CPNQ vs. CAIE

Last updated Aug 5, 2026

CPNQ (Calamos Nasdaq-100 Structured Alt Protection ETF - December) and CAIE (Calamos Autocallable Income ETF) are both exchange-traded funds - CPNQ is a Defined Outcome fund actively managed by Calamos, while CAIE is a Derivative Income fund tracking the MerQube US Large Cap Vol Advantage Autocallable Total Return Index. CPNQ is actively managed, while CAIE is passively managed. Over the past year, CPNQ returned 7.03% vs 20.78% for CAIE. Their 0.76 correlation means they have sometimes moved together and sometimes differently. CPNQ charges 0.69%/yr vs 0.86%/yr for CAIE.

Performance

CPNQ vs. CAIE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Nasdaq-100 Structured Alt Protection ETF - December (CPNQ) 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, CPNQ achieves a 3.66% return, which is significantly lower than CAIE's 10.88% return.

CPNQ

• 1D: 0.23%
• 1M: 0.65%
• 6M: 3.55%
• YTD: 3.66%
• 1Y: 7.03%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 7.06%

CAIE

• 1D: 1.30%
• 1M: 2.49%
• 6M: 9.84%
• YTD: 10.88%
• 1Y: 20.78%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 24.63%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CAIE Calamos Autocallable Income ETF	$18.08M	$16.26M	$13.42M
CPNQ Calamos Nasdaq-100 Structured Alt Protection ETF - December	$161.81K	$191.84K	$253.62K

CPNQ vs. CAIE - Yearly Performance Comparison

	2026 (YTD)	2025
CPNQ Calamos Nasdaq-100 Structured Alt Protection ETF - December	3.66%	4.78%
CAIE Calamos Autocallable Income ETF	10.88%	15.12%

Correlation

The correlation between CPNQ and CAIE is 0.76, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.76
Correlation (All Time) Calculated using the full available price history since Jun 25, 2025	0.76

The correlation between CPNQ and CAIE has been stable across timeframes, ranging from 0.76 to 0.76 - a consistent structural relationship.

Return for Risk

CPNQ vs. CAIE — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

CPNQ

CPNQ Risk / Return Rank: 93
CPNQ Sharpe Ratio Rank: 91
CPNQ Sortino Ratio Rank: 95
CPNQ Omega Ratio Rank: 93
CPNQ Calmar Ratio Rank: 92
CPNQ Martin Ratio Rank: 95

CAIE

CAIE Risk / Return Rank: 70
CAIE Sharpe Ratio Rank: 68
CAIE Sortino Ratio Rank: 67
CAIE Omega Ratio Rank: 66
CAIE Calmar Ratio Rank: 69
CAIE Martin Ratio Rank: 79

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

CPNQ vs. CAIE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Nasdaq-100 Structured Alt Protection ETF - December (CPNQ) 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.

	CPNQ	CAIE	Difference
Sharpe ratio: Return per unit of total volatility	2.53	1.77	+0.76
Sortino ratio: Return per unit of downside risk	4.09	2.46	+1.63
Omega ratio: Gain probability vs. loss probability	1.51	1.32	+0.19
Calmar ratio: Return relative to maximum drawdown	4.66	2.70	+1.96
Martin ratio: Return relative to average drawdown	21.46	11.39	+10.07

CPNQ vs. CAIE - Sharpe Ratio Comparison

The current CPNQ Sharpe Ratio is 2.53, which is higher than the CAIE Sharpe Ratio of 1.77. The chart below compares the historical Sharpe Ratios of CPNQ 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

CPNQ vs. CAIE - Drawdown Comparison

The maximum CPNQ drawdown since its inception was -3.52%, smaller than the maximum CAIE drawdown of -7.73%. Use the drawdown chart below to compare losses from any high point for CPNQ and CAIE.

Drawdown Indicators

	CPNQ	CAIE	Difference
Max Drawdown Largest peak-to-trough decline	-3.52%	-7.73%	+4.21%
Max Drawdown (1Y) Largest decline over 1 year	-1.52%	-7.73%	+6.21%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.41%	-1.13%	+0.72%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.33%	1.83%	-1.50%

Volatility

CPNQ vs. CAIE - Volatility Comparison

The current volatility for Calamos Nasdaq-100 Structured Alt Protection ETF - December (CPNQ) is 0.96%, while Calamos Autocallable Income ETF (CAIE) has a volatility of 3.60%. This indicates that CPNQ 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

	CPNQ	CAIE	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.96%	3.60%	-2.64%
Volatility (6M) Calculated over the trailing 6-month period	2.34%	8.57%	-6.23%
Volatility (1Y) Calculated over the trailing 1-year period	2.82%	11.94%	-9.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.36%	11.92%	-8.56%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.36%	11.92%	-8.56%

CPNQ vs. CAIE - Expense Ratio Comparison

CPNQ has a 0.69% expense ratio, which is lower than CAIE's 0.86% expense ratio.

Dividends

CPNQ vs. CAIE - Dividend Comparison

CPNQ has not paid dividends to shareholders, while CAIE's dividend yield for the trailing twelve months is around 14.08%.

Position	TTM	2025
CAIE Calamos Autocallable Income ETF	14.08%	7.46%
CPNQ Calamos Nasdaq-100 Structured Alt Protection ETF - December	0.00%	0.00%

Frequently Asked Questions

Can I hold both CPNQ and CAIE in my portfolio?

CPNQ and CAIE have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPNQ or CAIE?

CAIE has higher volatility (3.60%) compared to CPNQ (0.96%). In terms of maximum drawdown, CPNQ dropped -3.52% vs CAIE's -7.73%.

Which ETF is better, CPNQ or CAIE?

On 1-year performance, CAIE leads with 20.78% vs 7.03% for CPNQ. On fees, CPNQ is cheaper at 0.69% per year. On volatility, CPNQ has been the lower-risk option at 0.96%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPNQ or CAIE?

Over the 1-year period, CAIE has performed better with a 20.78% return vs 7.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPNQ or CAIE?

CPNQ is cheaper with a 0.69% expense ratio, compared with 0.86% for CAIE.

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

CAIE has the higher dividend yield at 14.08%, compared with 0.00% for CPNQ.

What is the main difference between CPNQ and CAIE?

CPNQ is categorized as Defined Outcome, while CAIE is Derivative Income. Their fees differ too: 0.69% for CPNQ and 0.86% for CAIE.

Which has better risk-adjusted returns?

CPNQ currently has the higher Sharpe Ratio (2.53 vs 1.77), 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.