CPRY vs. SMAX

Last updated Jun 6, 2026

CPRY (Calamos Russell 2000 Structured Alt Protection ETF - January) and SMAX (iShares Large Cap Max Buffer Sep ETF) are both Defined Outcome funds. Both are actively managed. Over the past year, CPRY returned 12.11% vs 8.89% for SMAX. A 0.59 correlation means they provide meaningful diversification when combined. CPRY charges 0.69%/yr vs 0.50%/yr for SMAX.

Performance

CPRY vs. SMAX - 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 iShares Large Cap Max Buffer Sep ETF (SMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with CPRY having a 2.86% return and SMAX slightly lower at 2.81%.

CPRY

• 1D: -0.34%
• 1M: 0.07%
• YTD: 2.86%
• 6M: 4.04%
• 1Y: 12.11%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SMAX

• 1D: -0.31%
• 1M: 0.48%
• YTD: 2.81%
• 6M: 3.13%
• 1Y: 8.89%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPRY vs. SMAX - Yearly Performance Comparison

	2026 (YTD)	2025
CPRY Calamos Russell 2000 Structured Alt Protection ETF - January	2.86%	8.68%
SMAX iShares Large Cap Max Buffer Sep ETF	2.81%	7.88%

Correlation

The correlation between CPRY and SMAX is 0.57, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.57
Correlation (All Time) Calculated using the full available price history since Jan 3, 2025	0.59

The correlation between CPRY and SMAX has been stable across timeframes, ranging from 0.57 to 0.59 - a consistent structural relationship.

Return for Risk

CPRY vs. SMAX — Risk / Return Rank

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

CPRY

CPRY Risk / Return Rank: 90
CPRY Sharpe Ratio Rank: 86
CPRY Sortino Ratio Rank: 92
CPRY Omega Ratio Rank: 91
CPRY Calmar Ratio Rank: 88
CPRY Martin Ratio Rank: 94

SMAX

SMAX Risk / Return Rank: 93
SMAX Sharpe Ratio Rank: 93
SMAX Sortino Ratio Rank: 95
SMAX Omega Ratio Rank: 95
SMAX Calmar Ratio Rank: 87
SMAX Martin Ratio Rank: 94

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. SMAX - 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 iShares Large Cap Max Buffer Sep ETF (SMAX). 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.

	CPRY	SMAX	Difference
Sharpe ratio: Return per unit of total volatility	2.66	3.32	-0.66
Sortino ratio: Return per unit of downside risk	4.15	5.07	-0.93
Omega ratio: Gain probability vs. loss probability	1.56	1.71	-0.15
Calmar ratio: Return relative to maximum drawdown	4.90	4.66	+0.24
Martin ratio: Return relative to average drawdown	24.92	25.23	-0.31
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPRY vs. SMAX - Sharpe Ratio Comparison

The current CPRY Sharpe Ratio is 2.66, which is comparable to the SMAX Sharpe Ratio of 3.32. The chart below compares the historical Sharpe Ratios of CPRY and SMAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CPRY	SMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.66	3.32	-0.66
Sharpe Ratio (All Time) Calculated using the full available price history	1.88	1.95	-0.07

Drawdowns

CPRY vs. SMAX - Drawdown Comparison

The maximum CPRY drawdown since its inception was -3.23%, smaller than the maximum SMAX drawdown of -3.90%. Use the drawdown chart below to compare losses from any high point for CPRY and SMAX.

Drawdown Indicators

	CPRY	SMAX	Difference
Max Drawdown Largest peak-to-trough decline	-3.23%	-3.90%	+0.67%
Max Drawdown (1Y) Largest decline over 1 year	-2.48%	-1.91%	-0.57%
Current Drawdown Current decline from peak	-0.34%	-0.37%	+0.03%
Average Drawdown Average peak-to-trough decline	-0.68%	-0.40%	-0.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.49%	0.35%	+0.14%

Volatility

CPRY vs. SMAX - Volatility Comparison

Calamos Russell 2000 Structured Alt Protection ETF - January (CPRY) has a higher volatility of 0.68% compared to iShares Large Cap Max Buffer Sep ETF (SMAX) at 0.49%. This indicates that CPRY's price experiences larger fluctuations and is considered to be riskier than SMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPRY	SMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.68%	0.49%	+0.19%
Volatility (6M) Calculated over the trailing 6-month period	1.98%	2.13%	-0.15%
Volatility (1Y) Calculated over the trailing 1-year period	4.58%	2.69%	+1.89%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.37%	3.67%	+0.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.37%	3.67%	+0.70%

CPRY vs. SMAX - Expense Ratio Comparison

CPRY has a 0.69% expense ratio, which is higher than SMAX's 0.50% expense ratio.

Dividends

CPRY vs. SMAX - Dividend Comparison

CPRY has not paid dividends to shareholders, while SMAX's dividend yield for the trailing twelve months is around 0.95%.

Position	TTM	2025	2024
CPRY Calamos Russell 2000 Structured Alt Protection ETF - January	0.00%	0.00%	0.00%
SMAX iShares Large Cap Max Buffer Sep ETF	0.95%	0.98%	0.27%

Frequently Asked Questions

Can I hold both CPRY and SMAX in my portfolio?

CPRY and SMAX have a correlation of 0.57, 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 SMAX?

CPRY has higher volatility (0.68%) compared to SMAX (0.49%). In terms of maximum drawdown, CPRY dropped -3.23% vs SMAX's -3.90%.

Which ETF is better, CPRY or SMAX?

On 1-year performance, CPRY leads with 12.11% vs 8.89% for SMAX. On fees, SMAX is cheaper at 0.50% per year. On volatility, SMAX has been the lower-risk option at 0.49%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPRY or SMAX?

Over the 1-year period, CPRY has performed better with a 12.11% return vs 8.89%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPRY or SMAX?

SMAX is cheaper with a 0.50% expense ratio, compared with 0.69% for CPRY.

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

SMAX has the higher dividend yield at 0.95%, compared with 0.00% for CPRY.

What is the main difference between CPRY and SMAX?

They also come from different issuers: Calamos and iShares. Their fees differ too: 0.69% for CPRY and 0.50% for SMAX.

Which has better risk-adjusted returns?

SMAX currently has the higher Sharpe Ratio (3.32 vs 2.66), 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.