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The classic 60/40 equities-to-bonds strategy has faced headwinds in recent years as a persistently positive stock-bond correlation undermines its core diversification premise. It was glaringly evident in 2022 when both asset classes sold off simultaneously as the Fed aggressively raised rates, delivering one of the worst years on record for the strategy.
At Calamos, we recognized early on that diversification matters in all market environments. Since 1990, our Calamos Market Neutral Fund has consistently utilized volatility as it seeks to generate returns, provide a fixed-income alternative, and manage equity risk.
More recently, Calamos pioneered the autocallable ETF structure, integrating a time-tested notes framework into a tax-efficient ETF wrapper. Today, that platform offers investors two distinct portfolio strategies—one focused on current income, the other on long-term growth—built on the same disciplined autocallable mechanics.
FOR INCOME
We offer two funds designed to generate high, stable monthly income while providing reduced downside risk.
A recipient of multiple industry awards for its innovative approach, Calamos Autocallable Income ETF (CAIE) seeks exposure to a portfolio of autocallables in the MerQube US Vol Advantage Autocall Index, an income-oriented index that references US equities and is designed to use volatility to its advantage. The index’s weighted average coupon rate is 13.98% as of June 2, 2026. The fund has returned 25.56% (net asset value) since its June 25, 2025, inception through May 31, 2026.
Calamos Nasdaq Autocallable Income ETF (CAIQ) seeks exposure to a portfolio of autocallables in the MerQube Nasdaq 100 Vol Advantage Autocall Index, an income-focused index that references Nasdaq 100® equities. The index has a weighted-average coupon rate of 17.69% as of June 2, 2026. Additionally, the fund returned 17.26% (net asset value) since its November 20, 2025, inception through May 31, 2026.
Key Features
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Yield Enhancement and Diversification. The reference index’s coupons have been typically higher than those of bonds and are tied to equity market performance.
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Tax-Advantaged Income. The funds seek favorable tax treatment of distributions versus ordinary income. Based on the most recent 19a notice, most of the funds’ distributions were classified as return of capital, deferring tax liability until sale. If held longer than one year, gains would be taxed as long-term capital gains.
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Model-Portfolio Ready. Each fund is a single-ticker solution, providing liquidity and operational efficiency.
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Laddered Exposure. 52+ autocallables seek consistent income and reduce timing risk.
Although CAIE and CAIQ do not exhibit bond-like risk characteristics, financial advisors have found value in using them as portfolio building blocks. When paired with a portfolio that targets after-tax income assets with credit and duration risk, allocations to the funds can reduce overall portfolio volatility and drawdown.
FOR GROWTH
Calamos Autocallable Growth ETF (CAGE) is the world’s first Autocallable Growth ETF and seeks to generate amplified long-term capital appreciation through a laddered portfolio of long-dated autocallable growth options in the MerQube US Large-Cap Vol Advantage Autocallable Growth Index (MQAUTOCG). Rather than distributing yield, coupons are retained and compounded within the fund in pursuit of tax-efficient, long-term capital appreciation. The underlying index has delivered a 26% annualized total return over the past 10 years as of June 2, 2026. [Source: MerQube]
Key Features
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Long-Term Amplified Growth Potential. CAGE is designed to grow wealth at a greater rate than the S&P 500 over time. The fund’s exposure to autocallable growth notes with memory is a unique feature that stores coupons in down markets and pays them all at once as accrued returns (not distributions) when markets recover.
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Tax-Efficient Structure. All coupons are reinvested and compound tax-deferred.
Regarding portfolio fit, CAGE can complement or serve as a substitute for long-term core equity exposure.
Chart source: MerQube and Morningstar Direct. 10-year annualized return data as of 5/31/26. 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. Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be higher or lower than the performance data shown. Indexes are shown for comparison purposes only.
Caveat
Risk arises if the MerQube reference indexes drop below -40% for CAIE, -30% for CAIQ, and -50% for CAGE. In this scenario, income payments will stop until the index rises above the threshold. If a note reaches maturity below the barrier, the investor will incur a loss of principal relative to the decline. Downturns of this magnitude have been historically rare and short-lived.
Visit www.calamos.com/ETFs to learn more about our complete lineup of Autocallable ETFs or contact us at 866.363.9219.
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. Returns at NAV reflect the deduction of the Fund’s management fee and other expenses, which can be found on the next page. For the most recent Fund month-end performance information, visit www.calamos.com or call 1-866-363-9219.
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. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Returns greater than 12 months are annualized.
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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, Calamos Nasdaq ® Autocallable Income ETF and Calamos Autocallable Growth ETF include: authorized participant concentration risk (CAGE), 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 principal risks of investing in the Calamos Market Neutral Income Fund include equity securities risk consisting of market prices declining in general, convertible securities risk consisting of the potential for a decline in value during periods of rising interest rates and the risk of the borrower to miss payments, synthetic convertible instruments risk, convertible hedging risk, covered call writing risk, options risk, short sale risk, interest rate risk, credit risk, high yield risk, liquidity risk, portfolio selection risk, and portfolio turnover risk.
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.
The MerQube Nasdaq-100 Vol Advantage Autocallable Index (MQAUTOQL) is designed to reflect the collective performance of a theoretical portfolio of 52 to 260 synthetic Autocallables arranged in a laddered structure with staggered entry points with similar fixed parameters (the “Parameters”) as described below within the section entitled “Autocallable Index Portfolio
The MerQube Large-Cap Vol Advantage Autocallable Growth Index (MQAUTOCG) aims to provide exposure to a hypothetical portfolio of synthetic autocallable growth securities with the MerQube US Large-Cap Vol Advantage Index (MQUSLVA) as the reference underlying asset. The MerQube US Large Cap Vol Advantage Index (MQUSLVA) provides variable exposure to E-mini S&P 500® Futures, with the objective of targeting a 35% implied volatility.
The Russell 2000 Index measures the performance of the small-cap segment of the US equity universe and includes approximately 2,000 of the smallest securities in the Russell 3000 Index. The S&P 500 Index is a market-capitalization-weighted index of 500 leading publicly traded companies in the US and is widely regarded as the best single gauge of large-cap US equities. The Nasdaq-100 Index includes 100 of the largest non-financial companies listed on the Nasdaq Stock Market, weighted by market capitalization.
Nasdaq® is a registered trademark of Nasdaq, Inc. (which with its affiliates is referred to as the “Corporations”) and is licensed for use by Calamos Advisors LLC. The Fund has not been passed on by the Corporations as to their legality or suitability. The Fund is not issued, endorsed, sold, or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND(S).
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”), Calamos Nasdaq® Autocallable Income ETF (“CAIQ”), and Calamos Autocallable Growth ETF (“CAGE”), and MerQube has no duties, responsibilities, or obligations to investors in CAIE, CAIQ, or CAGE (“the Funds”). The index underlying the Funds 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 the Funds. The Funds are 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 the Funds 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”), MerQube US Large-Cap Vol Advantage Autocallable Growth Index (“MQAUTOCG”), MerQube Nasdaq-100 Vol Advantage Autocallable Index (“MQAUTOQL”), or any associated data.
NEITHER MERQUBE NOR ANY OTHER DATA PROVIDER GUARANTEES THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF MQUSLVA, MQAUTOCL, MQAUTOQL, MQAUTOCG, 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, CAIQ, CAGE, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF MQUSLVA, MQAUTOCL, MQAUTOQL, MQAUTOCG, 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.
Calamos Financial Services LLC, Distributor
2020 Calamos Court | Naperville, IL 60563
866.363.9219 | www.calamos.com | [email protected]
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Calamos and Calamos Investments are registered trademarks of Calamos LLC.