CPSO vs. PMJN

Last updated Aug 2, 2026

CPSO (Calamos S&P 500 Structured Alt Protection ETF - October) and PMJN (PGIM S&P 500 Max Buffer ETF - June) are both Defined Outcome funds. Both are actively managed. Over the past year, CPSO returned 6.34% vs 5.27% for PMJN. Their correlation of 0.81 means they have usually moved in the same direction. CPSO charges 0.69%/yr vs 0.50%/yr for PMJN.

Performance

CPSO vs. PMJN - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - October (CPSO) and PGIM S&P 500 Max Buffer ETF - June (PMJN). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSO achieves a 3.56% return, which is significantly higher than PMJN's 2.47% return.

CPSO

• 1D: 0.17%
• 1M: 0.60%
• 6M: 3.06%
• YTD: 3.56%
• 1Y: 6.34%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 5.87%

PMJN

• 1D: 0.21%
• 1M: 0.38%
• 6M: 1.99%
• YTD: 2.47%
• 1Y: 5.27%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 5.86%

*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)
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	$74.80K	$43.90K	$28.49K
PMJN PGIM S&P 500 Max Buffer ETF - June	$32.44K	$201.78K	$172.01K

CPSO vs. PMJN - Yearly Performance Comparison

	2026 (YTD)	2025
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	3.56%	4.67%
PMJN PGIM S&P 500 Max Buffer ETF - June	2.47%	4.26%

Correlation

The correlation between CPSO and PMJN is 0.80, meaning they have usually moved in the same direction, including during past declines.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.80
Correlation (All Time) Calculated using the full available price history since Jun 2, 2025	0.81

The correlation between CPSO and PMJN has been stable across timeframes, ranging from 0.80 to 0.81 - a consistent structural relationship.

Return for Risk

CPSO vs. PMJN — Risk / Return Rank

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

CPSO

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

PMJN

PMJN Risk / Return Rank: 94
PMJN Sharpe Ratio Rank: 93
PMJN Sortino Ratio Rank: 95
PMJN Omega Ratio Rank: 95
PMJN Calmar Ratio Rank: 93
PMJN Martin Ratio Rank: 96

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.

CPSO vs. PMJN - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - October (CPSO) and PGIM S&P 500 Max Buffer ETF - June (PMJN). 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.

	CPSO	PMJN	Difference
Sharpe ratio: Return per unit of total volatility	2.77	2.55	+0.22
Sortino ratio: Return per unit of downside risk	4.35	3.96	+0.39
Omega ratio: Gain probability vs. loss probability	1.59	1.57	+0.01
Calmar ratio: Return relative to maximum drawdown	4.21	4.55	-0.34
Martin ratio: Return relative to average drawdown	20.90	22.34	-1.44

CPSO vs. PMJN - Sharpe Ratio Comparison

The current CPSO Sharpe Ratio is 2.77, which is comparable to the PMJN Sharpe Ratio of 2.55. The chart below compares the historical Sharpe Ratios of CPSO and PMJN, 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

CPSO vs. PMJN - Drawdown Comparison

The maximum CPSO drawdown since its inception was -3.23%, which is greater than PMJN's maximum drawdown of -1.15%. Use the drawdown chart below to compare losses from any high point for CPSO and PMJN.

Drawdown Indicators

	CPSO	PMJN	Difference
Max Drawdown Largest peak-to-trough decline	-3.23%	-1.15%	-2.08%
Max Drawdown (1Y) Largest decline over 1 year	-1.45%	-1.15%	-0.30%
Current Drawdown Current decline from peak	0.00%	-0.09%	+0.09%
Average Drawdown Average peak-to-trough decline	-0.31%	-0.11%	-0.20%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.29%	0.23%	+0.06%

Volatility

CPSO vs. PMJN - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - October (CPSO) and PGIM S&P 500 Max Buffer ETF - June (PMJN) have volatilities of 0.71% and 0.73%, 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

	CPSO	PMJN	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.71%	0.73%	-0.02%
Volatility (6M) Calculated over the trailing 6-month period	1.79%	1.81%	-0.02%
Volatility (1Y) Calculated over the trailing 1-year period	2.21%	2.05%	+0.16%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.96%	1.96%	+1.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.96%	1.96%	+1.00%

CPSO vs. PMJN - Expense Ratio Comparison

CPSO has a 0.69% expense ratio, which is higher than PMJN's 0.50% expense ratio.

Dividends

CPSO vs. PMJN - Dividend Comparison

Neither CPSO nor PMJN has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSO and PMJN in my portfolio?

CPSO and PMJN have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSO or PMJN?

PMJN has higher volatility (0.73%) compared to CPSO (0.71%). In terms of maximum drawdown, CPSO dropped -3.23% vs PMJN's -1.15%.

Which ETF is better, CPSO or PMJN?

On 1-year performance, CPSO leads with 6.34% vs 5.27% for PMJN. On fees, PMJN 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, CPSO or PMJN?

Over the 1-year period, CPSO has performed better with a 6.34% return vs 5.27%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSO or PMJN?

PMJN is cheaper with a 0.50% expense ratio, compared with 0.69% for CPSO.

Which ETF pays a higher dividend yield, CPSO or PMJN?

CPSO and PMJN have nearly identical dividend yields, around 0.00%.

What is the main difference between CPSO and PMJN?

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

Which has better risk-adjusted returns?

CPSO currently has the higher Sharpe Ratio (2.77 vs 2.55), 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.