CPSM vs. PMJA

Last updated Jun 4, 2026

CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) and PMJA (PGIM S&P 500 Max Buffer ETF - January) are both Defined Outcome funds. Both are actively managed. Over the past year, CPSM returned 5.88% vs 7.69% for PMJA. A 0.68 correlation means they provide meaningful diversification when combined. CPSM charges 0.69%/yr vs 0.50%/yr for PMJA.

Performance

CPSM 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 - May (CPSM) and PGIM S&P 500 Max Buffer ETF - January (PMJA). 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 CPSM having a 2.27% return and PMJA slightly higher at 2.35%.

CPSM

• 1D: -0.06%
• 1M: 0.71%
• YTD: 2.27%
• 6M: 2.72%
• 1Y: 5.88%
• 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)

CPSM vs. PMJA - Yearly Performance Comparison

	2026 (YTD)	2025
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.27%	6.93%
PMJA PGIM S&P 500 Max Buffer ETF - January	2.35%	6.89%

Correlation

The correlation between CPSM and PMJA is 0.59, 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	0.59
Correlation (All Time) Calculated using the full available price history since Jan 3, 2025	0.68

The correlation between CPSM and PMJA has been stable across timeframes, ranging from 0.59 to 0.68 - a consistent structural relationship.

Return for Risk

CPSM vs. PMJA — Risk / Return Rank

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

CPSM

CPSM Risk / Return Rank: 97
CPSM Sharpe Ratio Rank: 94
CPSM Sortino Ratio Rank: 97
CPSM Omega Ratio Rank: 96
CPSM Calmar Ratio Rank: 98
CPSM Martin Ratio Rank: 98

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.

CPSM 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 - May (CPSM) 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.

	CPSM	PMJA	Difference
Sharpe ratio: Return per unit of total volatility	3.78	3.80	-0.02
Sortino ratio: Return per unit of downside risk	6.33	6.16	+0.17
Omega ratio: Gain probability vs. loss probability	1.84	1.88	-0.04
Calmar ratio: Return relative to maximum drawdown	13.01	5.32	+7.69
Martin ratio: Return relative to average drawdown	61.11	26.64	+34.47
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSM vs. PMJA - Sharpe Ratio Comparison

The current CPSM Sharpe Ratio is 3.78, which is comparable to the PMJA Sharpe Ratio of 3.80. The chart below compares the historical Sharpe Ratios of CPSM 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

	CPSM	PMJA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.78	3.80	-0.02
Sharpe Ratio (All Time) Calculated using the full available price history	1.54	2.32	-0.78

Drawdowns

CPSM vs. PMJA - Drawdown Comparison

The maximum CPSM drawdown since its inception was -5.19%, which is greater than PMJA's maximum drawdown of -2.98%. Use the drawdown chart below to compare losses from any high point for CPSM and PMJA.

Drawdown Indicators

	CPSM	PMJA	Difference
Max Drawdown Largest peak-to-trough decline	-5.19%	-2.98%	-2.21%
Max Drawdown (1Y) Largest decline over 1 year	-0.45%	-1.45%	+1.00%
Current Drawdown Current decline from peak	-0.06%	-0.04%	-0.02%
Average Drawdown Average peak-to-trough decline	-0.20%	-0.34%	+0.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.10%	0.29%	-0.19%

Volatility

CPSM vs. PMJA - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) has a higher volatility of 0.35% compared to PGIM S&P 500 Max Buffer ETF - January (PMJA) at 0.33%. This indicates that CPSM's price experiences larger fluctuations and is considered to be riskier than PMJA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSM	PMJA	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.35%	0.33%	+0.02%
Volatility (6M) Calculated over the trailing 6-month period	1.14%	1.49%	-0.35%
Volatility (1Y) Calculated over the trailing 1-year period	1.57%	2.04%	-0.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.10%	2.85%	+2.25%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.10%	2.85%	+2.25%

CPSM vs. PMJA - Expense Ratio Comparison

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

Dividends

CPSM vs. PMJA - Dividend Comparison

Neither CPSM nor PMJA has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSM and PMJA in my portfolio?

CPSM and PMJA have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSM or PMJA?

CPSM has higher volatility (0.35%) compared to PMJA (0.33%). In terms of maximum drawdown, CPSM dropped -5.19% vs PMJA's -2.98%.

Which ETF is better, CPSM or PMJA?

On 1-year performance, PMJA leads with 7.69% vs 5.88% for CPSM. 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, CPSM or PMJA?

Over the 1-year period, PMJA has performed better with a 7.69% return vs 5.88%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSM or PMJA?

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

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

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

What is the main difference between CPSM and PMJA?

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

Which has better risk-adjusted returns?

PMJA currently has the higher Sharpe Ratio (3.80 vs 3.78), 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.