CPSJ vs. CPRJ
Compare and contrast key facts about Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) and Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ).
CPSJ and CPRJ 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. CPRJ is a passively managed fund by Calamos that tracks the performance of the MerQube Cap Protect US Small Cap PR Index - Jul. It was launched on Jul 1, 2024. Both CPSJ and CPRJ 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. CPRJ - Performance Comparison
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Returns By Period
In the year-to-date period, CPSJ achieves a 0.28% return, which is significantly lower than CPRJ's 1.07% return.
CPSJ
- 1D
- 0.05%
- 1M
- -0.13%
- YTD
- 0.28%
- 6M
- 1.26%
- 1Y
- 12.03%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CPRJ
- 1D
- 0.07%
- 1M
- 0.38%
- YTD
- 1.07%
- 6M
- 2.19%
- 1Y
- 11.01%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CPSJ vs. CPRJ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July | 0.28% | 7.43% | 4.14% |
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July | 1.07% | 5.04% | 4.75% |
Correlation
The correlation between CPSJ and CPRJ is 0.68, 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. CPRJ - Expense Ratio Comparison
Both CPSJ and CPRJ have an expense ratio of 0.69%.
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Return for Risk
CPSJ vs. CPRJ — Risk / Return Rank
CPSJ
CPRJ
CPSJ vs. CPRJ - 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 Russell 2000 Structured Alt Protection ETF - July (CPRJ). 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 | CPRJ | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.72 | 2.14 | +0.58 |
Sortino ratioReturn per unit of downside risk | 5.32 | 3.50 | +1.83 |
Omega ratioGain probability vs. loss probability | 1.82 | 1.52 | +0.30 |
Calmar ratioReturn relative to maximum drawdown | 3.65 | 4.71 | -1.06 |
Martin ratioReturn relative to average drawdown | 19.87 | 17.64 | +2.23 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CPSJ | CPRJ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.72 | 2.14 | +0.58 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.43 | 1.17 | +0.26 |
Drawdowns
CPSJ vs. CPRJ - Drawdown Comparison
The maximum CPSJ drawdown since its inception was -5.36%, smaller than the maximum CPRJ drawdown of -6.25%. Use the drawdown chart below to compare losses from any high point for CPSJ and CPRJ.
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Drawdown Indicators
| CPSJ | CPRJ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.36% | -6.25% | +0.89% |
Max Drawdown (1Y)Largest decline over 1 year | -2.23% | -1.79% | -0.44% |
Current DrawdownCurrent decline from peak | -0.51% | -0.22% | -0.29% |
Average DrawdownAverage peak-to-trough decline | -0.49% | -0.96% | +0.47% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.41% | 0.48% | -0.07% |
Volatility
CPSJ vs. CPRJ - Volatility Comparison
Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) and Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) have volatilities of 1.14% and 1.11%, 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.
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Volatility by Period
| CPSJ | CPRJ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.14% | 1.11% | +0.03% |
Volatility (6M)Calculated over the trailing 6-month period | 1.66% | 1.94% | -0.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.48% | 5.21% | -0.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.76% | 5.34% | -0.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.76% | 5.34% | -0.58% |
Dividends
CPSJ vs. CPRJ - Dividend Comparison
Neither CPSJ nor CPRJ has paid dividends to shareholders.