A New Era for High-Yield ETFs

Here in our little corner of the internet at Investors Alley, we are constantly on the hunt for high-yield investment ideas and products. For the last three years, we’ve helped subscribers navigate the rapidly growing world of option strategy exchange-traded funds, or ETFs. Recently, the team has been digging into a new type of ETF, called autocallables.

An autocallable ETF invests in structured notes that pay a fixed interest rate as long as a designated asset stays above a predetermined barrier. The notes automatically get called in if the asset exceeds a different, higher predetermined level. When a note is called, the fund manager replaces it with a new one, with its own barrier and call levels.

Our analysis is that an autocallable ETF should have a less volatile share price than stock-based ETFs, and its expected long-term return should be close to the distribution yield.

The first ETF of this type launched in April 2025. I now track 20 such funds, most of which launched over the last few months. Most sponsors in this group are smaller ETF managers. I was pleased to see that ProShares came to market in August with three new autocallable ETFs. Let’s take a look at them:   

• ProShares S&P 500 Autocallable Income ETF (ACSP). Annualized index yield: 18.84%.
• ProShares Nasdaq 100 Autocallable Income ETF (ACQQ). Index yield: 18.54%.
• ProShares Russell 2000 Autocallable Income ETF (ACRT). Index yield: 19.15%.

The three ETFs use the same strategy with the designated indices . Here is the description for ASCP. The others are practically identical, outside of the noted index.

The S&P 500 Futures 35% Volatility Compass Autocall Index is designed to replicate the performance of an investment strategy that maintains a portfolio of autocallable notes with staggered maturities. This combination is often referred to as a “laddered autocallable strategy.” The laddered structure is designed to provide diversification across maturities and a more consistent stream of income than an investment in a single autocallable note. Generally, in pursuing a laddered autocallable strategy, an investor is seeking to generate consistent income.

Each ETF holds 75 to 80 notes. Here is the notes dashboard for ACSP:

These ETFs are complicated, but should produce a simple result: a mid-teens yield with a stable share price. The ProShares ETFs have not yet paid a dividend, but they will pay monthly once payments begin.

We have been holding webinars for our newsletter subscribers, sharing what we learn about this new class of ETFs.