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Ask the Manager: Jordan Rosenfeld on CAIE Momentum, Investor Conviction and Market Impact
Jordan Rosenfeld explains why autocallable income ETFs like CAIE are gaining traction as advisors seek scalable, tax-efficient alternatives to structured notes.
For this edition of Ask the Manager, we speak with Jordan Rosenfeld, portfolio manager for Calamos’ structured protection and autocallable income strategies. Rosenfeld discusses the strong early adoption of the Calamos Autocallable Income ETF
CAIE has seen remarkable traction since its June launch. What do you believe is driving such strong investor response?
There is significant investor demand for yield, as evidenced by the rapid growth of the derivative income ETF category, and CAIE
Since CAIE delivers the return stream of the MerQube US Large-Cap Vol Advantage Autocallable Index (MQAUTOCL), Calamos is able to provide historical returns and coupons back to 2005, a very high degree of time diversification (52-260 notes in the portfolio at any given time, with an average of 79 notes), and seamless, automatic principal reinvestment from autocalled notes which minimizes cash drag. The MerQube US Large-Cap Vol Advantage Index (MQUSLVA), which determines the payoff of autocallable notes within the parent index, achieves high, stable coupons with minimal principal impairment by employing a next-generation volatility targeting strategy which defends the barriers in times of market stress by reducing exposure to the market. With innovative portfolio management and tax expertise, we structured the ETF in a way that seeks to deliver return of capital tax treatment on distributions, which may preserve after-tax returns by deferring shareholder tax liability.
CAIE was named Most Innovative Product by SRP Americas—making it the first ETF and Calamos the first non-bank asset manager to receive this distinction—as well as Deal of the Year by Structured Products Intelligence (SPi). What does this recognition signal to the broader advisor community?
Recognition from SRP Americas and SPi (Structured Products Intelligence), along with reviews by Morningstar analysts and others, provides independent validation and credibility for the strategy behind CAIE. Because CAIE is a novel and complex product, advisors and gatekeepers naturally face some adoption hurdles. While strong performance is the ultimate proof of concept, this independent validation helps build confidence and supports conversations with investment committees and clients.
With assets exceeding $500 million, how does this growth compare to other income-generating ETFs, and what does it suggest about advisor demand for structured yield solutions?
We’re grateful for the strong early support of our strategy. In its first 180 days, CAIE’s growth has been several times greater than other derivative income ETFs, including some of the most recognized equity premium income products. We believe this reflects two key factors: the inherent advisor demand for autocallable notes as a differentiated source of income, and the recognition that CAIE offers a solution that addresses many of the limitations found in traditional covered call strategies.
In what ways does CAIE streamline advisor workflows—particularly for RIAs managing autocallable yield notes—and how does that translate into real business value?
Managing a portfolio of individual structured notes can be operationally complex and time-consuming. Unless an advisor places a high value on customization and can offset the cash drag when notes are called early, we believe an ETF offers a far more efficient solution. At its core, CAIE provides access to structured note strategies for independent RIAs that may lack the operational scale to handle custody, settlements, and rolling of individual notes. Even for larger RIAs, inefficiencies arise when notes are autocalled, forcing advisors to spend time sourcing replacements that meet income objectives. Managing a portfolio of 52–260 notes to achieve diversification and reduce path dependency would be impractical. Additionally, with CAIE, tax reporting is simplified through Form 1099, and cost basis adjustments are handled by brokers.
From a business perspective, this translates into scalability and stronger client relationships. RIAs can spend less time on operational tasks and more time growing their practice and delivering value to clients.
How does the recently launched Calamos Nasdaq Autocallable Income ETF (CAIQ) build on CAIE’s success?
CAIQ represents the next evolution in our autocallable ETF lineup, expanding beyond broad S&P 500 exposure to include tech-focused Nasdaq-100 exposure. This ETF may offer a higher potential yield—typically 3-4% more than CAIE—in exchange for greater concentration risk.
For example, the most recent CAIQ
Historically, concentrated exposure to the Nasdaq-100 has delivered strong results by harnessing the growth engine of leading technology companies. We believe it’s important to give investors the choice between S&P 500 and Nasdaq-100 exposure, and we view these products as complementary rather than competitive.
With a UCITS version in development, how is Calamos positioning itself to serve international advisors seeking innovative income solution?
While U.S. markets have embraced covered call ETFs and other derivative income strategies, international markets remain relatively underserved in this area. By launching a UCITS product, Calamos is extending our next-generation derivative income strategy globally—particularly to regions where structured products like autocallable notes are already widely used and well understood.
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About Jordan Rosenfeld
Jordan Rosenfeld is responsible for portfolio management and investment research, focusing on the Calamos Structured Protection ETFs® and the Calamos Autocallable Income ETFs. He joined the firm in 2025 and contributes 10 years of investment industry experience. Previously, Jordan was a Senior Director and Portfolio Manager at Milliman, where he led the ETF sub-advisory team and co-managed 140 ETFs. He began his career as a trader at Gelber Group.
Before investing, carefully consider the fund’s investment objectives, risks, 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. 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. 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.
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.
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.
Each Fund's returns are correlated to the performance of a synthetic portfolio of autocallable notes tracked by an Autocallable Index. Autocallable notes have specific structural features:
–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.
Calamos and its representatives do not provide tax or legal advice. Each individual's tax and financial situation is unique. Individuals should consult their tax and/or legal advisor for advice and information concerning their particular situation.
Calamos Investments LLC, referred to herein as 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. © 2025 Calamos Investments LLC. All Rights Reserved. Calamos® and Calamos Investments® are registered trademarks of Calamos Investments LLC.
Nasdaq® and Nasdaq-100® are registered trademarks of Nasdaq, Inc. (which with its affiliates is referred to as the “Corporations”) and are 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).
© 2026 Morningstar, Inc. All rights reserved. The information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete, or timely. Neither Morningstar nor its content providers are responsible for any damages or losses arising from any use of this information.
SRP Americas Awards Methodology: SRP typically conducts a comprehensive market survey involving institutions active in the structured products space. Industry professionals-including issuers, distributors, and service providers-are invited to vote on various award categories. For the "Most Innovative Product" award, the evaluation likely focuses on: product design originality, client-centric innovation, market impact and adoption, risk-return profile enhancements and integration of new technologies or strategies. Finalists are often reviewed by a panel of SRP editors and industry experts who assess the submissions based on qualitative and quantitative factors.
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