JANZ vs. CPSP
JANZ (TrueShares Structured Outcome (January) ETF) and CPSP (Calamos S&P 500 Structured Alt Protection ETF - April) are both exchange-traded funds - JANZ is a Defined Outcome fund actively managed by TrueShares, while CPSP is a S&P 500 fund actively managed by Calamos. Both are actively managed. Over the past year, JANZ returned 20.42% vs 7.13% for CPSP. A 0.74 correlation means they provide meaningful diversification when combined. JANZ charges 0.79%/yr vs 0.69%/yr for CPSP.
Performance
JANZ vs. CPSP - Performance Comparison
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Returns By Period
In the year-to-date period, JANZ achieves a 8.24% return, which is significantly higher than CPSP's 3.18% return.
JANZ
- 1D
- -0.55%
- 1M
- 4.16%
- YTD
- 8.24%
- 6M
- 7.97%
- 1Y
- 20.42%
- 3Y*
- 16.17%
- 5Y*
- 10.70%
- 10Y*
- —
CPSP
- 1D
- 0.00%
- 1M
- 0.60%
- YTD
- 3.18%
- 6M
- 3.74%
- 1Y
- 7.13%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
JANZ vs. CPSP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
JANZ TrueShares Structured Outcome (January) ETF | 8.24% | 16.26% |
CPSP Calamos S&P 500 Structured Alt Protection ETF - April | 3.18% | 5.46% |
Correlation
The correlation between JANZ and CPSP is 0.74, 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 | 0.74 |
Correlation (All Time) Calculated using the full available price history since Apr 2, 2025 | 0.74 |
The correlation between JANZ and CPSP has been stable across timeframes, ranging from 0.74 to 0.74 - a consistent structural relationship.
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Return for Risk
JANZ vs. CPSP — Risk / Return Rank
JANZ
CPSP
JANZ vs. CPSP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for TrueShares Structured Outcome (January) ETF (JANZ) and Calamos S&P 500 Structured Alt Protection ETF - April (CPSP). 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.
| JANZ | CPSP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.90 | ||
| Sortino ratioReturn per unit of downside risk | -6.10 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 2.31 | -0.92 |
| Calmar ratioReturn relative to maximum drawdown | 3.00 | 19.11 | -16.11 |
| Martin ratioReturn relative to average drawdown | 13.29 | 96.35 | -83.06 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| JANZ | CPSP | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.18 | 5.08 | -2.90 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.82 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.93 | 3.17 | -2.24 |
Drawdowns
JANZ vs. CPSP - Drawdown Comparison
The maximum JANZ drawdown since its inception was -18.11%, which is greater than CPSP's maximum drawdown of -1.73%. Use the drawdown chart below to compare losses from any high point for JANZ and CPSP.
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Drawdown Indicators
| JANZ | CPSP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -18.11% | -1.73% | -16.38% |
Max Drawdown (1Y)Largest decline over 1 year | -6.83% | -0.37% | -6.46% |
Max Drawdown (3Y)Largest decline over 3 years | -14.33% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -18.11% | — | — |
Current DrawdownCurrent decline from peak | -0.55% | 0.00% | -0.55% |
Average DrawdownAverage peak-to-trough decline | -3.49% | -0.08% | -3.41% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.54% | 0.07% | +1.47% |
Volatility
JANZ vs. CPSP - Volatility Comparison
TrueShares Structured Outcome (January) ETF (JANZ) has a higher volatility of 2.44% compared to Calamos S&P 500 Structured Alt Protection ETF - April (CPSP) at 0.32%. This indicates that JANZ's price experiences larger fluctuations and is considered to be riskier than CPSP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| JANZ | CPSP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.44% | 0.32% | +2.12% |
Volatility (6M)Calculated over the trailing 6-month period | 7.10% | 0.84% | +6.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.42% | 1.42% | +8.00% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.14% | 2.37% | +10.77% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.97% | 2.37% | +10.60% |
JANZ vs. CPSP - Expense Ratio Comparison
JANZ has a 0.79% expense ratio, which is higher than CPSP's 0.69% expense ratio.
Dividends
JANZ vs. CPSP - Dividend Comparison
JANZ's dividend yield for the trailing twelve months is around 1.31%, while CPSP has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 |
|---|---|---|---|---|---|---|
CPSP Calamos S&P 500 Structured Alt Protection ETF - April | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
JANZ TrueShares Structured Outcome (January) ETF | 1.31% | 1.42% | 2.70% | 2.58% | 0.21% | 4.52% |
Frequently Asked Questions
JANZ and CPSP have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
JANZ has higher volatility (2.44%) compared to CPSP (0.32%). In terms of maximum drawdown, JANZ dropped -18.11% vs CPSP's -1.73%.
On 1-year performance, JANZ leads with 20.42% vs 7.13% for CPSP. On fees, CPSP is cheaper at 0.69% per year. On volatility, CPSP has been the lower-risk option at 0.32%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, JANZ has performed better with a 20.42% return vs 7.13%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CPSP is cheaper with a 0.69% expense ratio, compared with 0.79% for JANZ.
JANZ has the higher dividend yield at 1.31%, compared with 0.00% for CPSP.
JANZ is categorized as Defined Outcome, while CPSP is S&P 500. They also come from different issuers: TrueShares and Calamos. Their fees differ too: 0.79% for JANZ and 0.69% for CPSP.
CPSP currently has the higher Sharpe Ratio (5.08 vs 2.18), 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.
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