Calamos ETF Suite Targets Nervous Investors

The ETFs will offer 100% downside protection and limit upside when held for a year.

Calamos Investments, a big mutual fund issuer with a handful of ETFs, is going after nervous investors with a new suite of exchange-traded funds that will offer 100% principal protection in exchange for an upside cap on performance.

The first of 12 Structured Protection ETFs will use an options strategy to mimic the performance of an index while also providing downside protection, capping performance in the 9.2% to 9.65% range over 12 months, the $37.1 billion company said in a statement. The exact upside percentage will be set on May 1, the day the funds become available.

The first ETF in the suite, the Calamos S&P 500 Structured Alt Protection ETF (CPSM), is pegged to the performance of the S&P 500 Index. The June launch will feature the Calamos Nasdaq 100 Structured Alt Protection ETF (CPNJ), tracking the Nasdaq 100 Index.

 And July will feature the Calamos Russell 2000 Structured Alt Protection ETF (CPRJ), which is pegged to the Russell 2000 Index.

That cycle will repeat for the next 12 months, giving investors and financial advisors access to three popular indexes with full downside protection and a range of upside caps on performance.

Matt Kaufman, head of ETFs at Naperville, Illinois-based Calamos, said the upside caps are based on options pricing on the underlying index over the 15 trading days leading up to each ETF’s launch, so it’s too early to say what the caps might be on each fund in the suite.

The full benefit of the downside protection, as well as the nuance of the upside cap, is only guaranteed if the ETFs are purchased on the launch date and held for the full 12-month term.

For example, if an investor bought May’s CPSM later this year after the S&P had gained 2%, that investor's upside cap would only be around 7% and the downside protection wouldn’t kick in until the price dropped back to where it was in May.

Another scenario could be buying in after the ETF had already experienced a decline of 2%, which would effectively lift the upside cap to around 11% with the downside protection capped at a level above the investor’s entry point.

“If you buy when the ETF is down and the market finishes up, you will have a better cap as long as you hold it to the end,” Kaufman said.

There are similar strategies sprinkled across the ETF space, but at 69 basis points, the Calamos suite will be the cheapest offering full downside protection.

“The Calamos ETFs are coming on the heels of the launch of similar funds by Innovator last year,” said Sumit Roy, senior ETF analyst at etf.com.

Roy pointed to the Innovator Equity Defined Protection 2-Year to July 2025 ETF (TJUL) as evidence of the potential in the space.

“TJUL was the first ETF to offer 100% downside protection and it has $231 million, suggesting there is ample demand for these products,” he said.

As with most of the ETFs offering downside protection in exchange for capped upside, TJUL has a few distinctions worth noting. In addition to its 79-basis point fee, the downside protection requires a two-year commitment.

Calamos manages $33.7 million in four exchange-traded funds.