CAIE vs. XRMI

Last updated Jun 26, 2026

CAIE (Calamos Autocallable Income ETF) and XRMI (Global X S&P 500 Risk Managed Income ETF) are both Derivative Income funds - CAIE tracks the MerQube US Large Cap Vol Advantage Autocallable Index while XRMI tracks the Cboe S&P 500 Risk Managed Income Index. Both are passively managed. Over the past year, CAIE returned 23.25% vs 8.38% for XRMI. A 0.68 correlation means they provide meaningful diversification when combined. CAIE charges 0.74%/yr vs 0.60%/yr for XRMI.

Performance

CAIE vs. XRMI - Performance Comparison

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

Returns By Period

In the year-to-date period, CAIE achieves a 7.04% return, which is significantly higher than XRMI's 1.48% return.

CAIE

• 1D: 0.30%
• 1M: -1.33%
• YTD: 7.04%
• 6M: 5.77%
• 1Y: 23.25%
• 3Y*: —
• 5Y*: —
• 10Y*: —

XRMI

• 1D: -0.12%
• 1M: 0.20%
• YTD: 1.48%
• 6M: 1.02%
• 1Y: 8.38%
• 3Y*: 6.96%
• 5Y*: —
• 10Y*: —

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

CAIE vs. XRMI - Yearly Performance Comparison

	2026 (YTD)	2025
CAIE Calamos Autocallable Income ETF	7.04%	15.12%
XRMI Global X S&P 500 Risk Managed Income ETF	1.48%	6.99%

Correlation

The correlation between CAIE and XRMI is 0.68, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.68
Correlation (All Time) Calculated using the full available price history since Jun 25, 2025	0.68

The correlation between CAIE and XRMI has been stable across timeframes, ranging from 0.68 to 0.68 - a consistent structural relationship.

CAIE vs. XRMI - Sectors Allocation Comparison

Sectors	CAIE	XRMI
Basic Materials	13.5%	1.7%
Communication Services	-	10.3%
Consumer Cyclical	-	9.5%
Consumer Defensive	-	4.6%
Energy	-	3.1%
Financial Services	-	11.6%
Healthcare	-	8.5%
Industrials	-	7.9%
Real Estate	-	1.8%
Technology	-	39.5%
Utilities	-	2.7%

Return for Risk

CAIE vs. XRMI — Risk / Return Rank

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

CAIE

CAIE Risk / Return Rank: 71
CAIE Sharpe Ratio Rank: 69
CAIE Sortino Ratio Rank: 68
CAIE Omega Ratio Rank: 68
CAIE Calmar Ratio Rank: 70
CAIE Martin Ratio Rank: 78

XRMI

XRMI Risk / Return Rank: 47
XRMI Sharpe Ratio Rank: 50
XRMI Sortino Ratio Rank: 49
XRMI Omega Ratio Rank: 53
XRMI Calmar Ratio Rank: 37
XRMI Martin Ratio Rank: 46

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. XRMI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Autocallable Income ETF (CAIE) and Global X S&P 500 Risk Managed Income ETF (XRMI). 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	XRMI	Difference
Sharpe ratio: Return per unit of total volatility	1.95	1.53	+0.41
Sortino ratio: Return per unit of downside risk	2.68	2.15	+0.53
Omega ratio: Gain probability vs. loss probability	1.35	1.29	+0.06
Calmar ratio: Return relative to maximum drawdown	3.02	1.68	+1.35
Martin ratio: Return relative to average drawdown	13.03	6.75	+6.28

CAIE vs. XRMI - Sharpe Ratio Comparison

The current CAIE Sharpe Ratio is 1.95, which is comparable to the XRMI Sharpe Ratio of 1.53. The chart below compares the historical Sharpe Ratios of CAIE and XRMI, 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. XRMI - Drawdown Comparison

The maximum CAIE drawdown since its inception was -7.73%, smaller than the maximum XRMI drawdown of -15.31%. Use the drawdown chart below to compare losses from any high point for CAIE and XRMI.

Drawdown Indicators

	CAIE	XRMI	Difference
Max Drawdown Largest peak-to-trough decline	-7.73%	-15.31%	+7.58%
Max Drawdown (1Y) Largest decline over 1 year	-7.73%	-5.02%	-2.71%
Max Drawdown (3Y) Largest decline over 3 years	—	-8.34%	—
Current Drawdown Current decline from peak	-2.25%	-0.70%	-1.55%
Average Drawdown Average peak-to-trough decline	-1.10%	-5.86%	+4.76%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.79%	1.24%	+0.55%

Volatility

CAIE vs. XRMI - Volatility Comparison

Calamos Autocallable Income ETF (CAIE) has a higher volatility of 3.37% compared to Global X S&P 500 Risk Managed Income ETF (XRMI) at 1.70%. This indicates that CAIE's price experiences larger fluctuations and is considered to be riskier than XRMI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CAIE	XRMI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.37%	1.70%	+1.67%
Volatility (6M) Calculated over the trailing 6-month period	8.37%	4.41%	+3.96%
Volatility (1Y) Calculated over the trailing 1-year period	12.00%	5.50%	+6.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.00%	6.90%	+5.10%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.00%	6.90%	+5.10%

CAIE vs. XRMI - Expense Ratio Comparison

CAIE has a 0.74% expense ratio, which is higher than XRMI's 0.60% expense ratio.

Dividends

CAIE vs. XRMI - Dividend Comparison

CAIE's dividend yield for the trailing twelve months is around 13.34%, more than XRMI's 12.75% yield.

Position	TTM	2025	2024	2023	2022	2021
CAIE Calamos Autocallable Income ETF	13.34%	7.46%	0.00%	0.00%	0.00%	0.00%
XRMI Global X S&P 500 Risk Managed Income ETF	12.75%	12.35%	11.86%	12.62%	12.84%	2.93%

Frequently Asked Questions

Can I hold both CAIE and XRMI in my portfolio?

CAIE and XRMI have a correlation of 0.68, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CAIE or XRMI?

CAIE has higher volatility (3.37%) compared to XRMI (1.70%). In terms of maximum drawdown, CAIE dropped -7.73% vs XRMI's -15.31%.

Which ETF is better, CAIE or XRMI?

On 1-year performance, CAIE leads with 23.25% vs 8.38% for XRMI. On fees, XRMI is cheaper at 0.60% per year. On volatility, XRMI has been the lower-risk option at 1.70%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CAIE or XRMI?

Over the 1-year period, CAIE has performed better with a 23.25% return vs 8.38%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CAIE or XRMI?

XRMI is cheaper with a 0.60% expense ratio, compared with 0.74% for CAIE.

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

CAIE has the higher dividend yield at 13.34%, compared with 12.75% for XRMI.

What is the main difference between CAIE and XRMI?

CAIE tracks MerQube US Large Cap Vol Advantage Autocallable Index, while XRMI tracks Cboe S&P 500 Risk Managed Income Index. They also come from different issuers: Calamos and Global X. Their fees differ too: 0.74% for CAIE and 0.60% for XRMI.

Which has better risk-adjusted returns?

CAIE currently has the higher Sharpe Ratio (1.95 vs 1.53), 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.