CPSJ vs. CPSA

Last updated Apr 15, 2026

CPSJ (Calamos S&P 500 Structured Alt Protection ETF - July) and CPSA (Calamos S&P 500 Structured Alt Protection ETF - August) are both Defined Outcome funds from Calamos — CPSJ tracks the MerQube Cap Protect US Lrg Cap PR Index - Jul while CPSA tracks the MerQube Cap Protect US Lrg Cap PR Index - Aug. Both are passively managed. Over the past year, CPSJ returned 11.22% vs 10.46% for CPSA. Their correlation of 0.83 suggests significant overlap in exposure. Both charge a 0.69% expense ratio.

Performance

CPSJ vs. CPSA - 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 S&P 500 Structured Alt Protection ETF - August (CPSA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSJ achieves a 1.36% return, which is significantly higher than CPSA's 1.29% return.

CPSJ

• 1D: 0.15%
• 1M: 1.15%
• YTD: 1.36%
• 6M: 2.42%
• 1Y: 11.22%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSA

• 1D: 0.09%
• 1M: 1.15%
• YTD: 1.29%
• 6M: 2.41%
• 1Y: 10.46%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSJ vs. CPSA - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	1.36%	7.43%	3.71%
CPSA Calamos S&P 500 Structured Alt Protection ETF - August	1.29%	7.39%	3.51%

Correlation

The correlation between CPSJ and CPSA is 0.82, indicating a strong positive relationship between their price movements. Combining them offers limited diversification — they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.82
Correlation (All Time) Calculated using the full available price history since Aug 2, 2024	0.83

The correlation between CPSJ and CPSA has been stable across timeframes, ranging from 0.82 to 0.83 — a consistent structural relationship.

Return for Risk

CPSJ vs. CPSA — 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: 88
CPSJ Sortino Ratio Rank: 96
CPSJ Omega Ratio Rank: 96
CPSJ Calmar Ratio Rank: 92
CPSJ Martin Ratio Rank: 96

CPSA

CPSA Risk / Return Rank: 94
CPSA Sharpe Ratio Rank: 90
CPSA Sortino Ratio Rank: 96
CPSA Omega Ratio Rank: 96
CPSA Calmar Ratio Rank: 92
CPSA Martin Ratio Rank: 96

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. CPSA - 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 S&P 500 Structured Alt Protection ETF - August (CPSA). 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	CPSA	Difference
Sharpe ratio Return per unit of total volatility	3.12	3.30	-0.17
Sortino ratio Return per unit of downside risk	5.64	5.49	+0.16
Omega ratio Gain probability vs. loss probability	1.84	1.81	+0.03
Calmar ratio Return relative to maximum drawdown	6.90	7.03	-0.12
Martin ratio Return relative to average drawdown	36.82	35.80	+1.01
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. CPSA - Sharpe Ratio Comparison

The current CPSJ Sharpe Ratio is 3.12, which is comparable to the CPSA Sharpe Ratio of 3.30. The chart below compares the historical Sharpe Ratios of CPSJ and CPSA, 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	CPSA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.12	3.30	-0.17
Sharpe Ratio (All Time) Calculated using the full available price history	1.55	1.70	-0.16

Drawdowns

CPSJ vs. CPSA - Drawdown Comparison

The maximum CPSJ drawdown since its inception was -5.36%, which is greater than CPSA's maximum drawdown of -4.72%. Use the drawdown chart below to compare losses from any high point for CPSJ and CPSA.

Drawdown Indicators

	CPSJ	CPSA	Difference
Max Drawdown Largest peak-to-trough decline	-5.36%	-4.72%	-0.64%
Max Drawdown (1Y) Largest decline over 1 year	-1.50%	-1.47%	-0.03%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.49%	-0.41%	-0.08%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.32%	0.31%	+0.01%

Volatility

CPSJ vs. CPSA - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) and Calamos S&P 500 Structured Alt Protection ETF - August (CPSA) have volatilities of 1.25% and 1.25%, 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	CPSA	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.25%	1.25%	0.00%
Volatility (6M) Calculated over the trailing 6-month period	1.76%	1.77%	-0.01%
Volatility (1Y) Calculated over the trailing 1-year period	3.62%	3.20%	+0.42%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.75%	4.28%	+0.47%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.75%	4.28%	+0.47%

CPSJ vs. CPSA - Expense Ratio Comparison

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

Dividends

CPSJ vs. CPSA - Dividend Comparison

Neither CPSJ nor CPSA has paid dividends to shareholders.

Tickers have no history of dividend payments