- ISIN
- US12811T5719
- CUSIP
- 12811T571
- Issuer
- Calamos
- Inception Date
- Jun 25, 2025
- Region
- North America (U.S.)
- Category
- Derivative Income
- Leveraged
- 1x (No leverage)
- Index Tracked
- MerQube US Large Cap Vol Advantage Autocallable Total Return Index
- Domicile
- United States
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Assets Under Management
- $1B
Highlights
- Avg. Volume (1M)
- 607K
- Avg. Volume Value (1M)
- $16.27M
Share Price Chart
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Performance
CAIE Performance Chart
Calamos Autocallable Income ETF (CAIE) is up 7.9% since the beginning of the year. CAIE is currently trading at $27 per share.
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Returns By Period
Calamos Autocallable Income ETF (CAIE) has returned 7.94% so far this year and 19.60% over the past 12 months.
Calamos Autocallable Income ETF
- 1D
- 0.56%
- 1M
- -0.22%
- 6M
- 6.59%
- YTD
- 7.94%
- 1Y
- 19.60%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 21.88%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
CAIE Monthly Returns History
Based on dividend-adjusted daily data since Jun 25, 2025, CAIE's average daily return is +0.08%, while the average monthly return is +1.61%. At this rate, an investment would double in approximately 3.6 years.
Historically, 71% of months were positive and 29% were negative. The best month was Apr 2026 with a return of +9.7%, while the worst month was Mar 2026 at -4.3%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 2 months.
On a daily basis, CAIE closed higher 55% of trading days. The best single day was Mar 31, 2026 with a return of +2.4%, while the worst single day was Oct 10, 2025 at -3.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.27% | -0.58% | -4.34% | 9.66% | 3.38% | -1.02% | -0.12% | 7.94% | |||||
| 2025 | 2.63% | 3.59% | 2.16% | 3.80% | 1.69% | 0.24% | 0.18% | 15.12% |
Benchmark Metrics
Calamos Autocallable Income ETF has an annualized alpha of 3.17%, beta of 0.89, and R2 of 0.87 versus S&P 500 Index. Calculated based on daily prices since June 25, 2025.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (98.77%) than losses (82.77%) - typical of diversified or defensive assets.
- This ETF generated an annualized alpha of 3.17% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- With beta of 0.89 and R2 of 0.87, this ETF moves broadly in line with S&P 500 Index - much of its variation is explained by market exposure rather than independent behavior.
- Alpha
- 3.17%
- Beta
- 0.89
- R²
- 0.87
- Upside Capture
- 98.77%
- Downside Capture
- 82.77%
Expense Ratio
CAIE has an expense ratio of 0.86%, placing it in the medium range.
Return for Risk
Risk / Return Rank
CAIE ranks 61 for risk / return — above 61% of ETFs peers on PortfoliosLab. Its historical combined result is above most peers.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for Calamos Autocallable Income ETF (CAIE) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CAIE | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.01 | ||
| Sortino ratioReturn per unit of downside risk | 0.00 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.25 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 2.19 | 2.00 | +0.19 |
| Martin ratioReturn relative to average drawdown | 9.25 | 8.49 | +0.76 |
Dividends
Dividend History
Calamos Autocallable Income ETF provided a 13.13% dividend yield over the last twelve months, with an annual payout of $3.53 per share.
| Period | TTM | 2025 |
|---|---|---|
| Dividend | $3.53 | $2.00 |
Dividend yield | 13.13% | 7.46% |
Monthly Dividends
The table displays the monthly dividend distributions for Calamos Autocallable Income ETF. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.32 | $0.32 | $0.32 | $0.32 | $0.32 | $0.32 | $1.92 | |||||
| 2025 | $0.39 | $0.31 | $0.33 | $0.33 | $0.65 | $2.00 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Calamos Autocallable Income ETF. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Calamos Autocallable Income ETF was 7.73%, occurring on Mar 30, 2026. Recovery took 10 trading sessions.
The current Calamos Autocallable Income ETF drawdown is 1.42%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-7.73%Mar 2026 | 2mo 17d | 15d | 3mo 2dJan 2026 - Apr 2026 | — |
-3.40%Jul 2026 | 1mo 26d | — | 2moJun 2026 - now | — |
-3.29%Aug 2025 | 4d | 11d | 15dJul 2025 - Aug 2025 | — |
-3.21%Oct 2025 | 1d | 17d | 17dOct 2025 - Oct 2025 | — |
-2.94%Nov 2025 | 21d | 8d | 29dOct 2025 - Nov 2025 | — |
Drawdown Indicators
| CAIE | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -7.73% | -56.78% | +49.05% |
Max Drawdown (1Y)Largest decline over 1 year | -7.73% | -9.10% | +1.37% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -1.42% | -1.58% | +0.16% |
Average DrawdownAverage peak-to-trough decline | -1.13% | -10.70% | +9.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.84% | 2.14% | -0.30% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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