Calamos Investments is poised to expand its ‘Structured Protection’ suite of defined outcome ETFs with the launch of the world’s first fund offering full capital protection on Bitcoin.
John Koudounis, President and CEO of Calamos Investments.
The Calamos Bitcoin Structured Alt Protection ETF – January (CBOJ US) is scheduled for listing on the Cboe BZX Exchange on 22 January 2025 and will feature an expense ratio of 0.69%.
John Koudounis, President and CEO of Calamos, remarked: “I am excited to announce the world’s first 100% downside protected Bitcoin ETF. This is consistent with our history of groundbreaking innovations in risk management.”
Matt Kaufman, Head of ETFs at Calamos, added: “Many investors have been hesitant to invest in Bitcoin due to its epic volatility. Calamos seeks to meet advisor, institutional, and investor demands for solutions that capture Bitcoin’s growth potential while mitigating the historically high volatility and drawdowns of this fast-growing and high performing asset.”
Defined outcome investing refers to an investment strategy that tailors the risk and return profile of a reference asset or index to provide specific levels of protection and upside potential, delivering a more controlled investment experience.
Calamos’s Structured Protection ETFs utilize Flexible Exchange (FLEX) options—customizable, exchange-traded option contracts guaranteed by the Options Clearing Corporation—to deliver 100% downside protection. In the case of CBOJ, the target index is the CBOE Bitcoin US ETF Index, with protection levels referenced from the start of a one-year outcome period.
The 100% downside protection is achieved by limiting potential upside returns, with the cap determined at the outset of the outcome period based on prevailing market conditions. These ETFs employ a perpetual structure, resetting their downside protection and caps at the end of each annual outcome period, enabling investors to benefit from fresh terms without needing to reinvest.
Investors should be aware of two key considerations with defined outcome funds. First, due to the time value of the underlying options, these ETFs are likely to exhibit lower betas compared to traditional index-tracking ETFs, meaning they may underperform their reference asset during upward market trends.
Second, the funds’ full downside protection applies only from the start of the outcome period. An investor purchasing shares mid-period may be exposed to downside risk if the underlying asset has appreciated since the period’s inception.
To address these challenges and provide transparency, Calamos offers daily disclosures for its Structured Protection ETFs. These updates include the remaining cap, any potential downside before the capital protection takes effect, and the number of days left in the outcome period.
CBOJ will build upon the firm’s Structured Protection ETF series, launched in 2024, which already includes 100% downside protection strategies for the S&P 500, Nasdaq 100, and Russell 2000 indices.