CPSD vs. CPSJ

Last updated Jun 4, 2026

CPSD (Calamos S&P 500 Structured Alt Protection ETF - December) and CPSJ (Calamos S&P 500 Structured Alt Protection ETF - July) are both Defined Outcome funds from Calamos. CPSD is actively managed, while CPSJ is passively managed. Over the past year, CPSD returned 9.16% vs 7.54% for CPSJ. A 0.71 correlation means they provide meaningful diversification when combined. Both charge a 0.69% expense ratio.

Performance

CPSD vs. CPSJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) and Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ). 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 CPSD having a 2.55% return and CPSJ slightly higher at 2.61%.

CPSD

• 1D: 0.07%
• 1M: 0.89%
• YTD: 2.55%
• 6M: 2.99%
• 1Y: 9.16%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSJ

• 1D: 0.04%
• 1M: 0.70%
• YTD: 2.61%
• 6M: 2.98%
• 1Y: 7.54%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSD vs. CPSJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSD Calamos S&P 500 Structured Alt Protection ETF - December	2.55%	7.63%	0.04%
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	2.61%	7.43%	0.06%

Correlation

The correlation between CPSD and CPSJ is 0.70, 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	0.70
Correlation (All Time) Calculated using the full available price history since Dec 3, 2024	0.71

The correlation between CPSD and CPSJ has been stable across timeframes, ranging from 0.70 to 0.71 - a consistent structural relationship.

Return for Risk

CPSD vs. CPSJ — Risk / Return Rank

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

CPSD

CPSD Risk / Return Rank: 94
CPSD Sharpe Ratio Rank: 92
CPSD Sortino Ratio Rank: 95
CPSD Omega Ratio Rank: 95
CPSD Calmar Ratio Rank: 92
CPSD Martin Ratio Rank: 95

CPSJ

CPSJ Risk / Return Rank: 94
CPSJ Sharpe Ratio Rank: 92
CPSJ Sortino Ratio Rank: 96
CPSJ Omega Ratio Rank: 96
CPSJ Calmar Ratio Rank: 90
CPSJ Martin Ratio Rank: 95

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.

CPSD vs. CPSJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) and Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ). 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.

	CPSD	CPSJ	Difference
Sharpe ratio: Return per unit of total volatility	3.26	3.30	-0.03
Sortino ratio: Return per unit of downside risk	5.18	5.44	-0.26
Omega ratio: Gain probability vs. loss probability	1.72	1.76	-0.05
Calmar ratio: Return relative to maximum drawdown	6.19	5.47	+0.72
Martin ratio: Return relative to average drawdown	30.66	30.62	+0.05
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSD vs. CPSJ - Sharpe Ratio Comparison

The current CPSD Sharpe Ratio is 3.26, which is comparable to the CPSJ Sharpe Ratio of 3.30. The chart below compares the historical Sharpe Ratios of CPSD and CPSJ, 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

	CPSD	CPSJ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.26	3.30	-0.03
Sharpe Ratio (All Time) Calculated using the full available price history	2.03	1.63	+0.39

Drawdowns

CPSD vs. CPSJ - Drawdown Comparison

The maximum CPSD drawdown since its inception was -3.45%, smaller than the maximum CPSJ drawdown of -5.36%. Use the drawdown chart below to compare losses from any high point for CPSD and CPSJ.

Drawdown Indicators

	CPSD	CPSJ	Difference
Max Drawdown Largest peak-to-trough decline	-3.45%	-5.36%	+1.91%
Max Drawdown (1Y) Largest decline over 1 year	-1.49%	-1.38%	-0.11%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.47%	-0.45%	-0.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.30%	0.25%	+0.05%

Volatility

CPSD vs. CPSJ - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) has a higher volatility of 0.37% compared to Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) at 0.33%. This indicates that CPSD's price experiences larger fluctuations and is considered to be riskier than CPSJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSD	CPSJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.37%	0.33%	+0.04%
Volatility (6M) Calculated over the trailing 6-month period	1.58%	1.67%	-0.09%
Volatility (1Y) Calculated over the trailing 1-year period	2.83%	2.32%	+0.51%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.41%	4.59%	-1.18%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.41%	4.59%	-1.18%

CPSD vs. CPSJ - Expense Ratio Comparison

Both CPSD and CPSJ have an expense ratio of 0.69%.

Dividends

CPSD vs. CPSJ - Dividend Comparison

Neither CPSD nor CPSJ has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSD and CPSJ in my portfolio?

CPSD and CPSJ have a correlation of 0.70, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSD or CPSJ?

CPSD has higher volatility (0.37%) compared to CPSJ (0.33%). In terms of maximum drawdown, CPSD dropped -3.45% vs CPSJ's -5.36%.

Which ETF is better, CPSD or CPSJ?

On 1-year performance, CPSD leads with 9.16% vs 7.54% for CPSJ. 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, CPSD or CPSJ?

Over the 1-year period, CPSD has performed better with a 9.16% return vs 7.54%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSD or CPSJ?

CPSD and CPSJ have the same expense ratio: 0.69% per year.

Which ETF pays a higher dividend yield, CPSD or CPSJ?

CPSD and CPSJ have nearly identical dividend yields, around 0.00%.

Which has better risk-adjusted returns?

CPSJ currently has the higher Sharpe Ratio (3.30 vs 3.26), 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.