HOW THE FUND PERFORMED

For the 12 months ended July 31, 2026, the Fund returned 18.55% (NAV), while the MSCI ACWI Net Index returned 22.11% and the broad-based benchmark MSCI ACWI Index returned 22.59%. After years of Magnificent 7 dominance, a durable trend of market rotation and broadening began in 2026. Investors finally recognized the importance of diversifying beyond high-priced momentum stocks, playing to the Fund's strength in idiosyncratic, well-priced quality growth stocks. We believe this positioning and our valuation discipline will continue to serve the Fund well in this risk-aware environment. Security selection accounted for most of the performance shortfall. The financials sector was the largest drag, attributable to an underweight position and negative stock selection. Industrials compounded underperformance, driven by an overweight in a lagging sector and weak stock selection within it. Information technology, the portfolio's largest sector exposure, was neutral to attribution, as gains from Alphabet and SK Hynix offset losses in SAP and Bentley Systems. Both reflected distinct headwinds: AI-driven business model disruption for SAP and valuation pressure for Bentley despite solid fundamentals.

MATERIAL FUND CHANGES

This is a summary of certain changes of the Fund since July 31, 2026. For more complete information, you may review the Fund's current prospectus and the supplement to the prospectus dated September 11, 2026, which is available on our website at www.calamos.com/resources or upon request by email at caminfo@calamos.com or calling 866-363-9219.

On September 10, 2026, the Board of the Trust determined it advisable and in the best interests of the shareholders of Calamos Antetokounmpo Global Sustainable Equities ETF, a series of the Trust, that the Fund be dissolved, terminated and liquidated on or about November 23, 2026, in accordance with the terms of a Plan of Liquidation. Effective November 19, 2026, the Fund will stop accepting orders of Creation Units from authorized participants. It is expected that November 20, 2026 will be the Fund's last full day of trading on NYSE Arca, Inc., the exchange on which the Fund's shares are listed and principally trade.

HOW THE FUND PERFORMED

The Fund seeks to deliver high, stable income tied to equity market performance, rather than traditional fixed-income credit or duration, through exposure to a portfolio of 52 or more autocallables in the MerQube US Large-Cap Vol Advantage Autocallable Index, an income-oriented index that references US equities. For the 12 months ended July 31, 2026, the Fund generated a strong return of 17.05% (NAV), compared with the MerQube US Large-Cap Vol Advantage Autocallable Index’s 17.56% return and broad-based S&P 500 Total Return Index's 22.06% return. The MerQube Index's weighted-average coupon rate was 13.97% as of July 31, 2026, significantly higher than that of investment-grade bonds. Autocallable structured notes fared well in the period, benefiting from the broad equity market resilience that drove the S&P 500 Index higher. These notes call early when the index meets or exceeds a barrier on an observation date. The positive equity environment supported this call activity and income generation. As notes were called, the Fund received principal plus accrued income before maturity and reinvested the proceeds in new notes. 

KEY FUND STATISTICS

AVERAGE ANNUAL TOTAL RETURNS (%)

The Fund's past performance is not a good predictor of the Fund's future performance. 

The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The Fund cannot guarantee the desired protection, which may only be realized if shares are held from the first day of the one-year outcome period through the last day. Principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Visit https://www.calamos.com/CAIQ for the most recent performance information.

WHAT WERE THE FUND COSTS FOR THE LAST YEAR?

(based on a hypothetical $10,000 investment)

HOW THE FUND PERFORMED

CAGE is designed to grow wealth at a greater rate than the S&P 500 over time. The Fund’s exposure to autocallable growth notes with memory is a unique feature that stores coupons in down markets and pays them all at once as accrued returns (not distributions) when markets recover. In addition, all coupons are reinvested and compounded tax-deferred. For the period ending July 31, 2026, the Fund returned 9.92% (NAV) since its April 16, 2026, inception, compared with the MerQube US Large-Cap Vol Advantage Autocallable Growth Index’s 9.88% return and broad-based S&P 500 Total Return Index's 6.95% return. Over its first 3.5 months, CAGE outperformed the S&P 500 through volatility-targeting leverage in its underlying MerQube Index. In other words, the index is able to ramp up leveraged exposure to the S&P 500 when volatility is low via E-mini S&P 500 futures. Because the equity market rose steadily with low realized volatility over this period, that leverage amplified the Fund's return. 

KEY FUND STATISTICS

HOW THE FUND PERFORMED

For the 12 months ended July 31, 2026, the Fund returned 12.11% (NAV), compared with 12.51% for the S-Network Composite Closed- End Fund Index (SNCEFCT) and 20.80% for the broad-based benchmark MSCI World Index. The Fund also paid a monthly distribution of $0.1948 per share as of period end. Performance was driven by the team's selection of underlying closed-end funds, which appreciated and saw their discounts narrow. The portfolio's diversification across asset classes, regions, sectors, and industries --including information technology, health care, and municipal bonds --benefited from a rotation away from high-priced momentum stocks. Energy exposure was a standout contributor following the outbreak of the war in Iran, while senior loans detracted on an absolute basis. Relative to the SNCEFCT Index, the Fund's lack of exposure to commodities detracted; the Fund excludes physical commodities, which do not pay monthly distributions and generally trade at a flat discount. The MSCI World Index is a pure global equity benchmark, heavily weighted toward the mega-cap growth and AI-related names that drove much of the period's equity gains. The Fund's return was diluted by its bond and income-oriented constituents, which didn't fully benefit from the equity rally.

KEY FUND STATISTICS

TOP 10 HOLDINGS 

% OF NET ASSETS 

HOW THE FUND PERFORMED

For the 12 months ended July 31, 2026, the Fund returned 43.95% (NAV), strongly outperforming the ICE BofA All U.S. Convertible Index's 23.61% return and the broad-based Bloomberg U.S. Aggregate Bond Index's 2.70% return. The Fund's highly equity-sensitive convertibles benefited from the robust performance of a concentrated growth rally in equities, a real bond floor from higher rates, and tailwinds from spreads and issuance, while the Agg Index's traditional fixed-income market was challenged by rising yields tied to inflation fears. Security selection and an average overweight in information technology boosted the Fund's performance. Specifically, holdings in technology hardware, storage & peripherals notably helped, as did communications equipment. Security selection within financials dampened relative results, with positions in asset management & custody banks and diversified financial services losing ground.

KEY FUND STATISTICS

TOP 10 HOLDINGS 

% OF NET ASSETS 

HOW THE FUND PERFORMED

For the 12 months ended July 31, 2026, the Fund returned 7.97% (NAV), outperforming the broad-based Bloomberg U.S. Aggregate Bond Index's 2.70% return while participating in the upside of the Nasdaq-100 Total Return Index^®, which gained 22.58%. In addition, CANQ posted a 30-day SEC yield of 4.03% in July. The Fund's hybrid approach combines a fixed-income portfolio that generates income with equity exposure designed to be less volatile than a direct investment in the Nasdaq-100 Index. The Fund's exposure to the Nasdaq-100 Total Return Index, spurred on by the AI infrastructure build-out and broadening earnings growth beyond mega-cap tech, enabled it to outpace the Agg Index, which faced headwinds from higher yields and lower bond prices. 

KEY FUND STATISTICS

TOP 10 HOLDINGS 

% OF NET ASSETS 

HOW THE FUND PERFORMED

The Fund seeks to match bitcoin’s positive price return up to a defined cap while providing 100% downside protection over a one-year outcome period (before fees and expenses). When bitcoin declines, the protection prevents losses, allowing the Fund to outperform the BRRNY (spot bitcoin). When bitcoin rises, the cap may limit upside. Both the cap and downside protection cause the Fund’s returns to differ from the BRRNY. The Fund returned  -5.54% (NAV) for the annual period ending July 31, 2026, versus  -46.25% for the BRRNY (spot bitcoin) and 2.70% for the broad-based benchmark Bloomberg Aggregate Bond Index. Since the reporting period and the Fund's outcome period don't align, the returns shown here may not reflect what the Fund seeks to provide over its current outcome period. Although the Agg Index's traditional fixed-income market faced its own headaches from rising yields tied to inflation fears, it was not nearly as volatile as bitcoin, which suffered a severe price drop between October 2025 and June 2026, driven by hawkish Fed policy expectations, heavy outflows, and leverage liquidations. The Fund's 100% downside protection sharply cushioned bitcoin's plunge, though fees/expenses resulted in a modest residual loss compared to the Agg Index's small increase over the period. 

KEY FUND STATISTICS

HOW THE FUND PERFORMED

The Fund seeks to match bitcoin’s positive price return up to a defined cap while providing 100% downside protection over a one-year outcome period (before fees and expenses). When bitcoin declines, the protection prevents losses, allowing the Fund to outperform the BRRNY (spot bitcoin). When bitcoin rises, the cap may limit upside. Both the cap and downside protection cause the Fund’s returns to differ from the BRRNY. The Fund returned  -5.80% (NAV) for the annual period ended July 31, 2026, versus  -46.25% for the BRRNY (spot bitcoin) and 2.70% for the broad-based benchmark Bloomberg U.S. Aggregate Bond Index. Since the reporting period and the Fund's outcome period don't align, the returns shown here may not reflect what the Fund seeks to provide over its current outcome period. Although the Agg Index's traditional fixed-income market faced its own headaches from rising yields tied to inflation fears, it was not nearly as volatile as bitcoin, which suffered a severe price drop between October 2025 and June 2026, driven by hawkish Fed policy expectations, heavy outflows, and leverage liquidations. The Fund's 100% downside protection sharply cushioned bitcoin's plunge, though fees/expenses resulted in a modest residual loss compared to the Agg Index's small increase over the period. 

KEY FUND STATISTICS

HOW THE FUND PERFORMED

The Fund seeks to match bitcoin’s positive price return up to a defined cap while providing 100% downside protection over a one-year outcome period (before fees and expenses). When bitcoin declines, the protection prevents losses, allowing the Fund to outperform the BRRNY (spot bitcoin). When bitcoin rises, the cap may limit upside. Both the cap and downside protection cause the Fund’s returns to differ from the BRRNY. The Fund returned  -1.44% (NAV) for the annual period ending July 31, 2026, versus  -46.25% for the BRRNY (spot bitcoin) and 2.70% for the broad-based benchmark Bloomberg U.S. Aggregate Bond Index. Since the reporting period and the Fund's outcome period don't align, the returns shown here may not reflect what the Fund seeks to provide over its current outcome period. Although the Agg Index's traditional fixed-income market faced its own headaches from rising yields tied to inflation fears, it was not nearly as volatile as bitcoin, which suffered a severe price drop between October 2025 through June 2026, driven by hawkish Fed policy expectations, heavy outflows, and leverage liquidations. The Fund's 100% downside protection sharply cushioned bitcoin's plunge, though fees/expenses resulted in a modest residual loss compared to the Agg Index's small increase over the period.

KEY FUND STATISTICS

AVERAGE ANNUAL TOTAL RETURNS (%)

The Fund's past performance is not a good predictor of the Fund's future performance. 

The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The Fund cannot guarantee the desired protection, which may only be realized if shares are held from the first day of the one-year outcome period through the last day. Principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Visit https://www.calamos.com/CBOO for the most recent performance information.

WHAT WERE THE FUND COSTS FOR THE LAST YEAR?

(based on a hypothetical $10,000 investment)

HOW THE FUND PERFORMED

The Fund seeks to generate returns above Treasury bills with limited incremental risk by using SPY box spreads to replicate a cash/T-bill-like return rather than holding actual bonds. Since the Fund's inception on April 17, 2026, through July 31, 2026, the Fund returned 1.14% (NAV), compared with the 1.06% return of the Bloomberg Short Treasury 1-3 Month Index and  -1.52% return of the broad-based Bloomberg U.S. Aggregate Bond Index. The Agg Index has meaningful duration (~6 years) across Treasuries, MBS, and corporates, so its price tends to fall when yields rise. The Fund is built from short-dated, continuously rolled FLEX spreads with near-zero duration —it accrues the implied short-term financing rate regardless of rate moves. Over this period, Treasury yields moved higher (with the 10-year yield rising from the low 4%s toward the high 4%s), which was a price headwind for the Agg but inconsequential for the Fund. 

KEY FUND STATISTICS

HOW THE FUND PERFORMED

The Calamos Bitcoin 80 Series Structured Alt Protection ETF is designed to match the positive price return of bitcoin (represented by BRRNY or spot bitcoin) up to a defined cap, while limiting the maximum loss to 20% (i.e., 80% protection from -20% to -100%) over a one-year outcome period (before fees and expenses). Both the cap and downside protection cause the Fund’s returns to differ from the BRRNY. The Fund returned  -36.96% (NAV) for the annual period ending July 31, 2026, versus  -46.25% for the BRRNY (spot bitcoin) and 2.70% for the broad-based benchmark Bloomberg U.S. Aggregate Bond Index. Since the reporting period and the Fund's outcome period don't align, the returns shown here may not reflect what the Fund seeks to provide over its current outcome period. Although the Agg Index's traditional fixed-income market faced its own headaches from rising yields tied to inflation fears, it was not nearly as volatile as bitcoin, which suffered a severe price drop between October 2025 and June 2026, driven by hawkish Fed policy expectations, heavy outflows, and leverage liquidations. The Fund's 80% downside protection cushioned against bitcoin's plunge, though it absorbed an initial double-digit loss in early 2026 and was down further following its outcome period reset in February. Fees and expenses also curbed performance, resulting in a loss that exceeded the Agg Index's small increase.

KEY FUND STATISTICS

HOW THE FUND PERFORMED

The Calamos Bitcoin 80 Series Structured Alt Protection ETF is designed to match the positive price return of bitcoin (represented by BRRNY or spot bitcoin) up to a defined cap, while limiting the maximum loss to 20% (i.e., 80% protection from -20% to -100%) over a one-year outcome period (before fees and expenses). Both the cap and downside protection cause the Fund’s returns to differ from the BRRNY. The Fund returned  -33.76% (NAV) for the annual period ending July 31, 2026, versus  -46.25% for the BRRNY (spot bitcoin) and 2.70% for the broad-based benchmark Bloomberg U.S. Aggregate Bond Index. Since the reporting period and the Fund's outcome period don't align, the returns shown here may not reflect what the Fund seeks to provide over its current outcome period. Although the Agg Index's traditional fixed-income market faced its own headaches from rising yields tied to inflation fears, it was not nearly as volatile as bitcoin, which suffered a severe price drop between October 2025 and June 2026, driven by hawkish Fed policy expectations, heavy outflows, and leverage liquidations. The Fund's 90% downside protection cushioned against bitcoin's plunge, though it absorbed a double-digit loss in early 2026 and was down to a lesser extent following its outcome period reset in April. Fees and expenses also curbed performance, resulting in a loss that exceeded the Agg Index's small increase. 

KEY FUND STATISTICS

HOW THE FUND PERFORMED

The Calamos Bitcoin 80 Series Structured Alt Protection ETF is designed to match the positive price return of bitcoin (represented by BRRNY or spot bitcoin) up to a defined cap, while limiting the maximum loss to 20% (i.e., 80% protection from -20% to -100%) over a one-year outcome period (before fees and expenses). Both the cap and downside protection cause the Fund’s returns to differ from the BRRNY. The Fund returned  -23.50% (NAV) for the annual period ending July 31, 2026, versus  -46.25% for the BRRNY (spot bitcoin) and 2.70% for the broad-based benchmark Bloomberg U.S. Aggregate Bond Index. Since the reporting period and the Fund's outcome period don't align, the returns shown here may not reflect what the Fund seeks to provide over its current outcome period. Although the Agg Index's traditional fixed-income market faced its own headaches from rising yields tied to inflation fears, it was not nearly as volatile as bitcoin, which suffered a severe price drop between October 2025 and June 2026, driven by hawkish Fed policy expectations, heavy outflows, and leverage liquidations. The Fund's 80% downside protection cushioned against bitcoin's plunge, though it absorbed the initial 20% loss in early 2026. Fees and expenses also curbed performance, resulting in a loss that exceeded the Agg Index's small increase. 

KEY FUND STATISTICS

AVERAGE ANNUAL TOTAL RETURNS (%)

The Fund's past performance is not a good predictor of the Fund's future performance. 

The graph and table do not reflect the deduction of taxes that a shareholder would pay on fund distributions or redemption of fund shares. The Fund cannot guarantee the desired protection, which may only be realized if shares are held from the first day of the one-year outcome period through the last day. Principal value and investment return of an investment will fluctuate so that your shares, when redeemed, may be worth more or less than their original cost. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Visit https://www.calamos.com/CBTO for the most recent performance information.