CPSY vs. CANQ

Last updated Jun 4, 2026

CPSY (Calamos S&P 500 Structured Alt Protection ETF - January) and CANQ (Calamos Alternative Nasdaq & Bond ETF) are both exchange-traded funds - CPSY is a Defined Outcome fund actively managed by Calamos, while CANQ is a Nasdaq-100 fund actively managed by Calamos. Both are actively managed. Over the past year, CPSY returned 7.60% vs 17.89% for CANQ. A 0.75 correlation means they provide meaningful diversification when combined. CPSY charges 0.69%/yr vs 0.90%/yr for CANQ.

Performance

CPSY vs. CANQ - Performance Comparison

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

Returns By Period

In the year-to-date period, CPSY achieves a 2.37% return, which is significantly lower than CANQ's 7.60% return.

CPSY

• 1D: 0.02%
• 1M: 0.80%
• YTD: 2.37%
• 6M: 2.92%
• 1Y: 7.60%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CANQ

• 1D: -0.37%
• 1M: 5.62%
• YTD: 7.60%
• 6M: 5.52%
• 1Y: 17.89%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSY vs. CANQ - Yearly Performance Comparison

	2026 (YTD)	2025
CPSY Calamos S&P 500 Structured Alt Protection ETF - January	2.37%	6.83%
CANQ Calamos Alternative Nasdaq & Bond ETF	7.60%	11.64%

Correlation

The correlation between CPSY and CANQ is 0.74, 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	0.74
Correlation (All Time) Calculated using the full available price history since Jan 3, 2025	0.75

The correlation between CPSY and CANQ has been stable across timeframes, ranging from 0.74 to 0.75 - a consistent structural relationship.

Return for Risk

CPSY vs. CANQ — Risk / Return Rank

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

CPSY

CPSY Risk / Return Rank: 95
CPSY Sharpe Ratio Rank: 95
CPSY Sortino Ratio Rank: 97
CPSY Omega Ratio Rank: 96
CPSY Calmar Ratio Rank: 90
CPSY Martin Ratio Rank: 95

CANQ

CANQ Risk / Return Rank: 42
CANQ Sharpe Ratio Rank: 48
CANQ Sortino Ratio Rank: 48
CANQ Omega Ratio Rank: 47
CANQ Calmar Ratio Rank: 34
CANQ Martin Ratio Rank: 34

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.

CPSY vs. CANQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - January (CPSY) and Calamos Alternative Nasdaq & Bond ETF (CANQ). 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.

	CPSY	CANQ	Difference
Sharpe ratio: Return per unit of total volatility	3.74	1.67	+2.07
Sortino ratio: Return per unit of downside risk	6.06	2.37	+3.70
Omega ratio: Gain probability vs. loss probability	1.84	1.30	+0.54
Calmar ratio: Return relative to maximum drawdown	5.67	1.67	+4.00
Martin ratio: Return relative to average drawdown	29.46	5.17	+24.28
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSY vs. CANQ - Sharpe Ratio Comparison

The current CPSY Sharpe Ratio is 3.74, which is higher than the CANQ Sharpe Ratio of 1.67. The chart below compares the historical Sharpe Ratios of CPSY and CANQ, 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

	CPSY	CANQ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.74	1.67	+2.07
Sharpe Ratio (All Time) Calculated using the full available price history	2.14	1.35	+0.79

Drawdowns

CPSY vs. CANQ - Drawdown Comparison

The maximum CPSY drawdown since its inception was -3.01%, smaller than the maximum CANQ drawdown of -12.79%. Use the drawdown chart below to compare losses from any high point for CPSY and CANQ.

Drawdown Indicators

	CPSY	CANQ	Difference
Max Drawdown Largest peak-to-trough decline	-3.01%	-12.79%	+9.78%
Max Drawdown (1Y) Largest decline over 1 year	-1.35%	-10.77%	+9.42%
Current Drawdown Current decline from peak	0.00%	-0.37%	+0.37%
Average Drawdown Average peak-to-trough decline	-0.33%	-2.95%	+2.62%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	3.47%	-3.21%

Volatility

CPSY vs. CANQ - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - January (CPSY) is 0.31%, while Calamos Alternative Nasdaq & Bond ETF (CANQ) has a volatility of 3.86%. This indicates that CPSY experiences smaller price fluctuations and is considered to be less risky than CANQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSY	CANQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.31%	3.86%	-3.55%
Volatility (6M) Calculated over the trailing 6-month period	1.42%	7.52%	-6.10%
Volatility (1Y) Calculated over the trailing 1-year period	2.04%	10.76%	-8.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.08%	12.69%	-9.61%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.08%	12.69%	-9.61%

CPSY vs. CANQ - Expense Ratio Comparison

CPSY has a 0.69% expense ratio, which is lower than CANQ's 0.90% expense ratio.

Dividends

CPSY vs. CANQ - Dividend Comparison

CPSY has not paid dividends to shareholders, while CANQ's dividend yield for the trailing twelve months is around 4.36%.

Position	TTM	2025	2024
CANQ Calamos Alternative Nasdaq & Bond ETF	4.36%	5.02%	4.19%
CPSY Calamos S&P 500 Structured Alt Protection ETF - January	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CPSY and CANQ in my portfolio?

CPSY and CANQ have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSY or CANQ?

CANQ has higher volatility (3.86%) compared to CPSY (0.31%). In terms of maximum drawdown, CPSY dropped -3.01% vs CANQ's -12.79%.

Which ETF is better, CPSY or CANQ?

On 1-year performance, CANQ leads with 17.89% vs 7.60% for CPSY. On fees, CPSY is cheaper at 0.69% per year. On volatility, CPSY has been the lower-risk option at 0.31%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSY or CANQ?

Over the 1-year period, CANQ has performed better with a 17.89% return vs 7.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSY or CANQ?

CPSY is cheaper with a 0.69% expense ratio, compared with 0.90% for CANQ.

Which ETF pays a higher dividend yield, CPSY or CANQ?

CANQ has the higher dividend yield at 4.36%, compared with 0.00% for CPSY.

What is the main difference between CPSY and CANQ?

CPSY is categorized as Defined Outcome, while CANQ is Nasdaq-100. Their fees differ too: 0.69% for CPSY and 0.90% for CANQ.

Which has better risk-adjusted returns?

CPSY currently has the higher Sharpe Ratio (3.74 vs 1.67), 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.