Trending
Today’s income-seeking investors are navigating some of the most demanding market terrain in years — think Australia’s Outback, Patagonia’s windswept plateaus, or Iceland’s volcanic highlands. A challenging, often punishing journey requires a vehicle built with a dependable engine and a chassis tough enough to handle whatever the road throws at it.
The Search for Income — Why the Terrain Has Gotten More Demanding
Income has always been foundational to portfolio construction — a cash-flow source for institutions managing liabilities, and for individual investors, a way to reduce dependence on capital gains and support long-term plans. Now, in a newly published white paper, Autocallable Income Comes of Age: A Systematic Framework Beyond Bonds and Covered Calls [Read Here], MerQube explains why the traditional map to that income stream must be redrawn.
For decades, government bonds and investment-grade credit did the heavy lifting. Then came the aftermath of the 2008 Great Financial Crisis, when years of ultra-low rates compressed fixed-income yields and pushed investors toward alternatives. The spike in rates since 2022 delivered the opposite lesson: even with higher nominal yields, bonds remain exposed to real mark-to-market pain when rate expectations shift quickly.
Today, investors find themselves in a more crowded, more varied income landscape — high-yield credit, preferred securities, dividend equities, private credit, and option-income strategies have all found their way into portfolios once dominated by bonds. Yes, more choice is a good thing, but the paper flags an important nuance: similar income levels achieved through various means can mask very different underlying risks. For example, covered calls trade away upside for premium income, while dividend stocks live and die with corporate profitability.
Autocallables draw their income from a different well entirely — contingent equity exposure and volatility monetization — giving them a return profile that doesn’t move in lockstep with traditional income sources.
Under the Hood of CAIE
The white paper describes how pairing the MerQube US Large-Cap Vol Advantage Autocallable Index (MQAUTOCL) with the Calamos Autocallable Income ETF (CAIE) has opened a new frontier in autocallable investing. MQAUTOCL supplies the engine — a systematic, rules-based process for generating income. CAIE is the vehicle assembled
around it, designed to carry investors toward their income goals while working to absorb the impact of the market’s roughest patches.
MQAUTOCL, launched on June 25, 2025, has now completed its first year of live calculation. Rather than tracking a single autocallable note, the index continuously maintains a laddered portfolio of at least 52 synthetic autocallable positions, with a new position added every week. Proceeds from coupons, calls, and maturities are systematically reinvested, spreading exposure across many issuance dates and market environments rather than concentrating it in a single point in time. That structure, detailed in the white paper, is designed to smooth out the timing risk and reinvestment uncertainty that have long complicated traditional single-note autocallable investing.
Source: MerQube calculations, May 31, 2016 – May 29, 2026. See white paper for full methodology and disclosures.
For advisors building income-oriented fixed-income portfolios, this distinction matters. Because MQAUTOCL’s income is generated through equity volatility rather than interest-rate or credit exposure, CAIE’s allocation to it can add a return stream with low historical correlation to Treasuries and investment-grade bonds — a source of potential diversification, and depending on the allocation, added durability — within a portfolio otherwise concentrated in traditional fixed income.
Explore Further
Read the full white paper: Autocallable Income Comes of Age: A Systematic Framework Beyond Bonds and Covered Calls — [Read Here]
Learn more about CAIE: Visit the Calamos Autocallable Income ETF product page — CAIE
Related: CAIE’s First Year: Inside the Engine Behind the Income
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 performance of the Fund will differ, and may vary materially, from that of any index. There is no assurance the Fund will achieve or maintain its investment objective. You can purchase or sell common shares daily. Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index.
Before investing, carefully consider the fund’s investment objectives, risks, and 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.
Calamos Investments LLC, referred to herein as Calamos, is a financial services company offering such services through its subsidiaries: Calamos Advisors LLC, Calamos Wealth Management LLC, Calamos Investments LLP, and Calamos Financial Services LLC.
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 (CAIE) 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 risk, 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. 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.
The MerQube US Large Cap Vol Advantage Index (MQAUTOCL) is designed to provide volatility adjusted exposure to E-Mini S&P 500 futures contracts by targeting an implied volatility of 35%, subject to a 6% decrement per annum. Unlike traditional equity indices that maintain fixed allocations, this index dynamically adjusts exposure based on market volatility conditions. During calm or typical market environments, the Index increases exposure to equity futures while during volatile market periods, the Index reduces exposure to equity futures. Unlike other volatility target indices that rebalance daily based on realized volatility, this Index rebalances weekly (at the end of each week) based on one-week implied volatility derived from SPY weekly options prices. This approach seeks to maintain a more consistent risk profile across varying market conditions while potentially reducing drawdowns during market stress and improving risk-adjusted returns over time. The Index is a rules-based, systematic index designed to provide dynamic exposure to US large capitalization equities while employing a volatility management methodology that seeks to maintain a target volatility level. The Index dynamically adjusts exposure between the Equity Component and a cash position based on prevailing market volatility conditions.
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.
Calamos Financial Services LLC, Distributor
2020 Calamos Court | Naperville, IL 60563
866.363.9219 | www.calamos.com | [email protected]
©2026 Calamos Investments LLC. All Rights Reserved.
Calamos and Calamos Investments are registered trademarks of Calamos LLC.