CPNJ vs. CPSD

Last updated Jun 4, 2026

CPNJ (Calamos Nasdaq-100 Structured Alt Protection ETF - June) and CPSD (Calamos S&P 500 Structured Alt Protection ETF - December) are both exchange-traded funds - CPNJ is a Nasdaq-100 fund actively managed by Calamos, while CPSD is a Defined Outcome fund actively managed by Calamos. Both are actively managed. Over the past year, CPNJ returned 6.79% vs 9.16% for CPSD. A 0.71 correlation means they provide meaningful diversification when combined. Both charge a 0.69% expense ratio.

Performance

CPNJ vs. CPSD - 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 S&P 500 Structured Alt Protection ETF - December (CPSD). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with CPNJ having a 2.52% return and CPSD slightly higher at 2.55%.

CPNJ

• 1D: 0.04%
• 1M: 0.42%
• YTD: 2.52%
• 6M: 2.99%
• 1Y: 6.79%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSD

• 1D: 0.07%
• 1M: 0.89%
• YTD: 2.55%
• 6M: 2.99%
• 1Y: 9.16%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPNJ vs. CPSD - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPNJ Calamos Nasdaq-100 Structured Alt Protection ETF - June	2.52%	8.35%	0.18%
CPSD Calamos S&P 500 Structured Alt Protection ETF - December	2.55%	7.63%	0.04%

Correlation

The correlation between CPNJ and CPSD is 0.70, 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	0.70
Correlation (All Time) Calculated using the full available price history since Dec 3, 2024	0.71

The correlation between CPNJ and CPSD has been stable across timeframes, ranging from 0.70 to 0.71 - a consistent structural relationship.

Return for Risk

CPNJ vs. CPSD — Risk / Return Rank

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

CPNJ

CPNJ Risk / Return Rank: 94
CPNJ Sharpe Ratio Rank: 93
CPNJ Sortino Ratio Rank: 96
CPNJ Omega Ratio Rank: 95
CPNJ Calmar Ratio Rank: 93
CPNJ Martin Ratio Rank: 96

CPSD

CPSD Risk / Return Rank: 94
CPSD Sharpe Ratio Rank: 92
CPSD Sortino Ratio Rank: 95
CPSD Omega Ratio Rank: 95
CPSD Calmar Ratio Rank: 92
CPSD Martin Ratio Rank: 95

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. CPSD - 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 S&P 500 Structured Alt Protection ETF - December (CPSD). 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.

	CPNJ	CPSD	Difference
Sharpe ratio: Return per unit of total volatility	3.36	3.26	+0.10
Sortino ratio: Return per unit of downside risk	5.45	5.18	+0.27
Omega ratio: Gain probability vs. loss probability	1.74	1.72	+0.02
Calmar ratio: Return relative to maximum drawdown	6.39	6.19	+0.20
Martin ratio: Return relative to average drawdown	37.29	30.66	+6.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPNJ vs. CPSD - Sharpe Ratio Comparison

The current CPNJ Sharpe Ratio is 3.36, which is comparable to the CPSD Sharpe Ratio of 3.26. The chart below compares the historical Sharpe Ratios of CPNJ and CPSD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CPNJ	CPSD	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.36	3.26	+0.10
Sharpe Ratio (All Time) Calculated using the full available price history	1.63	2.03	-0.40

Drawdowns

CPNJ vs. CPSD - Drawdown Comparison

The maximum CPNJ drawdown since its inception was -5.99%, which is greater than CPSD's maximum drawdown of -3.45%. Use the drawdown chart below to compare losses from any high point for CPNJ and CPSD.

Drawdown Indicators

	CPNJ	CPSD	Difference
Max Drawdown Largest peak-to-trough decline	-5.99%	-3.45%	-2.54%
Max Drawdown (1Y) Largest decline over 1 year	-1.07%	-1.49%	+0.42%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.42%	-0.47%	+0.05%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.18%	0.30%	-0.12%

Volatility

CPNJ vs. CPSD - Volatility Comparison

The current volatility for Calamos Nasdaq-100 Structured Alt Protection ETF - June (CPNJ) is 0.19%, while Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) has a volatility of 0.37%. This indicates that CPNJ experiences smaller price fluctuations and is considered to be less risky than CPSD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPNJ	CPSD	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.19%	0.37%	-0.18%
Volatility (6M) Calculated over the trailing 6-month period	1.49%	1.58%	-0.09%
Volatility (1Y) Calculated over the trailing 1-year period	2.03%	2.83%	-0.80%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.08%	3.41%	+1.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.08%	3.41%	+1.67%

CPNJ vs. CPSD - Expense Ratio Comparison

Both CPNJ and CPSD have an expense ratio of 0.69%.

Dividends

CPNJ vs. CPSD - Dividend Comparison

Neither CPNJ nor CPSD has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPNJ and CPSD in my portfolio?

CPNJ and CPSD have a correlation of 0.70, 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 CPSD?

CPSD has higher volatility (0.37%) compared to CPNJ (0.19%). In terms of maximum drawdown, CPNJ dropped -5.99% vs CPSD's -3.45%.

Which ETF is better, CPNJ or CPSD?

On 1-year performance, CPSD leads with 9.16% vs 6.79% for CPNJ. Both ETFs have the same 0.69% expense ratio. On volatility, CPNJ has been the lower-risk option at 0.19%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPNJ or CPSD?

Over the 1-year period, CPSD has performed better with a 9.16% return vs 6.79%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPNJ or CPSD?

CPNJ and CPSD have the same expense ratio: 0.69% per year.

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

CPNJ and CPSD have nearly identical dividend yields, around 0.00%.

What is the main difference between CPNJ and CPSD?

CPNJ is categorized as Nasdaq-100, while CPSD is Defined Outcome.

Which has better risk-adjusted returns?

CPNJ currently has the higher Sharpe Ratio (3.36 vs 3.26), 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.