- CUSIP
- 12811T845
- Issuer
- Calamos
- Inception Date
- Mar 3, 2025
- Region
- North America (United States)
- Category
- Defined Outcome
- Leveraged
- 1x (No leverage)
- Index Tracked
- Nasdaq-100 Index Price Return
- Distribution Policy
- Accumulating
- Asset Class
- Alternatives
- Assets Under Management
- $15M
Share Price Chart
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Performance
CPNM Performance Chart
Calamos Nasdaq-100 Structured Alt Protection ETF - March (CPNM) is up 2.9% since the beginning of the year. CPNM is currently trading at $27 per share.
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Returns By Period
Calamos Nasdaq-100 Structured Alt Protection ETF - March (CPNM) has returned 2.94% so far this year and 7.75% over the past 12 months.
Calamos Nasdaq-100 Structured Alt Protection ETF - March
- 1D
- 0.19%
- 1M
- 0.26%
- YTD
- 2.94%
- 6M
- 3.18%
- 1Y
- 7.75%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 0.00%
- 1M
- -0.71%
- YTD
- 8.39%
- 6M
- 8.57%
- 1Y
- 24.33%
- 3Y*
- 18.94%
- 5Y*
- 12.24%
- 10Y*
- 13.54%
CPNM Monthly Returns History
Based on dividend-adjusted daily data since Mar 3, 2025, CPNM's average daily return is +0.03%, while the average monthly return is +0.56%. At this rate, an investment would double in approximately 10.3 years.
Historically, 88% of months were positive and 13% were negative. The best month was Apr 2026 with a return of +1.8%, while the worst month was Mar 2025 at -1.2%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 1 months.
On a daily basis, CPNM closed higher 61% of trading days. The best single day was Apr 9, 2025 with a return of +1.1%, while the worst single day was Apr 8, 2025 at -0.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.46% | 0.38% | -0.66% | 1.82% | 0.92% | 0.00% | 2.94% | ||||||
| 2025 | -1.22% | 0.71% | 1.48% | 1.38% | 0.62% | 0.58% | 0.84% | 0.55% | 0.35% | 0.73% | 6.16% |
Benchmark Metrics
Calamos Nasdaq-100 Structured Alt Protection ETF - March has an annualized alpha of 4.42%, beta of 0.14, and R2 of 0.74 versus S&P 500 Index. Calculated based on daily prices since March 03, 2025.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (20.27%) than losses (0.54%) - typical of diversified or defensive assets.
- This ETF generated an annualized alpha of 4.42% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.14 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
- 4.42%
- Beta
- 0.14
- R²
- 0.74
- Upside Capture
- 20.27%
- Downside Capture
- 0.54%
Expense Ratio
CPNM has an expense ratio of 0.69%, placing it in the medium range.
Return for Risk
Risk / Return Rank
CPNM ranks 96 for risk / return — in the top 96% 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 - March (CPNM) 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.
| CPNM | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.96 | ||
| Sortino ratioReturn per unit of downside risk | +3.76 | ||
| Omega ratioGain probability vs. loss probability | 1.87 | 1.35 | +0.51 |
| Calmar ratioReturn relative to maximum drawdown | 7.52 | 2.66 | +4.86 |
| Martin ratioReturn relative to average drawdown | 40.57 | 11.86 | +28.71 |
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 - March. 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 - March was 2.19%, occurring on Apr 4, 2025. Recovery took 25 trading sessions.
The current Calamos Nasdaq-100 Structured Alt Protection ETF - March drawdown is 0.10%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -2.19%Apr 2025 | 1mo 2d | 1mo 8d | 2mo 10dMar 2025 - May 2025 |
2026 pullback2026 | -1.03%Mar 2026 | 19d | 9d | 28dMar 2026 - Apr 2026 |
2025 pullback2025 | -0.64%Nov 2025 | 21d | 5d | 26dOct 2025 - Nov 2025 |
2026 pullback2026 | -0.52%Jun 2026 | 7d | 5d | 12dJun 2026 - Jun 2026 |
2025 pullback2025 | -0.38%Aug 2025 | 6d | 7d | 13dAug 2025 - Aug 2025 |
Drawdown Indicators
| CPNM | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -2.19% | -56.78% | +54.59% |
Max Drawdown (1Y)Largest decline over 1 year | -1.03% | -9.10% | +8.07% |
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 | -0.10% | -2.49% | +2.39% |
Average DrawdownAverage peak-to-trough decline | -0.22% | -10.72% | +10.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.19% | 2.03% | -1.84% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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