Backtest: Calamos CAGE Index Doubles in Five Years

A 20-year backtest by MerQube covering January 2006 through March 2026 shows the index tracked by the Calamos Autocallable Growth ETF (CAGE) would double in about five years under the Rule of 72. The same calculation applied to the SPDR S&P 500 ETF Trust (SPY) produces a roughly seven-year doubling period over the same window. The Rule of 72 divides 72 by an annual return estimate to approximate how many years it takes for an investment to double.

The index is the MerQube US Large-Cap Vol Advantage Autocallable Growth Index (MQAUTOCG). It provides exposure to E-Mini S&P 500 futures and targets 35% implied volatility with a 6% annual volatility decrement. The index rebalances weekly based on one-week implied volatility derived from SPY weekly options. Under calmer market conditions the index increases exposure to equity futures; in more volatile periods it reduces exposure to try to keep risk more consistent.

CAGE is structured as a laddered autocallable ETF that references the MQAUTOCG index. Its underlying notes are observed on an annual basis and the fund is designed with a growth orientation rather than a monthly income focus. Portions of the ladder can be called early if the index meets set autocall thresholds on observation dates. The fund includes a memory feature that can pay missed coupons retroactively if later observations recover above the barrier.

The backtest comparison is illustrative and based on historical returns. It does not predict future performance. The calculation uses past index results to estimate the implied doubling periods under the Rule of 72.

CAGE and the underlying index involve specific structural and market risks. Autocallable structures carry contingent income risk because coupon payments are not guaranteed and may be skipped if the index falls below coupon barriers on observation dates. Early redemption of autocalled notes can occur, which may force reinvestment at lower rates. Barrier risk means that at maturity a portion of notes could be fully exposed to losses if the index closes below protection levels. The strategy also exposes investors to derivatives and counterparty risk, liquidity risk, potential correlation issues, and risks associated with the volatility-targeting methodology.

Investors should review the fund prospectus for a full list of risks, fees and charges. Past performance is not a guarantee of future results.