CVRT vs. CPRJ

Last updated Jun 4, 2026

CVRT (Calamos Convertible Equity Alternative ETF) and CPRJ (Calamos Russell 2000 Structured Alt Protection ETF - July) are both exchange-traded funds - CVRT is a Convertible Bonds fund actively managed by Calamos, while CPRJ is a Defined Outcome fund tracking the MerQube Cap Protect US Small Cap PR Index - Jul. CVRT is actively managed, while CPRJ is passively managed. Over the past year, CVRT returned 76.22% vs 9.60% for CPRJ. A 0.69 correlation means they provide meaningful diversification when combined. Both charge a 0.69% expense ratio.

Performance

CVRT vs. CPRJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Convertible Equity Alternative ETF (CVRT) and Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CVRT achieves a 40.89% return, which is significantly higher than CPRJ's 2.94% return.

CVRT

• 1D: -1.21%
• 1M: 8.71%
• YTD: 40.89%
• 6M: 41.79%
• 1Y: 76.22%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPRJ

• 1D: -0.09%
• 1M: 0.47%
• YTD: 2.94%
• 6M: 3.35%
• 1Y: 9.60%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CVRT vs. CPRJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CVRT Calamos Convertible Equity Alternative ETF	40.89%	29.37%	12.86%
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July	2.94%	5.04%	4.75%

Correlation

The correlation between CVRT and CPRJ is 0.59, 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	0.59
Correlation (All Time) Calculated using the full available price history since Jul 2, 2024	0.69

The correlation between CVRT and CPRJ shifts across timeframes, from 0.59 (1 year) to 0.69 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CVRT vs. CPRJ — Risk / Return Rank

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

CVRT

CVRT Risk / Return Rank: 93
CVRT Sharpe Ratio Rank: 93
CVRT Sortino Ratio Rank: 91
CVRT Omega Ratio Rank: 90
CVRT Calmar Ratio Rank: 96
CVRT Martin Ratio Rank: 96

CPRJ

CPRJ Risk / Return Rank: 87
CPRJ Sharpe Ratio Rank: 75
CPRJ Sortino Ratio Rank: 87
CPRJ Omega Ratio Rank: 92
CPRJ Calmar Ratio Rank: 89
CPRJ 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.

CVRT vs. CPRJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Convertible Equity Alternative ETF (CVRT) and Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ). 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.

	CVRT	CPRJ	Difference
Sharpe ratio: Return per unit of total volatility	3.57	2.41	+1.16
Sortino ratio: Return per unit of downside risk	4.32	3.93	+0.39
Omega ratio: Gain probability vs. loss probability	1.59	1.61	-0.02
Calmar ratio: Return relative to maximum drawdown	8.91	5.37	+3.54
Martin ratio: Return relative to average drawdown	34.91	25.64	+9.27
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CVRT vs. CPRJ - Sharpe Ratio Comparison

The current CVRT Sharpe Ratio is 3.57, which is higher than the CPRJ Sharpe Ratio of 2.41. The chart below compares the historical Sharpe Ratios of CVRT and CPRJ, 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

	CVRT	CPRJ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.57	2.41	+1.16
Sharpe Ratio (All Time) Calculated using the full available price history	1.84	1.31	+0.53

Drawdowns

CVRT vs. CPRJ - Drawdown Comparison

The maximum CVRT drawdown since its inception was -20.71%, which is greater than CPRJ's maximum drawdown of -6.25%. Use the drawdown chart below to compare losses from any high point for CVRT and CPRJ.

Drawdown Indicators

	CVRT	CPRJ	Difference
Max Drawdown Largest peak-to-trough decline	-20.71%	-6.25%	-14.46%
Max Drawdown (1Y) Largest decline over 1 year	-8.60%	-1.79%	-6.81%
Current Drawdown Current decline from peak	-1.21%	-0.09%	-1.12%
Average Drawdown Average peak-to-trough decline	-3.06%	-0.88%	-2.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.19%	0.38%	+1.81%

Volatility

CVRT vs. CPRJ - Volatility Comparison

Calamos Convertible Equity Alternative ETF (CVRT) has a higher volatility of 7.64% compared to Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) at 0.35%. This indicates that CVRT's price experiences larger fluctuations and is considered to be riskier than CPRJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CVRT	CPRJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.64%	0.35%	+7.29%
Volatility (6M) Calculated over the trailing 6-month period	17.57%	1.63%	+15.94%
Volatility (1Y) Calculated over the trailing 1-year period	21.47%	4.16%	+17.31%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	19.96%	5.13%	+14.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.96%	5.13%	+14.83%

CVRT vs. CPRJ - Expense Ratio Comparison

Both CVRT and CPRJ have an expense ratio of 0.69%.

Dividends

CVRT vs. CPRJ - Dividend Comparison

CVRT's dividend yield for the trailing twelve months is around 1.43%, while CPRJ has not paid dividends to shareholders.

Position	TTM	2025	2024	2023
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July	0.00%	0.00%	0.00%	0.00%
CVRT Calamos Convertible Equity Alternative ETF	1.43%	1.68%	1.49%	0.32%

Frequently Asked Questions

Can I hold both CVRT and CPRJ in my portfolio?

CVRT and CPRJ have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CVRT or CPRJ?

CVRT has higher volatility (7.64%) compared to CPRJ (0.35%). In terms of maximum drawdown, CVRT dropped -20.71% vs CPRJ's -6.25%.

Which ETF is better, CVRT or CPRJ?

On 1-year performance, CVRT leads with 76.22% vs 9.60% for CPRJ. Both ETFs have the same 0.69% expense ratio. On volatility, CPRJ has been the lower-risk option at 0.35%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CVRT or CPRJ?

Over the 1-year period, CVRT has performed better with a 76.22% return vs 9.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CVRT or CPRJ?

CVRT and CPRJ have the same expense ratio: 0.69% per year.

Which ETF pays a higher dividend yield, CVRT or CPRJ?

CVRT has the higher dividend yield at 1.43%, compared with 0.00% for CPRJ.

What is the main difference between CVRT and CPRJ?

CVRT is categorized as Convertible Bonds, while CPRJ is Defined Outcome.

Which has better risk-adjusted returns?

CVRT currently has the higher Sharpe Ratio (3.57 vs 2.41), 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.