CPNS vs. TWOX
CPNS (Calamos Nasdaq-100 Structured Alt Protection ETF - September) and TWOX (iShares Large Cap Accelerated Outcome ETF) are both Defined Outcome funds. CPNS is passively managed, while TWOX is actively managed. Over the past year, CPNS returned 7.68% vs 15.52% for TWOX. Their correlation of 0.84 suggests significant overlap in exposure. CPNS charges 0.69%/yr vs 0.50%/yr for TWOX.
Performance
CPNS vs. TWOX - Performance Comparison
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Returns By Period
In the year-to-date period, CPNS achieves a 3.23% return, which is significantly higher than TWOX's 2.50% return.
CPNS
- 1D
- 0.05%
- 1M
- 0.34%
- YTD
- 3.23%
- 6M
- 3.17%
- 1Y
- 7.68%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
TWOX
- 1D
- 0.03%
- 1M
- 0.65%
- YTD
- 2.50%
- 6M
- 2.34%
- 1Y
- 15.52%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CPNS vs. TWOX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CPNS Calamos Nasdaq-100 Structured Alt Protection ETF - September | 3.23% | 6.79% |
TWOX iShares Large Cap Accelerated Outcome ETF | 2.50% | 12.99% |
Correlation
The correlation between CPNS and TWOX is 0.80, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.80 |
Correlation (All Time) Calculated using the full available price history since Jan 16, 2025 | 0.84 |
The correlation between CPNS and TWOX has been stable across timeframes, ranging from 0.80 to 0.84 - a consistent structural relationship.
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Return for Risk
CPNS vs. TWOX — Risk / Return Rank
CPNS
TWOX
CPNS vs. TWOX - 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 iShares Large Cap Accelerated Outcome ETF (TWOX). 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.
| CPNS | TWOX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.13 | ||
| Sortino ratioReturn per unit of downside risk | +3.50 | ||
| Omega ratioGain probability vs. loss probability | 1.81 | 1.31 | +0.49 |
| Calmar ratioReturn relative to maximum drawdown | 5.87 | 1.64 | +4.23 |
| Martin ratioReturn relative to average drawdown | 31.74 | 7.74 | +24.00 |
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Drawdowns
CPNS vs. TWOX - Drawdown Comparison
The maximum CPNS drawdown since its inception was -3.99%, smaller than the maximum TWOX drawdown of -19.35%. Use the drawdown chart below to compare losses from any high point for CPNS and TWOX.
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Drawdown Indicators
| CPNS | TWOX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.99% | -19.35% | +15.36% |
Max Drawdown (1Y)Largest decline over 1 year | -1.31% | -9.51% | +8.20% |
Current DrawdownCurrent decline from peak | -0.01% | 0.00% | -0.01% |
Average DrawdownAverage peak-to-trough decline | -0.36% | -2.55% | +2.19% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.24% | 2.01% | -1.77% |
Volatility
CPNS vs. TWOX - Volatility Comparison
The current volatility for Calamos Nasdaq-100 Structured Alt Protection ETF - September (CPNS) is 0.56%, while iShares Large Cap Accelerated Outcome ETF (TWOX) has a volatility of 0.62%. This indicates that CPNS experiences smaller price fluctuations and is considered to be less risky than TWOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPNS | TWOX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.56% | 0.62% | -0.06% |
Volatility (6M)Calculated over the trailing 6-month period | 1.75% | 8.02% | -6.27% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.13% | 10.42% | -8.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.51% | 16.49% | -12.98% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.51% | 16.49% | -12.98% |
CPNS vs. TWOX - Expense Ratio Comparison
CPNS has a 0.69% expense ratio, which is higher than TWOX's 0.50% expense ratio.
Dividends
CPNS vs. TWOX - Dividend Comparison
CPNS has not paid dividends to shareholders, while TWOX's dividend yield for the trailing twelve months is around 0.55%.
| Position | TTM | 2025 |
|---|---|---|
CPNS Calamos Nasdaq-100 Structured Alt Protection ETF - September | 0.00% | 0.00% |
TWOX iShares Large Cap Accelerated Outcome ETF | 0.55% | 0.57% |
Frequently Asked Questions
CPNS and TWOX have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
TWOX has higher volatility (0.62%) compared to CPNS (0.56%). In terms of maximum drawdown, CPNS dropped -3.99% vs TWOX's -19.35%.
On 1-year performance, TWOX leads with 15.52% vs 7.68% for CPNS. On fees, TWOX is cheaper at 0.50% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, TWOX has performed better with a 15.52% return vs 7.68%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
TWOX is cheaper with a 0.50% expense ratio, compared with 0.69% for CPNS.
TWOX has the higher dividend yield at 0.55%, compared with 0.00% for CPNS.
They also come from different issuers: Calamos and iShares. Their fees differ too: 0.69% for CPNS and 0.50% for TWOX.
CPNS currently has the higher Sharpe Ratio (3.63 vs 1.50), 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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