CPSM vs. CPRA

Last updated Aug 4, 2026

CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) 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, CPSM returned 5.17% vs 9.06% for CPRA. Their 0.55 correlation means they have sometimes moved together and sometimes differently. Both charge a 0.69% expense ratio.

Performance

CPSM vs. CPRA - Performance Comparison

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

Returns By Period

In the year-to-date period, CPSM achieves a 2.72% return, which is significantly lower than CPRA's 4.77% return.

CPSM

• 1D: 0.17%
• 1M: 0.44%
• 6M: 2.35%
• YTD: 2.72%
• 1Y: 5.17%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 7.46%

CPRA

• 1D: 0.18%
• 1M: 0.50%
• 6M: 4.06%
• YTD: 4.77%
• 1Y: 9.06%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 8.85%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CPRA Calamos Russell 2000 Structured Alt Protection ETF - April	$23.72K	$26.42K	$31.57K
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	$102.78K	$72.25K	$161.61K

CPSM vs. CPRA - Yearly Performance Comparison

	2026 (YTD)	2025
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.72%	6.48%
CPRA Calamos Russell 2000 Structured Alt Protection ETF - April	4.77%	6.93%

Correlation

The correlation between CPSM and CPRA is 0.54, 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.	0.54
Correlation (All Time) Calculated using the full available price history since Apr 1, 2025	0.55

The correlation between CPSM and CPRA has been stable across timeframes, ranging from 0.54 to 0.55 - a consistent structural relationship.

Return for Risk

CPSM vs. CPRA — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

CPSM

CPSM Risk / Return Rank: 97
CPSM Sharpe Ratio Rank: 96
CPSM Sortino Ratio Rank: 97
CPSM Omega Ratio Rank: 96
CPSM Calmar Ratio Rank: 98
CPSM Martin Ratio Rank: 98

CPRA

CPRA Risk / Return Rank: 98
CPRA Sharpe Ratio Rank: 98
CPRA Sortino Ratio Rank: 98
CPRA Omega Ratio Rank: 98
CPRA Calmar Ratio Rank: 98
CPRA Martin Ratio Rank: 98

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

CPSM vs. CPRA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) 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.

	CPSM	CPRA	Difference
Sharpe ratio: Return per unit of total volatility	3.12	4.28	-1.15
Sortino ratio: Return per unit of downside risk	5.04	7.61	-2.57
Omega ratio: Gain probability vs. loss probability	1.65	2.05	-0.40
Calmar ratio: Return relative to maximum drawdown	10.61	10.20	+0.41
Martin ratio: Return relative to average drawdown	40.17	58.41	-18.24

CPSM vs. CPRA - Sharpe Ratio Comparison

The current CPSM Sharpe Ratio is 3.12, which is comparable to the CPRA Sharpe Ratio of 4.28. The chart below compares the historical Sharpe Ratios of CPSM and CPRA, 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

CPSM vs. CPRA - Drawdown Comparison

The maximum CPSM drawdown since its inception was -5.19%, which is greater than CPRA's maximum drawdown of -1.69%. Use the drawdown chart below to compare losses from any high point for CPSM and CPRA.

Drawdown Indicators

	CPSM	CPRA	Difference
Max Drawdown Largest peak-to-trough decline	-5.19%	-1.69%	-3.50%
Max Drawdown (1Y) Largest decline over 1 year	-0.49%	-0.89%	+0.40%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.20%	-0.14%	-0.06%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.13%	0.16%	-0.03%

Volatility

CPSM vs. CPRA - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) and Calamos Russell 2000 Structured Alt Protection ETF - April (CPRA) have volatilities of 0.47% and 0.47%, 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

	CPSM	CPRA	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.47%	0.47%	0.00%
Volatility (6M) Calculated over the trailing 6-month period	1.25%	1.36%	-0.11%
Volatility (1Y) Calculated over the trailing 1-year period	1.67%	2.13%	-0.46%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.93%	2.71%	+2.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.93%	2.71%	+2.22%

CPSM vs. CPRA - Expense Ratio Comparison

Both CPSM and CPRA have an expense ratio of 0.69%.

Dividends

CPSM vs. CPRA - Dividend Comparison

Neither CPSM nor CPRA has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSM and CPRA in my portfolio?

CPSM and CPRA have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSM or CPRA?

CPRA has higher volatility (0.47%) compared to CPSM (0.47%). In terms of maximum drawdown, CPSM dropped -5.19% vs CPRA's -1.69%.

Which ETF is better, CPSM or CPRA?

On 1-year performance, CPRA leads with 9.06% vs 5.17% for CPSM. Both ETFs have the same 0.69% expense ratio. 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, CPSM or CPRA?

Over the 1-year period, CPRA has performed better with a 9.06% return vs 5.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSM or CPRA?

CPSM and CPRA have the same expense ratio: 0.69% per year.

Which ETF pays a higher dividend yield, CPSM or CPRA?

CPSM and CPRA have nearly identical dividend yields, around 0.00%.

Which has better risk-adjusted returns?

CPRA currently has the higher Sharpe Ratio (4.28 vs 3.12), 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.