When an outside-the-box ETF comes to the market, it’s oftentimes worth checking in to see how the fund is doing after an extended period of trading. Well, the Calamos Autocallable Income ETF (CAIE) has been on the market since June 25, 2025. Though the fund hasn’t been on the market for even a year yet, it’s already hitting noticeable benchmarks.
As of December 29, 2025, CAIE had about $511.5 million in assets under management. Considering that December 29 is only a little over six months since the fund launched, this marks a tremendous accomplishment for the fund.
This accomplishment is further amplified by the nature of CAIE’s investment strategy. Autocallable yield notes are not exactly a household name just yet, but over half a billion dollars in AUM speaks for itself in terms of appeal and market demand.
For its investors, CAIE seeks to generate robust monthly income with the potential for long-term capital appreciation. This is through the use of a laddered portfolio of autocallable yield notes.
What Autocallables Bring to the Table
Autocallables are market-linked notes that provide income and results based upon the performance of a chosen index. In CAIE’s case, each of its autocallables use the MerQube US Large-Cap Vol. Advantage Index. This index generates exposure to the S&P 500 through futures contracts with a specific volatility target of 35%.
The true advantage of autocallables comes through its barrier levels. Essentially, CAIE’s autocallables each have a barrier of -40%. As long as this MerQube index does not drop below -40%, the autocallable will deliver income on a monthly basis, along with eventual principal. However, if the note does go below -40%, income will cease until the index gets above the threshold. Furthermore, if the autocallable ends its life span below the barrier level, investors may be subject to loss of principal.
This flexible approach to income and principal may be part of what makes CAIE appealing to some investors and advisors. Even if the S&P 500 is seeing some underperformance, CAIE’s strategy enables its investors to still tap into regular income and long-term principal.
Better yet, this regular income is offering extremely compelling results thus far. As of November 30, 2025, CAIE has a distribution rate of 14.32%.
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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.
