Matt Kaufman

Matt Kaufman is the Head of ETFs at Calamos Investments, a firm founded in 1977 by John Calamos Sr., who is widely regarded as a pioneer in convertible bond investing. John Sr. served as a fighter pilot in Vietnam and began investing in convertibles in the late 1970s, eventually building Calamos into a multi-billion dollar asset management firm. Matt joined after a career that included launching and managing ETFs at other firms, and now oversees product strategy for Calamos's growing ETF business, including their structured protection ETFs.

On this episode, Matt returns to Behind the Ticker to talk with Brad about Calamos's entry into the structured protection ETF space, how their products differ from competitors, and the firm's broader ETF strategy built on decades of options expertise.

Calamos's Options DNA

What separates Calamos from other firms entering the defined outcome space is their history. John Calamos Sr. has been trading convertible bonds, which are essentially fixed income instruments with embedded call options, since the late 1970s. The firm has over 45 years of experience managing portfolios where options are a core component, not an overlay. When other firms started launching buffer ETFs in 2018 and 2019, Calamos had already been managing options-based strategies for four decades. Matt argues this institutional knowledge matters when markets get volatile and the options book requires active management.

The firm manages roughly $35 billion in assets across mutual funds, SMAs, and ETFs. Their convertible bond expertise extends to alternative strategies including hedged equity and long-short approaches, all of which rely on options pricing and risk management. This depth of options knowledge is what gave Calamos the confidence to launch their structured protection ETFs, knowing they had the trading infrastructure and risk management frameworks already in place.

CPSM and the Structured Protection Lineup

Calamos launched a series of structured protection ETFs that offer 100% downside protection over a defined outcome period, with a capped upside tied to the S&P 500. The key differentiator: full principal protection, not a buffer against the first 10% or 15% of losses. If the S&P 500 drops 30% during the outcome period, the investor loses nothing. This is achieved by holding US Treasuries to maturity to guarantee the return of principal, then using the remaining capital to purchase call options on the S&P 500 for upside participation.

Matt explains the mechanics in detail. At the start of each outcome period, the fund buys zero-coupon Treasuries that mature at the end of the period, guaranteeing $100 of return per $100 invested. The difference between the purchase price of those Treasuries and the $100 invested is used to buy call options on the S&P 500. The higher the Treasury yield at inception, the more capital is available for options, and the higher the upside cap. This is why the current interest rate environment is particularly favorable for this product: with 5% yields, there's meaningful capital available to buy options exposure.

The funds come in different outcome period lengths (one year, two year) and reset at different start dates to give advisors flexibility on entry timing. Unlike traditional buffer ETFs where buying mid-period means you inherit whatever buffer remains, Calamos's 100% protection structure is simpler for advisors to explain to clients: your principal is guaranteed, and you participate in equity upside up to the cap.

The Advisor Conversation

Matt notes that the biggest challenge isn't explaining how the product works but rather getting advisors to believe that 100% downside protection is real. Years of experience with structured notes, where protection was tied to the creditworthiness of the issuing bank, have made advisors skeptical. Calamos addresses this by pointing to the Treasury securities backing the guarantee. The credit risk is the US government, not a bank balance sheet. This also differentiates the product from insurance company annuities, which offer similar guarantees but with surrender charges, illiquidity, and insurance company credit risk.

From a portfolio construction perspective, Matt positions the structured protection ETFs as a replacement for the conservative portion of a portfolio. For clients who are reluctant to stay invested in equities but need growth to meet their financial plan, this product lets them participate in equity upside with the psychological comfort of knowing their principal is protected. He reports that early adoption has been strongest among advisors with clients in or near retirement who need equity exposure but can't stomach the volatility.

Key Takeaways

• Calamos was founded in 1977 by convertible bond pioneer John Calamos Sr. and has over 45 years of options-based portfolio management experience, predating the defined outcome ETF category by decades.
• Their structured protection ETFs offer 100% downside protection by holding US Treasuries to maturity, then using the remaining capital to purchase S&P 500 call options for upside participation.
• Higher Treasury yields directly improve the upside cap: at 5% yields, more capital is available to buy options exposure compared to the near-zero rate environment of recent years.
• The credit risk behind the principal guarantee is the US government (via Treasuries), not a bank or insurance company balance sheet, which addresses a key advisor concern.
• Calamos manages roughly $35 billion across mutual funds, SMAs, and ETFs, with convertible bonds and options strategies at the core of their investment DNA.

Listen to the full conversation on Spotify, Apple Podcasts, or YouTube.