Calamos Tax-Aware Collateral ETF

C000273082 Fund Overview

Calamos Tax-Aware Collateral ETF is a US ETF managed by Calamos ETF Trust, categorised as Market-Neutral. ABC INVEST provides holdings, performance, costs, cashflows, risk data, prospectus documents and SEC filings, sourced from SEC filings.

• Type: US ETF
• Manager: Calamos ETF Trust
• Category: Market-Neutral
• Assets under management: $1.28B
• SEC CIK: 0001579881
• SEC series ID: S000102580
• Share class ID: C000273082

C000273082 Investment Objective and Strategy

Calamos Tax-Aware Collateral ETF describes its objective and strategy as follows, from its latest prospectus filed with the SEC by Calamos ETF Trust.

Investment objective

"Calamos Tax-Aware Collateral ETF (the ""Fund"") is to seek capital appreciation by investing in FLEX options box spreads."

Principal investment strategy

"The Fund is an actively managed exchange-traded fund (""ETF"") that seeks to achieve its investment objective through multiple combinations of synthetic long and short exchange-listed options positions, collectively referred to herein as a Box Spread (""Box Spread""). Box Spreads. A Box Spread is an offsetting set of options, which may include Flexible Exchange Options (""FLEX Options""). Box Spreads consist of a synthetic long position (where the Fund owns or purchases a synthetic position in the underlying) coupled with an offsetting synthetic short position (where the Fund owes or sells a synthetic position in the underlying) through a combination of options contracts on a reference asset at the same expiration date. The reference asset in the context of the Fund's Box Spreads will be the S&P 500 ETF (""SPY"") (the ""Underlying ETF"").

The Fund may structure its Box Spread using a four-options-contracts approach, a three-options-contracts approach, or a two-options-contracts approach. Under a four-options-contracts approach, the synthetic long position consists of (i) buying a call option and (ii) selling a put option, each on the same reference asset and each with the same strike price and expiration date. The synthetic short position consists of (i) buying a put option and (ii) selling a call option, each on the same reference asset and each with the same expiration date as the synthetic long but with a different strike price from the synthetic long position. The Fund may also utilize a three-options-contract approach where three FLEX Options positions comprise the Box Spread. These positions consist of a long call option, a short call option, and a long put option.

In instances where the call and put options that the Fund may purchase are substantially in-the-money and the synthetic long and short positions comprising the Box Spread can effectively be constructed without writing call or put options, the Fund may elect to use a two-options-contract approach where it will not write call or put options and will instead utilize a long call and a long put. The Adviser to the Fund will determine the use of either a four option contracts, three option contracts, or two option contracts approach as it deems necessary and desirable to facilitate trading, pricing and/or valuation in order to best effectuate the Fund's investment objectives. The difference between the strike prices of the synthetic long position and the synthetic short position determines the expiration value (or value at maturity) of the Box Spread.

An important feature of the Box Spread construction process is that it seeks to eliminate market risk tied to price movements associated with the underlying options' reference asset. Once the Box Spread is initiated, its return from the initiation date through expiration will not change due to price movements in the underlying options' reference assets. Under the four-options-contracts Box Spread structure (as described above), the Fund's synthetic long position is created though the purchase of a call option and sale of a put option, where the call option and put option are each purchased or sold on the same reference asset, strike price and expiration date. The Fund's synthetic short position is created through the purchase of a put option and sale of a call option, where the call option and put option are each purchased or sold on the same reference asset with the same expiration date as the synthetic long position, but the synthetic short position is at a higher strike price from the synthetic long position.

The synthetic long and short options positions, in combination, are designed to offset one another, creating a market-neutral position with a fixed payoff at expiration of the options contracts. The Fund's strategy of replicating the ownership of long and short positions at two different prices effectively creates a ""box"" that locks in a fixed payout, regardless of the underlying asset's movement. The Fund's expected profit from a Box Spread transaction is expected to equal approximately the difference between the price paid for the Box Spread and its expiration value minus any transaction costs associated with the options trades. The effective yield on each Box Spread is determined by annualizing the profit over the price paid. The Fund will invest the underlying portfolio in Box-Spreads which, in turn, may meet the requirements to qualify for more favorable tax treatment.

Shareholders may be able to use their Fund shares as collateral to meet margin requirements. Box Spread Portfolio. The options contracts that the Fund utilizes in implementing its investment strategy will be FLexible EXchange options (""FLEX Options"") on the SPDR S&P 500 ETF (""SPY"")(the ""Underlying ETF""). The Fund will only invest in options contracts that are listed for trading on regulated U.S. exchanges. FLEX Options are a type of exchange-listed options contract with uniquely customizable terms that allow investors to customize key terms like type, strike price and expiration date that are standardized in a typical options contract. FLEX Options are also guaranteed for settlement by the OCC. The Fund will be primarily invested in Box Spreads and cash, targeting a Box Spread market value in line with the Fund's total net assets.

The Box Spreads are constructed using two FLEX Options positions (long call, long put), three FLEX Options positions (long call, short call, long put) and/or four FLEX Options positions (long call, short call, long put, short put) at two different strike prices with the same maturity. The Fund will utilize ""European Style"" option contracts, which are only exercisable on the expiration date of the contract, as opposed to ""American Style"" options that can be exercised at any time prior to expiration. In holding synthetic positions created by the Box Spread that remain intact until maturity, the Fund seeks to prevent any part of the strategy from being closed out early due to early exercise of one or more of the option contracts so that the Fund can reliably capture the intended payoff the difference between the strike prices without the risk of unexpected changes or disruptions before the expiration date.

The Fund may hold collateral, such as cash, cash equivalents or securities issued or guaranteed by the U.S. government, that may be used to pay costs related to implementing the Fund's investment strategy. Box Spread Portfolio Ladder Approach. The Fund expects, under normal conditions, to invest substantially all of its total assets in one or multiple Box Spreads at any given time, with each Box Spread utilizing FLEX Options on the Underlying ETF and having maturities typically ranging from 1 to 6 months. The Fund may employ a laddered approach investing in Box Spreads with staggered maturities to provide liquidity and scale while seeking to maximize yield capture. The returns on the Fund's Box Spread investments will depend on a number of factors, including changes in market prices of new options contracts when modifying its portfolio holdings and expected interest rates and the Fund's trading activity, among other things.

As a result, returns may vary. Further, given that the Fund may hold multiple Box Spreads at a time, there is no fixed return for a given period, and the value of the Fund can increase or decrease based on the different factors discussed above. The Fund will typically sell or ""roll"" any Box Spread at any time prior to maturity. When selling or rolling a Box Spread, the Fund may incur additional transaction costs than if it waited until such Box Spread expired. The Fund may engage in active and frequent trading of portfolio securities to achieve its investment objective. The Fund will not concentrate (i.e., invest more than 25% of its total assets) its investments in securities of issuers in any industry or group of industries, except to the extent that the Underlying ETF invests more than 25% of its assets in an industry or group of industries.

This restriction does not apply to securities issued or guaranteed by the U.S. Government, its agencies or instrumentalities, or securities of other investment companies. The Fund is classified as ""non-diversified"" under the Investment Company Act of 1940 (the ""1940 Act""). General Information about FLEX Options FLEX Options are customizable exchange-traded option contracts guaranteed for settlement by the Options Clearing Corporation (the ""OCC""). The OCC guarantees performance by each of the counterparties to the FLEX Options, becoming the ""buyer for every seller and the seller for every buyer,"" with the goal of protecting clearing members and options traders from counterparty risk. The OCC may make adjustments to FLEX Options for certain significant events, as more fully described in the Fund's Statement of Additional Information.

Although guaranteed for settlement by the OCC, FLEX Options are still subject to counterparty risk with the OCC and subject to the risk that the OCC may fail to perform the settlement of the FLEX Options due to bankruptcy or other adverse reasons. The FLEX Options that the Fund will hold and that reference the State Street ? SPDR ? S&P 500 ? ETF Trust (formerly, ""SPDR ? S&P500 ? ETF Trust"") (""SPY"") will give the Fund the right or the obligation to either receive or deliver shares of SPY, or the right or the obligation to either receive or deliver a cash payment on the option expiration date based upon the difference between SPY's value and a strike price, depending on whether the option is a put or call option and whether the Fund purchases or sells the option. The Fund will purchase call options (giving the Fund the right to receive shares of SPY or a cash payment) and put options (giving the Fund the right to deliver shares of SPY or a cash payment), and may sell (i.e., write) call options (giving the Fund the obligation to deliver shares of SPY or a cash payment) and put options (giving the Fund the obligation to receive shares of SPY or a cash payment) in instances where it is deemed necessary or desirable to construct the Box Spread.

In instances where the purchased call and put options are substantially in-the-money and the synthetic long and short positions comprising the Box Spread can effectively be constructed without writing call or put options, the Fund may elect not to write call or put options. The Fund intends to use FLEX Options in constructing Box Spreads. The Fund receives premiums in exchange for the written FLEX Options and pays premiums in exchange for the purchased FLEX Options. The OCC and securities exchanges on which the FLEX Options are listed do not charge ongoing fees to writers or purchasers of the FLEX Options during their life for continuing to hold the option contracts but may charge transaction fees. The Underlying ETF The Underlying ETF is an exchange-traded unit investment trust that uses a replication strategy, meaning it invests in as many of the stocks in the S&P 500 ?

Index as is practicable. PDR Services, LLC (""PDR"") serves as the Underlying ETF's sponsor. The investment objective of the Underlying ETF is to seek to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of the S&P 500 ? Index (the ""Index""). See below for a description of the Underlying ETF's principal investment strategies and risks. You can find the Underlying ETF's prospectus and other information about the ETF, including the statement of additional information and most recent reports to shareholders, online at https://www.ssga.com/us/en/intermediary/resources/doc-viewer#spy&prospectus The summary information below regarding the Underlying ETF comes from its filings with the SEC.

C000273082 Holdings

Top 1 holdings of Calamos Tax-Aware Collateral ETF by percentage of net assets, from the fund's latest SEC N-PORT filing.

View all C000273082 holdings

C000273082 Portfolio Allocation

Asset-class allocation of Calamos Tax-Aware Collateral ETF by percentage of net assets, from the latest SEC N-PORT filing.

C000273082 Performance

Total returns for C000273082 (as of 2026-10-01), from SEC filings.

C000273082 Costs and Fees

C000273082 costs about $14 per $10,000 invested per year in fund expenses.

• Net expense ratio: 0.14%
• Gross expense ratio: 0.19%

C000273082 Cashflows

Over the 12 months to 2026-04, Calamos Tax-Aware Collateral ETF had net inflows of $824.02M, from monthly SEC N-PORT filings.

C000273082 Debt Constituents

No individual debt constituents are reported in Calamos Tax-Aware Collateral ETF's latest SEC N-PORT filing.

C000273082 Prospectus and SEC Filings

Official Calamos Tax-Aware Collateral ETF filings on SEC EDGAR — prospectus, portfolio holdings and annual reports.

• Prospectus (485BPOS) — filed 2026-04-10
• Portfolio holdings (N-PORT) — filed 2026-09-29
• Portfolio holdings (N-PORT) — filed 2026-06-26

Related Funds

Other Market-Neutral funds tracked on ABC INVEST:

• JPMorgan Investor Growth Fund (ONIFX)
• JPMorgan Investor Balanced Fund (OIBFX)
• JPMorgan Investor Growth & Income Fund (ONGFX)
• JPMorgan Investor Conservative Growth Fund (ONCFX)
• Six Circles Multi-Strategy Fund (CALTX)

Data Sources

ABC INVEST compiles this page from public filings made to the U.S. Securities and Exchange Commission (SEC) through EDGAR: portfolio holdings and monthly cashflows from Form N-PORT, expenses and returns from fund prospectuses (Form 485BPOS) and the SEC DERA Risk/Return Summary data sets, annual data from Form N-CEN, and shareholder reports from Form N-CSR.