CPRY vs. CAOS

Last updated Jul 21, 2026

CPRY (Calamos Russell 2000 Structured Alt Protection ETF - January) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - CPRY is a Defined Outcome fund actively managed by Calamos, while CAOS is a Options Trading fund actively managed by Alpha Architect. Both are actively managed. Over the past year, CPRY returned 11.05% vs 2.10% for CAOS. At a correlation of -0.26, they often move in opposite directions. CPRY charges 0.69%/yr vs 0.63%/yr for CAOS.

Performance

CPRY vs. CAOS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Russell 2000 Structured Alt Protection ETF - January (CPRY) and Alpha Architect Tail Risk ETF (CAOS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPRY achieves a 3.88% return, which is significantly higher than CAOS's 1.10% return.

CPRY

• 1D: -0.00%
• 1M: 0.43%
• 6M: 2.82%
• YTD: 3.88%
• 1Y: 11.05%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 8.04%

CAOS

• 1D: 0.13%
• 1M: 0.45%
• 6M: 0.61%
• YTD: 1.10%
• 1Y: 2.10%
• 3Y*: 3.68%
• 5Y*: —
• 10Y*: —
• ALL TIME*: 4.85%

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

CPRY vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025
CPRY Calamos Russell 2000 Structured Alt Protection ETF - January	3.88%	8.46%
CAOS Alpha Architect Tail Risk ETF	1.10%	2.55%

Correlation

The correlation between CPRY and CAOS is -0.26, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.26
Correlation (All Time) Calculated using the full available price history since Jan 2, 2025	-0.26

Return for Risk

CPRY vs. CAOS — Risk / Return Rank

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

CPRY

CPRY Risk / Return Rank: 94
CPRY Sharpe Ratio Rank: 93
CPRY Sortino Ratio Rank: 95
CPRY Omega Ratio Rank: 95
CPRY Calmar Ratio Rank: 92
CPRY Martin Ratio Rank: 95

CAOS

CAOS Risk / Return Rank: 60
CAOS Sharpe Ratio Rank: 53
CAOS Sortino Ratio Rank: 62
CAOS Omega Ratio Rank: 62
CAOS Calmar Ratio Rank: 74
CAOS Martin Ratio Rank: 50

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.

CPRY vs. CAOS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Russell 2000 Structured Alt Protection ETF - January (CPRY) and Alpha Architect Tail Risk ETF (CAOS). 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.

	CPRY	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	2.52	1.36	+1.16
Sortino ratio: Return per unit of downside risk	4.00	2.18	+1.81
Omega ratio: Gain probability vs. loss probability	1.56	1.28	+0.27
Calmar ratio: Return relative to maximum drawdown	4.47	2.79	+1.68
Martin ratio: Return relative to average drawdown	23.05	6.28	+16.77

CPRY vs. CAOS - Sharpe Ratio Comparison

The current CPRY Sharpe Ratio is 2.52, which is higher than the CAOS Sharpe Ratio of 1.36. The chart below compares the historical Sharpe Ratios of CPRY and CAOS, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CPRY vs. CAOS - Drawdown Comparison

The maximum CPRY drawdown since its inception was -3.23%, smaller than the maximum CAOS drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for CPRY and CAOS.

Drawdown Indicators

	CPRY	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-3.23%	-3.89%	+0.66%
Max Drawdown (1Y) Largest decline over 1 year	-2.48%	-0.76%	-1.72%
Max Drawdown (3Y) Largest decline over 3 years	—	-3.60%	—
Current Drawdown Current decline from peak	-0.00%	-0.80%	+0.80%
Average Drawdown Average peak-to-trough decline	-0.63%	-0.92%	+0.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.48%	0.34%	+0.14%

Volatility

CPRY vs. CAOS - Volatility Comparison

The current volatility for Calamos Russell 2000 Structured Alt Protection ETF - January (CPRY) is 0.45%, while Alpha Architect Tail Risk ETF (CAOS) has a volatility of 0.51%. This indicates that CPRY experiences smaller price fluctuations and is considered to be less risky than CAOS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPRY	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.45%	0.51%	-0.06%
Volatility (6M) Calculated over the trailing 6-month period	1.92%	1.10%	+0.82%
Volatility (1Y) Calculated over the trailing 1-year period	4.41%	1.55%	+2.86%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.23%	4.20%	+0.03%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.23%	4.20%	+0.03%

CPRY vs. CAOS - Expense Ratio Comparison

CPRY has a 0.69% expense ratio, which is higher than CAOS's 0.63% expense ratio.

Dividends

CPRY vs. CAOS - Dividend Comparison

Neither CPRY nor CAOS has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPRY and CAOS in my portfolio?

CPRY and CAOS have a correlation of -0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPRY or CAOS?

CAOS has higher volatility (0.51%) compared to CPRY (0.45%). In terms of maximum drawdown, CPRY dropped -3.23% vs CAOS's -3.89%.

Which ETF is better, CPRY or CAOS?

On 1-year performance, CPRY leads with 11.05% vs 2.10% for CAOS. On fees, CAOS is cheaper at 0.63% per year. 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, CPRY or CAOS?

Over the 1-year period, CPRY has performed better with a 11.05% return vs 2.10%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPRY or CAOS?

CAOS is cheaper with a 0.63% expense ratio, compared with 0.69% for CPRY.

Which ETF pays a higher dividend yield, CPRY or CAOS?

CPRY and CAOS have nearly identical dividend yields, around 0.00%.

What is the main difference between CPRY and CAOS?

CPRY is categorized as Defined Outcome, while CAOS is Options Trading. They also come from different issuers: Calamos and Alpha Architect. Their fees differ too: 0.69% for CPRY and 0.63% for CAOS.

Which has better risk-adjusted returns?

CPRY currently has the higher Sharpe Ratio (2.52 vs 1.36), 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.