Autocallables ETF CAIE Tops JEPI in First Year

Calamos Investments launched the Calamos Autocallable Income ETF (CAIE) on June 25, 2025. Through June 3, 2026, CAIE’s total-return performance exceeded that of the JPMorgan Equity Premium Income ETF (JEPI). The index underlying CAIE reported a weighted average coupon of 13.98% on June 8, 2026. CAIE is the largest ETF focused on autocallable securities; JEPI is the largest covered-call income ETF.

CAIE holds a laddered portfolio of autocallable yield notes. Those notes link coupon payments and potential principal outcomes to the performance of a reference index. If the reference index remains above set coupon barriers on observation dates, the notes pay coupons and may return principal. If the index falls below a coupon barrier, scheduled coupon payments stop until the index returns above that level. Autocallable notes can be redeemed early if the index reaches an autocall barrier, which returns principal before scheduled maturity.

The fund tracks the MerQube US Large Cap Vol Advantage Autocall TR Index (MQAUTOCL). Calamos reported the index’s 13.98% weighted average coupon as of June 8, 2026. Since the fund’s debut, its total-return record through June 3, 2026 outpaced JEPI. Calamos has also introduced the Calamos Autocallable Growth ETF (CAGE) to offer another vehicle for autocallable exposure.

The fund’s documents outline several structural risks. Coupon payments are contingent on index observations and are not guaranteed. Early redemption can force reinvestment at lower yields if market rates have declined. If a reference index finishes below a protection-level barrier at maturity, that portion of the investment can be exposed to the index’s negative performance, producing significant losses.

Other risks listed in the prospectus include counterparty and credit risk from synthetic exposure, liquidity and valuation risk, concentration risk, trading issues and potential differences between the market price and net asset value. CAIE is not a bank deposit and is not insured by the FDIC. The prospectus and summary prospectus provide full details on fees, charges and risks.

MerQube licenses the indices used by CAIE but is not the ETF issuer and does not guarantee index results or fund performance. Data providers and the index developer do not assume responsibility for fund administration, marketing or trading and disclaim liability for errors in input data or index calculations. Investors are advised to review the prospectus, compare CAIE and CAGE, and assess whether autocallable exposure fits their income needs and risk tolerance before investing.