CPNM vs. USO
CPNM (Calamos Nasdaq-100 Structured Alt Protection ETF - March) and USO (United States Oil Fund LP) are both exchange-traded funds - CPNM is a Defined Outcome fund tracking the Nasdaq-100 Index Price Return, while USO is a Oil & Gas fund tracking the Front Month Light Sweet Crude Oil. Both are passively managed. Over the past year, CPNM returned 8.01% vs 101.55% for USO. At a correlation of -0.15, they often move in opposite directions. CPNM charges 0.69%/yr vs 0.86%/yr for USO.
Performance
CPNM vs. USO - Performance Comparison
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Returns By Period
In the year-to-date period, CPNM achieves a 2.97% return, which is significantly lower than USO's 103.67% return.
CPNM
- 1D
- -0.03%
- 1M
- 0.81%
- YTD
- 2.97%
- 6M
- 3.58%
- 1Y
- 8.01%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
USO
- 1D
- 2.62%
- 1M
- -4.57%
- YTD
- 103.67%
- 6M
- 99.35%
- 1Y
- 101.55%
- 3Y*
- 29.98%
- 5Y*
- 24.41%
- 10Y*
- 4.07%
CPNM vs. USO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CPNM Calamos Nasdaq-100 Structured Alt Protection ETF - March | 2.97% | 6.65% |
USO United States Oil Fund LP | 103.67% | -5.67% |
Correlation
The correlation between CPNM and USO is -0.30, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.30 |
Correlation (All Time) Calculated using the full available price history since Mar 4, 2025 | -0.15 |
The correlation between CPNM and USO shifts across timeframes, from -0.30 (1 year) to -0.15 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
CPNM vs. USO — Risk / Return Rank
CPNM
USO
CPNM vs. USO - 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 United States Oil Fund LP (USO). 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.
| CPNM | USO | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.87 | ||
| Sortino ratioReturn per unit of downside risk | +4.13 | ||
| Omega ratioGain probability vs. loss probability | 1.95 | 1.38 | +0.57 |
| Calmar ratioReturn relative to maximum drawdown | 7.80 | 5.01 | +2.79 |
| Martin ratioReturn relative to average drawdown | 43.66 | 9.42 | +34.24 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CPNM | USO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 4.18 | 2.31 | +1.87 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.68 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.10 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 2.77 | -0.18 | +2.95 |
Drawdowns
CPNM vs. USO - Drawdown Comparison
The maximum CPNM drawdown since its inception was -1.91%, smaller than the maximum USO drawdown of -98.19%. Use the drawdown chart below to compare losses from any high point for CPNM and USO.
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Drawdown Indicators
| CPNM | USO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -1.91% | -98.19% | +96.28% |
Max Drawdown (1Y)Largest decline over 1 year | -1.03% | -20.39% | +19.36% |
Max Drawdown (3Y)Largest decline over 3 years | — | -26.05% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -36.23% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -86.75% | — |
Current DrawdownCurrent decline from peak | -0.03% | -85.01% | +84.98% |
Average DrawdownAverage peak-to-trough decline | -0.18% | -75.30% | +75.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.18% | 10.82% | -10.64% |
Volatility
CPNM vs. USO - Volatility Comparison
The current volatility for Calamos Nasdaq-100 Structured Alt Protection ETF - March (CPNM) is 0.51%, while United States Oil Fund LP (USO) has a volatility of 14.87%. This indicates that CPNM experiences smaller price fluctuations and is considered to be less risky than USO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPNM | USO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.51% | 14.87% | -14.36% |
Volatility (6M)Calculated over the trailing 6-month period | 1.36% | 38.23% | -36.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.93% | 44.20% | -42.27% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.81% | 36.06% | -33.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 2.81% | 39.00% | -36.19% |
CPNM vs. USO - Expense Ratio Comparison
CPNM has a 0.69% expense ratio, which is lower than USO's 0.86% expense ratio.
Dividends
CPNM vs. USO - Dividend Comparison
Neither CPNM nor USO has paid dividends to shareholders.
Frequently Asked Questions
CPNM and USO have a correlation of -0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
USO has higher volatility (14.87%) compared to CPNM (0.51%). In terms of maximum drawdown, CPNM dropped -1.91% vs USO's -98.19%.
On 1-year performance, USO leads with 101.55% vs 8.01% for CPNM. On fees, CPNM is cheaper at 0.69% per year. On volatility, CPNM has been the lower-risk option at 0.51%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, USO has performed better with a 101.55% return vs 8.01%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CPNM is cheaper with a 0.69% expense ratio, compared with 0.86% for USO.
CPNM and USO have nearly identical dividend yields, around 0.00%.
CPNM is categorized as Defined Outcome, while USO is Oil & Gas. CPNM tracks Nasdaq-100 Index Price Return, while USO tracks Front Month Light Sweet Crude Oil. They also come from different issuers: Calamos and USCF. Their fees differ too: 0.69% for CPNM and 0.86% for USO.
CPNM currently has the higher Sharpe Ratio (4.18 vs 2.31), 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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