Calamos Convertible Equity Alternative ETF (CVRT US) – Portfolio Construction Methodology

The investment process underpinning the actively managed Calamos Convertible Equity Alternative ETF prioritizes asymmetric equity participation by owning primarily U.S. convertible securities with controlled equity sensitivity and investment-grade–oriented credit risk. The team sources across corporate convertibles, preferreds, and occasional synthetic structures, emphasizing liquidity, covenant strength, and delta characteristics to shape payoff convexity. Security selection combines bottom-up fundamental, credit, and volatility analysis to target issuers with durable free-cash-flow profiles and manageable leverage. Portfolio construction seeks diversified issuer and sector exposure, with position sizes set by delta, credit quality, and liquidity, and overall equity sensitivity maintained within defined bands to limit drawdown beta. Non-convertible bonds or common stock may be used tactically to fine-tune exposures. Rebalancing occurs as deltas migrate, new issues price, or relative value shifts across the curve. The sell/trim discipline realizes gains as valuations compress, reduces positions on credit deterioration or unfavorable term-structure changes, and exits when the equity thesis weakens or liquidity risk rises.

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