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With persistent inflation and uncertainty surrounding near-term U.S. economic growth, investors are actively seeking tools to help navigate market volatility.
Traditionally, gold has served as a go-to solution during inflationary periods, valued for its limited supply, low correlation to currency movements, and resilience across economic cycles.
But gold isn’t the only asset offering these characteristics. Bitcoin is often compared to gold as a store of value with characteristics of a digital commodity. Through a Protected Bitcoin strategy, Calamos can transform the unique risk profile of bitcoin to match the downside risk profile of gold. This has historically resulted in higher returns with significant diversification potential.
Recent Backtesting Results
Recent backtesting from Calamos Investments (April 2019–June 2025) reveals compelling results when comparing 90% Protected Bitcoin to gold:
In a diversified portfolio, replacing gold with 90% Protected Bitcoin improved returns across all tested allocations.
Additionally, replacing 5% of gold with 90% Protected Bitcoin increased returns while maintaining identical standard deviation and improving drawdown metrics.
As investors continue to seek resilient strategies in an inflationary and uncertain economic environment, protected bitcoin strategies offer a compelling alternative to traditional gold allocations. By maintaining similar downside risk while delivering stronger returns and improved portfolio metrics, it represents a modern evolution in inflation hedging. While no strategy is without risk, the structured approach behind Protected Bitcoin provides a thoughtful framework for advisors looking to enhance client outcomes without compromising on stability.
To learn more about a similar protected bitcoin strategy that may be deployed in an ETF, visit calamos.com/bitcoin.
Related: Stagflation Warning Signs: Consider an Equity Solution with Built-In Protection
Each Protected Bitcoin strategy ladders four quarterly strategies each with 1 year outcome periods, starting on April 1, 2019. Bitcoin options data are sourced from Amberdata, with the options traded on the Deribit exchange. The options contract on Deribit is based on Bitcoin futures, which have the same expiration date as options. Since options on Deribit are traded 24 hours, 3 PM CST was chosen to calculate daily return. Black–Scholes model is utilized for the option pricing. The risk-free rates with the maturity matching the days to-expiry of the options are used. The returns for protected strategies are before transaction cost. 1. 2. 3. 13 Protected Bitcoin: Improving Portfolios Utilizing a Stable Risk Framework
The performance shown in this paper is hypothetical in nature and does not represent the performance and/or investment risk characteristics of any specific client. While the performance listed for each respective strategy is based on actual performance, the aggregate portfolio performance, allocations listed and account comparisons shown are hypothetical in nature, as no actual clients are invested in these strategies. Hypothetical performance results have many inherent limitations, including those described below:
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Hypothetical performance results are generally prepared with the benefit of hindsight.
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There are limitations inherent in model results, such results do not represent actual trading and that they may not reflect the impact that material economic and market factors might have had on the advisor’s decision making if the advisor were actually managing clients’ money.
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The hypothetical performance shown does not involve financial risk, and no hypothetical performance calculation can completely account for the impact of financial risk on an actual investment strategy.
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The ability to withstand actual losses or to adhere to a particular investment strategy in spite of losses are material points which can adversely affect actual performance results.
There are distinct differences between hypothetical performance results and the actual results subsequently achieved by a particular investment portfolio. No representation is being made that an account will or is likely to achieve profits or losses similar to those shown, and any investment may result in loss of principal.
As with any hypothetical illustration there can be additional unforeseen factors that cannot be accounted for within the illustrations included herein. Hypothetical performance and index returns presented assume reinvestment of any and all earnings/distributions.
Glossary
Return: Expressed in percentage terms, Morningstar’s calculation of total return is determined each month by taking the change in monthly net asset value, reinvesting all income and capital-gains distributions during that month, and dividing by the starting NAV. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average.
Standard deviation: A statistical measurement of dispersion about an average, which, for a mutual fund, depicts how widely the returns varied over a certain period of time. Used to measure performance volatility or overall risk of a fund.
Sharpe ratio: Measures risk-adjusted performance by subtracting the fund’s return by the risk-free rate and dividing by the fund’s standard deviation. Determines reward per unit of risk. The Sharpe ratio can be used to compare two funds directly on how much risk a fund had to bear to earn excess return over the risk-free rate.
Sortino ratio: similar to Sharpe ratio except it uses downside risk (Downside Deviation) in the denominator.
Average loss: a geometric average of the periods with a loss. It is calculated by compounding the returns for loss periods where rates of return are less than 0 and then the monthly average is calculated.
Average drawdown (Average DD): An average of yearly maximum drawdown measures.
Disclosures
Calamos Investments LLC, referred to herein as Calamos, is a financial services company offering such services through its subsidiaries: Calamos Advisors LLC, Calamos Wealth Management LLC, Calamos Investments LLP, and Calamos Financial Services LLC.
The Target Outcome may not be achieved, and investors may lose some or all of their strategy. The strategy is designed to achieve the Target Outcome only if an investor buys on the first day of the Outcome Period and holds a strategy until the end of the Outcome Period. While the strategy seek to provide 100%, 90% or 80% protection against losses experienced by the price of Spot bitcoin for investors who hold the strategy for an entire Outcome Period, there is no guarantee a strategy will successfully do so. If a strategy has increased significantly, an investor that purchases the strategy after the first day of an Outcome Period could lose their entire investment. An investment in the strategy is only appropriate for investors willing to bear those losses. There is no guarantee the Capital Protection and Cap will be successful, and an investor investing at the beginning of an Outcome Period could also lose their entire investment.
Digital Assets Risk: The Bitcoin network was first launched in 2009 and bitcoins were the first cryptographic digital assets created to gain global adoption and critical mass. Although the Bitcoin network is the most established digital asset network, the Bitcoin network and other cryptographic and algorithmic protocols governing the issuance of digital assets represent a new and rapidly evolving industry that is subject to a variety of factors that are difficult to evaluate. Moreover, because digital assets, including bitcoin, have been in existence for a short period of time and are continuing to develop, there may be additional risks in the future that are impossible to predict as of the date of this prospectus. Digital assets represent a new and rapidly evolving industry, and the value of the Underlying ETPs’ shares depends on the acceptance of bitcoin. The realization of one or more of the following risks could materially adversely affect the value of the Underlying ETPs’ shares.
Investing involves risks. Loss of principal is possible. The strategy faces numerous market trading risks, including authorized participation concentration risk, underlying ETP risk, cap change risk, capital protection risk, capped upside risk, cash holdings risk, concentration risk, clearing member default risk, correlation risk, costs of buying and selling fund shares, counterparty risk, derivatives risk, equity securities risk, FLEX options risk, interest rate risk, investment in a subsidiary, investment timing risk, liquidity risk, management risk, market maker risk, market risk, new fund risk, non- diversification risk, options risk, OTC options risk, position limits risk, premium- discount risk, secondary market trading risk, sector risk, tax risk, trading issues risk, U.S. Government security risk, U.S. Treasury risk, and valuation risk.
100%, 90% or 80% capital protection is over a one-year period before fees and expenses. All caps are predetermined.
Cap Rate – Maximum percentage return an investor can achieve from an investment in a strategy if held over the Outcome Period.
Protection Level – Amount of protection a strategy is designed to achieve over the Days Remaining.
Outcome Period – Number of days in the Outcome Period.
Calamos Financial Services LLC, Distributor
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