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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Calamos Russell 2000 Structured Alt Protection ETF - July, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) has returned 1.00% so far this year and 10.93% over the past 12 months.
Calamos Russell 2000 Structured Alt Protection ETF - July
- 1D
- 0.05%
- 1M
- 0.06%
- YTD
- 1.00%
- 6M
- 2.05%
- 1Y
- 10.93%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 0.11%
- 1M
- -3.63%
- YTD
- -3.84%
- 6M
- -1.98%
- 1Y
- 29.73%
- 3Y*
- 16.86%
- 5Y*
- 10.37%
- 10Y*
- 12.29%
Monthly Returns
Based on dividend-adjusted daily data since Jul 1, 2024, CPRJ's average daily return is +0.02%, while the average monthly return is +0.49%. At this rate, your investment would double in approximately 11.8 years.
Historically, 77% of months were positive and 23% were negative. The best month was Jun 2025 with a return of +3.4%, while the worst month was Mar 2025 at -2.4%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, CPRJ closed higher 52% of trading days. The best single day was Jun 26, 2025 with a return of +1.6%, while the worst single day was Apr 3, 2025 at -1.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.82% | 0.29% | -0.46% | 0.34% | 1.00% | ||||||||
| 2025 | 1.19% | -1.41% | -2.40% | -1.04% | 1.47% | 3.39% | 0.32% | 1.50% | 0.69% | 0.42% | 0.43% | 0.50% | 5.04% |
| 2024 | 2.75% | 0.47% | 0.47% | 0.01% | 2.30% | -1.30% | 4.75% |
Benchmark Metrics
Calamos Russell 2000 Structured Alt Protection ETF - July has an annualized alpha of 3.57%, beta of 0.22, and R² of 0.50 versus S&P 500 Index. Calculated based on daily prices since July 02, 2024.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (41.45%) than losses (35.88%) — typical of diversified or defensive assets.
- Beta of 0.22 may look defensive, but with R² of 0.50 this ETF is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this ETF's risk.
- R² of 0.50 means the benchmark explains less than half of this ETF's behavior — treat beta with caution or consider switching to a more representative benchmark.
- Alpha
- 3.57%
- Beta
- 0.22
- R²
- 0.50
- Upside Capture
- 41.45%
- Downside Capture
- 35.88%
Expense Ratio
CPRJ has an expense ratio of 0.69%, placing it in the medium range.
Return for Risk
Risk / Return Rank
CPRJ ranks 84 for risk / return — in the top 84% 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 Russell 2000 Structured Alt Protection ETF - July (CPRJ) and compare them to a chosen benchmark (S&P 500 Index).
| CPRJ | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.52 | 0.88 | +0.64 |
Sortino ratioReturn per unit of downside risk | 2.31 | 1.37 | +0.94 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.21 | +0.15 |
Calmar ratioReturn relative to maximum drawdown | 3.24 | 1.39 | +1.85 |
Martin ratioReturn relative to average drawdown | 12.04 | 6.43 | +5.61 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore CPRJ risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
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 Russell 2000 Structured Alt Protection ETF - July. 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 Russell 2000 Structured Alt Protection ETF - July was 6.25%, occurring on Apr 8, 2025. Recovery took 62 trading sessions.
The current Calamos Russell 2000 Structured Alt Protection ETF - July drawdown is 0.29%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -6.25% | Feb 6, 2025 | 43 | Apr 8, 2025 | 62 | Jul 9, 2025 | 105 |
| -1.74% | Dec 5, 2024 | 24 | Jan 10, 2025 | 13 | Jan 30, 2025 | 37 |
| -1.67% | Jul 17, 2024 | 16 | Aug 7, 2024 | 12 | Aug 23, 2024 | 28 |
| -1.2% | Sep 3, 2024 | 6 | Sep 10, 2024 | 5 | Sep 17, 2024 | 11 |
| -1.07% | Oct 27, 2025 | 19 | Nov 20, 2025 | 4 | Nov 26, 2025 | 23 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with CPRJ
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