JAJL vs. CPSJ

Last updated Apr 14, 2026

JAJL (Innovator Equity Defined Protection ETF - 6 Mo Jan/Jul) and CPSJ (Calamos S&P 500 Structured Alt Protection ETF - July) are both Defined Outcome funds. JAJL is actively managed, while CPSJ is passively managed. Over the past year, JAJL returned 8.13% vs 11.03% for CPSJ. A 0.67 correlation means they provide meaningful diversification when combined. JAJL charges 0.79%/yr vs 0.69%/yr for CPSJ.

Performance

JAJL vs. CPSJ - 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 - July (CPSJ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, JAJL achieves a 0.91% return, which is significantly lower than CPSJ's 1.21% return.

JAJL

• 1D: 0.15%
• 1M: 0.66%
• YTD: 0.91%
• 6M: 2.27%
• 1Y: 8.13%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSJ

• 1D: 0.07%
• 1M: 1.00%
• YTD: 1.21%
• 6M: 2.23%
• 1Y: 11.03%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

JAJL vs. CPSJ - Yearly Performance Comparison

	2026 (YTD)	2025	2024
JAJL Innovator Equity Defined Protection ETF - 6 Mo Jan/Jul	0.91%	6.56%	4.48%
CPSJ Calamos S&P 500 Structured Alt Protection ETF - July	1.21%	7.43%	4.14%

Correlation

The correlation between JAJL and CPSJ is 0.64, 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	0.64
Correlation (All Time) Calculated using the full available price history since Jul 2, 2024	0.67

The correlation between JAJL and CPSJ has been stable across timeframes, ranging from 0.64 to 0.67 — a consistent structural relationship.

Return for Risk

JAJL vs. CPSJ — Risk / Return Rank

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

JAJL

JAJL Risk / Return Rank: 94
JAJL Sharpe Ratio Rank: 88
JAJL Sortino Ratio Rank: 95
JAJL Omega Ratio Rank: 95
JAJL Calmar Ratio Rank: 96
JAJL Martin Ratio Rank: 97

CPSJ

CPSJ Risk / Return Rank: 93
CPSJ Sharpe Ratio Rank: 86
CPSJ Sortino Ratio Rank: 96
CPSJ Omega Ratio Rank: 96
CPSJ Calmar Ratio Rank: 91
CPSJ 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. CPSJ - 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 - July (CPSJ). 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.

	JAJL	CPSJ	Difference
Sharpe ratio Return per unit of total volatility	3.17	3.07	+0.10
Sortino ratio Return per unit of downside risk	5.36	5.55	-0.19
Omega ratio Gain probability vs. loss probability	1.76	1.82	-0.06
Calmar ratio Return relative to maximum drawdown	8.10	6.15	+1.95
Martin ratio Return relative to average drawdown	36.60	32.80	+3.80
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JAJL vs. CPSJ - Sharpe Ratio Comparison

The current JAJL Sharpe Ratio is 3.17, which is comparable to the CPSJ Sharpe Ratio of 3.07. The chart below compares the historical Sharpe Ratios of JAJL and CPSJ, 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

	JAJL	CPSJ	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.17	3.07	+0.10
Sharpe Ratio (All Time) Calculated using the full available price history	2.49	1.53	+0.96

Drawdowns

JAJL vs. CPSJ - Drawdown Comparison

The maximum JAJL drawdown since its inception was -2.16%, smaller than the maximum CPSJ drawdown of -5.36%. Use the drawdown chart below to compare losses from any high point for JAJL and CPSJ.

Drawdown Indicators

	JAJL	CPSJ	Difference
Max Drawdown Largest peak-to-trough decline	-2.16%	-5.36%	+3.20%
Max Drawdown (1Y) Largest decline over 1 year	-1.01%	-1.67%	+0.66%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.30%	-0.49%	+0.19%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.22%	0.32%	-0.10%

Volatility

JAJL vs. CPSJ - Volatility Comparison

The current volatility for Innovator Equity Defined Protection ETF - 6 Mo Jan/Jul (JAJL) is 0.70%, while Calamos S&P 500 Structured Alt Protection ETF - July (CPSJ) has a volatility of 1.25%. This indicates that JAJL experiences smaller price fluctuations and is considered to be less risky than CPSJ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	JAJL	CPSJ	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.70%	1.25%	-0.55%
Volatility (6M) Calculated over the trailing 6-month period	1.43%	1.76%	-0.33%
Volatility (1Y) Calculated over the trailing 1-year period	2.59%	3.63%	-1.04%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.73%	4.75%	-2.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.73%	4.75%	-2.02%

JAJL vs. CPSJ - Expense Ratio Comparison

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

Dividends

JAJL vs. CPSJ - Dividend Comparison

Neither JAJL nor CPSJ has paid dividends to shareholders.

Tickers have no history of dividend payments