CPSL vs. CPRY

Last updated Jul 21, 2026

CPSL (Calamos Laddered S&P 500 Structured Alt Protection ETF) and CPRY (Calamos Russell 2000 Structured Alt Protection ETF - January) are both Defined Outcome funds from Calamos. Both are actively managed. Over the past year, CPSL returned 6.01% vs 11.05% for CPRY. A 0.56 correlation means they provide meaningful diversification when combined. CPSL charges 0.79%/yr vs 0.69%/yr for CPRY.

Performance

CPSL vs. CPRY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Laddered S&P 500 Structured Alt Protection ETF (CPSL) and Calamos Russell 2000 Structured Alt Protection ETF - January (CPRY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSL achieves a 3.04% return, which is significantly lower than CPRY's 3.88% return.

CPSL

• 1D: -0.04%
• 1M: 0.32%
• 6M: 2.52%
• YTD: 3.04%
• 1Y: 6.01%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.35%

CPRY

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

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

CPSL vs. CPRY - Yearly Performance Comparison

	2026 (YTD)	2025
CPSL Calamos Laddered S&P 500 Structured Alt Protection ETF	3.04%	6.43%
CPRY Calamos Russell 2000 Structured Alt Protection ETF - January	3.88%	8.46%

Correlation

The correlation between CPSL and CPRY is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.48
Correlation (All Time) Calculated using the full available price history since Jan 2, 2025	0.56

The correlation between CPSL and CPRY has been stable across timeframes, ranging from 0.48 to 0.56 - a consistent structural relationship.

Return for Risk

CPSL vs. CPRY — Risk / Return Rank

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

CPSL

CPSL Risk / Return Rank: 95
CPSL Sharpe Ratio Rank: 94
CPSL Sortino Ratio Rank: 96
CPSL Omega Ratio Rank: 94
CPSL Calmar Ratio Rank: 94
CPSL Martin Ratio Rank: 96

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

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.

CPSL vs. CPRY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Laddered S&P 500 Structured Alt Protection ETF (CPSL) and Calamos Russell 2000 Structured Alt Protection ETF - January (CPRY). 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.

	CPSL	CPRY	Difference
Sharpe ratio: Return per unit of total volatility	2.73	2.52	+0.21
Sortino ratio: Return per unit of downside risk	4.35	4.00	+0.36
Omega ratio: Gain probability vs. loss probability	1.53	1.56	-0.03
Calmar ratio: Return relative to maximum drawdown	5.12	4.47	+0.65
Martin ratio: Return relative to average drawdown	25.33	23.05	+2.28

CPSL vs. CPRY - Sharpe Ratio Comparison

The current CPSL Sharpe Ratio is 2.73, which is comparable to the CPRY Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of CPSL and CPRY, 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

CPSL vs. CPRY - Drawdown Comparison

The maximum CPSL drawdown since its inception was -3.72%, which is greater than CPRY's maximum drawdown of -3.23%. Use the drawdown chart below to compare losses from any high point for CPSL and CPRY.

Drawdown Indicators

	CPSL	CPRY	Difference
Max Drawdown Largest peak-to-trough decline	-3.72%	-3.23%	-0.49%
Max Drawdown (1Y) Largest decline over 1 year	-1.18%	-2.48%	+1.30%
Current Drawdown Current decline from peak	-0.10%	-0.00%	-0.10%
Average Drawdown Average peak-to-trough decline	-0.32%	-0.63%	+0.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.24%	0.48%	-0.24%

Volatility

CPSL vs. CPRY - Volatility Comparison

Calamos Laddered S&P 500 Structured Alt Protection ETF (CPSL) and Calamos Russell 2000 Structured Alt Protection ETF - January (CPRY) have volatilities of 0.47% and 0.45%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSL	CPRY	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.47%	0.45%	+0.02%
Volatility (6M) Calculated over the trailing 6-month period	1.59%	1.92%	-0.33%
Volatility (1Y) Calculated over the trailing 1-year period	2.22%	4.41%	-2.19%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.26%	4.23%	-0.97%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.26%	4.23%	-0.97%

CPSL vs. CPRY - Expense Ratio Comparison

CPSL has a 0.79% expense ratio, which is higher than CPRY's 0.69% expense ratio.

Dividends

CPSL vs. CPRY - Dividend Comparison

Neither CPSL nor CPRY has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSL and CPRY in my portfolio?

CPSL and CPRY have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSL or CPRY?

CPSL has higher volatility (0.47%) compared to CPRY (0.45%). In terms of maximum drawdown, CPSL dropped -3.72% vs CPRY's -3.23%.

Which ETF is better, CPSL or CPRY?

On 1-year performance, CPRY leads with 11.05% vs 6.01% for CPSL. On fees, CPRY is cheaper at 0.69% 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, CPSL or CPRY?

Over the 1-year period, CPRY has performed better with a 11.05% return vs 6.01%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSL or CPRY?

CPRY is cheaper with a 0.69% expense ratio, compared with 0.79% for CPSL.

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

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

What is the main difference between CPSL and CPRY?

Their fees differ too: 0.79% for CPSL and 0.69% for CPRY.

Which has better risk-adjusted returns?

CPSL currently has the higher Sharpe Ratio (2.73 vs 2.52), 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.