CPSJ vs. DBO

Last updated Aug 4, 2026

CPSJ (Calamos S&P 500 Structured Alt Protection ETF - July) and DBO (Invesco DB Oil Fund) are both exchange-traded funds - CPSJ is a Defined Outcome fund tracking the MerQube Cap Protect US Lrg Cap PR Index - Jul, while DBO is a Oil & Gas fund tracking the DBIQ Optimum Yield Crude Oil Index Excess Return. Both are passively managed. Over the past year, CPSJ returned 6.30% vs 51.44% for DBO. Their -0.07 correlation means they have often moved in opposite directions in the past. CPSJ charges 0.69%/yr vs 0.78%/yr for DBO.

Performance

CPSJ vs. DBO - 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 Invesco DB Oil Fund (DBO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSJ achieves a 3.55% return, which is significantly lower than DBO's 66.72% return.

CPSJ

• 1D: 0.22%
• 1M: 0.54%
• 6M: 3.03%
• YTD: 3.55%
• 1Y: 6.30%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 7.28%

DBO

• 1D: -5.53%
• 1M: 17.71%
• 6M: 53.16%
• YTD: 66.72%
• 1Y: 51.44%
• 3Y*: 12.33%
• 5Y*: 13.64%
• 10Y*: 11.43%
• ALL TIME*: 0.22%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	$316.09K	$318.68K	$251.59K
DBO Invesco DB Oil Fund	$11.34M	$10.71M	$13.49M

CPSJ vs. DBO - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	3.55%	7.43%	4.10%
DBO Invesco DB Oil Fund	66.72%	-11.71%	-5.35%

Correlation

The correlation between CPSJ and DBO is -0.23, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.23
Correlation (All Time) Calculated using the full available price history since Jul 1, 2024	-0.07

The correlation between CPSJ and DBO shifts across timeframes, from -0.23 (1 year) to -0.07 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CPSJ vs. DBO — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

CPSJ

CPSJ Risk / Return Rank: 95
CPSJ Sharpe Ratio Rank: 96
CPSJ Sortino Ratio Rank: 96
CPSJ Omega Ratio Rank: 96
CPSJ Calmar Ratio Rank: 92
CPSJ Martin Ratio Rank: 96

DBO

DBO Risk / Return Rank: 51
DBO Sharpe Ratio Rank: 53
DBO Sortino Ratio Rank: 53
DBO Omega Ratio Rank: 50
DBO Calmar Ratio Rank: 51
DBO Martin Ratio Rank: 48

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

CPSJ vs. DBO - 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 Invesco DB Oil Fund (DBO). 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	DBO	Difference
Sharpe ratio: Return per unit of total volatility	3.02	1.33	+1.69
Sortino ratio: Return per unit of downside risk	4.81	1.92	+2.88
Omega ratio: Gain probability vs. loss probability	1.66	1.23	+0.42
Calmar ratio: Return relative to maximum drawdown	4.57	1.86	+2.71
Martin ratio: Return relative to average drawdown	25.53	5.64	+19.89

CPSJ vs. DBO - Sharpe Ratio Comparison

The current CPSJ Sharpe Ratio is 3.02, which is higher than the DBO Sharpe Ratio of 1.33. The chart below compares the historical Sharpe Ratios of CPSJ and DBO, 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. DBO - Drawdown Comparison

The maximum CPSJ drawdown since its inception was -5.36%, smaller than the maximum DBO drawdown of -90.18%. Use the drawdown chart below to compare losses from any high point for CPSJ and DBO.

Drawdown Indicators

	CPSJ	DBO	Difference
Max Drawdown Largest peak-to-trough decline	-5.36%	-90.18%	+84.82%
Max Drawdown (1Y) Largest decline over 1 year	-1.38%	-27.73%	+26.35%
Max Drawdown (3Y) Largest decline over 3 years	—	-28.20%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-37.68%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-61.69%	—
Current Drawdown Current decline from peak	0.00%	-56.13%	+56.13%
Average Drawdown Average peak-to-trough decline	-0.42%	-62.20%	+61.78%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.25%	9.16%	-8.91%

Volatility

CPSJ vs. DBO - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) is 0.67%, while Invesco DB Oil Fund (DBO) has a volatility of 18.99%. This indicates that CPSJ experiences smaller price fluctuations and is considered to be less risky than DBO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSJ	DBO	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.67%	18.99%	-18.32%
Volatility (6M) Calculated over the trailing 6-month period	1.72%	34.30%	-32.58%
Volatility (1Y) Calculated over the trailing 1-year period	2.10%	38.86%	-36.76%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.43%	33.43%	-29.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.43%	32.24%	-27.81%

CPSJ vs. DBO - Expense Ratio Comparison

CPSJ has a 0.69% expense ratio, which is lower than DBO's 0.78% expense ratio.

Dividends

CPSJ vs. DBO - Dividend Comparison

CPSJ has not paid dividends to shareholders, while DBO's dividend yield for the trailing twelve months is around 2.11%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
DBO Invesco DB Oil Fund	2.11%	3.51%	4.68%	4.59%	0.66%	0.00%	0.00%	1.63%	1.58%

Frequently Asked Questions

Can I hold both CPSJ and DBO in my portfolio?

CPSJ and DBO have a correlation of -0.23, 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 DBO?

DBO has higher volatility (18.99%) compared to CPSJ (0.67%). In terms of maximum drawdown, CPSJ dropped -5.36% vs DBO's -90.18%.

Which ETF is better, CPSJ or DBO?

On 1-year performance, DBO leads with 51.44% vs 6.30% for CPSJ. On fees, CPSJ is cheaper at 0.69% per year. On volatility, CPSJ has been the lower-risk option at 0.67%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSJ or DBO?

Over the 1-year period, DBO has performed better with a 51.44% return vs 6.30%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSJ or DBO?

CPSJ is cheaper with a 0.69% expense ratio, compared with 0.78% for DBO.

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

DBO has the higher dividend yield at 2.11%, compared with 0.00% for CPSJ.

What is the main difference between CPSJ and DBO?

CPSJ is categorized as Defined Outcome, while DBO is Oil & Gas. CPSJ tracks MerQube Cap Protect US Lrg Cap PR Index - Jul, while DBO tracks DBIQ Optimum Yield Crude Oil Index Excess Return. They also come from different issuers: Calamos and Invesco. Their fees differ too: 0.69% for CPSJ and 0.78% for DBO.

Which has better risk-adjusted returns?

CPSJ currently has the higher Sharpe Ratio (3.02 vs 1.33), 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.