CPSJ vs. ZFEB

Last updated Jun 4, 2026

CPSJ (Calamos S&P 500 Structured Alt Protection ETF - July) and ZFEB (Innovator Equity Defined Protection ETF - 1 Yr February) are both Defined Outcome funds. CPSJ is passively managed, while ZFEB is actively managed. Over the past year, CPSJ returned 7.54% vs 7.80% for ZFEB. A 0.73 correlation means they provide meaningful diversification when combined. CPSJ charges 0.69%/yr vs 0.79%/yr for ZFEB.

Performance

CPSJ vs. ZFEB - 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 Innovator Equity Defined Protection ETF - 1 Yr February (ZFEB). 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 ZFEB's 2.36% return.

CPSJ

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

ZFEB

• 1D: -0.04%
• 1M: 0.81%
• YTD: 2.36%
• 6M: 3.03%
• 1Y: 7.80%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSJ vs. ZFEB - Yearly Performance Comparison

	2026 (YTD)	2025
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	2.61%	6.86%
ZFEB Innovator Equity Defined Protection ETF - 1 Yr February	2.36%	6.10%

Correlation

The correlation between CPSJ and ZFEB is 0.68, 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	0.68
Correlation (All Time) Calculated using the full available price history since Feb 4, 2025	0.73

The correlation between CPSJ and ZFEB has been stable across timeframes, ranging from 0.68 to 0.73 - a consistent structural relationship.

Return for Risk

CPSJ vs. ZFEB — 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

ZFEB

ZFEB Risk / Return Rank: 94
ZFEB Sharpe Ratio Rank: 94
ZFEB Sortino Ratio Rank: 96
ZFEB Omega Ratio Rank: 96
ZFEB Calmar Ratio Rank: 91
ZFEB 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. ZFEB - 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 Innovator Equity Defined Protection ETF - 1 Yr February (ZFEB). 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	ZFEB	Difference
Sharpe ratio: Return per unit of total volatility	3.30	3.55	-0.26
Sortino ratio: Return per unit of downside risk	5.44	5.61	-0.17
Omega ratio: Gain probability vs. loss probability	1.76	1.79	-0.03
Calmar ratio: Return relative to maximum drawdown	5.47	5.81	-0.34
Martin ratio: Return relative to average drawdown	30.62	28.36	+2.26
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. ZFEB - Sharpe Ratio Comparison

The current CPSJ Sharpe Ratio is 3.30, which is comparable to the ZFEB Sharpe Ratio of 3.55. The chart below compares the historical Sharpe Ratios of CPSJ and ZFEB, 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	ZFEB	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.30	3.55	-0.26
Sharpe Ratio (All Time) Calculated using the full available price history	1.63	2.24	-0.60

Drawdowns

CPSJ vs. ZFEB - Drawdown Comparison

The maximum CPSJ drawdown since its inception was -5.36%, which is greater than ZFEB's maximum drawdown of -3.00%. Use the drawdown chart below to compare losses from any high point for CPSJ and ZFEB.

Drawdown Indicators

	CPSJ	ZFEB	Difference
Max Drawdown Largest peak-to-trough decline	-5.36%	-3.00%	-2.36%
Max Drawdown (1Y) Largest decline over 1 year	-1.38%	-1.35%	-0.03%
Current Drawdown Current decline from peak	0.00%	-0.04%	+0.04%
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%	0.28%	-0.03%

Volatility

CPSJ vs. ZFEB - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) is 0.33%, while Innovator Equity Defined Protection ETF - 1 Yr February (ZFEB) has a volatility of 0.38%. This indicates that CPSJ experiences smaller price fluctuations and is considered to be less risky than ZFEB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSJ	ZFEB	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.33%	0.38%	-0.05%
Volatility (6M) Calculated over the trailing 6-month period	1.67%	1.45%	+0.22%
Volatility (1Y) Calculated over the trailing 1-year period	2.32%	2.21%	+0.11%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.59%	2.88%	+1.71%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.59%	2.88%	+1.71%

CPSJ vs. ZFEB - Expense Ratio Comparison

CPSJ has a 0.69% expense ratio, which is lower than ZFEB's 0.79% expense ratio.

Dividends

CPSJ vs. ZFEB - Dividend Comparison

Neither CPSJ nor ZFEB has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSJ and ZFEB in my portfolio?

CPSJ and ZFEB have a correlation of 0.68, 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 ZFEB?

ZFEB has higher volatility (0.38%) compared to CPSJ (0.33%). In terms of maximum drawdown, CPSJ dropped -5.36% vs ZFEB's -3.00%.

Which ETF is better, CPSJ or ZFEB?

On 1-year performance, ZFEB leads with 7.80% vs 7.54% for CPSJ. On fees, CPSJ is cheaper at 0.69% 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 ZFEB?

Over the 1-year period, ZFEB has performed better with a 7.80% 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 ZFEB?

CPSJ is cheaper with a 0.69% expense ratio, compared with 0.79% for ZFEB.

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

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

What is the main difference between CPSJ and ZFEB?

They also come from different issuers: Calamos and Innovator. Their fees differ too: 0.69% for CPSJ and 0.79% for ZFEB.

Which has better risk-adjusted returns?

ZFEB currently has the higher Sharpe Ratio (3.55 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.