PBMY vs. CPRA

Last updated Aug 1, 2026

PBMY (PGIM S&P 500 Buffer 20 ETF - May) and CPRA (Calamos Russell 2000 Structured Alt Protection ETF - April) are both Defined Outcome funds. Both are actively managed. Over the past year, PBMY returned 8.29% vs 8.87% for CPRA. Their 0.68 correlation means they have sometimes moved together and sometimes differently. PBMY charges 0.50%/yr vs 0.69%/yr for CPRA.

Performance

PBMY vs. CPRA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in PGIM S&P 500 Buffer 20 ETF - May (PBMY) and Calamos Russell 2000 Structured Alt Protection ETF - April (CPRA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PBMY achieves a 4.11% return, which is significantly lower than CPRA's 4.58% return.

PBMY

• 1D: 0.12%
• 1M: 0.30%
• 6M: 3.65%
• YTD: 4.11%
• 1Y: 8.29%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 10.48%

CPRA

• 1D: -0.02%
• 1M: 0.32%
• 6M: 3.95%
• YTD: 4.58%
• 1Y: 8.87%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 8.76%

*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)
CPRA Calamos Russell 2000 Structured Alt Protection ETF - April	$23.06K	$26.22K	$32.24K
PBMY PGIM S&P 500 Buffer 20 ETF - May	$138.10K	$137.94K	$332.35K

PBMY vs. CPRA - Yearly Performance Comparison

	2026 (YTD)	2025
PBMY PGIM S&P 500 Buffer 20 ETF - May	4.11%	9.74%
CPRA Calamos Russell 2000 Structured Alt Protection ETF - April	4.58%	6.93%

Correlation

The correlation between PBMY and CPRA is 0.64, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.64
Correlation (All Time) Calculated using the full available price history since Apr 1, 2025	0.68

The correlation between PBMY and CPRA has been stable across timeframes, ranging from 0.64 to 0.68 - a consistent structural relationship.

Return for Risk

PBMY vs. CPRA — Risk / Return Rank

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

PBMY

PBMY Risk / Return Rank: 92
PBMY Sharpe Ratio Rank: 88
PBMY Sortino Ratio Rank: 90
PBMY Omega Ratio Rank: 93
PBMY Calmar Ratio Rank: 95
PBMY Martin Ratio Rank: 96

CPRA

CPRA Risk / Return Rank: 98
CPRA Sharpe Ratio Rank: 98
CPRA Sortino Ratio Rank: 98
CPRA Omega Ratio Rank: 98
CPRA Calmar Ratio Rank: 98
CPRA Martin Ratio Rank: 98

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.

PBMY vs. CPRA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM S&P 500 Buffer 20 ETF - May (PBMY) and Calamos Russell 2000 Structured Alt Protection ETF - April (CPRA). 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.

	PBMY	CPRA	Difference
Sharpe ratio: Return per unit of total volatility	2.13	3.96	-1.83
Sortino ratio: Return per unit of downside risk	3.19	6.87	-3.68
Omega ratio: Gain probability vs. loss probability	1.47	1.95	-0.48
Calmar ratio: Return relative to maximum drawdown	5.44	9.57	-4.13
Martin ratio: Return relative to average drawdown	25.71	54.79	-29.08

PBMY vs. CPRA - Sharpe Ratio Comparison

The current PBMY Sharpe Ratio is 2.13, which is lower than the CPRA Sharpe Ratio of 3.96. The chart below compares the historical Sharpe Ratios of PBMY and CPRA, 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

PBMY vs. CPRA - Drawdown Comparison

The maximum PBMY drawdown since its inception was -8.11%, which is greater than CPRA's maximum drawdown of -1.69%. Use the drawdown chart below to compare losses from any high point for PBMY and CPRA.

Drawdown Indicators

	PBMY	CPRA	Difference
Max Drawdown Largest peak-to-trough decline	-8.11%	-1.69%	-6.42%
Max Drawdown (1Y) Largest decline over 1 year	-1.47%	-0.89%	-0.58%
Current Drawdown Current decline from peak	-0.29%	-0.02%	-0.27%
Average Drawdown Average peak-to-trough decline	-0.40%	-0.14%	-0.26%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.31%	0.16%	+0.15%

Volatility

PBMY vs. CPRA - Volatility Comparison

PGIM S&P 500 Buffer 20 ETF - May (PBMY) has a higher volatility of 1.69% compared to Calamos Russell 2000 Structured Alt Protection ETF - April (CPRA) at 0.44%. This indicates that PBMY's price experiences larger fluctuations and is considered to be riskier than CPRA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PBMY	CPRA	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.69%	0.44%	+1.25%
Volatility (6M) Calculated over the trailing 6-month period	3.31%	1.36%	+1.95%
Volatility (1Y) Calculated over the trailing 1-year period	3.76%	2.16%	+1.60%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.11%	2.71%	+4.40%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	7.11%	2.71%	+4.40%

PBMY vs. CPRA - Expense Ratio Comparison

PBMY has a 0.50% expense ratio, which is lower than CPRA's 0.69% expense ratio.

Dividends

PBMY vs. CPRA - Dividend Comparison

PBMY's dividend yield for the trailing twelve months is around 0.07%, while CPRA has not paid dividends to shareholders.

Position	TTM	2025
CPRA Calamos Russell 2000 Structured Alt Protection ETF - April	0.00%	0.00%
PBMY PGIM S&P 500 Buffer 20 ETF - May	0.07%	0.08%

Frequently Asked Questions

Can I hold both PBMY and CPRA in my portfolio?

PBMY and CPRA have a correlation of 0.64, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PBMY or CPRA?

PBMY has higher volatility (1.69%) compared to CPRA (0.44%). In terms of maximum drawdown, PBMY dropped -8.11% vs CPRA's -1.69%.

Which ETF is better, PBMY or CPRA?

On 1-year performance, CPRA leads with 8.87% vs 8.29% for PBMY. On fees, PBMY is cheaper at 0.50% per year. On volatility, CPRA has been the lower-risk option at 0.44%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PBMY or CPRA?

Over the 1-year period, CPRA has performed better with a 8.87% return vs 8.29%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PBMY or CPRA?

PBMY is cheaper with a 0.50% expense ratio, compared with 0.69% for CPRA.

Which ETF pays a higher dividend yield, PBMY or CPRA?

PBMY has the higher dividend yield at 0.07%, compared with 0.00% for CPRA.

What is the main difference between PBMY and CPRA?

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

Which has better risk-adjusted returns?

CPRA currently has the higher Sharpe Ratio (3.96 vs 2.13), 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.