CBOJ vs. ZMAY

Last updated Jun 24, 2026

CBOJ (Calamos Bitcoin Structured Alt Protection ETF - January) and ZMAY (Innovator Equity Defined Protection ETF - 1 Yr May) are both Defined Outcome funds. CBOJ is passively managed, while ZMAY is actively managed. Over the past year, CBOJ returned -4.25% vs 5.10% for ZMAY. At a 0.30 correlation, their price movements are largely independent. CBOJ charges 0.69%/yr vs 0.79%/yr for ZMAY.

Performance

CBOJ vs. ZMAY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Bitcoin Structured Alt Protection ETF - January (CBOJ) and Innovator Equity Defined Protection ETF - 1 Yr May (ZMAY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CBOJ achieves a -1.85% return, which is significantly lower than ZMAY's 1.75% return.

CBOJ

• 1D: -0.21%
• 1M: -1.58%
• YTD: -1.85%
• 6M: -2.06%
• 1Y: -4.25%
• 3Y*: —
• 5Y*: —
• 10Y*: —

ZMAY

• 1D: -0.19%
• 1M: -0.17%
• YTD: 1.75%
• 6M: 1.87%
• 1Y: 5.10%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CBOJ vs. ZMAY - Yearly Performance Comparison

	2026 (YTD)	2025
CBOJ Calamos Bitcoin Structured Alt Protection ETF - January	-1.85%	-1.02%
ZMAY Innovator Equity Defined Protection ETF - 1 Yr May	1.75%	4.22%

Correlation

The correlation between CBOJ and ZMAY is 0.34, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.34
Correlation (All Time) Calculated using the full available price history since May 1, 2025	0.30

Return for Risk

CBOJ vs. ZMAY — Risk / Return Rank

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

CBOJ

CBOJ Risk / Return Rank: 4
CBOJ Sharpe Ratio Rank: 2
CBOJ Sortino Ratio Rank: 3
CBOJ Omega Ratio Rank: 3
CBOJ Calmar Ratio Rank: 5
CBOJ Martin Ratio Rank: 5

ZMAY

ZMAY Risk / Return Rank: 95
ZMAY Sharpe Ratio Rank: 94
ZMAY Sortino Ratio Rank: 96
ZMAY Omega Ratio Rank: 95
ZMAY Calmar Ratio Rank: 95
ZMAY Martin Ratio Rank: 97

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.

CBOJ vs. ZMAY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Bitcoin Structured Alt Protection ETF - January (CBOJ) and Innovator Equity Defined Protection ETF - 1 Yr May (ZMAY). 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.

	CBOJ	ZMAY	Difference
Sharpe ratio: Return per unit of total volatility	-0.87	3.19	-4.06
Sortino ratio: Return per unit of downside risk	-1.17	5.16	-6.34
Omega ratio: Gain probability vs. loss probability	0.87	1.71	-0.84
Calmar ratio: Return relative to maximum drawdown	-0.52	7.30	-7.82
Martin ratio: Return relative to average drawdown	-0.80	41.89	-42.69

CBOJ vs. ZMAY - Sharpe Ratio Comparison

The current CBOJ Sharpe Ratio is -0.87, which is lower than the ZMAY Sharpe Ratio of 3.19. The chart below compares the historical Sharpe Ratios of CBOJ and ZMAY, 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

CBOJ vs. ZMAY - Drawdown Comparison

The maximum CBOJ drawdown since its inception was -8.15%, which is greater than ZMAY's maximum drawdown of -0.70%. Use the drawdown chart below to compare losses from any high point for CBOJ and ZMAY.

Drawdown Indicators

	CBOJ	ZMAY	Difference
Max Drawdown Largest peak-to-trough decline	-8.15%	-0.70%	-7.45%
Max Drawdown (1Y) Largest decline over 1 year	-8.15%	-0.70%	-7.45%
Current Drawdown Current decline from peak	-8.15%	-0.50%	-7.65%
Average Drawdown Average peak-to-trough decline	-3.30%	-0.07%	-3.23%
Ulcer Index Depth and duration of drawdowns from previous peaks	5.35%	0.12%	+5.23%

Volatility

CBOJ vs. ZMAY - Volatility Comparison

Calamos Bitcoin Structured Alt Protection ETF - January (CBOJ) has a higher volatility of 0.85% compared to Innovator Equity Defined Protection ETF - 1 Yr May (ZMAY) at 0.80%. This indicates that CBOJ's price experiences larger fluctuations and is considered to be riskier than ZMAY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CBOJ	ZMAY	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.85%	0.80%	+0.05%
Volatility (6M) Calculated over the trailing 6-month period	2.35%	1.30%	+1.05%
Volatility (1Y) Calculated over the trailing 1-year period	4.90%	1.61%	+3.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.52%	1.70%	+2.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.52%	1.70%	+2.82%

CBOJ vs. ZMAY - Expense Ratio Comparison

CBOJ has a 0.69% expense ratio, which is lower than ZMAY's 0.79% expense ratio.

Dividends

CBOJ vs. ZMAY - Dividend Comparison

CBOJ's dividend yield for the trailing twelve months is around 3.22%, while ZMAY has not paid dividends to shareholders.

Position	TTM	2025
CBOJ Calamos Bitcoin Structured Alt Protection ETF - January	3.22%	3.16%
ZMAY Innovator Equity Defined Protection ETF - 1 Yr May	0.00%	0.00%

Frequently Asked Questions

Can I hold both CBOJ and ZMAY in my portfolio?

CBOJ and ZMAY have a correlation of 0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CBOJ or ZMAY?

CBOJ has higher volatility (0.85%) compared to ZMAY (0.80%). In terms of maximum drawdown, CBOJ dropped -8.15% vs ZMAY's -0.70%.

Which ETF is better, CBOJ or ZMAY?

On 1-year performance, ZMAY leads with 5.10% vs -4.25% for CBOJ. On fees, CBOJ is cheaper at 0.69% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CBOJ or ZMAY?

Over the 1-year period, ZMAY has performed better with a 5.10% return vs -4.25%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CBOJ or ZMAY?

CBOJ is cheaper with a 0.69% expense ratio, compared with 0.79% for ZMAY.

Which ETF pays a higher dividend yield, CBOJ or ZMAY?

CBOJ has the higher dividend yield at 3.22%, compared with 0.00% for ZMAY.

What is the main difference between CBOJ and ZMAY?

They also come from different issuers: Calamos and Innovator. Their fees differ too: 0.69% for CBOJ and 0.79% for ZMAY.

Which has better risk-adjusted returns?

ZMAY currently has the higher Sharpe Ratio (3.19 vs -0.87), 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.