Calamos CEF Income & Arbitrage ETF (CCEF US) – Portfolio Construction Methodology

The investment process underpinning the actively managed Calamos CEF Income & Arbitrage ETF targets high current income and capital appreciation by owning income-oriented closed-end funds (CEFs) trading at discounts to NAV and harvesting discount-narrowing arbitrage. The adviser applies quantitative and fundamental tools to identify CEFs with attractive discount, distribution, structure, and liquidity profiles, then actively manages position sizing across asset-class sleeves (equity, taxable/muni fixed income, convertibles, BDCs) to balance income, volatility, leverage exposure, and liquidity. Event research (corporate actions, tenders, rights offerings) and trading frictions inform entry/exit and sizing. To isolate discount capture and manage beta, the fund may short instruments approximating CEF underlying exposures and use listed derivatives (index futures/options) and options overlay writing to generate premiums. Rebalancing occurs regularly to maintain desired sleeve weights and portfolio-level characteristics (e.g., yield, issue size, liquidity). Eligibility emphasizes listed CEFs across U.S. and non-U.S. markets; capacity and turnover are calibrated to CEF float, bid-ask spreads, and borrow availability.

To explore CCEF in more depth, visit our ETF analytics platform for institutional-grade insights — including performance and risk metrics, correlations, sensitivities, and factor exposure: https://www.etfstrategy.com/etf/CCEF_US