alt Protection ETF® (CBOL) offers single-ticker access to the Calamos suite of 100% downside-protected Bitcoin ETFs. It equally allocates across four Calamos Bitcoin Structured Alt Protection ETFs, each beginning its annual outcome period in a different quarter, creating continuous laddered exposure that mitigates timing risk.

Visit www.calamos.com/ETFs to learn more about our complete lineup of Structured Protection ETFs or contact us at 866.363.9219.

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.

The Structured Protection 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, nondiversification 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 is no assurance that 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 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 as information on 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 the fund’s investment objective. Initial outcome periods are approximately one 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.

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 the reference asset.

FUND-OF-FUNDS RISK FOR LADDERED FUNDS. Shareholders of the Fund will experience investment returns that are different than the investment returns provided by an Underlying ETF. The Fund does not pursue a defined outcome strategy, nor does it provide downside protection against index losses. Because the Fund will typically not purchase an Underlying ETF on the first day of a Target Outcome Period, it is not likely that the stated outcome of the Underlying ETF will be realized by the Fund. The Fund will be continuously exposed to the investment profiles of each of the Underlying ETFs during their respective Target Outcome Periods. The Fund, with its aggregate exposure to each of the Underlying ETFs, may have investment returns that are inferior to those of any single Underlying ETF or group of Underlying ETFs over any given time. During the semi-annual rebalance period of the Index, because the Fund is not equally weighted on a continuous basis, the Fund may be disproportionately exposed to one or more Underlying ETFs. In such circumstances, the Fund will be subject to the over-weighted performance of such Underlying ETF. As a shareholder in other ETFs, the Fund bears its proportionate share of each ETF’s expenses, subjecting Fund shareholders to duplicative expenses.

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 at 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.

The Protected Bitcoin 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% of losses (before fees and expenses) of (i) Spot bitcoin or (ii) one or more of the Underlying ETPs and/or Bitcoin Indexes, in each case, over a period of approximately one (1) year (the “Outcome Period”). The Fund will not invest directly in bitcoin. Instead, the Fund seeks to provide investment results that, before taking fees and expenses into account, track the positive price return of Spot bitcoin by investing in options that reference the price performance of either (i) one or more underlying exchange-traded products (“Underlying ETPs”) which, in turn, own bitcoin or (ii) one or more indexes that are designed to track the price of bitcoin (“Bitcoin Index”).

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.

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 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.

The Russell 2000® Index measures the performance of the small-cap growth segment of the US equity universe The index is published and maintained by FTSE Russell.

The Cboe Mini Bitcoin US ETF Index (MBTX) is based on 1/10th the value of the Cboe Bitcoin US ETF Index, a modified market-capitalization-weighted index designed to track the performance of a basket of spot Bitcoin ETFs listed on US exchanges.

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.

Nasdaq®, Nasdaq-100®, Nasdaq-100 Index® and Nasdaq-100 Top 30 Hybrid Income Index® are registered trademarks of Nasdaq, Inc. (which with its affiliates is referred to as the “Corporations”) and are licensed for use by Calamos Advisors LLC. The Funds have 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 Calamos Russell 2000® Structured Alt Protection ETFs (The “Funds”) are not in any way connected to or sponsored, endorsed, sold or promoted by the London Stock Exchange Group plc and its group undertakings (collectively, the “LSE Group”). FTSE Russell is a trading name of certain of the LSE Group companies. All rights in the Russell 2000® Index (the “Index”) vest in the relevant LSE Group company which owns the Index. The Russell 2000® Index is a trade mark(s) of the relevant LSE Group company and is used by any other LSE Group company under license. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUNDS.