CPSN vs. CPRA
CPSN (Calamos S&P 500 Structured Alt Protection ETF - November) 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, CPSN returned 6.61% vs 9.06% for CPRA. Their 0.63 correlation means they have sometimes moved together and sometimes differently. Both charge a 0.69% expense ratio.
Performance
CPSN vs. CPRA - Performance Comparison
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Returns By Period
In the year-to-date period, CPSN achieves a 3.65% return, which is significantly lower than CPRA's 4.77% return.
CPSN
- 1D
- 0.22%
- 1M
- 0.76%
- 6M
- 3.14%
- YTD
- 3.65%
- 1Y
- 6.61%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 6.08%
CPRA
- 1D
- 0.18%
- 1M
- 0.50%
- 6M
- 4.06%
- YTD
- 4.77%
- 1Y
- 9.06%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 8.85%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $23.72K | $26.42K | $31.57K | |
| $76.42K | $66.49K | $70.52K |
CPSN vs. CPRA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CPSN Calamos S&P 500 Structured Alt Protection ETF - November | 3.65% | 6.60% |
CPRA Calamos Russell 2000 Structured Alt Protection ETF - April | 4.77% | 6.93% |
Correlation
The correlation between CPSN and CPRA is 0.61, 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. | 0.61 |
Correlation (All Time) Calculated using the full available price history since Apr 1, 2025 | 0.63 |
The correlation between CPSN and CPRA has been stable across timeframes, ranging from 0.61 to 0.63 - a consistent structural relationship.
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Return for Risk
CPSN vs. CPRA — Risk / Return Rank
CPSN
CPRA
CPSN 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 - November (CPSN) 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.
| CPSN | CPRA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.24 | ||
| Sortino ratioReturn per unit of downside risk | -2.73 | ||
| Omega ratioGain probability vs. loss probability | 1.65 | 2.05 | -0.40 |
| Calmar ratioReturn relative to maximum drawdown | 4.08 | 10.20 | -6.13 |
| Martin ratioReturn relative to average drawdown | 21.68 | 58.41 | -36.73 |
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Drawdowns
CPSN vs. CPRA - Drawdown Comparison
The maximum CPSN 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 CPSN and CPRA.
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Drawdown Indicators
| CPSN | CPRA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.23% | -1.69% | -1.54% |
Max Drawdown (1Y)Largest decline over 1 year | -1.63% | -0.89% | -0.74% |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -0.30% | -0.14% | -0.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.31% | 0.16% | +0.15% |
Volatility
CPSN vs. CPRA - Volatility Comparison
Calamos S&P 500 Structured Alt Protection ETF - November (CPSN) has a higher volatility of 0.75% compared to Calamos Russell 2000 Structured Alt Protection ETF - April (CPRA) at 0.47%. This indicates that CPSN'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
| CPSN | CPRA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.75% | 0.47% | +0.28% |
Volatility (6M)Calculated over the trailing 6-month period | 1.86% | 1.36% | +0.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.19% | 2.13% | +0.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.06% | 2.71% | +0.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.06% | 2.71% | +0.35% |
CPSN vs. CPRA - Expense Ratio Comparison
Both CPSN and CPRA have an expense ratio of 0.69%.
Dividends
CPSN vs. CPRA - Dividend Comparison
Neither CPSN nor CPRA has paid dividends to shareholders.
Frequently Asked Questions
CPSN and CPRA have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CPSN has higher volatility (0.75%) compared to CPRA (0.47%). In terms of maximum drawdown, CPSN dropped -3.23% vs CPRA's -1.69%.
On 1-year performance, CPRA leads with 9.06% vs 6.61% for CPSN. Both ETFs have the same 0.69% expense ratio. On volatility, CPRA has been the lower-risk option at 0.47%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, CPRA has performed better with a 9.06% return vs 6.61%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CPSN and CPRA have the same expense ratio: 0.69% per year.
CPSN and CPRA have nearly identical dividend yields, around 0.00%.
CPRA currently has the higher Sharpe Ratio (4.28 vs 3.03), 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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