CAIE vs. SPYM

Last updated Jul 16, 2026

CAIE (Calamos Autocallable Income ETF) and SPYM (State Street SPDR Portfolio 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 SPYM is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past year, CAIE returned 20.83% vs 22.77% for SPYM. Their correlation of 0.91 suggests significant overlap in exposure. CAIE charges 0.74%/yr vs 0.02%/yr for SPYM.

Performance

CAIE vs. SPYM - Performance Comparison

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

Returns By Period

In the year-to-date period, CAIE achieves a 9.07% return, which is significantly lower than SPYM's 11.33% return.

CAIE

• 1D: 0.22%
• 1M: 0.41%
• 6M: 8.06%
• YTD: 9.07%
• 1Y: 20.83%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPYM

• 1D: 0.38%
• 1M: 0.28%
• 6M: 9.93%
• YTD: 11.33%
• 1Y: 22.77%
• 3Y*: 20.48%
• 5Y*: 13.44%
• 10Y*: 15.27%

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

CAIE vs. SPYM - Yearly Performance Comparison

	2026 (YTD)	2025
CAIE Calamos Autocallable Income ETF	9.07%	15.12%
SPYM State Street SPDR Portfolio S&P 500 ETF	11.33%	13.06%

Correlation

The correlation between CAIE and SPYM is 0.91, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.91
Correlation (All Time) Calculated using the full available price history since Jun 25, 2025	0.91

The correlation between CAIE and SPYM has been stable across timeframes, ranging from 0.91 to 0.91 - a consistent structural relationship.

Return for Risk

CAIE vs. SPYM — Risk / Return Rank

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

CAIE

CAIE Risk / Return Rank: 69
CAIE Sharpe Ratio Rank: 68
CAIE Sortino Ratio Rank: 66
CAIE Omega Ratio Rank: 67
CAIE Calmar Ratio Rank: 68
CAIE Martin Ratio Rank: 77

SPYM

SPYM Risk / Return Rank: 70
SPYM Sharpe Ratio Rank: 71
SPYM Sortino Ratio Rank: 69
SPYM Omega Ratio Rank: 70
SPYM Calmar Ratio Rank: 64
SPYM Martin Ratio Rank: 76

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. SPYM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Autocallable Income ETF (CAIE) and State Street SPDR Portfolio S&P 500 ETF (SPYM). 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	SPYM	Difference
Sharpe ratio: Return per unit of total volatility	1.76	1.83	-0.06
Sortino ratio: Return per unit of downside risk	2.44	2.51	-0.07
Omega ratio: Gain probability vs. loss probability	1.32	1.33	-0.01
Calmar ratio: Return relative to maximum drawdown	2.71	2.57	+0.14
Martin ratio: Return relative to average drawdown	11.56	11.20	+0.36

CAIE vs. SPYM - Sharpe Ratio Comparison

The current CAIE Sharpe Ratio is 1.76, which is comparable to the SPYM Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of CAIE and SPYM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CAIE vs. SPYM - Drawdown Comparison

The maximum CAIE drawdown since its inception was -7.73%, smaller than the maximum SPYM drawdown of -54.46%. Use the drawdown chart below to compare losses from any high point for CAIE and SPYM.

Drawdown Indicators

	CAIE	SPYM	Difference
Max Drawdown Largest peak-to-trough decline	-7.73%	-54.46%	+46.73%
Max Drawdown (1Y) Largest decline over 1 year	-7.73%	-8.90%	+1.17%
Max Drawdown (3Y) Largest decline over 3 years	—	-18.72%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-24.48%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.87%	—
Current Drawdown Current decline from peak	-0.39%	-0.35%	-0.04%
Average Drawdown Average peak-to-trough decline	-1.10%	-7.12%	+6.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.81%	2.04%	-0.23%

Volatility

CAIE vs. SPYM - Volatility Comparison

The current volatility for Calamos Autocallable Income ETF (CAIE) is 2.45%, while State Street SPDR Portfolio S&P 500 ETF (SPYM) has a volatility of 3.91%. This indicates that CAIE experiences smaller price fluctuations and is considered to be less risky than SPYM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CAIE	SPYM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.45%	3.91%	-1.46%
Volatility (6M) Calculated over the trailing 6-month period	8.32%	9.98%	-1.66%
Volatility (1Y) Calculated over the trailing 1-year period	11.87%	12.53%	-0.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.80%	16.92%	-5.12%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.80%	17.99%	-6.19%

CAIE vs. SPYM - Expense Ratio Comparison

CAIE has a 0.74% expense ratio, which is higher than SPYM's 0.02% expense ratio.

Dividends

CAIE vs. SPYM - Dividend Comparison

CAIE's dividend yield for the trailing twelve months is around 14.42%, more than SPYM's 1.02% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CAIE Calamos Autocallable Income ETF	14.42%	7.46%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPYM State Street SPDR Portfolio S&P 500 ETF	1.02%	1.13%	1.28%	1.44%	1.69%	1.25%	1.54%	1.79%	2.23%	1.75%	1.97%	1.98%

Frequently Asked Questions

Can I hold both CAIE and SPYM in my portfolio?

With a correlation of 0.91, CAIE and SPYM 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 is riskier, CAIE or SPYM?

SPYM has higher volatility (3.91%) compared to CAIE (2.45%). In terms of maximum drawdown, CAIE dropped -7.73% vs SPYM's -54.46%.

Which ETF is better, CAIE or SPYM?

On 1-year performance, SPYM leads with 22.77% vs 20.83% for CAIE. On fees, SPYM is cheaper at 0.02% per year. On volatility, CAIE has been the lower-risk option at 2.45%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CAIE or SPYM?

Over the 1-year period, SPYM has performed better with a 22.77% return vs 20.83%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CAIE or SPYM?

SPYM is cheaper with a 0.02% expense ratio, compared with 0.74% for CAIE.

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

CAIE has the higher dividend yield at 14.42%, compared with 1.02% for SPYM.

What is the main difference between CAIE and SPYM?

CAIE is categorized as Derivative Income, while SPYM is S&P 500. CAIE tracks MerQube US Large Cap Vol Advantage Autocallable Index, while SPYM tracks S&P 500 Index. They also come from different issuers: Calamos and State Street. Their fees differ too: 0.74% for CAIE and 0.02% for SPYM.

Which has better risk-adjusted returns?

SPYM currently has the higher Sharpe Ratio (1.83 vs 1.76), 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.