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“The proof of the engine is in the running,” and Calamos Autocallable Income ETF (CAIE) has been dead-on in meeting its objective of delivering high, stable income tied to equity market performance, rather than traditional fixed-income credit or duration, through exposure to a portfolio of 52 or more autocallables.
For the one-year period ended June 30, 2026, the Fund generated a strong return of 21.45% (net asset value) and yielded a 13.94% distribution rate as of May 31, 2026. Income-seeking investors took notice, and CAIE gathered $1 billion in assets by its first anniversary. And CAIE didn’t go unnoticed by the industry, garnering several awards and multiple headlines.
Of course, all these developments have been exciting. But for the skeptics and admirers alike, we think it’s important to take a breath, pop the hood, and examine the engine that has powered CAIE’s success.
MerQube US Large-Cap Vol Advantage Autocallable Index (MQAUTOCL)—One Year On
A year after MerQube launched MQAUTOCL to power the first-ever Autocallable ETF (Calamos’s CAIE), MerQube’s product team assessed the index’s performance against its core design features.
MQAUTOCL was designed with four key features—how has it stacked up?
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Income potential with downside protection: Throughout the year, the index’s weighted average coupon rate remained between 14.0% and 14.7%, with a spread over SOFR consistently above 10%.
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Robust backtested history to underpin performance potential: In its first live year, the index generated a return of 23.3%, with a maximum drawdown of -7.1%. What’s more, all outstanding synthetic notes remained above their coupon barriers throughout the live period.
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A laddered structure to reduce timing and reinvestment risk: The laddered structure—with exposure spread across many issuance vintages—operated as intended, with uninterrupted issuance and diversified note exposure reducing timing risk throughout the year.
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Simplicity and transparency: MQAUTOCL is a transparent, rules-based strategy built on three layers—a single underlying index, standardized autocallable notes, and systematic laddered construction. Its first year confirmed the framework’s viability and consistency: all 52 weekly issuances used the same index and standardized terms, with valuation, coupons, and reinvestment applied systematically throughout.
MQAUTOCL Key Statistics (May 2005–June 2026)
Source: MerQube, Inc, Refinitiv. Data from May 27, 2005, to June 24, 2026. Past and backtested performance does not guarantee future results. Table is provided for illustrative purposes.
The first year of live operation suggests that MQAUTOCL has behaved broadly in line with its design objectives. Coupon generation remained stable, all outstanding notes remained above their coupon barriers, and the laddered portfolio structure operated consistently throughout the review period. While one year of live history is insufficient to validate a 20-year backtest, observed outcomes have been broadly consistent with the strategy’s design objectives and historical expectations.
See the blog by MerQube’s Head of Products Tianyin Cheng to learn more about the mechanics behind MerQube US Large-Cap Vol Advantage Autocallable Index.
For more information on Calamos Autocallable ETFs, visit www.calamos.com/autocallable.
Annualized Total Returns (%)
As of 6/30/26
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 fund fees and expenses tab on the CAIE webpage. 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.
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.
Weighted Average Coupon: The weighted average coupon of all autocallables as of last operation date. Coupon data is representative of the MerQube US Large Cap Vol Advantage Autocallable Index, and does not represent the actual distribution amount of the Fund, which includes fees and expenses.
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.
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. of senior asset management and ETF industry executives.]
Find the Prospectus here
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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.
Related: CAIE Surpasses $1 billion in AUM on Heels of First Anniversary