CPSJ vs. CPNS

Last updated Jun 4, 2026

CPSJ (Calamos S&P 500 Structured Alt Protection ETF - July) and CPNS (Calamos Nasdaq-100 Structured Alt Protection ETF - September) are both Defined Outcome funds from Calamos - CPSJ tracks the MerQube Cap Protect US Lrg Cap PR Index - Jul while CPNS tracks the MerQube Cap Protect US Large Cap Tech PR Index - Sep. Both are passively managed. Over the past year, CPSJ returned 7.54% vs 7.69% for CPNS. A 0.76 correlation means they provide meaningful diversification when combined. Both charge a 0.69% expense ratio.

Performance

CPSJ vs. CPNS - 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 Nasdaq-100 Structured Alt Protection ETF - September (CPNS). 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 CPNS's 3.00% return.

CPSJ

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

CPNS

• 1D: -0.04%
• 1M: 0.78%
• YTD: 3.00%
• 6M: 3.17%
• 1Y: 7.69%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSJ vs. CPNS - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	2.61%	7.43%	2.52%
CPNS Calamos Nasdaq-100 Structured Alt Protection ETF - September	3.00%	7.25%	2.79%

Correlation

The correlation between CPSJ and CPNS 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 Sep 4, 2024	0.76

The correlation between CPSJ and CPNS has been stable across timeframes, ranging from 0.70 to 0.76 - a consistent structural relationship.

Return for Risk

CPSJ vs. CPNS — 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

CPNS

CPNS Risk / Return Rank: 95
CPNS Sharpe Ratio Rank: 94
CPNS Sortino Ratio Rank: 96
CPNS Omega Ratio Rank: 96
CPNS Calmar Ratio Rank: 91
CPNS 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.

CPSJ vs. CPNS - 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 Nasdaq-100 Structured Alt Protection ETF - September (CPNS). 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	CPNS	Difference
Sharpe ratio: Return per unit of total volatility	3.30	3.63	-0.33
Sortino ratio: Return per unit of downside risk	5.44	5.61	-0.18
Omega ratio: Gain probability vs. loss probability	1.76	1.81	-0.05
Calmar ratio: Return relative to maximum drawdown	5.47	5.87	-0.40
Martin ratio: Return relative to average drawdown	30.62	31.91	-1.29
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. CPNS - Sharpe Ratio Comparison

The current CPSJ Sharpe Ratio is 3.30, which is comparable to the CPNS Sharpe Ratio of 3.63. The chart below compares the historical Sharpe Ratios of CPSJ and CPNS, 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	CPNS	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.30	3.63	-0.33
Sharpe Ratio (All Time) Calculated using the full available price history	1.63	2.18	-0.55

Drawdowns

CPSJ vs. CPNS - Drawdown Comparison

The maximum CPSJ drawdown since its inception was -5.36%, which is greater than CPNS's maximum drawdown of -3.99%. Use the drawdown chart below to compare losses from any high point for CPSJ and CPNS.

Drawdown Indicators

	CPSJ	CPNS	Difference
Max Drawdown Largest peak-to-trough decline	-5.36%	-3.99%	-1.37%
Max Drawdown (1Y) Largest decline over 1 year	-1.38%	-1.31%	-0.07%
Current Drawdown Current decline from peak	0.00%	-0.05%	+0.05%
Average Drawdown Average peak-to-trough decline	-0.45%	-0.36%	-0.09%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.25%	0.24%	+0.01%

Volatility

CPSJ vs. CPNS - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) and Calamos Nasdaq-100 Structured Alt Protection ETF - September (CPNS) have volatilities of 0.33% and 0.32%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSJ	CPNS	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.33%	0.32%	+0.01%
Volatility (6M) Calculated over the trailing 6-month period	1.67%	1.74%	-0.07%
Volatility (1Y) Calculated over the trailing 1-year period	2.32%	2.14%	+0.18%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.59%	3.48%	+1.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.59%	3.48%	+1.11%

CPSJ vs. CPNS - Expense Ratio Comparison

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

Dividends

CPSJ vs. CPNS - Dividend Comparison

Neither CPSJ nor CPNS has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSJ and CPNS in my portfolio?

CPSJ and CPNS 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, CPSJ or CPNS?

CPSJ has higher volatility (0.33%) compared to CPNS (0.32%). In terms of maximum drawdown, CPSJ dropped -5.36% vs CPNS's -3.99%.

Which ETF is better, CPSJ or CPNS?

On 1-year performance, CPNS leads with 7.69% 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, CPSJ or CPNS?

Over the 1-year period, CPNS has performed better with a 7.69% 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 CPNS?

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

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

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

What is the main difference between CPSJ and CPNS?

CPSJ tracks MerQube Cap Protect US Lrg Cap PR Index - Jul, while CPNS tracks MerQube Cap Protect US Large Cap Tech PR Index - Sep.

Which has better risk-adjusted returns?

CPNS currently has the higher Sharpe Ratio (3.63 vs 3.30), 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.