In the tail end of June, Calamos Investments expanded its selection of alternative ETF products with the launch of the Calamos Autocallable Income ETF (CAIE).
Regular investors in the Calamos lineup are likely not strangers to the advantages of these alternative strategies. However, even some of the most seasoned investors and advisors may not fully grasp how autocallables work, and more importantly, what they can bring to a portfolio.
To put it simply, CAIE’s goal is to generate high monthly income while also seeking to provide reduced downside risk. This may be done through investing in a regularly updated portfolio of autocallables.
However, the question remains: how do autocallables work? Luckily, that answer isn’t as complicated as some would believe.
Autocallables are market-linked investments that provide income and returns based on how its referenced equity market is performing. Essentially, as long as the reference index doesn’t drop below a predetermined barrier threshold, the fund still gives coupon payments. In CAIE’s instance, the barrier for its autocallables is set at -40%.
This strategy can create an especially attractive opportunity for navigating equity market uncertainty this year. Even if the equity market experiences a dip, the autocallables may still bolster portfolio income, as long as the market doesn’t drop below -40%. This allows CAIE to seek steady portfolio growth in moments where more traditional S&P 500 ETFs could falter.
Addressing Frequently Asked Questions
It’s understandable why some folks would look at what CAIE offers and carry some doubts. After all, a fund with this much risk management and income potential must have some kind of catch, right?
Given the securities it focuses on and its laddered portfolio, some may wonder if CAIE has more leverage than it lets on. Fortunately, that is not the case.
Each of the autocallables within CAIE’s portfolio references the MerQube US Large Cap Vol Advantage Index. This index has been treated specifically with autocallables in mind. Notably, the index actually possesses a volatility targeting mechanism. This can not only help reduce the risk, but may also help fortify a more consistent stream of income.
In the near-term, CAIE is offering a highly attractive track record. As of August 1, 2025, 100% of CAIE’s autocallables sit within the coupon paying zone. Better yet, the fund has a weighted average coupon of 14.6%.
These results are in part due to the diversification benefits of CAIE’s laddered portfolio. The fund holds at least 52 autocallables in a given moment, providing time period diversification and consistent, rolling exposure. The fund’s inaugural 17.48% annualized distribution represents $0.38592 per share and payable on August 8, 2025 (ex date August 1).
Sure, the world of autocallables may seem daunting at first glance. However, by doing their due diligence, advisors and investors can use leverage CAIE to build a more compelling long-term portfolio.
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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 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 Structure Risk –The Fund’s returns are correlated to the performance of a synthetic portfolio of autocallable notes tracked by the Laddered Autocall Index.
Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Total return assumes the reinvestment of income. Current performance may be higher or lower than the performance data shown. Yields represented by trailing 12 month yield for: US Equity- S&P 500; U.S High Yield – Bloomberg US Aggregate Corporate High Yield Index; US 10-year – 10-year US Treasury yield; Equity Premium Income: Cboe S&P 500® 2% OTM BuyWrite Index; Autocallable Income: MerQube US Large Cap Vol Advantage Autocallable Index. MerQube US Large Cap Vol Advantage Autocallable Index is not a proxy for Calamos Autocallable Income ETF (CAIE). The results of the MerQube index will differ to those of CAIE. Investors should consider the risks of investing in CAIE and review the prospectus prior to investing. Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost.
Autocallable notes have specific structural features that may be unfamiliar to many investors:
–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
Total return assumes the reinvestment of income. Current performance may be higher or lower than the performance data shown. Yield represented by trailing 12 month yield for: Autocallable Income: MerQube US Large Cap Vol Advantage Autocallable Index. MerQube US Large Cap Vol Advantage Autocallable Index is not a proxy for Calamos Autocallable Income ETF (CAIE). The results of the MerQube index will differ to those of CAIE.
