CCEF vs. CPRJ

Last updated Jun 26, 2026

CCEF (Calamos CEF Income & Arbitrage ETF) and CPRJ (Calamos Russell 2000 Structured Alt Protection ETF - July) are both exchange-traded funds - CCEF is a Dividend fund actively managed by Calamos, while CPRJ is a Defined Outcome fund tracking the MerQube Cap Protect US Small Cap PR Index - Jul. CCEF is actively managed, while CPRJ is passively managed. Over the past year, CCEF returned 13.87% vs 9.01% for CPRJ. A 0.67 correlation means they provide meaningful diversification when combined. CCEF charges 2.74%/yr vs 0.69%/yr for CPRJ.

Performance

CCEF vs. CPRJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos CEF Income & Arbitrage ETF (CCEF) and Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CCEF achieves a 5.53% return, which is significantly higher than CPRJ's 3.07% return.

CCEF

• 1D: 0.58%
• 1M: 0.06%
• YTD: 5.53%
• 6M: 5.75%
• 1Y: 13.87%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPRJ

• 1D: -0.16%
• 1M: 0.16%
• YTD: 3.07%
• 6M: 2.91%
• 1Y: 9.01%
• 3Y*: —
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

CCEF vs. CPRJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CCEF Calamos CEF Income & Arbitrage ETF	5.53%	13.47%	7.10%
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July	3.07%	5.04%	3.95%

Correlation

The correlation between CCEF and CPRJ is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.58
Correlation (All Time) Calculated using the full available price history since Jul 1, 2024	0.67

The correlation between CCEF and CPRJ has been stable across timeframes, ranging from 0.58 to 0.67 - a consistent structural relationship.

Return for Risk

CCEF vs. CPRJ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CCEF

CCEF Risk / Return Rank: 52
CCEF Sharpe Ratio Rank: 57
CCEF Sortino Ratio Rank: 56
CCEF Omega Ratio Rank: 59
CCEF Calmar Ratio Rank: 40
CCEF Martin Ratio Rank: 51

CPRJ

CPRJ Risk / Return Rank: 96
CPRJ Sharpe Ratio Rank: 94
CPRJ Sortino Ratio Rank: 97
CPRJ Omega Ratio Rank: 96
CPRJ Calmar Ratio Rank: 96
CPRJ Martin Ratio Rank: 96

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CCEF vs. CPRJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos CEF Income & Arbitrage ETF (CCEF) and Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

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.

	CCEF	CPRJ	Difference
Sharpe ratio: Return per unit of total volatility	1.69	3.04	-1.35
Sortino ratio: Return per unit of downside risk	2.35	5.83	-3.48
Omega ratio: Gain probability vs. loss probability	1.32	1.74	-0.43
Calmar ratio: Return relative to maximum drawdown	1.80	8.41	-6.62
Martin ratio: Return relative to average drawdown	7.72	32.64	-24.92

CCEF vs. CPRJ - Sharpe Ratio Comparison

The current CCEF Sharpe Ratio is 1.69, which is lower than the CPRJ Sharpe Ratio of 3.04. The chart below compares the historical Sharpe Ratios of CCEF and CPRJ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CCEF vs. CPRJ - Drawdown Comparison

The maximum CCEF drawdown since its inception was -13.25%, which is greater than CPRJ's maximum drawdown of -6.25%. Use the drawdown chart below to compare losses from any high point for CCEF and CPRJ.

Drawdown Indicators

	CCEF	CPRJ	Difference
Max Drawdown Largest peak-to-trough decline	-13.25%	-6.25%	-7.00%
Max Drawdown (1Y) Largest decline over 1 year	-7.75%	-1.07%	-6.68%
Current Drawdown Current decline from peak	-0.99%	-0.16%	-0.83%
Average Drawdown Average peak-to-trough decline	-1.35%	-0.86%	-0.49%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.80%	0.28%	+1.52%

Volatility

CCEF vs. CPRJ - Volatility Comparison

Calamos CEF Income & Arbitrage ETF (CCEF) has a higher volatility of 2.73% compared to Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) at 0.37%. This indicates that CCEF's price experiences larger fluctuations and is considered to be riskier than CPRJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CCEF	CPRJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.73%	0.37%	+2.36%
Volatility (6M) Calculated over the trailing 6-month period	7.01%	1.60%	+5.41%
Volatility (1Y) Calculated over the trailing 1-year period	8.23%	3.22%	+5.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.77%	5.08%	+5.69%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.77%	5.08%	+5.69%

CCEF vs. CPRJ - Expense Ratio Comparison

CCEF has a 2.74% expense ratio, which is higher than CPRJ's 0.69% expense ratio.

Dividends

CCEF vs. CPRJ - Dividend Comparison

CCEF's dividend yield for the trailing twelve months is around 8.00%, while CPRJ has not paid dividends to shareholders.

Position	TTM	2025	2024
CCEF Calamos CEF Income & Arbitrage ETF	8.00%	8.08%	6.55%
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CCEF and CPRJ in my portfolio?

CCEF and CPRJ have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CCEF or CPRJ?

CCEF has higher volatility (2.73%) compared to CPRJ (0.37%). In terms of maximum drawdown, CCEF dropped -13.25% vs CPRJ's -6.25%.

Which ETF is better, CCEF or CPRJ?

On 1-year performance, CCEF leads with 13.87% vs 9.01% for CPRJ. On fees, CPRJ is cheaper at 0.69% per year. On volatility, CPRJ has been the lower-risk option at 0.37%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CCEF or CPRJ?

Over the 1-year period, CCEF has performed better with a 13.87% return vs 9.01%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CCEF or CPRJ?

CPRJ is cheaper with a 0.69% expense ratio, compared with 2.74% for CCEF.

Which ETF pays a higher dividend yield, CCEF or CPRJ?

CCEF has the higher dividend yield at 8.00%, compared with 0.00% for CPRJ.

What is the main difference between CCEF and CPRJ?

CCEF is categorized as Dividend, while CPRJ is Defined Outcome. Their fees differ too: 2.74% for CCEF and 0.69% for CPRJ.

Which has better risk-adjusted returns?

CPRJ currently has the higher Sharpe Ratio (3.04 vs 1.69), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.