In the ETF market, when a fund hits $1 billion in assets under management, it not only warrants celebration, but a closer look into the fund’s investment approach. Recently, that day came for the Calamos Autocallable Income ETF (CAIE ). As of June 16, 2026, CAIE now has $1 billion in assets under management. This accomplishment is especially impressive, given that CAIE only launched June 25, 2025. Considering how fast CAIE reached a billion in AUM, the fund is clearly offering a compelling value proposition for navigating the market as of late.
See More: Matt Kaufman on the Calamos Approach to Autocallable ETFsHow CAIE Resonates Through Laddered Autocallable IncomeThe core of CAIE’s investment strategy comes through the use of autocallable yield notes. These are market-linked investments that provide yield and eventual principal as long as their predetermined index does not fall below a certain level.
In CAIE’s case, the MerQube US Large-Cap Vol Advantage Index defines the fund’s underlying autocallables as its constituents. This index provides S&P 500 access through E-Mini S&P 500 Futures contracts.
Meanwhile, each of the autocallables that CAIE is exposed to have a barrier level of -40%. As such, as long as the underlying reference index stays above -40%, investors get regular income, along with potential long-term principal. This also allows the fund to provide compelling results even if the S&P 500 is down a little bit — as long as the index is above -40%, the autocallables will continue to deliver results.
Notably, CAIE’s access to autocallables is delivered through exposure to a laddered portfolio. A laddered portfolio provides plenty of benefits over investing in singular autocallables. Those benefits include reducing tail risk, helping to smooth out income, and mitigating reinvestment risk.
CAIE’s achievements are not limited to how many assets the fund has amassed. Calamos Investments has won awards for CAIE at the 2026 Mutual Fund & ETF Awards from With Intelligence, the 2025 SRP Americas Awards, and at SPI’s Awards for Excellence 2025.
See More: Calamos Showcases Autocallable Interest With Latest ETF Award
Crucially, the fund itself is also simply providing compelling results on a regular basis. As of May 29, 2026, the MerQube US Large-Cap Vol Advantage Index, the underlying index to CAIE, has a weighted average coupon of 13.98%.
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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.
Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. The MerQube US Large Cap Vol Advantage Autocall Index should not be considered a proxy for CAIE.
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.
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Structured Products Intelligence “Deal of the Year” award methodology is as follows: The jury recognized the Calamos Autocallable Income ETF (CAIE) as Deal of the Year for its innovative approach to income generation and risk management. By combining autocallable yield notes with the accessibility of an ETF, Calamos created a product that offers high monthly income, structured downside protection, and enhanced diversification. The jury highlighted Calamos role in bringing institutional-style strategies to a wider investor base, marking a significant advancement in the evolution of structured income investing.
SRP Americas Awards Methodology: SRP typically conducts a comprehensive market survey involving institutions active in the structured products space. Industry professionals-including issuers, distributors, and service providers-are invited to vote on various award categories. For the “Most Innovative Product” award, the evaluation likely focuses on: product design originality, client-centric innovation, market impact and adoption, risk-return profile enhancements and integration of new technologies or strategies. Finalists are often reviewed by a panel of SRP editors and industry experts who assess the submissions based on qualitative and quantitative factors.
With Intelligence Award Methodology: The With Intelligence Mutual Fund & ETF Awards, now operating under S&P Global, are determined through a two-stage process, beginning with editorial review and shortlist selection, followed by evaluation from an independent judging panel. senior asset management and ETF industry executives.
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.
