CAIE vs. RYLD
CAIE (Calamos Autocallable Income ETF) and RYLD (Global X Russell 2000 Covered Call ETF) are both Derivative Income funds - CAIE tracks the MerQube US Large Cap Vol Advantage Autocallable Total Return Index while RYLD tracks the CBOE Russell 2000 BuyWrite Index. Both are passively managed. Over the past year, CAIE returned 20.78% vs 24.71% for RYLD. Their 0.68 correlation means they have sometimes moved together and sometimes differently. CAIE charges 0.86%/yr vs 0.60%/yr for RYLD.
Performance
CAIE vs. RYLD - Performance Comparison
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Returns By Period
In the year-to-date period, CAIE achieves a 10.88% return, which is significantly lower than RYLD's 14.18% return.
CAIE
- 1D
- 1.30%
- 1M
- 2.49%
- 6M
- 9.84%
- YTD
- 10.88%
- 1Y
- 20.78%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 24.63%
RYLD
- 1D
- 0.62%
- 1M
- 2.90%
- 6M
- 11.01%
- YTD
- 14.18%
- 1Y
- 24.71%
- 3Y*
- 8.92%
- 5Y*
- 3.40%
- 10Y*
- —
- ALL TIME*
- 6.04%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $18.08M | $16.26M | $13.42M | |
| $10.56M | $9.60M | $9.13M |
CAIE vs. RYLD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CAIE Calamos Autocallable Income ETF | 10.88% | 15.12% |
RYLD Global X Russell 2000 Covered Call ETF | 14.18% | 9.59% |
Correlation
The correlation between CAIE and RYLD is 0.69, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.69 |
Correlation (All Time) Calculated using the full available price history since Jun 25, 2025 | 0.68 |
The correlation between CAIE and RYLD has been stable across timeframes, ranging from 0.68 to 0.69 - a consistent structural relationship.
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Return for Risk
CAIE vs. RYLD — Risk / Return Rank
CAIE
RYLD
CAIE vs. RYLD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Autocallable Income ETF (CAIE) and Global X Russell 2000 Covered Call ETF (RYLD). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
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 | RYLD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.62 | ||
| Sortino ratioReturn per unit of downside risk | -0.88 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.50 | -0.18 |
| Calmar ratioReturn relative to maximum drawdown | 2.70 | 3.94 | -1.24 |
| Martin ratioReturn relative to average drawdown | 11.39 | 16.16 | -4.77 |
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Drawdowns
CAIE vs. RYLD - Drawdown Comparison
The maximum CAIE drawdown since its inception was -7.73%, smaller than the maximum RYLD drawdown of -41.53%. Use the drawdown chart below to compare losses from any high point for CAIE and RYLD.
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Drawdown Indicators
| CAIE | RYLD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -7.73% | -41.53% | +33.80% |
Max Drawdown (1Y)Largest decline over 1 year | -7.73% | -6.29% | -1.44% |
Max Drawdown (3Y)Largest decline over 3 years | — | -19.05% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -21.33% | — |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -1.13% | -8.64% | +7.51% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.83% | 1.53% | +0.30% |
Volatility
CAIE vs. RYLD - Volatility Comparison
Calamos Autocallable Income ETF (CAIE) has a higher volatility of 3.60% compared to Global X Russell 2000 Covered Call ETF (RYLD) at 2.34%. This indicates that CAIE's price experiences larger fluctuations and is considered to be riskier than RYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CAIE | RYLD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.60% | 2.34% | +1.26% |
Volatility (6M)Calculated over the trailing 6-month period | 8.57% | 7.72% | +0.85% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.94% | 10.57% | +1.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.92% | 13.98% | -2.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 11.92% | 17.04% | -5.12% |
CAIE vs. RYLD - Expense Ratio Comparison
CAIE has a 0.86% expense ratio, which is higher than RYLD's 0.60% expense ratio.
Dividends
CAIE vs. RYLD - Dividend Comparison
CAIE's dividend yield for the trailing twelve months is around 14.08%, more than RYLD's 11.43% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 |
|---|---|---|---|---|---|---|---|---|
CAIE Calamos Autocallable Income ETF | 14.08% | 7.46% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
RYLD Global X Russell 2000 Covered Call ETF | 11.43% | 12.00% | 12.03% | 12.64% | 13.49% | 12.35% | 10.76% | 6.43% |
Frequently Asked Questions
CAIE and RYLD have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CAIE has higher volatility (3.60%) compared to RYLD (2.34%). In terms of maximum drawdown, CAIE dropped -7.73% vs RYLD's -41.53%.
On 1-year performance, RYLD leads with 24.71% vs 20.78% for CAIE. On fees, RYLD is cheaper at 0.60% per year. On volatility, RYLD has been the lower-risk option at 2.34%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, RYLD has performed better with a 24.71% return vs 20.78%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
RYLD is cheaper with a 0.60% expense ratio, compared with 0.86% for CAIE.
CAIE has the higher dividend yield at 14.08%, compared with 11.43% for RYLD.
CAIE tracks MerQube US Large Cap Vol Advantage Autocallable Total Return Index, while RYLD tracks CBOE Russell 2000 BuyWrite Index. They also come from different issuers: Calamos and Global X. Their fees differ too: 0.86% for CAIE and 0.60% for RYLD.
RYLD currently has the higher Sharpe Ratio (2.38 vs 1.77), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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