SROI vs. CPNS

Last updated Jun 20, 2026

SROI (Calamos Antetokounmpo Global Sustainable Equities ETF) and CPNS (Calamos Nasdaq-100 Structured Alt Protection ETF - September) are both exchange-traded funds - SROI is a Global Equities fund actively managed by Calamos, while CPNS is a Defined Outcome fund tracking the MerQube Cap Protect US Large Cap Tech PR Index - Sep. SROI is actively managed, while CPNS is passively managed. Over the past year, SROI returned 21.24% vs 7.55% for CPNS. A 0.77 correlation means they provide meaningful diversification when combined. SROI charges 0.95%/yr vs 0.69%/yr for CPNS.

Performance

SROI vs. CPNS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Antetokounmpo Global Sustainable Equities ETF (SROI) and Calamos Nasdaq-100 Structured Alt Protection ETF - September (CPNS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SROI achieves a 11.28% return, which is significantly higher than CPNS's 3.18% return.

SROI

• 1D: 1.73%
• 1M: 1.95%
• YTD: 11.28%
• 6M: 12.30%
• 1Y: 21.24%
• 3Y*: 13.55%
• 5Y*: —
• 10Y*: —

CPNS

• 1D: 0.16%
• 1M: 0.39%
• YTD: 3.18%
• 6M: 3.20%
• 1Y: 7.55%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

SROI vs. CPNS - Yearly Performance Comparison

	2026 (YTD)	2025	2024
SROI Calamos Antetokounmpo Global Sustainable Equities ETF	11.28%	16.36%	-3.06%
CPNS Calamos Nasdaq-100 Structured Alt Protection ETF - September	3.18%	7.25%	1.93%

Correlation

The correlation between SROI and CPNS is 0.76, 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	0.76
Correlation (All Time) Calculated using the full available price history since Sep 3, 2024	0.77

The correlation between SROI and CPNS has been stable across timeframes, ranging from 0.76 to 0.77 - a consistent structural relationship.

Return for Risk

SROI vs. CPNS — Risk / Return Rank

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

SROI

SROI Risk / Return Rank: 46
SROI Sharpe Ratio Rank: 45
SROI Sortino Ratio Rank: 44
SROI Omega Ratio Rank: 44
SROI Calmar Ratio Rank: 43
SROI Martin Ratio Rank: 54

CPNS

CPNS Risk / Return Rank: 95
CPNS Sharpe Ratio Rank: 95
CPNS Sortino Ratio Rank: 96
CPNS Omega Ratio Rank: 96
CPNS Calmar Ratio Rank: 92
CPNS Martin Ratio Rank: 96

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.

SROI vs. CPNS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Antetokounmpo Global Sustainable Equities ETF (SROI) and Calamos Nasdaq-100 Structured Alt Protection ETF - September (CPNS). 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.

	SROI	CPNS	Difference
Sharpe ratio: Return per unit of total volatility	1.52	3.56	-2.04
Sortino ratio: Return per unit of downside risk	2.18	5.47	-3.29
Omega ratio: Gain probability vs. loss probability	1.27	1.79	-0.51
Calmar ratio: Return relative to maximum drawdown	2.09	5.77	-3.67
Martin ratio: Return relative to average drawdown	8.86	31.20	-22.33

SROI vs. CPNS - Sharpe Ratio Comparison

The current SROI Sharpe Ratio is 1.52, which is lower than the CPNS Sharpe Ratio of 3.56. The chart below compares the historical Sharpe Ratios of SROI and CPNS, 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

SROI vs. CPNS - Drawdown Comparison

The maximum SROI drawdown since its inception was -15.38%, which is greater than CPNS's maximum drawdown of -3.99%. Use the drawdown chart below to compare losses from any high point for SROI and CPNS.

Drawdown Indicators

	SROI	CPNS	Difference
Max Drawdown Largest peak-to-trough decline	-15.38%	-3.99%	-11.39%
Max Drawdown (1Y) Largest decline over 1 year	-10.19%	-1.31%	-8.88%
Max Drawdown (3Y) Largest decline over 3 years	-15.38%	—	—
Current Drawdown Current decline from peak	-0.52%	-0.06%	-0.46%
Average Drawdown Average peak-to-trough decline	-2.41%	-0.36%	-2.05%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.40%	0.24%	+2.16%

Volatility

SROI vs. CPNS - Volatility Comparison

Calamos Antetokounmpo Global Sustainable Equities ETF (SROI) has a higher volatility of 5.23% compared to Calamos Nasdaq-100 Structured Alt Protection ETF - September (CPNS) at 0.56%. This indicates that SROI's price experiences larger fluctuations and is considered to be riskier than CPNS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SROI	CPNS	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.23%	0.56%	+4.67%
Volatility (6M) Calculated over the trailing 6-month period	11.71%	1.79%	+9.92%
Volatility (1Y) Calculated over the trailing 1-year period	14.01%	2.13%	+11.88%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.01%	3.51%	+10.50%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.01%	3.51%	+10.50%

SROI vs. CPNS - Expense Ratio Comparison

SROI has a 0.95% expense ratio, which is higher than CPNS's 0.69% expense ratio.

Dividends

SROI vs. CPNS - Dividend Comparison

SROI's dividend yield for the trailing twelve months is around 0.54%, while CPNS has not paid dividends to shareholders.

Position	TTM	2025	2024	2023
CPNS Calamos Nasdaq-100 Structured Alt Protection ETF - September	0.00%	0.00%	0.00%	0.00%
SROI Calamos Antetokounmpo Global Sustainable Equities ETF	0.54%	0.60%	0.68%	0.94%

Frequently Asked Questions

Can I hold both SROI and CPNS in my portfolio?

SROI and CPNS have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SROI or CPNS?

SROI has higher volatility (5.23%) compared to CPNS (0.56%). In terms of maximum drawdown, SROI dropped -15.38% vs CPNS's -3.99%.

Which ETF is better, SROI or CPNS?

On 1-year performance, SROI leads with 21.24% vs 7.55% for CPNS. On fees, CPNS is cheaper at 0.69% per year. On volatility, CPNS has been the lower-risk option at 0.56%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SROI or CPNS?

Over the 1-year period, SROI has performed better with a 21.24% return vs 7.55%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SROI or CPNS?

CPNS is cheaper with a 0.69% expense ratio, compared with 0.95% for SROI.

Which ETF pays a higher dividend yield, SROI or CPNS?

SROI has the higher dividend yield at 0.54%, compared with 0.00% for CPNS.

What is the main difference between SROI and CPNS?

SROI is categorized as Global Equities, while CPNS is Defined Outcome. Their fees differ too: 0.95% for SROI and 0.69% for CPNS.

Which has better risk-adjusted returns?

CPNS currently has the higher Sharpe Ratio (3.56 vs 1.52), 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.