CAGE

1. Summary

• CAGE is not a stock long/short fund. It gets long exposure to a MerQube index of about 52 synthetic autocallable notes through unfunded total return swaps. An autocallable note pays a coupon if a reference index is at or above a set level on yearly dates, ends early ("is called") when the index is at or above its starting level, and protects principal at maturity unless the index has fallen below 50% of its start.
• The notes reference a volatility-target index of E-mini S&P 500 futures. That index can run up to 5x exposure and carries a 6% yearly decrement (a fixed drag). The fund documents give no exposure figures. The N-PORT schedule for April 30, 2026 shows one swap with notional equal to 97.7% of net assets and no short positions, so about 0.98x gross (my arithmetic).
• It does not short stocks. Its only "short" legs are inside box spreads, which it holds as cash substitutes. On April 30, 2026 it held them through an affiliated box spread ETF. The SAI permits limited short sales, but no document says the fund uses them.
• Most relevant for us: CAGE is a working example of the "swap on a custom index" path Tidal raised. It shows the trade-offs: a single swap counterparty (JPMorgan Chase Bank N.A. on April 30, 2026), a swap financing rate (1-month SOFR plus 0.100%) that shows up in the N-PORT but not in the expense ratio, collateral posted as initial and variation margin, and commodity pool status because the reference index uses futures.

2. Key facts

Other fact sheet terms for each note in the index, as of September 30, 2026: maturity 5 years, annual observation, coupon memory yes, coupon barrier 0%, principal maturity barrier -50%, coupons reinvested yes (CAGE-FS, page 2, "Individual note terms").

3. Service providers

Index provider: MerQube, Inc. licenses the index to the adviser (CAGE-PR, page 2, supplement "Disclaimer"). Legal counsel: Ropes & Gray LLP (CAGE-PR, page 43).

4. Strategy

• Objective and benchmark. The fund "seeks to generate long-term capital growth while providing reduced downside risk" through exposure to the autocallable index (CAGE-PR, page 5, "Investment Objective"). The "reduced downside risk" is relative to owning one autocallable note, "not relative to risk associated with investing in the S&P 500" (CAGE-PR, page 5). The fact sheet lists two benchmarks: the MerQube US Large-Cap Vol Advantage Autocallable Growth Total Return Index (MQAUTOCG) and the S&P 500 Index (CAGE-FS, page 2, "ETF information").
• Universe. U.S. large caps, but only through futures. The reference index "provides volatility adjusted exposure to E-Mini S&P 500 futures contracts" (CAGE-PR, page 6). The fact sheet also mentions "Nasdaq 100" (CAGE-FS, page 1, "Our approach to autocallable ETFs"). The prospectus does not mention the Nasdaq 100. See section 11.
• How it picks stocks. It doesn't. The index is "managed through a systematic process" (CAGE-PR, page 9, "Portfolio Management and Rebalancing"). The adviser's active role is limited to swap counterparty exposure, "collateral management and optimization," overall risk, and swap execution (CAGE-PR, page 9). The fund is called actively managed because it "will not attempt to replicate or track the Autocallable Index" (CAGE-PR, page 6).
• How the index works.
  • About 52 synthetic notes, one added each week, each with a 5-year term, a 1-year non-call period, a 100% coupon barrier, a 100% autocall barrier and a 50% maturity barrier (CAGE-PR, page 7, "Index Portfolio Characteristics"; CAGE-PR, page 10, "Autocallable Index Methodology").
  • The reference index targets "an implied volatility of 35%, subject to a 6% decrement per annum" (CAGE-PR, page 9, "The Underlying Reference Index"). Exposure is set as 35% divided by implied volatility, "with a maximum exposure cap of 5x (500%)" (CAGE-PR, page 11, "Underlying Reference Index Methodology").
• Neutrality targets. None. The fund is long equity risk only.
• Net exposure. No target or range is stated.
• Limits on position size. The index caps each synthetic note at 5% (CAGE-PR, page 10, "Autocallable Index Methodology"). Up to 25% of total assets may go into a Cayman Islands subsidiary that holds swaps (CAGE-PR, page 7). The fund is non-diversified (CAGE-PR, page 6). The SAI anticipates "more than 25% of the Fund's assets will have exposure to the financial services industry" (CAGE-SAI, page 17, footnote 4 to "Investment Restrictions", a section that starts on page 16). That likely reflects claims on bank swap counterparties (my inference).

5. Exposure and leverage

• Measured exposure, April 30, 2026 (CAGE-NP, page 6, CAGE schedule of investments):
  • Swap notional $15,928,503 against net assets of $16,297,106, so long 97.7% (my arithmetic).
  • Short 0%. No short positions are listed.
  • Gross 0.98x and net 97.7% (my arithmetic).
  • This was two weeks after launch. No later figure is available. The fund documents (CAGE-FS, CAGE-PR, CAGE-SAI) give no exposure figures.
  • These figures don't count the up to 5x exposure inside the reference index (CAGE-PR, page 11).
• Stated targets or limits. At least 80% of net assets in Treasuries, cash, cash equivalents, box spreads, box spread ETFs and the unfunded swaps (CAGE-PR, page 6). No exposure target for the swaps is given.
• Where the leverage sits. Inside the reference index, not on the fund's balance sheet. The index can hold up to 5x exposure to E-mini futures (CAGE-PR, page 11). The fund reaches it through swaps: "The use of total return swaps may add leverage to the Fund's portfolio" (CAGE-PR, page 10, "Total Return Swaps"). The prospectus also warns that "unfunded swap agreements may involve greater leverage risks than funded swaps" (CAGE-PR, page 16, "Swap Agreement Risk").
• Fact sheet wording. The fact sheet calls the fund a "buy-and-hold solution (no daily leverage or vol drag)" (CAGE-FS, page 1, "Portfolio fit"). This sits uneasily with the prospectus's 5x cap and 6% decrement in the reference index (my inference). "No daily leverage" may mean no daily reset, since the index rebalances weekly (CAGE-PR, page 9) (my inference).
• How it gets exposure. Unfunded total return swaps. The fund makes no upfront payment and keeps its cash in Treasuries, cash equivalents and box spreads (CAGE-PR, pages 6 and 20). On April 30, 2026 that cash sat in Treasury bills (16.8% of net assets) and the Calamos Tax-Aware Collateral ETF (79.7%), and the swap showed no upfront payment (CAGE-NP, page 6).
• Borrowing limits. Fundamental policy: no borrowing "except from banks, other affiliated funds and other entities to the extent permitted under the 1940 Act" (CAGE-SAI, page 17, "Investment Restrictions", a section that starts on page 16). "The Fund does not intend to purchase securities when its borrowings exceed 5% of total assets" (CAGE-SAI, page 17, footnote 1). Bank borrowing up to 33 1/3% of total assets is allowed by law (CAGE-SAI, page 17, footnote 2). Reverse repurchase agreements and other borrowings are marked "N" (non-principal) (CAGE-SAI, page 6, "Investment Practices"). No line of credit is named.

6. Shorting, financing and collateral

• How it shorts. It doesn't, as a strategy. No document describes short sales of stock. The only short legs are inside box spreads: "a synthetic long position coupled with an offsetting synthetic short position" (CAGE-PR, page 20, "Additional Information About Investment Strategies and Related Risks"). These are bought as cash substitutes: "Box Spreads are expected to have return characteristics similar to cash equivalents" (CAGE-PR, page 11, "Box Spreads"). On April 30, 2026 the fund held no box spreads directly. It held the Calamos Tax-Aware Collateral ETF, which "Seeks capital appreciation by investing in FLEX options box spreads" (CAGE-NP, pages 6 and 53).
• Permitted only. A non-fundamental policy allows short sales against the box (covered by owned shares), and other short sales if "no more than 20% of its net assets would be deposited with brokers as collateral or allocated to segregated accounts in connection with all outstanding short sales" (CAGE-SAI, page 18, "Investment Restrictions"). Options on securities and indexes and FLEX options are marked principal (CAGE-SAI, page 6).
• Who lends the stock and who holds the collateral. No stock is borrowed. Swap collateral goes to the swap counterparty. The fund "will be subject to variation margin requirements, and will be required to post a portion of its assets as initial margin" (CAGE-PR, page 20, "Additional Information About Investment Strategies and Related Risks"). The documents don't say whether margin is held by the counterparty or in a tri-party account at State Street. On April 30, 2026, Treasury bills worth $1,899,313 were "segregated as collateral (or collateral for potential future transactions) for swaps" (CAGE-NP, page 6). The N-PORT doesn't say where they were held either.
• What is posted. To meet swap margin, the fund "may allocate all or a significant portion of its cash" to investment-grade bonds, floating rate notes, commercial paper and money market funds (CAGE-PR, page 20). No long stocks are held, so none are pledged.
• Short sale proceeds used to buy longs. Not applicable. No short sales.
• Segregated or tri-party account. Not stated. The prospectus notes that under Rule 18f-4 "funds are no longer required to comply with the asset segregation framework" (CAGE-PR, page 29, "Derivatives Risk").
• Counterparty limits. "The Fund is not subject to any limit on their exposure to any one counterparty" and has no minimum credit rating requirement (CAGE-SAI, page 11). "The Fund expects to obtain exposure through swap agreements with a single counterparty or a limited number of counterparties" (CAGE-SAI, page 12, "Swap Agreements"). On April 30, 2026 it had one swap, with JPMorgan Chase Bank N.A. (CAGE-NP, page 6).
• Securities lending. Permitted up to 33% of total assets by fundamental policy (CAGE-SAI, page 16, "Investment Restrictions"). No document says the fund lends, and no agent is named.

7. Derivatives and Rule 18f-4

• Derivatives used. Unfunded total return swaps on the autocallable index (principal). FLEX options on SPY, used to build box spreads (CAGE-PR, page 11, "General Information about FLEX Options"). Possibly swaps held through the Cayman subsidiary (CAGE-PR, page 7).
• Derivatives held, April 30, 2026. One total return swap with JPMorgan Chase Bank N.A. on the MerQube US Large Cap Vol Advantage Autocallable Growth Index. Notional $15,928,503, ending 05/28/27, with annual payments (CAGE-NP, page 6). No options or other derivatives are listed. Box spread exposure came through the affiliated ETF (CAGE-NP, page 6).
• How an unfunded swap is priced. The SAI's general description: the receiver "pays a fixed or floating interest rate, often tied to a reference rate such as SOFR" (CAGE-SAI, page 13, "Total Return Swaps"). It doesn't give CAGE's own rate or spread. The N-PORT does: the fund receives "Equity returns" on the index and pays "1 mo. SOFR Plus 0.100%" (CAGE-NP, page 6, "TOTAL RETURN SWAPS").
• Limited derivatives user or full program. Not stated for this fund. The prospectus describes Rule 18f-4 in general: funds above a limited amount must apply "a value-at-risk based limit" and "adopt and implement a derivatives risk management program" (CAGE-PR, page 29, "Derivatives Risk"). With all its equity exposure in swaps, CAGE is likely above the limited user threshold (my inference).
• VaR test and reference portfolio. Not stated. VaR (value at risk) estimates the most a fund could lose over a set period at a set confidence level.
• Commodity pool status. It is a commodity pool, so it does not rely on CFTC Rule 4.5. "The Fund is a commodity pool under the Commodity Exchange Act" and the adviser is registered as a commodity pool operator for it (CAGE-SAI, page 4, "CFTC Regulation"). The prospectus cover also names the CFTC (CAGE-PR, page 3).

8. Costs

• Who pays what. The fund pays the 0.74% fee. Out of it, the adviser pays transfer agency, custody, administration, legal, audit, and service and license fees (CAGE-PR, page 36). The fund still pays any 12b-1 fees, acquired fund fees, "brokerage commissions and other expenses connected with the execution of portfolio transactions, taxes, interest, and extraordinary expenses" (CAGE-PR, page 36). State Street and Ernst & Young are paid by the adviser out of its fee (CAGE-SAI, page 54). The adviser also pays "other service and license fees" (CAGE-PR, page 36). That likely includes the MerQube index license (my inference).
• Expense example. $76 for 1 year and $237 for 3 years per $10,000 (CAGE-PR, page 5). The supplement replaced the fee table but did not restate the example.
• Brokerage commissions and turnover. None yet: "Because the Fund has not yet commenced operations, portfolio turnover information is unavailable at this time" (CAGE-PR, page 5, "Portfolio Turnover"). No commission figures are given.
• Gap between expense ratio and management fee. Net 0.74% minus 0.74% is 0.00% (my arithmetic). Gross 0.85% minus 0.74% is 0.11%, which is exactly the acquired fund fees, then waived (my arithmetic). On April 30, 2026 the only acquired fund was the Calamos Tax-Aware Collateral ETF, which invests in FLEX options box spreads (CAGE-NP, pages 6 and 53). Swap financing is not in these figures. At 0.100% over SOFR on a notional of 97.7% of net assets, it adds about 0.10% of net assets a year above the base rate (my arithmetic, from CAGE-NP, page 6). Costs built into the reference index, such as its 6% yearly decrement (CAGE-PR, page 9), are separate and also not visible in the expense ratio (my inference).

9. Performance and risk

Returns from the fact sheet, periods ending September 30, 2026 (CAGE-FS, page 1, "Performance (%)"). Since inception is April 16, 2026. Periods under 12 months are cumulative, since the fact sheet says "Returns greater than 12 months are annualized" (CAGE-FS, page 1).

• Calendar-year returns. None. "The Fund has not commenced operations as of the date of this prospectus" (CAGE-PR, page 17, "Fund Performance").
• Risk statistics. None given for the fund (no beta, correlation, volatility, Sharpe ratio, drawdown or capture).
• Index statistics, September 30, 2026 (CAGE-FS, page 2, "Benchmark index information"): weighted average return 15.59%; weighted average coupon 29.06%; coupon multiplier 1.3x; weighted average time to maturity 4.2 years; 52 live autocallables; 0% of notes near maturity with principal at risk. The table heading says "MGAUTOCG", which looks like a typo for MQAUTOCG (my inference).
• Tracking. NAV trailed the index by 0.10 points since inception and 0.13 points over 3 months (my arithmetic).

10. History and structural changes

• Predecessor funds. None stated. "The Fund has not commenced operations and therefore has no performance history" (CAGE-PR, page 44, "Financial Highlights").
• Reorganizations and 351 conversions. None. No hits for "predecessor," "351" or a fund reorganization tied to CAGE.
• Name, ticker, strategy, adviser or trust changes. None stated.
• Index history. The reference index "was launched on February 11, 2022, with a base date of January 14, 2005" (CAGE-PR, pages 11 and 12, "Index Construction and Calculation"). The autocallable index's starting portfolio is 52 notes issued weekly from January 14, 2005 to January 6, 2006 (CAGE-PR, page 10). So most index history before 2022 is back-calculated (my inference).
• Document dates.
  • Prospectus dated April 13, 2026, with a supplement dated April 15, 2026 bound in front that replaced the fee table (CAGE-PR, page 1).
  • SAI dated April 13, 2026, labeled "Preliminary Statement of Additional Information" (CAGE-SAI, page 2). A final SAI may differ.
  • Both predate inception (April 16, 2026) and the fact sheet (September 30, 2026). No annual report was attached, though the first fiscal year ended July 31, 2026.
  • N-PORT schedule of investments as of April 30, 2026 (CAGE-NP, page 6). It is the only document with holdings, exposure or swap terms.
• Conflicts between documents.
  • Fee table: the supplement gives 0.11% acquired fund fees and 0.85% gross (CAGE-PR, page 1). The original prospectus gives 0.08% and 0.82% (CAGE-PR, page 5). The fact sheet gives 0.82% gross but a 0.11% waiver (CAGE-FS, page 2), so it mixes the two.
  • Prospectus date: the fact sheet footnote says "As of the prospectus dated 04/16/2026" (CAGE-FS, page 2). The prospectus is dated April 13, 2026 and the supplement April 15, 2026 (CAGE-PR, page 1).
  • Underlying indexes: the fact sheet says the options are tied to "volatility-controlled S&P 500 and Nasdaq 100 based indexes" (CAGE-FS, page 1). The prospectus describes only E-mini S&P 500 futures (CAGE-PR, pages 6 and 9).
  • Income: the fact sheet says the fund "Seeks high, consistent, monthly income or growth" (CAGE-FS, page 1). The prospectus says distributions are annual (CAGE-PR, page 39), and the fact sheet itself says "Income distribution Annual" (CAGE-FS, page 2).
  • Barrier wording: the fact sheet gives a 0% coupon barrier and a -50% principal barrier (CAGE-FS, page 2). The prospectus gives 100% and 50% (CAGE-PR, page 7). These likely describe the same terms, as change from start versus level (my inference).
  • Repurchase agreements: the prospectus says the fund "expects to invest in money market instruments, including U.S. Treasury Securities and repurchase agreements" (CAGE-PR, page 6). The SAI marks repurchase agreements "N" (non-principal) (CAGE-SAI, page 6).
  • Index name: the prospectus objective says "MerQube US Large-Cap Advantage Autocallable Growth Index" (CAGE-PR, page 5). Elsewhere it is "Vol Advantage" (CAGE-PR, page 19).

11. Principal risks

Summary list: CAGE-PR, pages 12 to 17, "Principal Risks". Longer descriptions: CAGE-PR, pages 19 to 35. The fact sheet's risk list omits Box Spread Risk and Swap Agreement Termination Risk (CAGE-FS, page 2).

• Authorized Participant Concentration Risk (page 12).
• Autocallable Structure Risk (page 12).
• Contingent Income Risk (page 12).
• Early Redemption Risk (page 12).
• Barrier Risk (page 12). Losses can be "sudden, significant" if the 50% barrier is breached.
• Box Spread Risk (pages 12 and 13). Flag: counterparties and financing. Depends on others' willingness "to sell Box Spreads to the Fund at competitive prices."
• Calculation Methodology Risk (page 13).
• Cash Holdings Risk (page 13).
• Correlation Risk (page 13).
• Costs of Buying and Selling Fund Shares (page 13).
• Counterparty Risk (page 13; longer version page 29). Flag: counterparties. "The Fund's exposure to the Index Portfolio is obtained entirely through Swap Agreements with Swap Counterparties." "The Fund may have substantial exposure to a single Swap Counterparty".
• Credit Risk (page 13). Flag: collateral. Covers the fund's collateral investments.
• Derivatives Risk (page 13; longer version page 29). Flag: leverage. The fund "could lose more than the principal amount invested."
• Equity Securities Risk (page 13).
• FLEX Options Risk (pages 13 and 14). Flag: counterparties. Exposure to the OCC (Options Clearing Corporation) failing.
• Index Risk (page 14). Flag: leverage. Covers the volatility target and the 6% decrement. The adviser or board may substitute the index "without advance notice to shareholders."
• Interest Rate Risk (page 14).
• Investment in a Subsidiary (pages 14 and 15). Flag: leverage. The Cayman subsidiary may hold swaps and is not registered under the 40 Act.
• Laddered Portfolio Risk (page 15).
• Liquidity Risk (page 15).
• Market Maker Risk (page 15).
• Market Risk (page 15).
• New Fund Risk (page 15).
• Non-Diversification Risk (page 15).
• Other Investment Companies Risk (page 15).
• Premium-Discount Risk (page 15).
• Secondary Market Trading Risk (page 16).
• Swap Agreement Risk (page 16; longer version page 32). Flag: leverage and counterparties. "unfunded swap agreements may involve greater leverage risks than funded swaps".
• Swap Agreement Termination Risk (page 16). Flag: counterparties. If the counterparty terminates and no replacement is found, "the Adviser may recommend to the Board of Trustees to immediately liquidate the Fund."
• Tax Risk (page 16). Whether swap income counts as qualifying income for a RIC (regulated investment company) is "uncertain."
• Trading Issues Risk (page 16).
• Valuation Risk (page 17).
• Volatility Target Index Risk (page 17). Flag: leverage. Weekly rebalancing may expose the fund "to higher volatility than targeted".

12. Relevance to our fund

All points in this section are my inference unless a citation is given.

• How close is its structure and leverage? Not close. CAGE is a long-only structured equity product with no short book, no stock picking and gross of about 0.98x on April 30, 2026 (CAGE-NP, page 6). It is on the list as a long/short peer, but its economics are a laddered set of yield notes on a leveraged S&P 500 futures index. It is a poor comparison for a 150/150 market neutral book.
• What does it show about 3.0x gross in a 40 Act ETF?
  • It shows one route Tidal named: a swap on a custom index (S7 in fund_context.md). All of CAGE's market exposure comes from unfunded swaps, and the leverage (up to 5x in the reference index, CAGE-PR, page 11) sits inside the index, not on the fund's balance sheet. A 150/150 book could be wrapped the same way, as a swap on a custom long/short index.
  • It also shows the costs Tidal flagged (O8 and O9). Holdings are hidden behind the swap. Daily disclosure shows the swap, not the stocks. An index provider must be licensed.
  • The fund is a commodity pool with a registered operator (CAGE-SAI, page 4), because its reference uses futures. A swap on an all-stock index might avoid that. A futures leg would not.
  • It gives no evidence on direct shorting, prime brokers or portfolio margin.
• What does it show about financing, collateral, custody and costs?
  • Financing cost is invisible in the expense ratio. The fund reports 0.74% net with no line for swap financing. But the N-PORT shows the swap pays 1-month SOFR plus 0.100% (CAGE-NP, page 6). That is a real value for L, the long-side swap spread in fund_context.md. It comes from one long index swap of about $16 million, not a 150/150 single-stock book, so our L and S could differ. Under the fund_context.md formula for total return swaps ($150 × L + $150 × S), our costs would also sit inside swap returns, so our expense ratio would understate true cost in the same way.
  • Collateral is posted as initial and variation margin, funded from Treasuries, cash, money market funds and box spreads (CAGE-PR, page 20). Cash management uses box spreads built from SPY FLEX options, which matches Tidal's S10 path, but as a cash substitute, not as borrowing. On April 30, 2026 it held them through the Calamos Tax-Aware Collateral ETF (CAGE-NP, page 6).
  • Custody is simple: State Street holds the fund's cash and securities (CAGE-SAI, page 54). The swap sits with the counterparty. This avoids the "custodied away" problem for shorts that Tidal raised (O10, O11), because there are no direct shorts.
  • Counterparty concentration is a real risk. The fund may rely on one counterparty, has no limit per counterparty, and may liquidate if a swap is ended (CAGE-SAI, pages 11 and 12; CAGE-PR, page 16). On April 30, 2026 it did rely on one: JPMorgan Chase Bank N.A. (CAGE-NP, page 6).
  • Calamos runs CAGE in its own trust, not on a white-label platform, so it says nothing direct about Tidal's limits.

13. Gaps and open questions

What the documents don't answer, for a 150/150 fund:

• Swap counterparties and swap notional after April 30, 2026. On that date the N-PORT shows one swap with JPMorgan Chase Bank N.A. at 97.7% of net assets (CAGE-NP, page 6).
• Any index or structuring fee embedded in the swap. The financing spread is 1-month SOFR plus 0.100% (CAGE-NP, page 6).
• Where swap margin sits: with the counterparty, or in a tri-party account at State Street.
• Which Rule 18f-4 VaR test the fund uses, its reference portfolio, and whether it has a derivatives risk manager.
• Whether the Cayman subsidiary is used, and how much is in it.
• Net assets after April 30, 2026, NAV, beta and other risk statistics.
• Actual results for the fiscal year ended July 31, 2026. No annual report was attached.

Questions to ask:

• To Calamos: Is JPMorgan Chase Bank N.A. still CAGE's only swap counterparty? Does the 0.100% spread over SOFR cover all swap costs, or are index or structuring fees built into the index level?
• To Calamos: How much leverage does the reference index carry on average? The swap notional was 97.7% of net assets on April 30, 2026 (CAGE-NP, page 6).
• To Calamos: Which 18f-4 VaR test and reference index did the board approve?
• To Calamos: Which fee table is current, 0.82% or 0.85% gross? The fact sheet cites a prospectus "dated 04/16/2026" that isn't among these documents (CAGE-FS, page 2, footnote 1).
• To Calamos: Does the fund use any Nasdaq 100 index, as the fact sheet says?
• To Tidal: Would Tidal support a 150/150 book delivered as a swap on a custom long/short index, as CAGE does for its index? What counterparty limits and collateral terms would Tidal require?

Search terms tried for fields left "Not stated":

• Exposure and short method: short sale, sold short, leverage, gross, net, notional, exposure.
• Prime broker and margin type: prime broker, borrow, margin, Regulation T, portfolio margin.
• Counterparty names: counterparty, swap, qualified financial institutions.
• Leverage cost and short dividends: interest, borrowing, line of credit, asset coverage, swap, box spread, reverse repurchase, SOFR.
• VaR test: value at risk, value-at-risk, VaR, 18f-4, derivatives risk manager, limited derivatives user, risk management program, relative VaR, absolute VaR, designated reference.
• Securities lending agent: securities lending, lending agent.
• History: predecessor, reorganiz, 351.
• Net assets, beta and risk data: none of the three fund documents has a holdings or statistics section for the fund. The fact sheet was read in full.
• N-PORT (CAGE-NP): searched for "Autocallable Growth" and "CAGE". It supplied net assets, exposure, the swap counterparty and the swap spread. It has no beta or risk statistics.

14. Documents used

CAGE-FS, CAGE-PR and CAGE-SAI cover CAGE only. CAGE-NP covers the Calamos ETF Trust funds listed in its Note 1; only CAGE's schedule and the shared notes were used.

Page numbering.

• CAGE-FS: no printed page numbers. Pages are counted as PDF pages 1 and 2.
• CAGE-PR: PDF pages 1 and 2 are the supplement (no printed numbers). PDF page 3 is the cover and PDF page 4 the contents. From PDF page 5 on, PDF page = printed page + 4 (PDF page 5 is printed page 1; PDF page 46 is printed page 42). PDF page 47 is the back cover.
• CAGE-SAI: PDF page 1 is blank. PDF pages 2 and 3 are the cover and contents. From PDF page 4 on, PDF page = printed page + 3 (PDF page 4 is printed page 1; PDF page 54 is printed page 51). PDF pages 55 to 58 are Exhibit A, printed A-1 to A-4.
• CAGE-NP: a text file, not a PDF. Page numbers are the printed numbers on each schedule page (CAGE's schedule is printed page 6).

15. Snapshot sources

• Ticker: CAGE-FS, page 2, "ETF information" ("Fund ticker CAGE"); CAGE-FS, page 1, header.
• Fund name: CAGE-FS, page 1, header ("Calamos Autocallable Growth ETF (CAGE)").
• As of date: "Data as of 09/30/2026" (CAGE-FS, page 1, header; CAGE-FS, page 2, header).
• Adviser: "Investment advisor" is Calamos Advisors LLC (CAGE-FS, page 2, "ETF information"); CAGE-PR, page 36, "Who manages the Fund?".
• Platform: the fund is "a series of the Calamos ETF Trust" (CAGE-SAI, page 2, cover), advised by Calamos Advisors. "Own trust" (my inference).
• Exchange: "Exchange NYSE Arca, Inc." (CAGE-FS, page 2, "ETF information").
• Inception: "Inception date 04/16/2026" (CAGE-FS, page 2, "ETF information").
• Net assets: "NET ASSETS (100.0%) $ 16,297,106" (CAGE-NP, page 6, CAGE schedule of investments), as of April 30, 2026, rounded to $16.30 million (my arithmetic). This is two weeks after inception and five months before the As of date. CAGE-FS, CAGE-PR and CAGE-SAI give no net assets figure.
• Strategy type: none of the six original types fits, so a new type, "long-only structured equity", was created for this fund. The fund is a long-only structured equity exposure through swaps on an autocallable index (CAGE-PR, page 6, "Principal Investment Strategies"). The documents don't use that label (my inference).
• Long %: total return swap notional of "$15,928,503" on the MerQube US Large Cap Vol Advantage Autocallable Growth Index (CAGE-NP, page 6, "TOTAL RETURN SWAPS"), divided by net assets of $16,297,106, is 97.7% (my arithmetic), as of April 30, 2026. The swap is the fund's only market exposure; the Treasury bills and the Calamos Tax-Aware Collateral ETF are cash and collateral holdings (CAGE-NP, page 6) and are not counted. The up to 5x exposure inside the reference index (CAGE-PR, page 11) is not counted either.
• Short %: the April 30, 2026 schedule lists one long total return swap, Treasury bills and one ETF, and no short positions (CAGE-NP, page 6). So 0% (my inference).
• Gross: 97.7% long plus 0% short is 97.7%, or 0.98x, as of April 30, 2026 (my arithmetic, from CAGE-NP, page 6).
• Above 2.0x: 0.98x is below 2.0x (my arithmetic). The reference index alone can reach 5x (CAGE-PR, page 11), but that is index exposure, not the fund's gross.
• Net: 97.7% long minus 0% short is 97.7%, as of April 30, 2026 (my arithmetic, from CAGE-NP, page 6).
• Short method: none. The fund doesn't describe shorting stocks, and the April 30, 2026 schedule shows no short positions (CAGE-NP, page 6). Box spreads hold an offsetting "synthetic short position" as part of a cash substitute (CAGE-PR, page 10, "Box Spreads"); the fund holds them through the Calamos Tax-Aware Collateral ETF, which "Seeks capital appreciation by investing in FLEX options box spreads" (CAGE-NP, page 53, Note 1). Short sales are permitted only (CAGE-SAI, page 18).
• Prime broker or counterparty: "JPMorgan Chase Bank N.A." is the counterparty on the fund's one total return swap (CAGE-NP, page 6, "TOTAL RETURN SWAPS"), as of April 30, 2026. The prospectus describes swap counterparties only as "one or more qualified financial institutions" (CAGE-PR, page 6). No prime broker is described.
• Custodian: CAGE-SAI, page 54, "Custodian and Transfer Agent"; CAGE-PR, page 43, "Fund Service Providers".
• Management fee: CAGE-PR, page 1, supplement fee table; CAGE-SAI, page 30, "Investment Advisory Services" ("annual rate of 0.74%"). The adviser pays substantially all other expenses from it (CAGE-PR, page 36).
• Total expense ratio: "Total Annual Fund Operating Expenses After Waiving and/or Reimbursing Expenses 0.74%" (CAGE-PR, page 1, supplement dated April 15, 2026); "Net Expense Ratio" of 0.74% (CAGE-FS, page 2, "ETF information"). Gross is 0.85% per the supplement and 0.82% per the fact sheet. See section 11.
• Short costs in expense ratio: the fee table has no line for dividends or interest on short sales (CAGE-PR, page 1). Interest is excluded from the unitary fee (CAGE-PR, page 36).
• 3-month return: 3.66% at NAV, 3 months to September 30, 2026 (CAGE-FS, page 1, "Performance (%)").
• 1-year return: not available. The fund started April 16, 2026, and the fact sheet gives only 1-month, 3-month and since-inception figures (CAGE-FS, page 1, "Performance (%)"). No period end applies.
• Beta: not given in any of the three documents.
• Beta benchmark: not stated, because no beta is given.
• Beta period: not stated, because no beta is given.
• Leverage Method: "The Fund's exposure to the Autocallables is obtained through one or more Swap Agreements with one or more qualified financial institutions" (CAGE-PR, page 6, "Principal Investment Strategies"); "The use of total return swaps may add leverage to the Fund's portfolio" (CAGE-PR, page 10, "Total Return Swaps"). Box spreads are bought as cash equivalents, not sold to borrow (CAGE-PR, page 11), so "Box spreads" does not apply (my inference). The futures leverage sits inside the reference index, not in the fund (CAGE-PR, page 11) (my inference). The April 30, 2026 schedule confirms one total return swap and no other derivatives (CAGE-NP, page 6).
• Leverage cost: the fund pays "1 mo. SOFR Plus 0.100%" on the swap, with annual payments and a termination date of 05/28/27 (CAGE-NP, page 6, "TOTAL RETURN SWAPS"), as of April 30, 2026. On a notional of 97.7% of net assets, the spread above SOFR is about 0.10% of net assets a year (my arithmetic). Any index fees or costs built into the MerQube index, including its 6% yearly decrement (CAGE-PR, page 9), are not part of this spread. No annual report was attached.
• Short dividend expense: none. The April 30, 2026 schedule shows no short positions (CAGE-NP, page 6), so there are no short dividends to pay (my inference).
• Ranking properties (Rank to Score): from the ranking of the 27 LS peers prepared November 11, 2026, using only the project's fund profiles. Each of the seven criteria scores Yes = 1, Partly = 0.5, No or Not stated = 0. Funds sort first by Portfolio margin (YES, LIKELY, POSSIBLE, UNLIKELY, NO), then by Score, then Tidal funds first, then higher gross exposure (my inference).
• Rank: 25 of 27, as of November 11, 2026.
• Long/short: No. Long-only exposure through one swap, with no short positions on April 30, 2026 (CAGE-NP, page 6).
• Portfolio margin: NO. The fund has no short stock book; no document describes shorting stocks (CAGE-PR, page 6; CAGE-NP, page 6).
• Cross-collateral: Not stated. Swap collateral is posted as initial and variation margin (CAGE-PR, page 20); no stock margin account is described.
• Outside Reg T: No. Exposure comes through swaps, not a margin account (CAGE-PR, page 6) (my inference).
• Short costs (includes dividends): Partly. The swap pays 1-month SOFR plus 0.100%, long side only, as of April 30, 2026 (CAGE-NP, page 6). This is a swap spread, not a short cost.
• Over 2.0x: No. 0.98x on April 30, 2026 (CAGE-NP, page 6; my arithmetic).
• Tidal: No. The fund is a series of the Calamos ETF Trust (CAGE-SAI, page 2, cover).
• Score: 0.5 (my arithmetic).

16. Fund Documents

Fact Sheet

Prospectus

SAI