- CUSIP
- 12811T837
- Issuer
- Calamos
- Inception Date
- Jul 1, 2024
- Category
- Defined Outcome
- Leveraged
- 1x (No leverage)
- Index Tracked
- MerQube Cap Protect US Small Cap PR Index - Jul
- Domicile
- United States
- Distribution Policy
- Accumulating
- Asset Class
- Equity
- Asset Class Size
- Small-Cap
- Asset Class Style
- Blend
- Assets Under Management
- $37M
Highlights
- Avg. Volume (1M)
- 25K
- Avg. Volume Value (1M)
- $690.59K
Share Price Chart
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Performance
CPRJ Performance Chart
Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) is up 3.1% since the beginning of the year. CPRJ is currently trading at $28 per share.
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Returns By Period
Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) has returned 3.12% so far this year and 7.00% over the past 12 months.
Calamos Russell 2000 Structured Alt Protection ETF - July
- 1D
- -0.11%
- 1M
- -0.14%
- 6M
- 2.28%
- YTD
- 3.12%
- 1Y
- 7.00%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 5.87%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
CPRJ Monthly Returns History
Based on dividend-adjusted daily data since Jul 1, 2024, CPRJ's average daily return is +0.02%, while the average monthly return is +0.48%. At this rate, an investment would double in approximately 12.1 years.
Historically, 76% of months were positive and 24% 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 53% 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% | 1.67% | 0.64% | 0.34% | -0.21% | 3.12% | |||||
| 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 | 1.98% | 0.47% | 0.47% | 0.01% | 2.30% | -1.30% | 3.95% |
Benchmark Metrics
Calamos Russell 2000 Structured Alt Protection ETF - July has an annualized alpha of 2.46%, beta of 0.21, and R2 of 0.46 versus S&P 500 Index. Calculated based on daily prices since July 01, 2024.
- This ETF participated in 32.58% of S&P 500 Index downside but only 30.29% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.21 may look defensive, but with R2 of 0.46 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 0.46 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
- 2.46%
- Beta
- 0.21
- R²
- 0.46
- Upside Capture
- 30.29%
- Downside Capture
- 32.58%
Expense Ratio
CPRJ has an expense ratio of 0.69%, placing it in the medium range.
Return for Risk
Risk / Return Rank
CPRJ ranks 96 for risk / return — above 96% of ETFs peers on PortfoliosLab. Its historical combined result is among the stronger results in the peer group.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) 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.
| CPRJ | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.35 | ||
| Sortino ratioReturn per unit of downside risk | +2.57 | ||
| Omega ratioGain probability vs. loss probability | 1.57 | 1.25 | +0.31 |
| Calmar ratioReturn relative to maximum drawdown | 6.37 | 2.00 | +4.37 |
| Martin ratioReturn relative to average drawdown | 25.23 | 8.49 | +16.74 |
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 0.25%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-6.25%Apr 2025 | 2mo 1d | 3mo 2d | 5mo 3dFeb 2025 - Jul 2025 | 2025 selloff2025 |
-1.74%Jan 2025 | 1mo 6d | 20d | 1mo 26dDec 2024 - Jan 2025 | — |
-1.67%Aug 2024 | 21d | 16d | 1mo 7dJul 2024 - Aug 2024 | — |
-1.20%Sep 2024 | 7d | 7d | 14dSep 2024 - Sep 2024 | — |
-1.07%Nov 2025 | 24d | 6d | 1moOct 2025 - Nov 2025 | — |
Drawdown Indicators
| CPRJ | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -6.25% | -56.78% | +50.53% |
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 | -0.25% | -1.58% | +1.33% |
Average DrawdownAverage peak-to-trough decline | -0.83% | -10.70% | +9.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.27% | 2.14% | -1.87% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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