CPNS vs. CAIE

Last updated Jun 5, 2026

CPNS (Calamos Nasdaq-100 Structured Alt Protection ETF - September) and CAIE (Calamos Autocallable Income ETF) are both exchange-traded funds - CPNS is a Defined Outcome fund tracking the MerQube Cap Protect US Large Cap Tech PR Index - Sep, while CAIE is a Derivative Income fund tracking the MerQube US Large Cap Vol Advantage Autocallable Index. Both are passively managed. A 0.74 correlation means they provide meaningful diversification when combined. CPNS charges 0.69%/yr vs 0.74%/yr for CAIE.

Performance

CPNS vs. CAIE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Nasdaq-100 Structured Alt Protection ETF - September (CPNS) 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, CPNS achieves a 3.05% return, which is significantly lower than CAIE's 9.42% return.

CPNS

• 1D: 0.05%
• 1M: 0.72%
• YTD: 3.05%
• 6M: 3.25%
• 1Y: 7.68%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CAIE

• 1D: 0.33%
• 1M: 3.38%
• YTD: 9.42%
• 6M: 9.31%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPNS vs. CAIE - Yearly Performance Comparison

	2026 (YTD)	2025
CPNS Calamos Nasdaq-100 Structured Alt Protection ETF - September	3.05%	3.68%
CAIE Calamos Autocallable Income ETF	9.42%	15.15%

Correlation

The correlation between CPNS and CAIE is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (All Time) Calculated using the full available price history since Jun 26, 2025	0.74

Return for Risk

CPNS vs. CAIE — Risk / Return Rank

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

CPNS

CPNS Risk / Return Rank: 95
CPNS Sharpe Ratio Rank: 94
CPNS Sortino Ratio Rank: 96
CPNS Omega Ratio Rank: 96
CPNS Calmar Ratio Rank: 91
CPNS 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.

CPNS vs. CAIE - Risk-Adjusted Trends Comparison

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

	CPNS	CAIE	Difference
Sharpe ratio: Return per unit of total volatility	3.63	—	—
Sortino ratio: Return per unit of downside risk	5.61	—	—
Omega ratio: Gain probability vs. loss probability	1.81	—	—
Calmar ratio: Return relative to maximum drawdown	5.87	—	—
Martin ratio: Return relative to average drawdown	31.91	—	—
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

Sharpe Ratios by Period

	CPNS	CAIE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.63	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	2.19	2.34	-0.15

Drawdowns

CPNS vs. CAIE - Drawdown Comparison

The maximum CPNS drawdown since its inception was -3.99%, smaller than the maximum CAIE drawdown of -7.73%. Use the drawdown chart below to compare losses from any high point for CPNS and CAIE.

Drawdown Indicators

	CPNS	CAIE	Difference
Max Drawdown Largest peak-to-trough decline	-3.99%	-7.73%	+3.74%
Max Drawdown (1Y) Largest decline over 1 year	-1.31%	—	—
Current Drawdown Current decline from peak	0.00%	-0.07%	+0.07%
Average Drawdown Average peak-to-trough decline	-0.35%	-1.05%	+0.70%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.24%	—	—

Volatility

Volatility by Period

	CPNS	CAIE	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.31%	—	—
Volatility (6M) Calculated over the trailing 6-month period	1.74%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	2.13%	11.91%	-9.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.47%	11.91%	-8.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.47%	11.91%	-8.44%

CPNS vs. CAIE - Expense Ratio Comparison

CPNS has a 0.69% expense ratio, which is lower than CAIE's 0.74% expense ratio.

Dividends

CPNS vs. CAIE - Dividend Comparison

CPNS has not paid dividends to shareholders, while CAIE's dividend yield for the trailing twelve months is around 13.05%.

Position	TTM	2025
CAIE Calamos Autocallable Income ETF	13.05%	7.46%
CPNS Calamos Nasdaq-100 Structured Alt Protection ETF - September	0.00%	0.00%

Frequently Asked Questions

Can I hold both CPNS and CAIE in my portfolio?

CPNS and CAIE have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, CPNS or CAIE?

On fees, CPNS is cheaper at 0.69% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, CPNS or CAIE?

CPNS is cheaper with a 0.69% expense ratio, compared with 0.74% for CAIE.

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

CAIE has the higher dividend yield at 13.05%, compared with 0.00% for CPNS.

What is the main difference between CPNS and CAIE?

CPNS is categorized as Defined Outcome, while CAIE is Derivative Income. CPNS tracks MerQube Cap Protect US Large Cap Tech PR Index - Sep, while CAIE tracks MerQube US Large Cap Vol Advantage Autocallable Index. Their fees differ too: 0.69% for CPNS and 0.74% for CAIE.