CPSJ vs. BALT

Last updated Apr 7, 2026

Compare and contrast key facts about Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) and Innovator Defined Wealth Shield ETF (BALT).

CPSJ and BALT are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CPSJ is a passively managed fund by Calamos that tracks the performance of the MerQube Cap Protect US Lrg Cap PR Index - Jul. It was launched on Jul 1, 2024. BALT is a passively managed fund by Innovator that tracks the performance of the S&P 500. It was launched on Jun 30, 2021. Both CPSJ and BALT are passive ETFs, meaning that they are not actively managed but aim to replicate the performance of the underlying index as closely as possible.

Performance

CPSJ vs. BALT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) and Innovator Defined Wealth Shield ETF (BALT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSJ achieves a 0.28% return, which is significantly higher than BALT's 0.18% return.

CPSJ

• 1D: 0.05%
• 1M: -0.13%
• YTD: 0.28%
• 6M: 1.26%
• 1Y: 12.03%
• 3Y*: —
• 5Y*: —
• 10Y*: —

BALT

• 1D: 0.15%
• 1M: -0.22%
• YTD: 0.18%
• 6M: 2.19%
• 1Y: 9.92%
• 3Y*: 7.21%
• 5Y*: —
• 10Y*: —

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

CPSJ vs. BALT - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	0.28%	7.43%	4.14%
BALT Innovator Defined Wealth Shield ETF	0.18%	6.65%	4.42%

Correlation

The correlation between CPSJ and BALT is 0.71, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined. Holding both can reduce overall portfolio volatility compared to holding either one alone.

CPSJ vs. BALT - Expense Ratio Comparison

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

CPSJ

Calamos S&P 500 Structured Alt Protection ETF - July

BALT

Innovator Defined Wealth Shield ETF

Return for Risk

CPSJ vs. BALT — Risk / Return Rank

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

CPSJ

CPSJ Risk / Return Rank: 94
CPSJ Sharpe Ratio Rank: 91
CPSJ Sortino Ratio Rank: 97
CPSJ Omega Ratio Rank: 97
CPSJ Calmar Ratio Rank: 88
CPSJ Martin Ratio Rank: 95

BALT

BALT Risk / Return Rank: 92
BALT Sharpe Ratio Rank: 93
BALT Sortino Ratio Rank: 98
BALT Omega Ratio Rank: 98
BALT Calmar Ratio Rank: 77
BALT Martin Ratio Rank: 94

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.

CPSJ vs. BALT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) and Innovator Defined Wealth Shield ETF (BALT). 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.

	CPSJ	BALT	Difference
Sharpe ratio Return per unit of total volatility	2.72	2.54	+0.18
Sortino ratio Return per unit of downside risk	5.32	4.92	+0.41
Omega ratio Gain probability vs. loss probability	1.82	1.76	+0.05
Calmar ratio Return relative to maximum drawdown	3.65	2.71	+0.94
Martin ratio Return relative to average drawdown	19.87	17.01	+2.86
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSJ vs. BALT - Sharpe Ratio Comparison

The current CPSJ Sharpe Ratio is 2.72, which is comparable to the BALT Sharpe Ratio of 2.54. The chart below compares the historical Sharpe Ratios of CPSJ and BALT, 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

	CPSJ	BALT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.72	2.54	+0.18
Sharpe Ratio (All Time) Calculated using the full available price history	1.43	1.72	-0.29

Drawdowns

CPSJ vs. BALT - Drawdown Comparison

The maximum CPSJ drawdown since its inception was -5.36%, which is greater than BALT's maximum drawdown of -4.89%. Use the drawdown chart below to compare losses from any high point for CPSJ and BALT.

Drawdown Indicators

	CPSJ	BALT	Difference
Max Drawdown Largest peak-to-trough decline	-5.36%	-4.89%	-0.47%
Max Drawdown (1Y) Largest decline over 1 year	-2.23%	-1.16%	-1.07%
Current Drawdown Current decline from peak	-0.51%	-0.74%	+0.23%
Average Drawdown Average peak-to-trough decline	-0.49%	-0.35%	-0.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.41%	0.40%	+0.01%

Volatility

CPSJ vs. BALT - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) has a higher volatility of 1.14% compared to Innovator Defined Wealth Shield ETF (BALT) at 0.62%. This indicates that CPSJ's price experiences larger fluctuations and is considered to be riskier than BALT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSJ	BALT	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.14%	0.62%	+0.52%
Volatility (6M) Calculated over the trailing 6-month period	1.66%	1.84%	-0.18%
Volatility (1Y) Calculated over the trailing 1-year period	4.48%	3.95%	+0.53%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.76%	3.36%	+1.40%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.76%	3.36%	+1.40%

Dividends

CPSJ vs. BALT - Dividend Comparison

Neither CPSJ nor BALT has paid dividends to shareholders.

Tickers have no history of dividend payments