CPNS vs. CPSP

Last updated Jun 4, 2026

CPNS (Calamos Nasdaq-100 Structured Alt Protection ETF - September) and CPSP (Calamos S&P 500 Structured Alt Protection ETF - April) are both exchange-traded funds - CPNS is a Defined Outcome fund tracking the MerQube Cap Protect US Large Cap Tech PR Index - Sep, while CPSP is a S&P 500 fund actively managed by Calamos. CPNS is passively managed, while CPSP is actively managed. Over the past year, CPNS returned 7.69% vs 7.13% for CPSP. A 0.66 correlation means they provide meaningful diversification when combined. Both charge a 0.69% expense ratio.

Performance

CPNS vs. CPSP - 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 S&P 500 Structured Alt Protection ETF - April (CPSP). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPNS achieves a 3.00% return, which is significantly lower than CPSP's 3.18% return.

CPNS

• 1D: -0.04%
• 1M: 0.78%
• YTD: 3.00%
• 6M: 3.17%
• 1Y: 7.69%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSP

• 1D: 0.00%
• 1M: 0.60%
• YTD: 3.18%
• 6M: 3.74%
• 1Y: 7.13%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPNS vs. CPSP - Yearly Performance Comparison

	2026 (YTD)	2025
CPNS Calamos Nasdaq-100 Structured Alt Protection ETF - September	3.00%	7.90%
CPSP Calamos S&P 500 Structured Alt Protection ETF - April	3.18%	5.46%

Correlation

The correlation between CPNS and CPSP is 0.60, 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	0.60
Correlation (All Time) Calculated using the full available price history since Apr 2, 2025	0.66

The correlation between CPNS and CPSP has been stable across timeframes, ranging from 0.60 to 0.66 - a consistent structural relationship.

Return for Risk

CPNS vs. CPSP — 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

CPSP

CPSP Risk / Return Rank: 98
CPSP Sharpe Ratio Rank: 98
CPSP Sortino Ratio Rank: 99
CPSP Omega Ratio Rank: 98
CPSP Calmar Ratio Rank: 98
CPSP Martin Ratio Rank: 99

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. CPSP - 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 S&P 500 Structured Alt Protection ETF - April (CPSP). 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	CPSP	Difference
Sharpe ratio: Return per unit of total volatility	3.63	5.08	-1.45
Sortino ratio: Return per unit of downside risk	5.61	9.15	-3.53
Omega ratio: Gain probability vs. loss probability	1.81	2.31	-0.50
Calmar ratio: Return relative to maximum drawdown	5.87	19.11	-13.23
Martin ratio: Return relative to average drawdown	31.91	96.35	-64.44
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPNS vs. CPSP - Sharpe Ratio Comparison

The current CPNS Sharpe Ratio is 3.63, which is comparable to the CPSP Sharpe Ratio of 5.08. The chart below compares the historical Sharpe Ratios of CPNS and CPSP, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CPNS	CPSP	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.63	5.08	-1.45
Sharpe Ratio (All Time) Calculated using the full available price history	2.18	3.17	-0.99

Drawdowns

CPNS vs. CPSP - Drawdown Comparison

The maximum CPNS drawdown since its inception was -3.99%, which is greater than CPSP's maximum drawdown of -1.73%. Use the drawdown chart below to compare losses from any high point for CPNS and CPSP.

Drawdown Indicators

	CPNS	CPSP	Difference
Max Drawdown Largest peak-to-trough decline	-3.99%	-1.73%	-2.26%
Max Drawdown (1Y) Largest decline over 1 year	-1.31%	-0.37%	-0.94%
Current Drawdown Current decline from peak	-0.05%	0.00%	-0.05%
Average Drawdown Average peak-to-trough decline	-0.36%	-0.08%	-0.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.24%	0.07%	+0.17%

Volatility

CPNS vs. CPSP - Volatility Comparison

Calamos Nasdaq-100 Structured Alt Protection ETF - September (CPNS) and Calamos S&P 500 Structured Alt Protection ETF - April (CPSP) have volatilities of 0.32% and 0.32%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPNS	CPSP	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.32%	0.32%	0.00%
Volatility (6M) Calculated over the trailing 6-month period	1.74%	0.84%	+0.90%
Volatility (1Y) Calculated over the trailing 1-year period	2.14%	1.42%	+0.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.48%	2.37%	+1.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.48%	2.37%	+1.11%

CPNS vs. CPSP - Expense Ratio Comparison

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

Dividends

CPNS vs. CPSP - Dividend Comparison

Neither CPNS nor CPSP has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPNS and CPSP in my portfolio?

CPNS and CPSP have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPNS or CPSP?

CPSP has higher volatility (0.32%) compared to CPNS (0.32%). In terms of maximum drawdown, CPNS dropped -3.99% vs CPSP's -1.73%.

Which ETF is better, CPNS or CPSP?

On 1-year performance, CPNS leads with 7.69% vs 7.13% for CPSP. Both ETFs have the same 0.69% expense ratio. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPNS or CPSP?

Over the 1-year period, CPNS has performed better with a 7.69% return vs 7.13%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPNS or CPSP?

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

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

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

What is the main difference between CPNS and CPSP?

CPNS is categorized as Defined Outcome, while CPSP is S&P 500.

Which has better risk-adjusted returns?

CPSP currently has the higher Sharpe Ratio (5.08 vs 3.63), 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.