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Calamos Russell 2000 Structured Alt Protection ETF January CPRY
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | CPRY | Replication |
|---|---|---|
| Annualized growth | 7.5% | 7.7% |
| Annualized volatility | 3.5% | 3.9% |
| Sharpe ratio | 2.12 | 1.94 |
| Maximum drawdown | 3.0% | 3.5% |
| Replication fit (R²) | 0.45 · Tracking error 2.6% | |
Replication portfolio
The published portfolio below is the investable basket used to model CPRY’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| SPHY | FI · High Yield | 61.3% |
| WTMF | Alternatives · Mgt Futures | 23.4% |
| EMLC | FI · EM Local Currency | 12.6% |
| IJR | US Small Cap | 2.7% |