CPSJ vs. CCEF

Last updated Jun 4, 2026

CPSJ (Calamos S&P 500 Structured Alt Protection ETF - July) and CCEF (Calamos CEF Income & Arbitrage ETF) are both exchange-traded funds - CPSJ is a Defined Outcome fund tracking the MerQube Cap Protect US Lrg Cap PR Index - Jul, while CCEF is a Dividend fund actively managed by Calamos. CPSJ is passively managed, while CCEF is actively managed. Over the past year, CPSJ returned 7.54% vs 15.55% for CCEF. A 0.67 correlation means they provide meaningful diversification when combined. CPSJ charges 0.69%/yr vs 2.74%/yr for CCEF.

Performance

CPSJ vs. CCEF - 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 Calamos CEF Income & Arbitrage ETF (CCEF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSJ achieves a 2.61% return, which is significantly lower than CCEF's 5.73% return.

CPSJ

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

CCEF

• 1D: -0.64%
• 1M: 1.52%
• YTD: 5.73%
• 6M: 6.83%
• 1Y: 15.55%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSJ vs. CCEF - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	2.61%	7.43%	4.14%
CCEF Calamos CEF Income & Arbitrage ETF	5.73%	13.47%	7.45%

Correlation

The correlation between CPSJ and CCEF is 0.65, 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	0.65
Correlation (All Time) Calculated using the full available price history since Jul 2, 2024	0.67

The correlation between CPSJ and CCEF has been stable across timeframes, ranging from 0.65 to 0.67 - a consistent structural relationship.

Return for Risk

CPSJ vs. CCEF — 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: 92
CPSJ Sortino Ratio Rank: 96
CPSJ Omega Ratio Rank: 96
CPSJ Calmar Ratio Rank: 90
CPSJ Martin Ratio Rank: 95

CCEF

CCEF Risk / Return Rank: 54
CCEF Sharpe Ratio Rank: 57
CCEF Sortino Ratio Rank: 58
CCEF Omega Ratio Rank: 61
CCEF Calmar Ratio Rank: 41
CCEF Martin Ratio Rank: 52

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. CCEF - 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 Calamos CEF Income & Arbitrage ETF (CCEF). 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	CCEF	Difference
Sharpe ratio: Return per unit of total volatility	3.30	1.97	+1.33
Sortino ratio: Return per unit of downside risk	5.44	2.76	+2.68
Omega ratio: Gain probability vs. loss probability	1.76	1.37	+0.39
Calmar ratio: Return relative to maximum drawdown	5.47	2.02	+3.46
Martin ratio: Return relative to average drawdown	30.62	8.77	+21.85
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. CCEF - Sharpe Ratio Comparison

The current CPSJ Sharpe Ratio is 3.30, which is higher than the CCEF Sharpe Ratio of 1.97. The chart below compares the historical Sharpe Ratios of CPSJ and CCEF, 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	CCEF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.30	1.97	+1.33
Sharpe Ratio (All Time) Calculated using the full available price history	1.63	1.50	+0.14

Drawdowns

CPSJ vs. CCEF - Drawdown Comparison

The maximum CPSJ drawdown since its inception was -5.36%, smaller than the maximum CCEF drawdown of -13.25%. Use the drawdown chart below to compare losses from any high point for CPSJ and CCEF.

Drawdown Indicators

	CPSJ	CCEF	Difference
Max Drawdown Largest peak-to-trough decline	-5.36%	-13.25%	+7.89%
Max Drawdown (1Y) Largest decline over 1 year	-1.38%	-7.75%	+6.37%
Current Drawdown Current decline from peak	0.00%	-0.64%	+0.64%
Average Drawdown Average peak-to-trough decline	-0.45%	-1.35%	+0.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.25%	1.78%	-1.53%

Volatility

CPSJ vs. CCEF - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) is 0.33%, while Calamos CEF Income & Arbitrage ETF (CCEF) has a volatility of 2.32%. This indicates that CPSJ experiences smaller price fluctuations and is considered to be less risky than CCEF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSJ	CCEF	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.33%	2.32%	-1.99%
Volatility (6M) Calculated over the trailing 6-month period	1.67%	6.66%	-4.99%
Volatility (1Y) Calculated over the trailing 1-year period	2.32%	7.94%	-5.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.59%	10.78%	-6.19%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.59%	10.78%	-6.19%

CPSJ vs. CCEF - Expense Ratio Comparison

CPSJ has a 0.69% expense ratio, which is lower than CCEF's 2.74% expense ratio.

Dividends

CPSJ vs. CCEF - Dividend Comparison

CPSJ has not paid dividends to shareholders, while CCEF's dividend yield for the trailing twelve months is around 7.98%.

Position	TTM	2025	2024
CCEF Calamos CEF Income & Arbitrage ETF	7.98%	8.08%	6.55%
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CPSJ and CCEF in my portfolio?

CPSJ and CCEF have a correlation of 0.65, 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 CCEF?

CCEF has higher volatility (2.32%) compared to CPSJ (0.33%). In terms of maximum drawdown, CPSJ dropped -5.36% vs CCEF's -13.25%.

Which ETF is better, CPSJ or CCEF?

On 1-year performance, CCEF leads with 15.55% vs 7.54% for CPSJ. On fees, CPSJ is cheaper at 0.69% per year. On volatility, CPSJ has been the lower-risk option at 0.33%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSJ or CCEF?

Over the 1-year period, CCEF has performed better with a 15.55% return vs 7.54%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSJ or CCEF?

CPSJ is cheaper with a 0.69% expense ratio, compared with 2.74% for CCEF.

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

CCEF has the higher dividend yield at 7.98%, compared with 0.00% for CPSJ.

What is the main difference between CPSJ and CCEF?

CPSJ is categorized as Defined Outcome, while CCEF is Dividend. Their fees differ too: 0.69% for CPSJ and 2.74% for CCEF.

Which has better risk-adjusted returns?

CPSJ currently has the higher Sharpe Ratio (3.30 vs 1.97), 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.