CPNQ vs. CPNS

Last updated Jun 23, 2026

CPNQ (Calamos Nasdaq-100 Structured Alt Protection ETF - December) and CPNS (Calamos Nasdaq-100 Structured Alt Protection ETF - September) are both Defined Outcome funds from Calamos. CPNQ is actively managed, while CPNS is passively managed. Over the past year, CPNQ returned 8.63% vs 7.68% for CPNS. Their correlation of 0.82 suggests significant overlap in exposure. Both charge a 0.69% expense ratio.

Performance

CPNQ vs. CPNS - 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 Nasdaq-100 Structured Alt Protection ETF - September (CPNS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPNQ achieves a 3.07% return, which is significantly lower than CPNS's 3.23% return.

CPNQ

• 1D: 0.02%
• 1M: 0.35%
• YTD: 3.07%
• 6M: 3.17%
• 1Y: 8.63%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPNS

• 1D: 0.05%
• 1M: 0.34%
• YTD: 3.23%
• 6M: 3.17%
• 1Y: 7.68%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPNQ vs. CPNS - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPNQ Calamos Nasdaq-100 Structured Alt Protection ETF - December	3.07%	7.80%	0.29%
CPNS Calamos Nasdaq-100 Structured Alt Protection ETF - September	3.23%	7.25%	0.40%

Correlation

The correlation between CPNQ and CPNS is 0.75, 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	0.75
Correlation (All Time) Calculated using the full available price history since Dec 2, 2024	0.82

The correlation between CPNQ and CPNS has been stable across timeframes, ranging from 0.75 to 0.82 - a consistent structural relationship.

Return for Risk

CPNQ vs. CPNS — Risk / Return Rank

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

CPNQ

CPNQ Risk / Return Rank: 94
CPNQ Sharpe Ratio Rank: 93
CPNQ Sortino Ratio Rank: 96
CPNQ Omega Ratio Rank: 94
CPNQ Calmar Ratio Rank: 91
CPNQ Martin Ratio Rank: 95

CPNS

CPNS Risk / Return Rank: 95
CPNS Sharpe Ratio Rank: 95
CPNS Sortino Ratio Rank: 96
CPNS Omega Ratio Rank: 96
CPNS Calmar Ratio Rank: 92
CPNS Martin Ratio Rank: 96

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.

CPNQ vs. CPNS - 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 Nasdaq-100 Structured Alt Protection ETF - September (CPNS). 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	CPNS	Difference
Sharpe ratio: Return per unit of total volatility	3.19	3.63	-0.44
Sortino ratio: Return per unit of downside risk	5.23	5.57	-0.34
Omega ratio: Gain probability vs. loss probability	1.68	1.81	-0.13
Calmar ratio: Return relative to maximum drawdown	5.72	5.87	-0.15
Martin ratio: Return relative to average drawdown	27.62	31.74	-4.13

CPNQ vs. CPNS - Sharpe Ratio Comparison

The current CPNQ Sharpe Ratio is 3.19, which is comparable to the CPNS Sharpe Ratio of 3.63. The chart below compares the historical Sharpe Ratios of CPNQ and CPNS, 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. CPNS - Drawdown Comparison

The maximum CPNQ drawdown since its inception was -3.52%, smaller than the maximum CPNS drawdown of -3.99%. Use the drawdown chart below to compare losses from any high point for CPNQ and CPNS.

Drawdown Indicators

	CPNQ	CPNS	Difference
Max Drawdown Largest peak-to-trough decline	-3.52%	-3.99%	+0.47%
Max Drawdown (1Y) Largest decline over 1 year	-1.52%	-1.31%	-0.21%
Current Drawdown Current decline from peak	-0.15%	-0.01%	-0.14%
Average Drawdown Average peak-to-trough decline	-0.42%	-0.36%	-0.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.31%	0.24%	+0.07%

Volatility

CPNQ vs. CPNS - Volatility Comparison

Calamos Nasdaq-100 Structured Alt Protection ETF - December (CPNQ) has a higher volatility of 0.90% compared to Calamos Nasdaq-100 Structured Alt Protection ETF - September (CPNS) at 0.56%. This indicates that CPNQ's price experiences larger fluctuations and is considered to be riskier than CPNS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPNQ	CPNS	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.90%	0.56%	+0.34%
Volatility (6M) Calculated over the trailing 6-month period	2.23%	1.75%	+0.48%
Volatility (1Y) Calculated over the trailing 1-year period	2.72%	2.13%	+0.59%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.38%	3.51%	-0.13%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.38%	3.51%	-0.13%

CPNQ vs. CPNS - Expense Ratio Comparison

Both CPNQ and CPNS have an expense ratio of 0.69%.

Dividends

CPNQ vs. CPNS - Dividend Comparison

Neither CPNQ nor CPNS has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPNQ and CPNS in my portfolio?

CPNQ and CPNS have a correlation of 0.75, 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 CPNS?

CPNQ has higher volatility (0.90%) compared to CPNS (0.56%). In terms of maximum drawdown, CPNQ dropped -3.52% vs CPNS's -3.99%.

Which ETF is better, CPNQ or CPNS?

On 1-year performance, CPNQ leads with 8.63% vs 7.68% for CPNS. Both ETFs have the same 0.69% expense ratio. On volatility, CPNS has been the lower-risk option at 0.56%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPNQ or CPNS?

Over the 1-year period, CPNQ has performed better with a 8.63% return vs 7.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPNQ or CPNS?

CPNQ and CPNS have the same expense ratio: 0.69% per year.

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

CPNQ and CPNS have nearly identical dividend yields, around 0.00%.

Which has better risk-adjusted returns?

CPNS currently has the higher Sharpe Ratio (3.63 vs 3.19), 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.