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Performance
CPRO Performance Chart
Calamos Russell 2000 Structured Alt Protection ETF - October (CPRO) is up 2.3% since the beginning of the year. CPRO is currently trading at $28 per share.
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Returns By Period
Calamos Russell 2000 Structured Alt Protection ETF - October (CPRO) has returned 2.28% so far this year and 13.21% over the past 12 months.
Calamos Russell 2000 Structured Alt Protection ETF - October
- 1D
- 0.13%
- 1M
- 1.83%
- YTD
- 2.28%
- 6M
- 2.74%
- 1Y
- 13.21%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 1.18%
- 1M
- 5.05%
- YTD
- 1.78%
- 6M
- 4.86%
- 1Y
- 28.88%
- 3Y*
- 18.97%
- 5Y*
- 10.81%
- 10Y*
- 12.85%
CPRO Monthly Returns History
Based on dividend-adjusted daily data since Oct 1, 2024, CPRO's average daily return is +0.03%, while the average monthly return is +0.58%. At this rate, an investment would double in approximately 10.0 years.
Historically, 79% of months were positive and 21% were negative. The best month was Aug 2025 with a return of +3.1%, while the worst month was Mar 2025 at -1.2%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 2 months.
On a daily basis, CPRO closed higher 53% of trading days. The best single day was Aug 22, 2025 with a return of +1.8%, while the worst single day was Dec 18, 2024 at -0.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 1.09% | 0.37% | -0.72% | 1.53% | 2.28% | ||||||||
| 2025 | 0.76% | -0.99% | -1.21% | 0.00% | 0.61% | 1.14% | 0.61% | 3.14% | 3.03% | 0.45% | 0.33% | 0.26% | 8.34% |
| 2024 | 0.01% | 1.60% | -1.00% | 0.59% |
Benchmark Metrics
Calamos Russell 2000 Structured Alt Protection ETF - October has an annualized alpha of 5.13%, beta of 0.15, and R² of 0.37 versus S&P 500 Index. Calculated based on daily prices since October 02, 2024.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (33.80%) than losses (21.58%) — typical of diversified or defensive assets.
- Beta of 0.15 may look defensive, but with R² of 0.37 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 0.37 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
- 5.13%
- Beta
- 0.15
- R²
- 0.37
- Upside Capture
- 33.80%
- Downside Capture
- 21.58%
Expense Ratio
CPRO has an expense ratio of 0.69%, placing it in the medium range.
Return for Risk
Risk / Return Rank
CPRO ranks 91 for risk / return — in the top 91% 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 - October (CPRO) and compare them to a chosen benchmark (S&P 500 Index).
| CPRO | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.93 | 2.20 | +0.73 |
Sortino ratioReturn per unit of downside risk | 5.33 | 3.07 | +2.26 |
Omega ratioGain probability vs. loss probability | 1.64 | 1.41 | +0.23 |
Calmar ratioReturn relative to maximum drawdown | 7.42 | 3.55 | +3.87 |
Martin ratioReturn relative to average drawdown | 26.88 | 16.01 | +10.87 |
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 CPRO 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 - October. 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 - October was 3.36%, occurring on Apr 8, 2025. Recovery took 58 trading sessions.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -3.36% | Dec 3, 2024 | 86 | Apr 8, 2025 | 58 | Jul 2, 2025 | 144 |
| -1.77% | Jul 24, 2025 | 7 | Aug 1, 2025 | 8 | Aug 13, 2025 | 15 |
| -1.44% | Feb 27, 2026 | 22 | Mar 30, 2026 | 7 | Apr 9, 2026 | 29 |
| -1.25% | Oct 28, 2025 | 18 | Nov 20, 2025 | 4 | Nov 26, 2025 | 22 |
| -1.05% | Aug 14, 2025 | 5 | Aug 20, 2025 | 2 | Aug 22, 2025 | 7 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with CPRO
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