Back on June 25, 2025, Calamos Investments released the Calamos Autocallable Income ETF (CAIE). CAIE, which provides regular income and eventual principal through exposure to a laddered collection of autocallable yield notes, certainly turned more than a few heads when it first came to market.
This could be due in part to the fund’s focus on autocallables, securities that regular investors might not be used to having within their portfolio. For the uninitiated, autocallable yield notes are market-linked investments which generate income and/or principal based upon the performance of a paired index.
See More: Matt Kaufman on the Calamos Approach to Autocallable ETFs
As long as that index stays above its predetermined barrier level, the note can continue to generate income and principal on a regular basis. However, if the index falls below the barrier, coupon payments will cease until the index passes above the barrier threshold once more.
Standing Out From the Crowd Across CAIE’s First Year
Of course, what matters most is how CAIE has performed since its inception. Fortunately, the fund has boasted quite a compelling track record thus far. As the chart below shows, CAIE has generated high total returns since its inception, as of June 3, 2026. These total returns are outpacing that of the JPMorgan Equity Premium Income ETF (JEPI), which is the largest covered call ETF, while CAIE is the largest autocallable ETF. This difference in total return helps showcase what autocallables can specifically bring to the table over other coveted income approaches on the market.
Performance Disclosure: Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. Upon sale, your shares may have a market price that is above or below net asset value and may be worth more or less than your original investment.
See More: Curious if Autocallable Growth Works? Use the Rule of 72
Like one would expect, part of CAIE’s potent track record comes from its compelling income potential. As of June 8, 2026, the fund’s underlying index, MerQube US Large Cap Vol Advantage Autocall TR Index (MQAUTOCL), has a weighted average coupon of 13.98%.
With both an attractive performance record and growing asset base, those who haven’t already pivoted towards autocallables might find a lot of appeal from CAIE’s approach. However, Calamos Investments also offers other ETFs for autocallable exposure, such as the Calamos Autocallable Growth ETF (CAGE). As such, investors should do their due diligence and research which fund provides the best fit to meet their portfolio objectives.
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Before investing, carefully consider the fund’s investment objectives, risks, charges and expenses. Please see the prospectus and summary prospectus containing this and other information which can be obtained by calling 1-866-363-9219. Read it carefully before investing.
An investment in the Fund(s) is subject to risks, and you could lose money on your investment in the Fund(s). There can be no assurance that the Fund(s) will achieve its investment objective. Your investment in the Fund(s) is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. The risks associated with an investment in the Fund(s) can increase during times of significant market volatility. The Fund(s) also has specific principal risks, which are described below. More detailed information regarding these risks can be found in the Fund’s prospectus.
The principal risks of investing in the Calamos Autocallable Growth ETF include: authorized participant concentration risk, autocallable structure risk, contingent income risk, early redemption risk, barrier risk, calculation methodology risk, cash holdings risk, correlation risk, costs of buying and selling fund shares, counterparty risk, credit risk, derivatives risk, equity securities risk, FLEX Options risk, index risk, interest rate risk, investment in a subsidiary, laddered portfolio risk, liquidity risk, market maker risk, market risk, new fund risk, non-diversification risk, other investment companies risk, premium-discount risk, secondary market trading risk, swap agreement risk, tax risk, trading issues risk, valuation risk, and volatility target index risk.
The principal risks of investing in the Calamos Autocallable Income ETF include: autocallable structure risk, contingent income risk, early redemption risk, barrier risk, authorized participant concentration risk, calculation methodology risk, cash holdings risk, correlation risk, costs of buying and selling fund shares, counterparty risk, credit risk, derivatives risk, equity securities risk, index risk, interest rate risk, investment in a subsidiary, laddered portfolio risk, liquidity risk, market maker risk, market risk, new fund risk, non-diversification risk, premium-discount risk, secondary market trading risk, swap agreement risk, tax risk, trading issues risk, valuation risk, and volatility target index risk.
Autocallable notes have specific structural features that may be unfamiliar to many investors:
Autocallable Structure Risk –The Fund’s returns are correlated to the performance of a synthetic portfolio of autocallable notes tracked by the Laddered Autocall Index.
–Contingent Income Risk: Coupon payments from the Autocalls are not guaranteed and will not be made if the Underlying Index falls below the Coupon Barrier on observation dates. This means the Fund may generate significantly less income than anticipated during market downturns.
–Early Redemption Risk: Autocalls in the Portfolio may be called before their scheduled maturity if the Underlying Reference Index reaches or exceeds the Autocall Barrier on observation dates. This automatic early redemption could force reinvestment of that portion of the portfolio at lower rates if market yields have declined.
–Barrier Risk: If the Underlying Reference Index falls below the Protection Level Barrier at the maturity of an Autocall in the Portfolio, that portion of the Portfolio will be fully exposed to the negative performance of the Underlying Reference Index from its initial level. This conditional protection creates a binary outcome that can result in sudden, significant losses if barriers are breached.
Weighted Average Coupon: The weighted average coupon of all autocallables as of last operation date.
Neither MerQube, Inc. nor any of its affiliates (collectively, “MerQube”) is the issuer or producer of Calamos Autocallable Income ETF (“CAIE”) and MerQube has no duties, responsibilities, or obligations to investors in CAIE. The index underlying CAIE is a product of MerQube and has been licensed for use by Calamos Advisors LLC. Such index is calculated using, among other things, market data or other information (“Input Data”) from one or more sources (each such source, a “Data Provider”). MerQube® is a registered trademark of MerQube, Inc. This trademark has been licensed for certain purposes by Calamos Advisors LLC in its capacity as the issuer of CAIE. CAIE is not sponsored, endorsed, sold or promoted by MerQube, any Data Provider, or any other third party, and none of such parties make any representation regarding the advisability of investing in securities generally or in CAIE particularly, nor do they have any liability for any errors, omissions, or interruptions of the Input Data, MerQube US Large-Cap Vol Advantage Index (“MQUSLVA”), MerQube US Large-Cap Vol Advantage Autocallable Index (“MQAUTOCL”), or any associated data. Neither MerQube nor the Data Providers make any representation or warranty, express or implied, to the owners of the shares of CAIE or to any member of the public, of any kind, including regarding the ability of the MQUSLVA or MQAUTOCL to track market performance or any asset class. MQUSLVA and MQAUTOCL are determined, composed and calculated by MerQube without regard to Calamos Advisors LLC or CAIE. MerQube and Data Providers have no obligation to take the needs of Calamos Advisors LLC or the owners of CAIE into consideration in determining, composing or calculating MQUSLVA or MQAUTOCL. Neither MerQube nor any Data Provider is responsible for and have not participated in the determination of the prices or amount of CAIE issued or sold or the timing of the issuance or sale of CAIE or in the determination or calculation of the equation by which CAIE is to be converted into cash, surrendered or redeemed, as the case may be. MerQube and Data Providers have no obligation or liability in connection with the administration, marketing or trading of CAIE. There is no assurance that investment products based on MQUSLVA or MQAUTOCL will accurately track index performance or provide positive investment returns. MerQube is not an investment advisor. Inclusion of a security within an index is not a recommendation by MerQube to buy, sell, or hold such security, nor is it considered to be investment advice. NEITHER MERQUBE NOR ANY OTHER DATA PROVIDER GUARANTEES THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF MQUSLVA, MQAUTOCL, OR ANY DATA RELATED THERETO (INCLUDING DATA INPUTS) OR ANY COMMUNICATION WITH RESPECT THERETO. NEITHER MERQUBE NOR ANY OTHER DATA PROVIDERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. MERQUBE AND ITS DATA PROVIDERS MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND THEY EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY CALAMOS ADVISORS LLC, OWNERS OF CAIE, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF MQUSLVA, MQAUTOCL, OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL MERQUBE OR DATA PROVIDERS BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THE FOREGOING REFERENCES TO “MERQUBE” AND/OR “DATA PROVIDER” SHALL BE CONSTRUED TO INCLUDE ANY AND ALL SERVICE PROVIDERS, CONTRACTORS, EMPLOYEES, AGENTS, AND AUTHORIZED REPRESENTATIVES OF THE REFERENCED PARTY.
