Calamos Alternative Nasdaq & Bond ETF (CANQ US) – Portfolio Construction Methodology

The investment approach informing the actively managed Calamos Alternative Nasdaq & Bond ETF combines long-dated equity options on Nasdaq-100 constituents with an actively managed multi-sector bond sleeve to deliver convertible-like equity participation with fixed-income ballast. Under normal circumstances 80–100% of net assets are allocated across these two components; option exposures (including LEAPS and FLEX) are sized, struck, and laddered to target defined upside while capping risk, with per-name equity-option exposure limited to ≤10%. The bond portfolio is flexibly allocated across U.S. government, agency, corporate, bank loans, high yield, convertibles, and mortgage/asset-backed securities, with no preset limits on maturity, duration, credit quality, or geography, and may use ETFs or Rule 144A instruments when liquid. Portfolio construction integrates delta, term, and credit/duration management; rebalancing rolls options and adjusts bond risk to maintain intended equity participation and downside dampening. The fund is non-diversified and may adopt temporary defensive cash management.

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