CPSJ vs. PMJA

Last updated Jun 4, 2026

CPSJ (Calamos S&P 500 Structured Alt Protection ETF - July) and PMJA (PGIM S&P 500 Max Buffer ETF - January) are both Defined Outcome funds. CPSJ is passively managed, while PMJA is actively managed. Over the past year, CPSJ returned 7.54% vs 7.69% for PMJA. Their correlation of 0.81 suggests significant overlap in exposure. CPSJ charges 0.69%/yr vs 0.50%/yr for PMJA.

Performance

CPSJ vs. PMJA - 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 PGIM S&P 500 Max Buffer ETF - January (PMJA). 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 higher than PMJA's 2.35% return.

CPSJ

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

PMJA

• 1D: -0.04%
• 1M: 0.79%
• YTD: 2.35%
• 6M: 2.84%
• 1Y: 7.69%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSJ vs. PMJA - Yearly Performance Comparison

	2026 (YTD)	2025
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	2.61%	7.28%
PMJA PGIM S&P 500 Max Buffer ETF - January	2.35%	6.89%

Correlation

The correlation between CPSJ and PMJA is 0.71, 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	0.71
Correlation (All Time) Calculated using the full available price history since Jan 3, 2025	0.81

The correlation between CPSJ and PMJA has been stable across timeframes, ranging from 0.71 to 0.81 - a consistent structural relationship.

Return for Risk

CPSJ vs. PMJA — 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

PMJA

PMJA Risk / Return Rank: 94
PMJA Sharpe Ratio Rank: 95
PMJA Sortino Ratio Rank: 97
PMJA Omega Ratio Rank: 97
PMJA Calmar Ratio Rank: 89
PMJA Martin Ratio Rank: 94

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. PMJA - 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 PGIM S&P 500 Max Buffer ETF - January (PMJA). 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	PMJA	Difference
Sharpe ratio: Return per unit of total volatility	3.30	3.80	-0.50
Sortino ratio: Return per unit of downside risk	5.44	6.16	-0.72
Omega ratio: Gain probability vs. loss probability	1.76	1.88	-0.11
Calmar ratio: Return relative to maximum drawdown	5.47	5.32	+0.16
Martin ratio: Return relative to average drawdown	30.62	26.64	+3.98
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. PMJA - Sharpe Ratio Comparison

The current CPSJ Sharpe Ratio is 3.30, which is comparable to the PMJA Sharpe Ratio of 3.80. The chart below compares the historical Sharpe Ratios of CPSJ and PMJA, 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	PMJA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.30	3.80	-0.50
Sharpe Ratio (All Time) Calculated using the full available price history	1.63	2.32	-0.69

Drawdowns

CPSJ vs. PMJA - Drawdown Comparison

The maximum CPSJ drawdown since its inception was -5.36%, which is greater than PMJA's maximum drawdown of -2.98%. Use the drawdown chart below to compare losses from any high point for CPSJ and PMJA.

Drawdown Indicators

	CPSJ	PMJA	Difference
Max Drawdown Largest peak-to-trough decline	-5.36%	-2.98%	-2.38%
Max Drawdown (1Y) Largest decline over 1 year	-1.38%	-1.45%	+0.07%
Current Drawdown Current decline from peak	0.00%	-0.04%	+0.04%
Average Drawdown Average peak-to-trough decline	-0.45%	-0.34%	-0.11%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.25%	0.29%	-0.04%

Volatility

CPSJ vs. PMJA - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) and PGIM S&P 500 Max Buffer ETF - January (PMJA) have volatilities of 0.33% and 0.33%, 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	PMJA	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.33%	0.33%	0.00%
Volatility (6M) Calculated over the trailing 6-month period	1.67%	1.49%	+0.18%
Volatility (1Y) Calculated over the trailing 1-year period	2.32%	2.04%	+0.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.59%	2.85%	+1.74%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.59%	2.85%	+1.74%

CPSJ vs. PMJA - Expense Ratio Comparison

CPSJ has a 0.69% expense ratio, which is higher than PMJA's 0.50% expense ratio.

Dividends

CPSJ vs. PMJA - Dividend Comparison

Neither CPSJ nor PMJA has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSJ and PMJA in my portfolio?

CPSJ and PMJA have a correlation of 0.71, 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 PMJA?

PMJA has higher volatility (0.33%) compared to CPSJ (0.33%). In terms of maximum drawdown, CPSJ dropped -5.36% vs PMJA's -2.98%.

Which ETF is better, CPSJ or PMJA?

On 1-year performance, PMJA leads with 7.69% vs 7.54% for CPSJ. On fees, PMJA is cheaper at 0.50% per year. 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 PMJA?

Over the 1-year period, PMJA 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 PMJA?

PMJA is cheaper with a 0.50% expense ratio, compared with 0.69% for CPSJ.

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

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

What is the main difference between CPSJ and PMJA?

They also come from different issuers: Calamos and PGIM. Their fees differ too: 0.69% for CPSJ and 0.50% for PMJA.

Which has better risk-adjusted returns?

PMJA currently has the higher Sharpe Ratio (3.80 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.