CPRJ vs. USOY

Last updated Jun 3, 2026

CPRJ (Calamos Russell 2000 Structured Alt Protection ETF - July) and USOY (Defiance Oil Enhanced Options Income ETF) are both exchange-traded funds - CPRJ is a Defined Outcome fund tracking the MerQube Cap Protect US Small Cap PR Index - Jul, while USOY is a Derivative Income fund actively managed by Defiance. CPRJ is passively managed, while USOY is actively managed. Over the past year, CPRJ returned 10.96% vs 55.52% for USOY. At a correlation of -0.04, they often move in opposite directions. CPRJ charges 0.69%/yr vs 1.22%/yr for USOY.

Performance

CPRJ vs. USOY - 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 Defiance Oil Enhanced Options Income ETF (USOY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPRJ achieves a 3.03% return, which is significantly lower than USOY's 59.86% return.

CPRJ

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

USOY

• 1D: 1.63%
• 1M: -1.93%
• YTD: 59.86%
• 6M: 58.33%
• 1Y: 55.52%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPRJ vs. USOY - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July	3.03%	5.04%	4.75%
USOY Defiance Oil Enhanced Options Income ETF	59.86%	-7.93%	2.44%

Correlation

The correlation between CPRJ and USOY is -0.24, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.24
Correlation (All Time) Calculated using the full available price history since Jul 2, 2024	-0.04

The correlation between CPRJ and USOY shifts across timeframes, from -0.24 (1 year) to -0.04 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CPRJ vs. USOY — 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

USOY

USOY Risk / Return Rank: 56
USOY Sharpe Ratio Rank: 53
USOY Sortino Ratio Rank: 45
USOY Omega Ratio Rank: 54
USOY Calmar Ratio Rank: 79
USOY Martin Ratio Rank: 47

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. USOY - 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 Defiance Oil Enhanced Options Income ETF (USOY). 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	USOY	Difference
Sharpe ratio Return per unit of total volatility	2.65	1.83	+0.81
Sortino ratio Return per unit of downside risk	4.46	2.25	+2.21
Omega ratio Gain probability vs. loss probability	1.70	1.34	+0.36
Calmar ratio Return relative to maximum drawdown	5.96	4.10	+1.85
Martin ratio Return relative to average drawdown	28.46	7.91	+20.55
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. USOY - Sharpe Ratio Comparison

The current CPRJ Sharpe Ratio is 2.65, which is higher than the USOY Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of CPRJ and USOY, 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	USOY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.65	1.83	+0.81
Sharpe Ratio (All Time) Calculated using the full available price history	1.32	0.96	+0.36

Drawdowns

CPRJ vs. USOY - Drawdown Comparison

The maximum CPRJ drawdown since its inception was -6.25%, smaller than the maximum USOY drawdown of -17.46%. Use the drawdown chart below to compare losses from any high point for CPRJ and USOY.

Drawdown Indicators

	CPRJ	USOY	Difference
Max Drawdown Largest peak-to-trough decline	-6.25%	-17.46%	+11.21%
Max Drawdown (1Y) Largest decline over 1 year	-1.79%	-14.29%	+12.50%
Current Drawdown Current decline from peak	0.00%	-6.47%	+6.47%
Average Drawdown Average peak-to-trough decline	-0.88%	-6.47%	+5.59%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.38%	7.42%	-7.04%

Volatility

CPRJ vs. USOY - Volatility Comparison

The current volatility for Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) is 0.34%, while Defiance Oil Enhanced Options Income ETF (USOY) has a volatility of 11.94%. This indicates that CPRJ experiences smaller price fluctuations and is considered to be less risky than USOY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPRJ	USOY	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.34%	11.94%	-11.60%
Volatility (6M) Calculated over the trailing 6-month period	1.63%	27.16%	-25.53%
Volatility (1Y) Calculated over the trailing 1-year period	4.16%	30.46%	-26.30%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.14%	26.14%	-21.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.14%	26.14%	-21.00%

CPRJ vs. USOY - Expense Ratio Comparison

CPRJ has a 0.69% expense ratio, which is lower than USOY's 1.22% expense ratio.

Dividends

CPRJ vs. USOY - Dividend Comparison

CPRJ has not paid dividends to shareholders, while USOY's dividend yield for the trailing twelve months is around 54.95%.

Position	TTM	2025	2024
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July	0.00%	0.00%	0.00%
USOY Defiance Oil Enhanced Options Income ETF	54.95%	104.32%	48.60%

Frequently Asked Questions

Can I hold both CPRJ and USOY in my portfolio?

CPRJ and USOY have a correlation of -0.24, 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 USOY?

USOY has higher volatility (11.94%) compared to CPRJ (0.34%). In terms of maximum drawdown, CPRJ dropped -6.25% vs USOY's -17.46%.

Which ETF is better, CPRJ or USOY?

On 1-year performance, USOY leads with 55.52% vs 10.96% for CPRJ. On fees, CPRJ is cheaper at 0.69% per year. On volatility, CPRJ has been the lower-risk option at 0.34%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPRJ or USOY?

Over the 1-year period, USOY has performed better with a 55.52% return vs 10.96%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPRJ or USOY?

CPRJ is cheaper with a 0.69% expense ratio, compared with 1.22% for USOY.

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

USOY has the higher dividend yield at 54.95%, compared with 0.00% for CPRJ.

What is the main difference between CPRJ and USOY?

CPRJ is categorized as Defined Outcome, while USOY is Derivative Income. They also come from different issuers: Calamos and Defiance. Their fees differ too: 0.69% for CPRJ and 1.22% for USOY.

Which has better risk-adjusted returns?

CPRJ currently has the higher Sharpe Ratio (2.65 vs 1.83), 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.