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

The investment approach steering the actively managed Calamos S&P 500 Structured Alt Protection ETF – September uses exchange-traded, OCC-cleared FLEX options on the SPDR S&P 500 ETF Trust to target full end-of-period capital protection across September–to–September cycles, with an upside cap determined at the start of each outcome period. Portfolio construction centers on a coordinated collar-like FLEX package with common expiry; strike selection and notional sizing are calibrated to deliver 1:1 price participation up to the cap and 100% protection at period end (before fees). Cash and short-term U.S. government instruments may serve for collateral and liquidity. The strategy reflects price return only, excluding dividends. Shares trade on NYSE Arca; liquidity is anchored by the ETF creation/redemption process and the depth of listed FLEX markets, which also frames capacity. Rebalancing is limited; the fund typically holds to expiration and rolls into a new FLEX set each September.

To explore CPST 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/CPST_US