Animal Spirits Podcast Talk Your Book: Autocallable Income
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Jul 7, 2025 
Matt Kaufman, Senior Vice President and Head of ETFs at Calamos, dives into the innovative world of the Calamos Autocallable Income ETF, a unique fund merging institutional-style structured notes with ETFs. He discusses how the ETF's laddered structure provides a distinctive income strategy. The conversation highlights the mechanics of autocallable notes, addressing their risks, market dynamics, and education's role in navigating these complex investment vehicles. Kaufman also shares insights on using structured products to protect returns during market volatility.
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Auto Callable Notes Explained
- Auto callable notes offer high stable coupon payments tied to equity index performance.
- Investors assume deep tail risk but gain a yield often around 14.7%.
Use Laddered Auto Callable ETFs
- Use laddered auto callable notes inside an ETF to diversify maturity and timing risks.
- This "easy button" replaces buying individual notes, reducing paperwork and reinvestment hassle.
Volatility and Income Trade-off
- The underlying price exposure is slightly more volatile than the S&P 500, about 20-21% historically.
- Investors receive high monthly income but should expect price movement in between.