JAJL vs. CPSA

Last updated Jun 23, 2026

JAJL (Innovator Equity Defined Protection ETF - 6 Mo Jan/Jul) and CPSA (Calamos S&P 500 Structured Alt Protection ETF - August) are both Defined Outcome funds. JAJL is actively managed, while CPSA is passively managed. Over the past year, JAJL returned 8.02% vs 8.12% for CPSA. A 0.69 correlation means they provide meaningful diversification when combined. JAJL charges 0.79%/yr vs 0.69%/yr for CPSA.

Performance

JAJL vs. CPSA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator Equity Defined Protection ETF - 6 Mo Jan/Jul (JAJL) and Calamos S&P 500 Structured Alt Protection ETF - August (CPSA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JAJL achieves a 2.76% return, which is significantly lower than CPSA's 3.01% return.

JAJL

• 1D: -0.01%
• 1M: 0.41%
• YTD: 2.76%
• 6M: 2.87%
• 1Y: 8.02%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSA

• 1D: 0.05%
• 1M: 0.47%
• YTD: 3.01%
• 6M: 3.07%
• 1Y: 8.12%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

JAJL vs. CPSA - Yearly Performance Comparison

	2026 (YTD)	2025	2024
JAJL Innovator Equity Defined Protection ETF - 6 Mo Jan/Jul	2.76%	6.56%	3.91%
CPSA Calamos S&P 500 Structured Alt Protection ETF - August	3.01%	7.39%	3.12%

Correlation

The correlation between JAJL and CPSA is 0.65, 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	0.65
Correlation (All Time) Calculated using the full available price history since Aug 1, 2024	0.69

The correlation between JAJL and CPSA has been stable across timeframes, ranging from 0.65 to 0.69 - a consistent structural relationship.

Return for Risk

JAJL vs. CPSA — Risk / Return Rank

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

JAJL

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

CPSA

CPSA Risk / Return Rank: 95
CPSA Sharpe Ratio Rank: 95
CPSA Sortino Ratio Rank: 97
CPSA Omega Ratio Rank: 96
CPSA Calmar Ratio Rank: 91
CPSA 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.

JAJL vs. CPSA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Defined Protection ETF - 6 Mo Jan/Jul (JAJL) and Calamos S&P 500 Structured Alt Protection ETF - August (CPSA). 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.

	JAJL	CPSA	Difference
Sharpe ratio: Return per unit of total volatility	3.96	3.66	+0.30
Sortino ratio: Return per unit of downside risk	7.35	6.13	+1.22
Omega ratio: Gain probability vs. loss probability	1.98	1.82	+0.16
Calmar ratio: Return relative to maximum drawdown	7.98	5.53	+2.45
Martin ratio: Return relative to average drawdown	42.83	31.65	+11.18

JAJL vs. CPSA - Sharpe Ratio Comparison

The current JAJL Sharpe Ratio is 3.96, which is comparable to the CPSA Sharpe Ratio of 3.66. The chart below compares the historical Sharpe Ratios of JAJL and CPSA, 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

JAJL vs. CPSA - Drawdown Comparison

The maximum JAJL drawdown since its inception was -2.16%, smaller than the maximum CPSA drawdown of -4.72%. Use the drawdown chart below to compare losses from any high point for JAJL and CPSA.

Drawdown Indicators

	JAJL	CPSA	Difference
Max Drawdown Largest peak-to-trough decline	-2.16%	-4.72%	+2.56%
Max Drawdown (1Y) Largest decline over 1 year	-1.01%	-1.47%	+0.46%
Current Drawdown Current decline from peak	-0.01%	0.00%	-0.01%
Average Drawdown Average peak-to-trough decline	-0.27%	-0.38%	+0.11%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.19%	0.26%	-0.07%

Volatility

JAJL vs. CPSA - Volatility Comparison

Innovator Equity Defined Protection ETF - 6 Mo Jan/Jul (JAJL) and Calamos S&P 500 Structured Alt Protection ETF - August (CPSA) have volatilities of 0.46% and 0.46%, 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

	JAJL	CPSA	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.46%	0.46%	0.00%
Volatility (6M) Calculated over the trailing 6-month period	1.43%	1.73%	-0.30%
Volatility (1Y) Calculated over the trailing 1-year period	2.04%	2.23%	-0.19%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.66%	4.10%	-1.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.66%	4.10%	-1.44%

JAJL vs. CPSA - Expense Ratio Comparison

JAJL has a 0.79% expense ratio, which is higher than CPSA's 0.69% expense ratio.

Dividends

JAJL vs. CPSA - Dividend Comparison

Neither JAJL nor CPSA has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both JAJL and CPSA in my portfolio?

JAJL and CPSA have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JAJL or CPSA?

CPSA has higher volatility (0.46%) compared to JAJL (0.46%). In terms of maximum drawdown, JAJL dropped -2.16% vs CPSA's -4.72%.

Which ETF is better, JAJL or CPSA?

On 1-year performance, CPSA leads with 8.12% vs 8.02% for JAJL. On fees, CPSA 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, JAJL or CPSA?

Over the 1-year period, CPSA has performed better with a 8.12% return vs 8.02%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, JAJL or CPSA?

CPSA is cheaper with a 0.69% expense ratio, compared with 0.79% for JAJL.

Which ETF pays a higher dividend yield, JAJL or CPSA?

JAJL and CPSA have nearly identical dividend yields, around 0.00%.

What is the main difference between JAJL and CPSA?

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

Which has better risk-adjusted returns?

JAJL currently has the higher Sharpe Ratio (3.96 vs 3.66), 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.