How do you edit a jpeg file and add callouts and save it again as a jpeg file?

I opened a jpeg file in Acrobat Pro XI and edited the photo adding callouts. It was saved again as a PDF, and when reopened all of the callouts where there.  I tried to save it as a jpeg file, and when repoened all of the callouts were gone.  How do I save the file as a jpeg and have the callouts show?