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Calamos Bitcoin 80 Series Structured Alt Protection ETF - October CBTO

Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.

Fund and replication metrics

CBTO compared with its replication portfolio
MeasureCBTOReplication
Annualized growth-20.8%1.6%
Annualized volatility11.4%8.2%
Sharpe ratio-1.990.23
Maximum drawdown18.8%6.8%
Replication fit (R²)0.47 · Tracking error 8.3%

Replication portfolio

The published portfolio below is the investable basket used to model CBTO’s historical return behavior.

CBTO replication basket weights
TickerBuilding blockWeight
BKLNFI · Senior Bank Loans69.2%
ICVTFI · Convertibles16.6%
IBITAlternatives · Bitcoin14.2%