Calamos Announces Upside Cap Rates for CPSY and CPRY: Structured Protection ETFs Providing Exposure to S&P 500 and Russell 2000 with 100% Downside Protection Over One Year
Calamos Investments has launched two new ETFs: CPSY (S&P 500® Structured Alt Protection ETF) and CPRY (Russell 2000® Structured Alt Protection ETF), offering 100% downside protection over one-year periods starting January 2, 2025. CPSY features a 7.57% upside cap rate, while CPRY offers a 9.59% cap rate.
Both ETFs come with a 0.69% annual expense ratio and are managed by Co-CIO Eli Pars and the Alternatives Team. The funds provide protected exposure to their respective indexes (S&P 500 and Russell 2000) and reset annually, offering new upside caps with refreshed protection. Gains grow tax-deferred and qualify for long-term capital gains rates if held longer than one year.
Calamos Investments ha lanciato due nuovi ETF: CPSY (S&P 500® Structured Alt Protection ETF) e CPRY (Russell 2000® Structured Alt Protection ETF), offrendo una protezione del 100% al ribasso per periodi di un anno a partire dal 2 gennaio 2025. CPSY presenta un limite al rialzo del 7,57%, mentre CPRY offre un limite del 9,59%.
Entrambi gli ETF hanno un rapporto annuale delle spese dello 0,69% e sono gestiti dal Co-CIO Eli Pars e dal team Alternative. I fondi forniscono un'esposizione protetta ai rispettivi indici (S&P 500 e Russell 2000) e si azzerano annualmente, offrendo nuovi limiti al rialzo con una protezione rinnovata. I guadagni crescono in modo differito e qualificano per le aliquote fiscali sui guadagni di capitale a lungo termine se detenuti per più di un anno.
Calamos Investments ha lanzado dos nuevos ETF: CPSY (S&P 500® Structured Alt Protection ETF) y CPRY (Russell 2000® Structured Alt Protection ETF), que ofrecen una protección del 100% a la baja durante períodos de un año a partir del 2 de enero de 2025. CPSY cuenta con un límite de rendimiento del 7,57%, mientras que CPRY ofrece un límite del 9,59%.
Ambos ETF tienen una relación de gastos anuales del 0,69% y son gestionados por el Co-CIO Eli Pars y el equipo de Alternativas. Los fondos proporcionan una exposición protegida a sus respectivos índices (S&P 500 y Russell 2000) y se restablecen anualmente, ofreciendo nuevos límites de rendimiento con una protección renovada. Las ganancias crecen diferidas fiscalmente y califican para tasas de ganancias de capital a largo plazo si se mantienen durante más de un año.
Calamos Investments는 두 개의 새로운 ETF를 출시했습니다: CPSY (S&P 500® 구조적 대체 보호 ETF)와 CPRY (Russell 2000® 구조적 대체 보호 ETF)로, 2025년 1월 2일부터 시작되는 1년 기간 동안 100% 하락 보호를 제공합니다. CPSY는 7.57% 상승 한도 비율을 특징으로 하는 반면, CPRY는 9.59% 한도를 제공합니다.
두 ETF 모두 0.69%의 연간 비용 비율을 가지고 있으며, Co-CIO인 Eli Pars와 대체 팀에 의해 관리됩니다. 이 자금은 각 지수(S&P 500 및 Russell 2000)에 대한 보호된 노출을 제공하며 매년 리셋되어 새로워진 보호와 함께 새로운 상승 한도를 제시합니다. 수익은 세금 연기 상태로 성장하며 1년 이상 보유할 경우 장기 자본 이득 세율의 적용을 받습니다.
Calamos Investments a lancé deux nouveaux ETF : CPSY (S&P 500® Structured Alt Protection ETF) et CPRY (Russell 2000® Structured Alt Protection ETF), offrant une protection à la baisse de 100% pendant des périodes d'un an à partir du 2 janvier 2025. CPSY dispose d'un plafond de hausse de 7,57%, tandis que CPRY propose un plafond de 9,59%.
Les deux ETF ont un ratio de frais annuels de 0,69% et sont gérés par le Co-CIO Eli Pars et l'équipe Alternatives. Les fonds offrent une exposition protégée à leurs indices respectifs (S&P 500 et Russell 2000) et se réinitialisent chaque année, proposant de nouveaux plafonds de hausse avec une protection renouvelée. Les gains croissent en franchise d'impôt et se qualifient pour les taux d'imposition sur les gains en capital à long terme s'ils sont conservés pendant plus d'un an.
Calamos Investments hat zwei neue ETFs aufgelegt: CPSY (S&P 500® Structured Alt Protection ETF) und CPRY (Russell 2000® Structured Alt Protection ETF), die einen 100%igen Abwärtsschutz über einjährige Zeiträume ab dem 2. Januar 2025 bieten. CPSY bietet eine Obergrenze von 7,57%, während CPRY eine Obergrenze von 9,59% hat.
Beide ETFs haben eine jährliche Kostenquote von 0,69% und werden von Co-CIO Eli Pars und dem Alternatives-Team verwaltet. Die Fonds bieten geschützte Anlagemöglichkeiten in ihre jeweiligen Indizes (S&P 500 und Russell 2000) und werden jährlich zurückgesetzt, wodurch neue Höchstgrenzen mit erneuertem Schutz angeboten werden. Gewinne wachsen steuerlich aufgeschoben und qualifizieren sich für die langfristigen Kapitalertragsteuersätze, wenn sie länger als ein Jahr gehalten werden.
- 100% downside protection against market losses
- Attractive upside cap rates: 7.57% for CPSY and 9.59% for CPRY
- Tax-efficient structure with long-term capital gains treatment
- Monthly entry points available for investors
- Upside potential by cap rates
- 0.69% annual expense ratio may be higher than traditional index ETFs
- Protection only applies if held for full one-year outcome period
Insights
The launch of CPSY and CPRY represents a significant innovation in the structured products space, offering downside protection with defined upside potential in a liquid ETF wrapper. The 7.57% cap rate for CPSY and 9.59% for CPRY are particularly competitive given the current market environment and full downside protection feature.
The tax-efficient structure allowing gains to be taxed at long-term capital rates creates meaningful tax alpha potential, while the monthly entry points provide flexibility for strategic portfolio allocation. The 0.69% expense ratio, while not negligible, is reasonable considering the embedded options strategy and protection features.
These products fill an important gap for risk-averse investors seeking equity exposure with guardrails, particularly valuable during periods of market uncertainty. The Russell 2000 variant offers higher potential returns, reflecting the increased volatility of small-caps, while the S&P 500 version provides a more conservative approach to core market exposure.
The structured protection mechanism likely employs a sophisticated collar strategy using FLEX options, with the upside caps indicating current options market pricing of volatility. The higher cap rate on the Russell 2000 product (9.59% vs 7.57%) reflects the greater implied volatility in small-cap options, effectively offering investors more upside potential in exchange for the same level of protection.
The one-year duration aligns with typical options expiration cycles, optimizing the cost-efficiency of the protection strategy. The annual reset feature provides a valuable mechanism for adjusting to changing market conditions and volatility regimes. For investors seeking defined-outcome exposure, these products offer a more liquid and transparent alternative to traditional structured notes, with the added benefit of intraday trading flexibility.
- The Calamos S&P 500® Structured Alt Protection ETF™ -- January (CPSY) has announced an upside cap rate of
7.57% over its one-year outcome period following its launch on January 2, 2025. - The Calamos Russell 2000® Structured Alt Protection ETF™ – January (CPRY) has announced an upside cap rate of
9.59% over its one-year outcome period following its launch on January 2, 2025. - The Calamos Structured Protection ETF™ suite combines Calamos' decades-long alternatives, risk management and options investing expertise with the liquid, cost-effective and tax-efficient ETF structure.
METRO
Calamos' Structured Protection ETF™ series is the most comprehensive of its kind, offering financial advisors and investors entry points each month to capital-protected growth strategies to the leading US equity benchmarks over one-year outcome periods.
Calamos S&P 500® Structured Alt Protection ETF™ -- January (CPSY) | |
Cap Rate | 7.57 % |
Outcome Period | 1 Year: 1/2/2025 to 12/31/2025 |
Reference Asset | Price return of the SPDR® S&P 500® ETF Trust (SPY), based on the S&P 500® Index |
Structured Protection | |
Annual Expense Ratio | 0.69 % |
Portfolio Management | Co-CIO Eli Pars and the Alternatives Team |
Benchmarks | S&P 500® Index, Price Return MerQube Capital Protected US Large Cap Index – January |
Tax Application | Gains in an ETF grow tax-deferred and will be taxed at long- term capital gain rates if held longer than one year |
Calamos Russell 2000® Structured Alt Protection ETF™ – January (CPRY) | |
Cap Rate | 9.59 % |
Outcome Period | 1 Year: 1/2/2025 to 12/31/2025 |
Reference Asset | Price return of the iShares Russell 2000® ETF (IWM), based on the Russell 2000® Index |
Structured Protection | |
Annual Expense Ratio | 0.69 % |
Portfolio Management | Co-CIO Eli Pars and the Alternatives Team |
Benchmarks |
Russell 2000® Index, Price Return MerQube Capital Protected US Small Cap Index – January |
Tax Application | Gains in an ETF grow tax-deferred and will be taxed at long- term capital gain rates if held longer than one year |
Structured Protection ETFs™ reset annually, offering investors a new upside cap with refreshed protection against negative returns of the benchmark over the subsequent 12-month period. If shares are held longer than one year, they can deliver significant tax alpha as potential gains will grow tax-deferred at long-term capital gains rates and can be held indefinitely.
Learn more about the full suite of Calamos Structured Protection ETFs™.
About Calamos
Calamos Investments is a diversified global investment firm offering innovative investment strategies, including alternatives, multi-asset, convertible, fixed income, private credit, equity, and sustainable equity. With over
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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.
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.
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.
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.
Cap Rate – Maximum percentage return an investor can achieve from an investment in the Fund if held over the Outcome Period.
Cap Range – Cap ranges are based on the last 15 trading days prior to range announcement, based on market conditions during the sample period, and are subject to change. The actual cap rate may be different based on market events.
Protection Level – Amount of protection the Fund is designed to achieve over the Days Remaining.
Outcome Period – Number of days in the Outcome Period.
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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 ("CAL"). S&P® and S&P 500® 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"). Calamos S&P 500 Structured Protection ETFs are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such product(s) nor do they have any liability for any errors, omissions, or interruptions of the S&P 500.
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FAQ
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When do the Calamos Structured Protection ETFs reset their protection periods?
