Calamos S&P 500 Structured Alt Protection ETF – October (CPSO US) – Portfolio Construction Methodology

The investment strategy underpinning the actively managed Calamos S&P 500 Structured Alt Protection ETF – October delivers price-return participation in the SPDR S&P 500 ETF Trust through OCC-cleared FLEX options structured to provide full capital protection at the end of each October–to–October outcome period, with an upside cap fixed when the period begins. The fund concentrates assets in a coordinated package of FLEX calls and puts that share a common maturity and are selected to map the intended payoff; cash and U.S. Treasury instruments may be used for collateral and liquidity management. Portfolio construction targets 1:1 upside participation up to the cap; sector and issuer exposures mirror the Underlying ETF’s price return (no dividend accrual). Shares trade intraday on NYSE Arca; primary liquidity is supported by the creation/redemption mechanism and listed FLEX market capacity. Rebalancing is minimal intra-period, with a rules-based roll into new FLEX series each October.

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