Considering the macroeconomic environment we currently find ourselves in, it’s no surprise that many have looked to alternative strategies to potentially help augment the income or total return of their portfolio. This includes autocallable ETFs, which can provide a structured, streamlined means to tap into income through autocallable yield notes. During VettaFi’s Q2 Market Outlook Symposium, Matt Kaufman, SVP and global head of ETFs at Calamos Investments, joined a panel to discuss all things autocallables. The panel was moderated by Roxanna Islam, CFA, CAIA, head of sector & industry research at VettaFi.

See More: Uncertain Macro Environment May Call for Autocallable ETFs

How Autocallables Are Changing the Game

To get things started, Islam first asked Kaufman how putting autocallable notes within the ETF wrapper can help advisors and investors alike. Kaufman responded by noting that for years, advisors have been looking for ways to help clients attain high stable income without tying them to the bond market. As Kaufman noted, when interest rates move, the success of bond strategies tend to shift as well.

This is where autocallables ETFs come into play. Kaufman explained that the income which autocallable ETFs provide is equity-linked through derivatives. As a result, investors get to access potentially high degrees of income, with a NAV that moves with the stock market. For instance, the autocallables that the Calamos Autocallable Income ETF (CAIE) engages with look to track the S&P 500’s performance.

“There’s hundreds of billions of dollars globally in the structured note category and now we’ve brought that into the ETF wrapper with all of those good things—liquidity, transparency, tax-efficiency, everything you like about the ETF. We’ve retained that and given you high stable income potential through the autocallable,” Kaufman added.

The Calamos Autocallable ETF Suite

Along with CAIE, Islam noted that Calamos Investments also offers the Calamos Nasdaq Autocallable Income ETF (CAIQ) and the Calamos Autocallable Growth ETF (CAGE). Turning to Kaufman, she asked him how these funds stand out from the crowd.

See More: New Calamos Autocallable ETF Offers Growth Approach

Kaufman explained how much the covered call space has grown across the past twenty years. Many value the covered call approach due to how it trades off some upside for compelling income opportunities. However, Kaufman noted that the extent of that income can vary depending on market conditions and interest rates.

With autocallables, Kaufman explained that they operate in a similar manner to bonds. Sure, they’re tied to the equity market, but they operate with a set maturity date and set monthly payments, as long as the preselected monthly index doesn’t fall down below its barrier level. CAIE’s index looks closely at the S&P 500, and CAIQ instead looks at the tech-heavy Nasdaq-100.

A Growth Approach to Autocallable Investing

Kaufman noted that CAGE operates a bit differently than CAIE and CAIQ do. CAIE and CAIQ look to generate compelling regular income. Meanwhile, CAGE forgoes the high income for a long-term growth approach.

Notably, Kaufman highlighted that CAGE possesses a memory feature. If its index ends a year down, an investor doesn’t lose the coupon. Instead, the coupon gets stored. Once the reference ends a year in the green, CAGE pays out that stored coupon as well as the coupon for the current year.

“This is a phenomenal way to aggregate and capture growth in up markets and simply store it for later when the market is down,” Kaufman added. “It’s a great way to get amplified long-term growth of the S&P 500 over time. I would encourage you to look at CAGE for growth and look to CAIE and CAIQ for income.”

Kaufman discussed autocallables in more detail during the Symposium, including explaining specific portfolio applications. To register for the symposium replay and receive CE credits, click here.

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Before investing, carefully consider the fund’s investment objectives, risks, and charges and expenses. Please see the prospectus and summary prospectus containing this and other information which can be obtained by calling 1-866-363-9219. Read it carefully before investing. ​

Calamos Investments LLC, referred to herein Calamos is a financial services company offering such services through its subsidiaries: Calamos Advisors LLC, Calamos Wealth Management LLC, Calamos Investments LLP, and Calamos Financial Services LLC. ​

An investment in the Fund(s) is subject to risks, and you could lose money on your investment in the Fund(s). There can be no assurance that the Fund(s) will achieve its investment objective. Your investment in the Fund(s) is not a deposit in a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (FDIC) or any other government agency. The risks associated with an investment in the Fund(s) can increase during times of significant market volatility. The Fund(s) also has specific principal risks, which are described below. More detailed information regarding these risks can be found in the Fund’s prospectus. ​

The risks associated with an investment in the Funds can increase during times of significant market volatility. The Funds face numerous market trading risks. The principal risks of investing in both Funds include: autocallable structure risk, contingent income risk, early redemption risk, barrier risk, authorized participant concentration risk, calculation methodology risk, cash holdings risk, correlation risk, costs of buying and selling fund shares, counterparty risk, credit risk, derivatives risk, equity securities risk, index risk, interest rate risk, investment in a subsidiary, laddered portfolio risk, liquidity risk, market maker risk, market risk, new fund risk, non-diversification risk, premium-discount risk, secondary market trading risk, swap agreement risk, tax risk, trading issues risk, valuation risk, and volatility target index risk. For a detailed list of fund risks, see each prospectus.

The principal risks of investing in the Calamos Autocallable Income ETF and the Calamos Nasdaq® Autocallable Income ETF include: autocallable structure risk, contingent income risk, early redemption risk, barrier risk, authorized participant concentration risk, calculation methodology risk, cash holdings risk, correlation risk, costs of buying and selling fund shares, counterparty risk, credit risk, derivatives risk, equity securities risk, index risk, interest rate risk, investment in a subsidiary, laddered portfolio risk, liquidity risk, market maker risk, market risk, new fund risk, non-diversification risk, premium-discount risk, secondary market trading risk, swap agreement risk, tax risk, trading issues risk, valuation risk, and volatility target index risk.

The principal risks of investing in the Calamos Autocallable Growth ETF include: authorized participant concentration risk, autocallable structure risk, contingent income risk, early redemption risk, barrier risk, calculation methodology risk, cash holdings risk, correlation risk, costs of buying and selling fund shares, counterparty risk, credit risk, derivatives risk, equity securities risk, FLEX Options risk, index risk, interest rate risk, investment in a subsidiary, laddered portfolio risk, liquidity risk, market maker risk, market risk, new fund risk, non-diversification risk, other investment companies risk, premium-discount risk, secondary market trading risk, swap agreement risk, tax risk, trading issues risk, valuation risk, and volatility target index risk.

Autocallable Structure Risk –The Fund’s returns are correlated to the performance of a synthetic portfolio of autocallable notes tracked by the Laddered Autocall Index. Autocallable notes have specific structural features that may be unfamiliar to many investors: ​

–Contingent Income Risk: Coupon payments from the Autocalls are not guaranteed and will not be made if the Underlying Index falls below the Coupon Barrier on observation dates. This means the Fund may generate significantly less income than anticipated during market downturns. ​

–Early Redemption Risk: Autocalls in the Portfolio may be called before their scheduled maturity if the Underlying Reference Index reaches or exceeds the Autocall Barrier on observation dates. This automatic early redemption could force reinvestment of that portion of the portfolio at lower rates if market yields have declined. ​

–Barrier Risk: If the Underlying Reference Index falls below the Protection Level Barrier at the maturity of an Autocall in the Portfolio, that portion of the Portfolio will be fully exposed to the negative performance of the Underlying Reference Index from its initial level. This conditional protection creates a binary outcome that can result in sudden, significant losses if barriers are breached.

Performance data quoted represents past performance, which is no guarantee of future results. Current performance may be lower or higher than the performance quoted. The principal value of an investment will fluctuate so that your shares, when sold, may be worth more or less than their original cost.  ​

CAIQ and CAIE enter into swap agreements with J.P. Morgan to obtain exposure to the MerQube Nasdaq-100® Vol Advantage Autocallable Index and the MerQube Large Cap Vol Advantage Autocallable Index, respectively. CAGE enters into swap agreements with J.P. Morgan to obtain exposure to the MerQube US Large-Cap Vol Advantage Autocallable Growth Index, respectively. J.P. Morgan is not an advisor, promoter, in any way affiliated with either Fund and has no responsibility for either Fund’s performance, marketing, or trading, or any responsibility regarding the suitability of either Fund as an investment.

Nasdaq® is a registered trademarks of Nasdaq, Inc. (which with its affiliates is referred to as the “Corporations”) and is licensed for use by Calamos Advisors LLC. The Fund has not been passed on by the Corporations as to their legality or suitability. The Fund is not issued, endorsed, sold, or promoted by the Corporations. THE CORPORATIONS MAKE NO WARRANTIES AND BEAR NO LIABILITY WITH RESPECT TO THE FUND(S).​

Calamos Financial Services LLC, Distributor ​​

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