CPRA vs. GSG
CPRA (Calamos Russell 2000 Structured Alt Protection ETF - April) and GSG (iShares S&P GSCI Commodity-Indexed Trust) are both exchange-traded funds - CPRA is a Defined Outcome fund actively managed by Calamos, while GSG is a Commodities fund tracking the S&P GSCI Total Return Index. CPRA is actively managed, while GSG is passively managed. Over the past year, CPRA returned 8.84% vs 36.06% for GSG. Their -0.14 correlation means they have often moved in opposite directions in the past. CPRA charges 0.69%/yr vs 0.75%/yr for GSG.
Performance
CPRA vs. GSG - Performance Comparison
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Returns By Period
In the year-to-date period, CPRA achieves a 4.92% return, which is significantly lower than GSG's 32.05% return.
CPRA
- 1D
- 0.14%
- 1M
- 0.65%
- 6M
- 4.37%
- YTD
- 4.92%
- 1Y
- 8.84%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 8.95%
GSG
- 1D
- -2.34%
- 1M
- 7.33%
- 6M
- 21.51%
- YTD
- 32.05%
- 1Y
- 36.06%
- 3Y*
- 12.37%
- 5Y*
- 13.92%
- 10Y*
- 7.99%
- ALL TIME*
- -2.38%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $7.56K | $25.27K | $31.53K | |
| $18.82M | $16.77M | $25.29M |
CPRA vs. GSG - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CPRA Calamos Russell 2000 Structured Alt Protection ETF - April | 4.92% | 6.93% |
GSG iShares S&P GSCI Commodity-Indexed Trust | 32.05% | 1.27% |
Correlation
The correlation between CPRA and GSG is -0.24, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.24 |
Correlation (All Time) Calculated using the full available price history since Apr 1, 2025 | -0.14 |
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Return for Risk
CPRA vs. GSG — Risk / Return Rank
CPRA
GSG
CPRA vs. GSG - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Russell 2000 Structured Alt Protection ETF - April (CPRA) and iShares S&P GSCI Commodity-Indexed Trust (GSG). 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.
| CPRA | GSG | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.73 | ||
| Sortino ratioReturn per unit of downside risk | +5.39 | ||
| Omega ratioGain probability vs. loss probability | 2.03 | 1.26 | +0.76 |
| Calmar ratioReturn relative to maximum drawdown | 9.95 | 1.93 | +8.02 |
| Martin ratioReturn relative to average drawdown | 56.96 | 6.13 | +50.82 |
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Drawdowns
CPRA vs. GSG - Drawdown Comparison
The maximum CPRA drawdown since its inception was -1.69%, smaller than the maximum GSG drawdown of -89.62%. Use the drawdown chart below to compare losses from any high point for CPRA and GSG.
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Drawdown Indicators
| CPRA | GSG | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -1.69% | -89.62% | +87.93% |
Max Drawdown (1Y)Largest decline over 1 year | -0.89% | -18.81% | +17.92% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.81% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -29.12% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -57.64% | — |
Current DrawdownCurrent decline from peak | 0.00% | -60.13% | +60.13% |
Average DrawdownAverage peak-to-trough decline | -0.14% | -63.67% | +63.53% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.16% | 5.90% | -5.74% |
Volatility
CPRA vs. GSG - Volatility Comparison
The current volatility for Calamos Russell 2000 Structured Alt Protection ETF - April (CPRA) is 0.48%, while iShares S&P GSCI Commodity-Indexed Trust (GSG) has a volatility of 9.06%. This indicates that CPRA experiences smaller price fluctuations and is considered to be less risky than GSG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPRA | GSG | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.48% | 9.06% | -8.58% |
Volatility (6M)Calculated over the trailing 6-month period | 1.36% | 22.00% | -20.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.13% | 24.45% | -22.32% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.71% | 22.90% | -20.19% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 2.71% | 22.09% | -19.38% |
CPRA vs. GSG - Expense Ratio Comparison
CPRA has a 0.69% expense ratio, which is lower than GSG's 0.75% expense ratio.
Dividends
CPRA vs. GSG - Dividend Comparison
Neither CPRA nor GSG has paid dividends to shareholders.
Frequently Asked Questions
CPRA and GSG have a correlation of -0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
GSG has higher volatility (9.06%) compared to CPRA (0.48%). In terms of maximum drawdown, CPRA dropped -1.69% vs GSG's -89.62%.
On 1-year performance, GSG leads with 36.06% vs 8.84% for CPRA. On fees, CPRA is cheaper at 0.69% per year. On volatility, CPRA has been the lower-risk option at 0.48%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, GSG has performed better with a 36.06% return vs 8.84%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CPRA is cheaper with a 0.69% expense ratio, compared with 0.75% for GSG.
CPRA and GSG have nearly identical dividend yields, around 0.00%.
CPRA is categorized as Defined Outcome, while GSG is Commodities. They also come from different issuers: Calamos and iShares. Their fees differ too: 0.69% for CPRA and 0.75% for GSG.
CPRA currently has the higher Sharpe Ratio (4.21 vs 1.48), 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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