- CUSIP
- 12811T126
- Issuer
- Calamos
- Inception Date
- Jan 2, 2025
- Region
- North America (U.S.)
- Category
- Defined Outcome
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Distribution Policy
- Accumulating
- Asset Class
- Equity
- Asset Class Size
- Small-Cap
- Asset Class Style
- Blend
- Assets Under Management
- $46M
Share Price Chart
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Performance
CPRY Performance Chart
Calamos Russell 2000 Structured Alt Protection ETF - January (CPRY) is up 3.4% since the beginning of the year. CPRY is currently trading at $28 per share.
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Returns By Period
Calamos Russell 2000 Structured Alt Protection ETF - January (CPRY) has returned 3.44% so far this year and 12.37% over the past 12 months.
Calamos Russell 2000 Structured Alt Protection ETF - January
- 1D
- 0.18%
- 1M
- 0.56%
- YTD
- 3.44%
- 6M
- 3.73%
- 1Y
- 12.37%
- 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%
CPRY Monthly Returns History
Based on dividend-adjusted daily data since Jan 2, 2025, CPRY's average daily return is +0.03%, while the average monthly return is +0.64%. At this rate, an investment would double in approximately 9.1 years.
Historically, 78% of months were positive and 22% were negative. The best month was Aug 2025 with a return of +2.4%, while the worst month was Feb 2025 at -0.9%. The longest winning streak lasted 10 consecutive months, and the longest losing streak was 3 months.
On a daily basis, CPRY closed higher 55% of trading days. The best single day was Aug 22, 2025 with a return of +1.3%, while the worst single day was Nov 13, 2025 at -1.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.85% | 0.16% | -0.46% | 1.87% | 0.63% | 0.34% | 3.44% | ||||||
| 2025 | 0.50% | -0.94% | -0.91% | -0.07% | 0.79% | 1.24% | 0.48% | 2.37% | 1.18% | 0.92% | 0.99% | 1.66% | 8.46% |
Benchmark Metrics
Calamos Russell 2000 Structured Alt Protection ETF - January has an annualized alpha of 5.45%, beta of 0.15, and R2 of 0.39 versus S&P 500 Index. Calculated based on daily prices since January 02, 2025.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (25.24%) than losses (1.61%) - typical of diversified or defensive assets.
- Beta of 0.15 may look defensive, but with R2 of 0.39 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 0.39 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
- 5.45%
- Beta
- 0.15
- R²
- 0.39
- Upside Capture
- 25.24%
- Downside Capture
- 1.61%
Expense Ratio
CPRY has an expense ratio of 0.69%, placing it in the medium range.
Return for Risk
Risk / Return Rank
CPRY 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 - January (CPRY) 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.
| CPRY | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.79 | ||
| Sortino ratioReturn per unit of downside risk | +1.62 | ||
| Omega ratioGain probability vs. loss probability | 1.59 | 1.35 | +0.23 |
| Calmar ratioReturn relative to maximum drawdown | 5.01 | 2.66 | +2.35 |
| Martin ratioReturn relative to average drawdown | 25.64 | 11.86 | +13.77 |
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 - January. 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 - January was 3.23%, occurring on Apr 4, 2025. Recovery took 60 trading sessions.
The current Calamos Russell 2000 Structured Alt Protection ETF - January drawdown is 0.01%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -3.23%Apr 2025 | 1mo 26d | 2mo 29d | 4mo 25dFeb 2025 - Jul 2025 |
2025 pullback2025 | -2.48%Nov 2025 | 23d | 5d | 28dOct 2025 - Nov 2025 |
2025 pullback2025 | -1.29%Aug 2025 | 8d | 11d | 19dJul 2025 - Aug 2025 |
2026 pullback2026 | -1.24%Mar 2026 | 1mo 17d | 10d | 1mo 27dFeb 2026 - Apr 2026 |
2025 pullback2025 | -1.02%Oct 2025 | 1d | 4d | 5dOct 2025 - Oct 2025 |
Drawdown Indicators
| CPRY | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.23% | -56.78% | +53.55% |
Max Drawdown (1Y)Largest decline over 1 year | -2.48% | -9.10% | +6.62% |
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 | -0.01% | -2.49% | +2.48% |
Average DrawdownAverage peak-to-trough decline | -0.66% | -10.72% | +10.06% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.48% | 2.03% | -1.55% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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