Is It Still Okay to “T-Bill and Chill”?

Late April inflation data is running close to 4% year over year when you split the difference between the CPI and PPI. Measures can differ, but the takeaway is clear—for a variety of reasons, the US is headed on a path away from the Fed’s 2% goal. In a 4% price-increasing world, does earning ~3%–4% on cash or ultra short-term money make a lot of sense anymore? Probably not.

Yet investors still hold $200 billion+ across a variety of ultra-short bond ETFs/MMs/T-bills/CDs, etc. They need income but also feel the pinch of inflation gnawing away at their buying power if they just park their reserves. Maybe it’s time to introduce a new alternative into “Cashland.”

Prices Are Rising Again: United States Inflation Rate YoY

Source: US Bureau of Labor Statistics as of April 2026.

Over $200 billion is parked in Ultra ST Bond ETFs, ST bonds, T-bills, and related instruments. Most earn 3% to 4% before taxes!

Morningstar Ultrashort Bond ETF Category – Top 5 by AUM

as of May 2026

Source: Morningstar as of May 2026. The table includes ETFs that are the largest and most widely held in the Ultrashort Bond category.

Pursuing Stable Income with an Inflation-Beating Edge

At Calamos Investments, we build innovative, durable, and actively managed products to help advisors demonstrate their value over market cycles. Calamos Autocallable Income ETF (CAIE) is a prime example of this commitment.

The Fund seeks to deliver high, stable income tied to equity market performance, rather than traditional fixed-income credit or duration, through exposure to a portfolio of 52+ autocallables with similar terms, each linked to the MerQube Vol Advantage Autocallable Index (MQAUTOCL)—a benchmark optimized specifically for this strategy. The following chart shows how the MQAUTOCL, by means of income generation, is highly correlated to the performance of the S&P 500 Index.

Source: MerQube Indices, 10/31/05 – 9/30/25. Data is for illustrative purposes only. Past performance not indicative of future results. MerQube US Large Cap Vol Advantage Autocallable Index is not a proxy for Calamos Autocallable Income ETF (CAIE). The results of the MerQube index will differ to those of CAIE. Investors should consider the risks of investing in CAIE and review the prospectus prior to investing. Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Current performance may be lower or higher than the performance quoted.

As of April 30, 2026, the Fund generated a strong YTD net asset return of 5.73%, with an annualized distribution rate of 14.30%.

We believe CAIE’s weekly laddered exposure—spanning 52+ different reference points—significantly reduces timing risk and the likelihood of sudden loss of principal at the portfolio level. Unlike a single note that might fail on a specific date, CAIE’s diversified structure aims to create a smoother experience, with a high likelihood that coupons will continue to be paid even during market turbulence and minimized risk of principal loss at maturity.

Currently, 100% of the MQAUTOCL Index autocallables are paying coupons, averaging near 14%, demonstrating, in our view, a degree of reliability that traditional fixed income often lacks in low-rate or inflationary environments such as we faced in 2022, and currently with the crisis in the Middle East.

CAIE’s Potential Portfolio Fit Considerations

We would never suggest CAIE as a replacement for, say, core investment-grade fixed income, Treasuries, and short-term safe havens. Furthermore, although the fund itself does not have bond-like risk characteristics, financial advisors have found value in using CAIE as a portfolio building block. When paired with short-maturity risk-free assets like a Treasury bill, an allocation to CAIE can reduce overall portfolio volatility and drawdown when compared with a portfolio that targets after-tax income using assets with credit and duration risk.

Risk comes into play if the MerQube reference index drops below -40%. In this scenario, income payments will stop until the index rises above the -40% threshold. If a note reaches maturity below the barrier, the investor will experience a loss of principal relative to the decline. The good news is that downturns of this magnitude are historically rare and short-lived.

Visit www.calamos.com/autocall to learn more about our complete lineup of Autocallable ETFs or contact us at 866.363.9219.

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. Returns at NAV reflect the deduction of the Fund’s management fee and other expenses, which can be found on the next page. For the most recent Fund month-end performance information, visit www.calamos.com or call 1-866-363-9219.

The performance of the Fund will differ, and may vary materially, from that of any index. There is no assurance the Fund will achieve or maintain its investment objective. You can purchase or sell common shares daily. Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Average annual total return measures net investment income and capital gain or loss from portfolio investments as an annualized average. All performance shown assumes reinvestment of dividends and capital gains distributions. Returns greater than 12 months are annualized.

Current Annualized Distribution Rate is the Fund’s most recent distribution, expressed as an annualized percentage of the Fund’s current market price per share.

For more information on CAIE, visit www.calamos.com/CAIE.

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 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.

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 principal risks of investing in the Calamos 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 risk, 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. 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.

The MerQube US Large Cap Vol Advantage Index is designed to provide volatility-adjusted exposure to E-Mini S&P 500 futures contracts by targeting an implied volatility of 35%, subject to a 6% decrement per annum. Unlike traditional equity indices that maintain fixed allocations, this index dynamically adjusts exposure based on market volatility conditions. During calm or typical market environments, the Index increases exposure to equity futures, while during volatile market periods, the Index reduces exposure to equity futures. Unlike other volatility target indices that rebalance daily based on realized volatility, this Index rebalances weekly (at the end of each week) based on one-week implied volatility derived from SPY weekly options prices. This approach seeks to maintain a more consistent risk profile across varying market conditions while potentially reducing drawdowns during market stress and improving risk-adjusted returns over time. The Index is a rules-based, systematic index designed to provide dynamic exposure to US large-capitalization equities while employing a volatility management methodology that seeks to maintain a target volatility level. The Index dynamically adjusts exposure between the Equity Component and a cash position based on prevailing market volatility conditions.

Neither MerQube, Inc. nor any of its affiliates (collectively, “MerQube”) is the issuer or producer of Calamos Autocallable Income ETF (“CAIE”) and MerQube has no duties, responsibilities, or obligations to investors in CAIE. The index underlying CAIE is a product of MerQube and has been licensed for use by Calamos Advisors LLC. Such index is calculated using, among other things, market data or other information (“Input Data”) from one or more sources (each such source, a “Data Provider”). MerQube® is a registered trademark of MerQube, Inc. This trademark has been licensed for certain purposes by Calamos Advisors LLC in its capacity as the issuer of CAIE. CAIE is not sponsored, endorsed, sold or promoted by MerQube, any Data Provider, or any other third party, and none of such parties make any representation regarding the advisability of investing in securities generally or in CAIE particularly, nor do they have any liability for any errors, omissions, or interruptions of the Input Data, MerQube US Large-Cap Vol Advantage Index (“MQUSLVA”), MerQube US Large-Cap Vol Advantage Autocallable Index (“MQAUTOCL”), or any associated data. show less

The S&P 500 Price Index (SPX) tracks the price return of the S&P 500 Index, which is generally considered representative of the US stock market.

The Morningstar Ultrashort Bond Category consists of ETFs (and mutual funds) that invest primarily in investment-grade fixed-income securities with very short durations—typically less than one year.

Unmanaged index returns, unlike fund returns, do not reflect fees, expenses or sales charges. Investors cannot invest directly in an index. Total return assumes the reinvestment of income. Current performance may be higher or lower than the performance data shown.

Calamos Financial Services LLC, Distributor

Calamos and Calamos Investments are registered trademarks of Calamos LLC. 