- Issuer
- Calamos
- Inception Date
- Jun 3, 2024
- Category
- Nasdaq-100, Defined Outcome
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Domicile
- United States
- Distribution Policy
- Accumulating
- Asset Class
- Alternatives
- Assets Under Management
- $35M
Share Price Chart
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Performance
CPNJ Performance Chart
Calamos Nasdaq-100 Structured Alt Protection ETF - June (CPNJ) is up 2.4% since the beginning of the year. CPNJ is currently trading at $28 per share.
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Returns By Period
Calamos Nasdaq-100 Structured Alt Protection ETF - June (CPNJ) has returned 2.35% so far this year and 6.55% over the past 12 months.
Calamos Nasdaq-100 Structured Alt Protection ETF - June
- 1D
- 0.39%
- 1M
- 0.14%
- YTD
- 2.35%
- 6M
- 2.58%
- 1Y
- 6.55%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 0.00%
- 1M
- -0.17%
- YTD
- 8.39%
- 6M
- 8.57%
- 1Y
- 24.06%
- 3Y*
- 18.94%
- 5Y*
- 12.24%
- 10Y*
- 13.54%
CPNJ Monthly Returns History
Based on dividend-adjusted daily data since Jun 3, 2024, CPNJ's average daily return is +0.03%, while the average monthly return is +0.61%. At this rate, an investment would double in approximately 9.5 years.
Historically, 84% of months were positive and 16% were negative. The best month was May 2025 with a return of +4.0%, while the worst month was Mar 2025 at -2.0%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 2 months.
On a daily basis, CPNJ closed higher 60% of trading days. The best single day was Apr 9, 2025 with a return of +3.3%, while the worst single day was Apr 3, 2025 at -2.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.43% | 0.16% | -0.51% | 1.88% | 0.46% | -0.07% | 2.35% | ||||||
| 2025 | 0.82% | -0.16% | -1.95% | 0.95% | 3.96% | 1.36% | 0.45% | 0.62% | 0.79% | 0.57% | 0.12% | 0.60% | 8.35% |
| 2024 | 1.07% | 0.09% | 0.83% | 0.99% | 0.06% | 1.41% | 0.36% | 4.90% |
Benchmark Metrics
Calamos Nasdaq-100 Structured Alt Protection ETF - June has an annualized alpha of 2.71%, beta of 0.27, and R2 of 0.76 versus S&P 500 Index. Calculated based on daily prices since June 03, 2024.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (25.03%) than losses (3.30%) - typical of diversified or defensive assets.
- This ETF generated an annualized alpha of 2.71% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.27 indicates this ETF moves significantly less than S&P 500 Index - a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 2.71%
- Beta
- 0.27
- R²
- 0.76
- Upside Capture
- 25.03%
- Downside Capture
- 3.30%
Expense Ratio
CPNJ has an expense ratio of 0.69%, placing it in the medium range.
Return for Risk
Risk / Return Rank
CPNJ ranks 93 for risk / return — in the top 93% of ETFs on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Calamos Nasdaq-100 Structured Alt Protection ETF - June (CPNJ) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| CPNJ | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.98 | ||
| Sortino ratioReturn per unit of downside risk | +1.79 | ||
| Omega ratioGain probability vs. loss probability | 1.64 | 1.35 | +0.29 |
| Calmar ratioReturn relative to maximum drawdown | 6.17 | 2.66 | +3.51 |
| Martin ratioReturn relative to average drawdown | 30.93 | 11.86 | +19.07 |
Dividends
Dividend History
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the Calamos Nasdaq-100 Structured Alt Protection ETF - June. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the Calamos Nasdaq-100 Structured Alt Protection ETF - June was 5.99%, occurring on Apr 8, 2025. Recovery took 23 trading sessions.
The current Calamos Nasdaq-100 Structured Alt Protection ETF - June drawdown is 0.19%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -5.99%Apr 2025 | 1mo 17d | 1mo 4d | 2mo 21dFeb 2025 - May 2025 |
2024 pullback2024 | -1.96%Aug 2024 | 27d | 13d | 1mo 10dJul 2024 - Aug 2024 |
2024 pullback2024 | -1.26%Sep 2024 | 11d | 7d | 18dAug 2024 - Sep 2024 |
2026 pullback2026 | -1.07%Mar 2026 | 12d | 7d | 19dMar 2026 - Apr 2026 |
2026 pullback2026 | -0.93%Jun 2026 | 5d | — | 15d 19hJun 2026 - now |
Drawdown Indicators
| CPNJ | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.99% | -56.78% | +50.79% |
Max Drawdown (1Y)Largest decline over 1 year | -1.07% | -9.10% | +8.03% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -0.19% | -2.49% | +2.30% |
Average DrawdownAverage peak-to-trough decline | -0.42% | -10.72% | +10.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.21% | 2.03% | -1.82% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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