CPSJ vs. CAOS

Last updated Jun 24, 2026

CPSJ (Calamos S&P 500 Structured Alt Protection ETF - July) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - CPSJ is a Defined Outcome fund tracking the MerQube Cap Protect US Lrg Cap PR Index - Jul, while CAOS is a Options Trading fund actively managed by Alpha Architect. CPSJ is passively managed, while CAOS is actively managed. Over the past year, CPSJ returned 6.60% vs 1.78% for CAOS. At a correlation of -0.24, they often move in opposite directions. CPSJ charges 0.69%/yr vs 0.63%/yr for CAOS.

Performance

CPSJ vs. CAOS - 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 Alpha Architect Tail Risk ETF (CAOS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSJ achieves a 2.86% return, which is significantly higher than CAOS's 0.79% return.

CPSJ

• 1D: 0.02%
• 1M: 0.43%
• YTD: 2.86%
• 6M: 2.90%
• 1Y: 6.60%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CAOS

• 1D: 0.09%
• 1M: -0.03%
• YTD: 0.79%
• 6M: 0.71%
• 1Y: 1.78%
• 3Y*: 3.97%
• 5Y*: —
• 10Y*: —

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

CPSJ vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	2.86%	7.43%	4.10%
CAOS Alpha Architect Tail Risk ETF	0.79%	2.55%	3.15%

Correlation

The correlation between CPSJ and CAOS is -0.29, 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	-0.29
Correlation (All Time) Calculated using the full available price history since Jul 1, 2024	-0.24

Return for Risk

CPSJ vs. CAOS — 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: 94
CPSJ Sortino Ratio Rank: 96
CPSJ Omega Ratio Rank: 96
CPSJ Calmar Ratio Rank: 89
CPSJ Martin Ratio Rank: 95

CAOS

CAOS Risk / Return Rank: 42
CAOS Sharpe Ratio Rank: 36
CAOS Sortino Ratio Rank: 40
CAOS Omega Ratio Rank: 41
CAOS Calmar Ratio Rank: 53
CAOS Martin Ratio Rank: 39

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. CAOS - 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 Alpha Architect Tail Risk ETF (CAOS). 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.

	CPSJ	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	3.21	1.19	+2.02
Sortino ratio: Return per unit of downside risk	5.17	1.89	+3.28
Omega ratio: Gain probability vs. loss probability	1.71	1.25	+0.46
Calmar ratio: Return relative to maximum drawdown	4.79	2.36	+2.43
Martin ratio: Return relative to average drawdown	27.19	5.68	+21.52

CPSJ vs. CAOS - Sharpe Ratio Comparison

The current CPSJ Sharpe Ratio is 3.21, which is higher than the CAOS Sharpe Ratio of 1.19. The chart below compares the historical Sharpe Ratios of CPSJ and CAOS, 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

CPSJ vs. CAOS - Drawdown Comparison

The maximum CPSJ drawdown since its inception was -5.36%, which is greater than CAOS's maximum drawdown of -3.89%. Use the drawdown chart below to compare losses from any high point for CPSJ and CAOS.

Drawdown Indicators

	CPSJ	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-5.36%	-3.89%	-1.47%
Max Drawdown (1Y) Largest decline over 1 year	-1.38%	-0.76%	-0.62%
Max Drawdown (3Y) Largest decline over 3 years	—	-3.60%	—
Current Drawdown Current decline from peak	0.00%	-1.09%	+1.09%
Average Drawdown Average peak-to-trough decline	-0.44%	-0.92%	+0.48%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.24%	0.31%	-0.07%

Volatility

CPSJ vs. CAOS - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) has a higher volatility of 0.35% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.33%. This indicates that CPSJ's price experiences larger fluctuations and is considered to be riskier than CAOS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSJ	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.35%	0.33%	+0.02%
Volatility (6M) Calculated over the trailing 6-month period	1.65%	1.05%	+0.60%
Volatility (1Y) Calculated over the trailing 1-year period	2.13%	1.50%	+0.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.53%	4.23%	+0.30%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.53%	4.23%	+0.30%

CPSJ vs. CAOS - Expense Ratio Comparison

CPSJ has a 0.69% expense ratio, which is higher than CAOS's 0.63% expense ratio.

Dividends

CPSJ vs. CAOS - Dividend Comparison

Neither CPSJ nor CAOS has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSJ and CAOS in my portfolio?

CPSJ and CAOS have a correlation of -0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSJ or CAOS?

CPSJ has higher volatility (0.35%) compared to CAOS (0.33%). In terms of maximum drawdown, CPSJ dropped -5.36% vs CAOS's -3.89%.

Which ETF is better, CPSJ or CAOS?

On 1-year performance, CPSJ leads with 6.60% vs 1.78% for CAOS. On fees, CAOS is cheaper at 0.63% 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, CPSJ or CAOS?

Over the 1-year period, CPSJ has performed better with a 6.60% return vs 1.78%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSJ or CAOS?

CAOS is cheaper with a 0.63% expense ratio, compared with 0.69% for CPSJ.

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

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

What is the main difference between CPSJ and CAOS?

CPSJ is categorized as Defined Outcome, while CAOS is Options Trading. They also come from different issuers: Calamos and Alpha Architect. Their fees differ too: 0.69% for CPSJ and 0.63% for CAOS.

Which has better risk-adjusted returns?

CPSJ currently has the higher Sharpe Ratio (3.21 vs 1.19), 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.