CPSY vs. PMJN

Last updated Jun 4, 2026

CPSY (Calamos S&P 500 Structured Alt Protection ETF - January) and PMJN (PGIM S&P 500 Max Buffer ETF - June) are both Defined Outcome funds. Both are actively managed. Over the past year, CPSY returned 7.60% vs 6.52% for PMJN. A 0.78 correlation means they provide meaningful diversification when combined. CPSY charges 0.69%/yr vs 0.50%/yr for PMJN.

Performance

CPSY 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 - January (CPSY) and PGIM S&P 500 Max Buffer ETF - June (PMJN). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with CPSY having a 2.37% return and PMJN slightly lower at 2.33%.

CPSY

• 1D: 0.02%
• 1M: 0.80%
• YTD: 2.37%
• 6M: 2.92%
• 1Y: 7.60%
• 3Y*: —
• 5Y*: —
• 10Y*: —

PMJN

• 1D: -0.11%
• 1M: 0.28%
• YTD: 2.33%
• 6M: 2.88%
• 1Y: 6.52%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSY vs. PMJN - Yearly Performance Comparison

	2026 (YTD)	2025
CPSY Calamos S&P 500 Structured Alt Protection ETF - January	2.37%	5.20%
PMJN PGIM S&P 500 Max Buffer ETF - June	2.33%	4.21%

Correlation

The correlation between CPSY and PMJN is 0.78, 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	0.78
Correlation (All Time) Calculated using the full available price history since Jun 3, 2025	0.78

The correlation between CPSY and PMJN has been stable across timeframes, ranging from 0.78 to 0.78 - a consistent structural relationship.

Return for Risk

CPSY vs. PMJN — Risk / Return Rank

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

CPSY

CPSY Risk / Return Rank: 95
CPSY Sharpe Ratio Rank: 95
CPSY Sortino Ratio Rank: 97
CPSY Omega Ratio Rank: 96
CPSY Calmar Ratio Rank: 90
CPSY Martin Ratio Rank: 95

PMJN

PMJN Risk / Return Rank: 95
PMJN Sharpe Ratio Rank: 95
PMJN Sortino Ratio Rank: 97
PMJN Omega Ratio Rank: 97
PMJN Calmar Ratio Rank: 90
PMJN 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.

CPSY 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 - January (CPSY) 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.

	CPSY	PMJN	Difference
Sharpe ratio: Return per unit of total volatility	3.74	3.75	-0.01
Sortino ratio: Return per unit of downside risk	6.06	6.20	-0.14
Omega ratio: Gain probability vs. loss probability	1.84	1.97	-0.14
Calmar ratio: Return relative to maximum drawdown	5.67	5.69	-0.03
Martin ratio: Return relative to average drawdown	29.46	37.72	-8.26
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSY vs. PMJN - Sharpe Ratio Comparison

The current CPSY Sharpe Ratio is 3.74, which is comparable to the PMJN Sharpe Ratio of 3.75. The chart below compares the historical Sharpe Ratios of CPSY 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.

Sharpe Ratios by Period

	CPSY	PMJN	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.74	3.75	-0.01
Sharpe Ratio (All Time) Calculated using the full available price history	2.14	3.81	-1.67

Drawdowns

CPSY vs. PMJN - Drawdown Comparison

The maximum CPSY drawdown since its inception was -3.01%, which is greater than PMJN's maximum drawdown of -1.15%. Use the drawdown chart below to compare losses from any high point for CPSY and PMJN.

Drawdown Indicators

	CPSY	PMJN	Difference
Max Drawdown Largest peak-to-trough decline	-3.01%	-1.15%	-1.86%
Max Drawdown (1Y) Largest decline over 1 year	-1.35%	-1.15%	-0.20%
Current Drawdown Current decline from peak	0.00%	-0.11%	+0.11%
Average Drawdown Average peak-to-trough decline	-0.33%	-0.08%	-0.25%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	0.17%	+0.09%

Volatility

CPSY vs. PMJN - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - January (CPSY) has a higher volatility of 0.31% compared to PGIM S&P 500 Max Buffer ETF - June (PMJN) at 0.19%. This indicates that CPSY's price experiences larger fluctuations and is considered to be riskier than PMJN based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSY	PMJN	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.31%	0.19%	+0.12%
Volatility (6M) Calculated over the trailing 6-month period	1.42%	1.42%	0.00%
Volatility (1Y) Calculated over the trailing 1-year period	2.04%	1.75%	+0.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.08%	1.75%	+1.33%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.08%	1.75%	+1.33%

CPSY vs. PMJN - Expense Ratio Comparison

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

Dividends

CPSY vs. PMJN - Dividend Comparison

Neither CPSY nor PMJN has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSY and PMJN in my portfolio?

CPSY and PMJN have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSY or PMJN?

CPSY has higher volatility (0.31%) compared to PMJN (0.19%). In terms of maximum drawdown, CPSY dropped -3.01% vs PMJN's -1.15%.

Which ETF is better, CPSY or PMJN?

On 1-year performance, CPSY leads with 7.60% vs 6.52% for PMJN. On fees, PMJN is cheaper at 0.50% per year. On volatility, PMJN has been the lower-risk option at 0.19%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSY or PMJN?

Over the 1-year period, CPSY has performed better with a 7.60% return vs 6.52%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSY or PMJN?

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

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

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

What is the main difference between CPSY and PMJN?

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

Which has better risk-adjusted returns?

PMJN currently has the higher Sharpe Ratio (3.75 vs 3.74), 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.