CPNJ vs. CAIE

Last updated Jul 17, 2026

CPNJ (Calamos Nasdaq-100 Structured Alt Protection ETF - June) and CAIE (Calamos Autocallable Income ETF) are both exchange-traded funds - CPNJ is a Nasdaq-100 fund actively managed by Calamos, while CAIE is a Derivative Income fund tracking the MerQube US Large Cap Vol Advantage Autocallable Index. CPNJ is actively managed, while CAIE is passively managed. Over the past year, CPNJ returned 5.12% vs 20.40% for CAIE. A 0.71 correlation means they provide meaningful diversification when combined. CPNJ charges 0.69%/yr vs 0.74%/yr for CAIE.

Performance

CPNJ vs. CAIE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Nasdaq-100 Structured Alt Protection ETF - June (CPNJ) and Calamos Autocallable Income ETF (CAIE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPNJ achieves a 2.00% return, which is significantly lower than CAIE's 8.71% return.

CPNJ

• 1D: -0.24%
• 1M: -0.33%
• 6M: 1.72%
• YTD: 2.00%
• 1Y: 5.12%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CAIE

• 1D: -0.33%
• 1M: 0.33%
• 6M: 7.62%
• YTD: 8.71%
• 1Y: 20.40%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPNJ vs. CAIE - Yearly Performance Comparison

	2026 (YTD)	2025
CPNJ Calamos Nasdaq-100 Structured Alt Protection ETF - June	2.00%	3.52%
CAIE Calamos Autocallable Income ETF	8.71%	15.12%

Correlation

The correlation between CPNJ and CAIE is 0.72, 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	0.72
Correlation (All Time) Calculated using the full available price history since Jun 25, 2025	0.71

The correlation between CPNJ and CAIE has been stable across timeframes, ranging from 0.71 to 0.72 - a consistent structural relationship.

Return for Risk

CPNJ vs. CAIE — Risk / Return Rank

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

CPNJ

CPNJ Risk / Return Rank: 89
CPNJ Sharpe Ratio Rank: 84
CPNJ Sortino Ratio Rank: 88
CPNJ Omega Ratio Rank: 89
CPNJ Calmar Ratio Rank: 92
CPNJ Martin Ratio Rank: 94

CAIE

CAIE Risk / Return Rank: 68
CAIE Sharpe Ratio Rank: 66
CAIE Sortino Ratio Rank: 65
CAIE Omega Ratio Rank: 65
CAIE Calmar Ratio Rank: 66
CAIE Martin Ratio Rank: 77

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.

CPNJ vs. CAIE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Nasdaq-100 Structured Alt Protection ETF - June (CPNJ) and Calamos Autocallable Income ETF (CAIE). 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.

	CPNJ	CAIE	Difference
Sharpe ratio: Return per unit of total volatility	2.17	1.73	+0.44
Sortino ratio: Return per unit of downside risk	3.23	2.40	+0.83
Omega ratio: Gain probability vs. loss probability	1.44	1.31	+0.13
Calmar ratio: Return relative to maximum drawdown	4.82	2.65	+2.17
Martin ratio: Return relative to average drawdown	20.85	11.32	+9.53

CPNJ vs. CAIE - Sharpe Ratio Comparison

The current CPNJ Sharpe Ratio is 2.17, which is comparable to the CAIE Sharpe Ratio of 1.73. The chart below compares the historical Sharpe Ratios of CPNJ and CAIE, 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

CPNJ vs. CAIE - Drawdown Comparison

The maximum CPNJ drawdown since its inception was -5.99%, smaller than the maximum CAIE drawdown of -7.73%. Use the drawdown chart below to compare losses from any high point for CPNJ and CAIE.

Drawdown Indicators

	CPNJ	CAIE	Difference
Max Drawdown Largest peak-to-trough decline	-5.99%	-7.73%	+1.74%
Max Drawdown (1Y) Largest decline over 1 year	-1.07%	-7.73%	+6.66%
Current Drawdown Current decline from peak	-0.52%	-0.73%	+0.21%
Average Drawdown Average peak-to-trough decline	-0.42%	-1.10%	+0.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.25%	1.81%	-1.56%

Volatility

CPNJ vs. CAIE - Volatility Comparison

The current volatility for Calamos Nasdaq-100 Structured Alt Protection ETF - June (CPNJ) is 1.03%, while Calamos Autocallable Income ETF (CAIE) has a volatility of 2.20%. This indicates that CPNJ experiences smaller price fluctuations and is considered to be less risky than CAIE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPNJ	CAIE	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.03%	2.20%	-1.17%
Volatility (6M) Calculated over the trailing 6-month period	1.97%	8.33%	-6.36%
Volatility (1Y) Calculated over the trailing 1-year period	2.37%	11.87%	-9.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.04%	11.79%	-6.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.04%	11.79%	-6.75%

CPNJ vs. CAIE - Expense Ratio Comparison

CPNJ has a 0.69% expense ratio, which is lower than CAIE's 0.74% expense ratio.

Dividends

CPNJ vs. CAIE - Dividend Comparison

CPNJ has not paid dividends to shareholders, while CAIE's dividend yield for the trailing twelve months is around 14.47%.

Position	TTM	2025
CAIE Calamos Autocallable Income ETF	14.47%	7.46%
CPNJ Calamos Nasdaq-100 Structured Alt Protection ETF - June	0.00%	0.00%

Frequently Asked Questions

Can I hold both CPNJ and CAIE in my portfolio?

CPNJ and CAIE have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPNJ or CAIE?

CAIE has higher volatility (2.20%) compared to CPNJ (1.03%). In terms of maximum drawdown, CPNJ dropped -5.99% vs CAIE's -7.73%.

Which ETF is better, CPNJ or CAIE?

On 1-year performance, CAIE leads with 20.40% vs 5.12% for CPNJ. On fees, CPNJ is cheaper at 0.69% per year. On volatility, CPNJ has been the lower-risk option at 1.03%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPNJ or CAIE?

Over the 1-year period, CAIE has performed better with a 20.40% return vs 5.12%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPNJ or CAIE?

CPNJ is cheaper with a 0.69% expense ratio, compared with 0.74% for CAIE.

Which ETF pays a higher dividend yield, CPNJ or CAIE?

CAIE has the higher dividend yield at 14.47%, compared with 0.00% for CPNJ.

What is the main difference between CPNJ and CAIE?

CPNJ is categorized as Nasdaq-100, while CAIE is Derivative Income. Their fees differ too: 0.69% for CPNJ and 0.74% for CAIE.

Which has better risk-adjusted returns?

CPNJ currently has the higher Sharpe Ratio (2.17 vs 1.73), 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.