CPNM vs. DRLL
CPNM (Calamos Nasdaq-100 Structured Alt Protection ETF - March) and DRLL (Strive U.S. Energy ETF) are both exchange-traded funds - CPNM is a Defined Outcome fund tracking the Nasdaq-100 Index Price Return, while DRLL is a Energy Equities fund tracking the Bloomberg US Energy Select Index. Both are passively managed. Over the past year, CPNM returned 6.70% vs 37.23% for DRLL. Their -0.02 correlation means they have often moved in opposite directions in the past. CPNM charges 0.69%/yr vs 0.41%/yr for DRLL.
Performance
CPNM vs. DRLL - Performance Comparison
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Returns By Period
In the year-to-date period, CPNM achieves a 3.53% return, which is significantly lower than DRLL's 29.95% return.
CPNM
- 1D
- 0.08%
- 1M
- 0.56%
- 6M
- 3.15%
- YTD
- 3.53%
- 1Y
- 6.70%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 6.86%
DRLL
- 1D
- -2.68%
- 1M
- 8.84%
- 6M
- 11.16%
- YTD
- 29.95%
- 1Y
- 37.23%
- 3Y*
- 11.02%
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 12.29%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $12.41K | $21.76K | $24.34K | |
| $478.10K | $507.89K | $528.94K |
CPNM vs. DRLL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CPNM Calamos Nasdaq-100 Structured Alt Protection ETF - March | 3.53% | 6.16% |
DRLL Strive U.S. Energy ETF | 29.95% | 2.19% |
Correlation
The correlation between CPNM and DRLL is -0.21, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.21 |
Correlation (All Time) Calculated using the full available price history since Mar 3, 2025 | -0.02 |
The correlation between CPNM and DRLL shifts across timeframes, from -0.21 (1 year) to -0.02 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
CPNM vs. DRLL — Risk / Return Rank
CPNM
DRLL
CPNM vs. DRLL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Nasdaq-100 Structured Alt Protection ETF - March (CPNM) and Strive U.S. Energy ETF (DRLL). 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.
| CPNM | DRLL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.66 | ||
| Sortino ratioReturn per unit of downside risk | +3.17 | ||
| Omega ratioGain probability vs. loss probability | 1.69 | 1.27 | +0.43 |
| Calmar ratioReturn relative to maximum drawdown | 6.52 | 2.20 | +4.32 |
| Martin ratioReturn relative to average drawdown | 32.63 | 5.57 | +27.06 |
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Drawdowns
CPNM vs. DRLL - Drawdown Comparison
The maximum CPNM drawdown since its inception was -2.19%, smaller than the maximum DRLL drawdown of -23.73%. Use the drawdown chart below to compare losses from any high point for CPNM and DRLL.
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Drawdown Indicators
| CPNM | DRLL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -2.19% | -23.73% | +21.54% |
Max Drawdown (1Y)Largest decline over 1 year | -1.03% | -16.99% | +15.96% |
Max Drawdown (3Y)Largest decline over 3 years | — | -23.73% | — |
Current DrawdownCurrent decline from peak | 0.00% | -9.02% | +9.02% |
Average DrawdownAverage peak-to-trough decline | -0.22% | -8.14% | +7.92% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.21% | 6.71% | -6.50% |
Volatility
CPNM vs. DRLL - Volatility Comparison
The current volatility for Calamos Nasdaq-100 Structured Alt Protection ETF - March (CPNM) is 0.62%, while Strive U.S. Energy ETF (DRLL) has a volatility of 7.42%. This indicates that CPNM experiences smaller price fluctuations and is considered to be less risky than DRLL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPNM | DRLL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.62% | 7.42% | -6.80% |
Volatility (6M)Calculated over the trailing 6-month period | 1.59% | 18.67% | -17.08% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.06% | 23.14% | -21.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.79% | 23.82% | -21.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 2.79% | 23.82% | -21.03% |
CPNM vs. DRLL - Expense Ratio Comparison
CPNM has a 0.69% expense ratio, which is higher than DRLL's 0.41% expense ratio.
Dividends
CPNM vs. DRLL - Dividend Comparison
CPNM has not paid dividends to shareholders, while DRLL's dividend yield for the trailing twelve months is around 2.34%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 |
|---|---|---|---|---|---|
CPNM Calamos Nasdaq-100 Structured Alt Protection ETF - March | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
DRLL Strive U.S. Energy ETF | 2.34% | 2.99% | 3.00% | 3.01% | 1.18% |
Frequently Asked Questions
CPNM and DRLL have a correlation of -0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
DRLL has higher volatility (7.42%) compared to CPNM (0.62%). In terms of maximum drawdown, CPNM dropped -2.19% vs DRLL's -23.73%.
On 1-year performance, DRLL leads with 37.23% vs 6.70% for CPNM. On fees, DRLL is cheaper at 0.41% per year. On volatility, CPNM has been the lower-risk option at 0.62%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, DRLL has performed better with a 37.23% return vs 6.70%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DRLL is cheaper with a 0.41% expense ratio, compared with 0.69% for CPNM.
DRLL has the higher dividend yield at 2.34%, compared with 0.00% for CPNM.
CPNM is categorized as Defined Outcome, while DRLL is Energy Equities. CPNM tracks Nasdaq-100 Index Price Return, while DRLL tracks Bloomberg US Energy Select Index. They also come from different issuers: Calamos and Strive. Their fees differ too: 0.69% for CPNM and 0.41% for DRLL.
CPNM currently has the higher Sharpe Ratio (3.28 vs 1.62), 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.
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