CAIE vs. SPY

Last updated Jun 23, 2026

CAIE (Calamos Autocallable Income ETF) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - CAIE is a Derivative Income fund tracking the MerQube US Large Cap Vol Advantage Autocallable Index, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Their correlation of 0.92 suggests significant overlap in exposure. CAIE charges 0.74%/yr vs 0.09%/yr for SPY.

Performance

CAIE vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Autocallable Income ETF (CAIE) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CAIE achieves a 7.91% return, which is significantly lower than SPY's 9.74% return.

CAIE

• 1D: -0.07%
• 1M: -0.31%
• YTD: 7.91%
• 6M: 7.33%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPY

• 1D: -0.31%
• 1M: 0.09%
• YTD: 9.74%
• 6M: 9.27%
• 1Y: 26.65%
• 3Y*: 21.27%
• 5Y*: 13.51%
• 10Y*: 15.70%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CAIE vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025
CAIE Calamos Autocallable Income ETF	7.91%	15.12%
SPY State Street SPDR S&P 500 ETF	9.74%	13.03%

Correlation

The correlation between CAIE and SPY is 0.92, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (All Time) Calculated using the full available price history since Jun 25, 2025	0.92

CAIE vs. SPY - Sectors Allocation Comparison

Sectors	CAIE	SPY
Basic Materials	13.5%	1.7%
Communication Services	-	10.6%
Consumer Cyclical	-	9.9%
Consumer Defensive	-	4.5%
Energy	-	3.1%
Financial Services	-	11.1%
Healthcare	-	8.3%
Industrials	-	7.8%
Real Estate	-	1.8%
Technology	-	39.0%
Utilities	-	2.1%

Return for Risk

CAIE vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CAIE

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

SPY

SPY Risk / Return Rank: 68
SPY Sharpe Ratio Rank: 69
SPY Sortino Ratio Rank: 66
SPY Omega Ratio Rank: 68
SPY Calmar Ratio Rank: 63
SPY Martin Ratio Rank: 74

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CAIE vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Autocallable Income ETF (CAIE) and State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio: Return per unit of total volatility	—	2.16	—
Sortino ratio: Return per unit of downside risk	—	2.91	—
Omega ratio: Gain probability vs. loss probability	—	1.39	—
Calmar ratio: Return relative to maximum drawdown	—	3.01	—
Martin ratio: Return relative to average drawdown	—	13.54	—

Drawdowns

CAIE vs. SPY - Drawdown Comparison

The maximum CAIE drawdown since its inception was -7.73%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CAIE and SPY.

Drawdown Indicators

	CAIE	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-7.73%	-55.19%	+47.46%
Max Drawdown (1Y) Largest decline over 1 year	—	-8.88%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-18.76%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-24.50%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-1.45%	-1.75%	+0.30%
Average Drawdown Average peak-to-trough decline	-1.09%	-9.04%	+7.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	—	1.97%	—

Volatility

Volatility by Period

	CAIE	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	4.64%	—
Volatility (6M) Calculated over the trailing 6-month period	—	9.75%	—
Volatility (1Y) Calculated over the trailing 1-year period	12.02%	12.43%	-0.41%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.02%	17.14%	-5.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.02%	17.99%	-5.97%

CAIE vs. SPY - Expense Ratio Comparison

CAIE has a 0.74% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

CAIE vs. SPY - Dividend Comparison

CAIE's dividend yield for the trailing twelve months is around 13.23%, more than SPY's 1.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CAIE Calamos Autocallable Income ETF	13.23%	7.46%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	1.01%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both CAIE and SPY in my portfolio?

With a correlation of 0.92, CAIE and SPY move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which ETF is better, CAIE or SPY?

On fees, SPY is cheaper at 0.09% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, CAIE or SPY?

SPY is cheaper with a 0.09% expense ratio, compared with 0.74% for CAIE.

Which ETF pays a higher dividend yield, CAIE or SPY?

CAIE has the higher dividend yield at 13.23%, compared with 1.01% for SPY.

What is the main difference between CAIE and SPY?

CAIE is categorized as Derivative Income, while SPY is S&P 500. CAIE tracks MerQube US Large Cap Vol Advantage Autocallable Index, while SPY tracks S&P 500 Index. They also come from different issuers: Calamos and State Street. Their fees differ too: 0.74% for CAIE and 0.09% for SPY.