CPRJ vs. CAIE
CPRJ (Calamos Russell 2000 Structured Alt Protection ETF - July) and CAIE (Calamos Autocallable Income ETF) are both exchange-traded funds - CPRJ is a Defined Outcome fund tracking the MerQube Cap Protect US Small Cap PR Index - Jul, while CAIE is a Derivative Income fund tracking the MerQube US Large Cap Vol Advantage Autocallable Total Return Index. Both are passively managed. Over the past year, CPRJ returned 7.00% vs 19.60% for CAIE. Their 0.63 correlation means they have sometimes moved together and sometimes differently. CPRJ charges 0.69%/yr vs 0.86%/yr for CAIE.
Performance
CPRJ vs. CAIE - Performance Comparison
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Returns By Period
In the year-to-date period, CPRJ achieves a 3.12% return, which is significantly lower than CAIE's 7.94% return.
CPRJ
- 1D
- -0.11%
- 1M
- -0.14%
- 6M
- 2.28%
- YTD
- 3.12%
- 1Y
- 7.00%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 5.87%
CAIE
- 1D
- 0.56%
- 1M
- -0.22%
- 6M
- 6.59%
- YTD
- 7.94%
- 1Y
- 19.60%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 21.88%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $17.59M | $16.27M | $13.26M | |
| $492.45K | $690.59K | $374.92K |
CPRJ vs. CAIE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July | 3.12% | 4.50% |
CAIE Calamos Autocallable Income ETF | 7.94% | 15.12% |
Correlation
The correlation between CPRJ and CAIE is 0.63, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.63 |
Correlation (All Time) Calculated using the full available price history since Jun 25, 2025 | 0.63 |
The correlation between CPRJ and CAIE has been stable across timeframes, ranging from 0.63 to 0.63 - a consistent structural relationship.
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Return for Risk
CPRJ vs. CAIE — Risk / Return Rank
CPRJ
CAIE
CPRJ vs. CAIE - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) 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.
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.
| CPRJ | CAIE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.35 | ||
| Sortino ratioReturn per unit of downside risk | +2.57 | ||
| Omega ratioGain probability vs. loss probability | 1.57 | 1.26 | +0.31 |
| Calmar ratioReturn relative to maximum drawdown | 6.37 | 2.19 | +4.18 |
| Martin ratioReturn relative to average drawdown | 25.23 | 9.25 | +15.98 |
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Drawdowns
CPRJ vs. CAIE - Drawdown Comparison
The maximum CPRJ drawdown since its inception was -6.25%, smaller than the maximum CAIE drawdown of -7.73%. Use the drawdown chart below to compare losses from any high point for CPRJ and CAIE.
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Drawdown Indicators
| CPRJ | CAIE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -6.25% | -7.73% | +1.48% |
Max Drawdown (1Y)Largest decline over 1 year | -1.07% | -7.73% | +6.66% |
Current DrawdownCurrent decline from peak | -0.25% | -1.42% | +1.17% |
Average DrawdownAverage peak-to-trough decline | -0.83% | -1.13% | +0.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.27% | 1.84% | -1.57% |
Volatility
CPRJ vs. CAIE - Volatility Comparison
The current volatility for Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) is 0.73%, while Calamos Autocallable Income ETF (CAIE) has a volatility of 3.11%. This indicates that CPRJ experiences smaller price fluctuations and is considered to be less risky than CAIE based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPRJ | CAIE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.73% | 3.11% | -2.38% |
Volatility (6M)Calculated over the trailing 6-month period | 1.69% | 8.39% | -6.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.48% | 12.04% | -9.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.99% | 11.84% | -6.85% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.99% | 11.84% | -6.85% |
CPRJ vs. CAIE - Expense Ratio Comparison
CPRJ has a 0.69% expense ratio, which is lower than CAIE's 0.86% expense ratio.
Dividends
CPRJ vs. CAIE - Dividend Comparison
CPRJ has not paid dividends to shareholders, while CAIE's dividend yield for the trailing twelve months is around 14.57%.
| Position | TTM | 2025 |
|---|---|---|
CAIE Calamos Autocallable Income ETF | 13.13% | 7.46% |
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July | 0.00% | 0.00% |
Frequently Asked Questions
CPRJ and CAIE have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CAIE has higher volatility (3.11%) compared to CPRJ (0.73%). In terms of maximum drawdown, CPRJ dropped -6.25% vs CAIE's -7.73%.
On 1-year performance, CAIE leads with 19.60% vs 7.00% for CPRJ. On fees, CPRJ is cheaper at 0.69% per year. On volatility, CPRJ has been the lower-risk option at 0.73%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, CAIE has performed better with a 19.60% return vs 7.00%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CPRJ is cheaper with a 0.69% expense ratio, compared with 0.86% for CAIE.
CAIE has the higher dividend yield at 13.13%, compared with 0.00% for CPRJ.
CPRJ is categorized as Defined Outcome, while CAIE is Derivative Income. CPRJ tracks MerQube Cap Protect US Small Cap PR Index - Jul, while CAIE tracks MerQube US Large Cap Vol Advantage Autocallable Total Return Index. Their fees differ too: 0.69% for CPRJ and 0.86% for CAIE.
CPRJ currently has the higher Sharpe Ratio (2.76 vs 1.41), 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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