CPSL vs. CPRJ

Last updated Jul 29, 2026

CPSL (Calamos Laddered S&P 500 Structured Alt Protection ETF) and CPRJ (Calamos Russell 2000 Structured Alt Protection ETF - July) are both Defined Outcome funds from Calamos. CPSL is actively managed, while CPRJ is passively managed. Over the past year, CPSL returned 5.86% vs 6.47% for CPRJ. Their 0.61 correlation means they have sometimes moved together and sometimes differently. CPSL charges 0.79%/yr vs 0.69%/yr for CPRJ.

Performance

CPSL vs. CPRJ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Laddered S&P 500 Structured Alt Protection ETF (CPSL) and Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with CPSL having a 3.15% return and CPRJ slightly higher at 3.16%.

CPSL

• 1D: 0.07%
• 1M: 0.61%
• 6M: 2.63%
• YTD: 3.15%
• 1Y: 5.86%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.33%

CPRJ

• 1D: 0.04%
• 1M: -0.05%
• 6M: 2.22%
• YTD: 3.16%
• 1Y: 6.47%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 5.91%

*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)
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July	$545.49K	$950.57K	$357.76K
CPSL Calamos Laddered S&P 500 Structured Alt Protection ETF	$1.52M	$1.30M	$850.59K

CPSL vs. CPRJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSL Calamos Laddered S&P 500 Structured Alt Protection ETF	3.15%	6.43%	2.24%
CPRJ Calamos Russell 2000 Structured Alt Protection ETF - July	3.16%	5.04%	2.49%

Correlation

The correlation between CPSL and CPRJ is 0.50, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.50
Correlation (All Time) Calculated using the full available price history since Sep 9, 2024	0.61

The correlation between CPSL and CPRJ shifts across timeframes, from 0.50 (1 year) to 0.61 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CPSL vs. CPRJ — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CPSL

CPSL Risk / Return Rank: 95
CPSL Sharpe Ratio Rank: 94
CPSL Sortino Ratio Rank: 96
CPSL Omega Ratio Rank: 94
CPSL Calmar Ratio Rank: 94
CPSL Martin Ratio Rank: 96

CPRJ

CPRJ Risk / Return Rank: 95
CPRJ Sharpe Ratio Rank: 94
CPRJ Sortino Ratio Rank: 96
CPRJ Omega Ratio Rank: 95
CPRJ Calmar Ratio Rank: 96
CPRJ 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.

CPSL vs. CPRJ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Laddered S&P 500 Structured Alt Protection ETF (CPSL) 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.

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.

	CPSL	CPRJ	Difference
Sharpe ratio: Return per unit of total volatility	2.64	2.63	+0.02
Sortino ratio: Return per unit of downside risk	4.20	4.31	-0.11
Omega ratio: Gain probability vs. loss probability	1.51	1.53	-0.03
Calmar ratio: Return relative to maximum drawdown	5.00	6.05	-1.05
Martin ratio: Return relative to average drawdown	24.67	23.83	+0.84

CPSL vs. CPRJ - Sharpe Ratio Comparison

The current CPSL Sharpe Ratio is 2.64, which is comparable to the CPRJ Sharpe Ratio of 2.63. The chart below compares the historical Sharpe Ratios of CPSL and CPRJ, 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

CPSL vs. CPRJ - Drawdown Comparison

The maximum CPSL drawdown since its inception was -3.72%, smaller than the maximum CPRJ drawdown of -6.25%. Use the drawdown chart below to compare losses from any high point for CPSL and CPRJ.

Drawdown Indicators

	CPSL	CPRJ	Difference
Max Drawdown Largest peak-to-trough decline	-3.72%	-6.25%	+2.53%
Max Drawdown (1Y) Largest decline over 1 year	-1.18%	-1.07%	-0.11%
Current Drawdown Current decline from peak	0.00%	-0.22%	+0.22%
Average Drawdown Average peak-to-trough decline	-0.32%	-0.83%	+0.51%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.24%	0.27%	-0.03%

Volatility

CPSL vs. CPRJ - Volatility Comparison

The current volatility for Calamos Laddered S&P 500 Structured Alt Protection ETF (CPSL) is 0.47%, while Calamos Russell 2000 Structured Alt Protection ETF - July (CPRJ) has a volatility of 0.68%. This indicates that CPSL experiences smaller price fluctuations and is considered to be less risky than CPRJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSL	CPRJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.47%	0.68%	-0.21%
Volatility (6M) Calculated over the trailing 6-month period	1.58%	1.67%	-0.09%
Volatility (1Y) Calculated over the trailing 1-year period	2.23%	2.48%	-0.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.25%	5.00%	-1.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.25%	5.00%	-1.75%

CPSL vs. CPRJ - Expense Ratio Comparison

CPSL has a 0.79% expense ratio, which is higher than CPRJ's 0.69% expense ratio.

Dividends

CPSL vs. CPRJ - Dividend Comparison

Neither CPSL nor CPRJ has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSL and CPRJ in my portfolio?

CPSL and CPRJ have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSL or CPRJ?

CPRJ has higher volatility (0.68%) compared to CPSL (0.47%). In terms of maximum drawdown, CPSL dropped -3.72% vs CPRJ's -6.25%.

Which ETF is better, CPSL or CPRJ?

On 1-year performance, CPRJ leads with 6.47% vs 5.86% for CPSL. On fees, CPRJ is cheaper at 0.69% per year. On volatility, CPSL has been the lower-risk option at 0.47%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSL or CPRJ?

Over the 1-year period, CPRJ has performed better with a 6.47% return vs 5.86%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSL or CPRJ?

CPRJ is cheaper with a 0.69% expense ratio, compared with 0.79% for CPSL.

Which ETF pays a higher dividend yield, CPSL or CPRJ?

CPSL and CPRJ have nearly identical dividend yields, around 0.00%.

What is the main difference between CPSL and CPRJ?

Their fees differ too: 0.79% for CPSL and 0.69% for CPRJ.

Which has better risk-adjusted returns?

CPSL currently has the higher Sharpe Ratio (2.64 vs 2.63), 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.