CPRY vs. CPRA
CPRY (Calamos Russell 2000 Structured Alt Protection ETF - January) and CPRA (Calamos Russell 2000 Structured Alt Protection ETF - April) are both Defined Outcome funds from Calamos. Both are actively managed. Over the past year, CPRY returned 12.17% vs 8.87% for CPRA. Their correlation of 0.81 means they have usually moved in the same direction. Both charge a 0.69% expense ratio.
Performance
CPRY vs. CPRA - Performance Comparison
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Returns By Period
In the year-to-date period, CPRY achieves a 4.09% return, which is significantly lower than CPRA's 4.58% return.
CPRY
- 1D
- 0.15%
- 1M
- 0.41%
- 6M
- 3.22%
- YTD
- 4.09%
- 1Y
- 12.17%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 8.01%
CPRA
- 1D
- -0.02%
- 1M
- 0.32%
- 6M
- 3.95%
- YTD
- 4.58%
- 1Y
- 8.87%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 8.76%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $23.06K | $26.22K | $32.24K | |
| $242.01K | $152.67K | $318.51K |
CPRY vs. CPRA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CPRY Calamos Russell 2000 Structured Alt Protection ETF - January | 4.09% | 9.95% |
CPRA Calamos Russell 2000 Structured Alt Protection ETF - April | 4.58% | 6.93% |
Correlation
The correlation between CPRY and CPRA is 0.79, 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. | 0.79 |
Correlation (All Time) Calculated using the full available price history since Apr 1, 2025 | 0.81 |
The correlation between CPRY and CPRA has been stable across timeframes, ranging from 0.79 to 0.81 - a consistent structural relationship.
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Return for Risk
CPRY vs. CPRA — Risk / Return Rank
CPRY
CPRA
CPRY vs. CPRA - 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 Calamos Russell 2000 Structured Alt Protection ETF - April (CPRA). 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 | CPRA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.24 | ||
| Sortino ratioReturn per unit of downside risk | -2.54 | ||
| Omega ratioGain probability vs. loss probability | 1.62 | 1.95 | -0.33 |
| Calmar ratioReturn relative to maximum drawdown | 4.74 | 9.57 | -4.83 |
| Martin ratioReturn relative to average drawdown | 25.94 | 54.79 | -28.85 |
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Drawdowns
CPRY vs. CPRA - Drawdown Comparison
The maximum CPRY drawdown since its inception was -3.23%, which is greater than CPRA's maximum drawdown of -1.69%. Use the drawdown chart below to compare losses from any high point for CPRY and CPRA.
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Drawdown Indicators
| CPRY | CPRA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.23% | -1.69% | -1.54% |
Max Drawdown (1Y)Largest decline over 1 year | -2.48% | -0.89% | -1.59% |
Current DrawdownCurrent decline from peak | 0.00% | -0.02% | +0.02% |
Average DrawdownAverage peak-to-trough decline | -0.62% | -0.14% | -0.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.45% | 0.16% | +0.29% |
Volatility
CPRY vs. CPRA - Volatility Comparison
Calamos Russell 2000 Structured Alt Protection ETF - January (CPRY) has a higher volatility of 0.55% compared to Calamos Russell 2000 Structured Alt Protection ETF - April (CPRA) at 0.44%. This indicates that CPRY's price experiences larger fluctuations and is considered to be riskier than CPRA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPRY | CPRA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.55% | 0.44% | +0.11% |
Volatility (6M)Calculated over the trailing 6-month period | 1.92% | 1.36% | +0.56% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.34% | 2.16% | +2.18% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.19% | 2.71% | +1.48% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.19% | 2.71% | +1.48% |
CPRY vs. CPRA - Expense Ratio Comparison
Both CPRY and CPRA have an expense ratio of 0.69%.
Dividends
CPRY vs. CPRA - Dividend Comparison
Neither CPRY nor CPRA has paid dividends to shareholders.
Frequently Asked Questions
CPRY and CPRA have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CPRY has higher volatility (0.55%) compared to CPRA (0.44%). In terms of maximum drawdown, CPRY dropped -3.23% vs CPRA's -1.69%.
On 1-year performance, CPRY leads with 12.17% vs 8.87% for CPRA. Both ETFs have the same 0.69% expense ratio. On volatility, CPRA has been the lower-risk option at 0.44%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, CPRY has performed better with a 12.17% return vs 8.87%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CPRY and CPRA have the same expense ratio: 0.69% per year.
CPRY and CPRA have nearly identical dividend yields, around 0.00%.
CPRA currently has the higher Sharpe Ratio (3.96 vs 2.72), 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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