CPRJ vs. CPSP

Last updated Jun 3, 2026

CPRJ (Calamos Russell 2000 Structured Alt Protection ETF - July) and CPSP (Calamos S&P 500 Structured Alt Protection ETF - April) are both exchange-traded funds - CPRJ is a Defined Outcome fund tracking the MerQube Cap Protect US Small Cap PR Index - Jul, while CPSP is a S&P 500 fund actively managed by Calamos. CPRJ is passively managed, while CPSP is actively managed. Over the past year, CPRJ returned 10.96% vs 7.32% for CPSP. A 0.63 correlation means they provide meaningful diversification when combined. Both charge a 0.69% expense ratio.

Performance

CPRJ vs. CPSP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) and Calamos S&P 500 Structured Alt Protection ETF - April (CPSP). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with CPRJ having a 3.03% return and CPSP slightly higher at 3.18%.

CPRJ

• 1D: 0.09%
• 1M: 0.51%
• YTD: 3.03%
• 6M: 3.65%
• 1Y: 10.96%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSP

• 1D: 0.02%
• 1M: 0.52%
• YTD: 3.18%
• 6M: 3.78%
• 1Y: 7.32%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPRJ vs. CPSP - Yearly Performance Comparison

	2026 (YTD)	2025
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July	3.03%	7.90%
CPSP Calamos S&P 500 Structured Alt Protection ETF - April	3.18%	5.46%

Correlation

The correlation between CPRJ and CPSP is 0.62, 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	0.62
Correlation (All Time) Calculated using the full available price history since Apr 2, 2025	0.63

The correlation between CPRJ and CPSP has been stable across timeframes, ranging from 0.62 to 0.63 - a consistent structural relationship.

Return for Risk

CPRJ vs. CPSP — Risk / Return Rank

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

CPRJ

CPRJ Risk / Return Rank: 90
CPRJ Sharpe Ratio Rank: 80
CPRJ Sortino Ratio Rank: 91
CPRJ Omega Ratio Rank: 94
CPRJ Calmar Ratio Rank: 91
CPRJ Martin Ratio Rank: 94

CPSP

CPSP Risk / Return Rank: 98
CPSP Sharpe Ratio Rank: 98
CPSP Sortino Ratio Rank: 99
CPSP Omega Ratio Rank: 98
CPSP Calmar Ratio Rank: 99
CPSP Martin Ratio Rank: 99

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.

CPRJ vs. CPSP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) and Calamos S&P 500 Structured Alt Protection ETF - April (CPSP). 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.

	CPRJ	CPSP	Difference
Sharpe ratio Return per unit of total volatility	2.65	5.18	-2.54
Sortino ratio Return per unit of downside risk	4.46	9.39	-4.93
Omega ratio Gain probability vs. loss probability	1.70	2.34	-0.64
Calmar ratio Return relative to maximum drawdown	5.96	19.72	-13.76
Martin ratio Return relative to average drawdown	28.46	99.44	-70.98
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPRJ vs. CPSP - Sharpe Ratio Comparison

The current CPRJ Sharpe Ratio is 2.65, which is lower than the CPSP Sharpe Ratio of 5.18. The chart below compares the historical Sharpe Ratios of CPRJ and CPSP, 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

	CPRJ	CPSP	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.65	5.18	-2.54
Sharpe Ratio (All Time) Calculated using the full available price history	1.32	3.18	-1.85

Drawdowns

CPRJ vs. CPSP - Drawdown Comparison

The maximum CPRJ drawdown since its inception was -6.25%, which is greater than CPSP's maximum drawdown of -1.73%. Use the drawdown chart below to compare losses from any high point for CPRJ and CPSP.

Drawdown Indicators

	CPRJ	CPSP	Difference
Max Drawdown Largest peak-to-trough decline	-6.25%	-1.73%	-4.52%
Max Drawdown (1Y) Largest decline over 1 year	-1.79%	-0.37%	-1.42%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.88%	-0.08%	-0.80%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.38%	0.07%	+0.31%

Volatility

CPRJ vs. CPSP - Volatility Comparison

Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) and Calamos S&P 500 Structured Alt Protection ETF - April (CPSP) have volatilities of 0.34% and 0.34%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPRJ	CPSP	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.34%	0.34%	0.00%
Volatility (6M) Calculated over the trailing 6-month period	1.63%	0.84%	+0.79%
Volatility (1Y) Calculated over the trailing 1-year period	4.16%	1.42%	+2.74%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.14%	2.38%	+2.76%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.14%	2.38%	+2.76%

CPRJ vs. CPSP - Expense Ratio Comparison

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

Dividends

CPRJ vs. CPSP - Dividend Comparison

Neither CPRJ nor CPSP has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPRJ and CPSP in my portfolio?

CPRJ and CPSP have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPRJ or CPSP?

CPSP has higher volatility (0.34%) compared to CPRJ (0.34%). In terms of maximum drawdown, CPRJ dropped -6.25% vs CPSP's -1.73%.

Which ETF is better, CPRJ or CPSP?

On 1-year performance, CPRJ leads with 10.96% vs 7.32% for CPSP. Both ETFs have the same 0.69% expense ratio. 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, CPRJ or CPSP?

Over the 1-year period, CPRJ has performed better with a 10.96% return vs 7.32%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPRJ or CPSP?

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

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

CPRJ and CPSP have nearly identical dividend yields, around 0.00%.

What is the main difference between CPRJ and CPSP?

CPRJ is categorized as Defined Outcome, while CPSP is S&P 500.

Which has better risk-adjusted returns?

CPSP currently has the higher Sharpe Ratio (5.18 vs 2.65), 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.