PJAN vs. CPSM

Last updated Jun 24, 2026

PJAN (Innovator U.S. Equity Power Buffer ETF - January) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both Defined Outcome funds. PJAN is passively managed, while CPSM is actively managed. Over the past year, PJAN returned 13.40% vs 5.15% for CPSM. A 0.66 correlation means they provide meaningful diversification when combined. PJAN charges 0.79%/yr vs 0.69%/yr for CPSM.

Performance

PJAN vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator U.S. Equity Power Buffer ETF - January (PJAN) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PJAN achieves a 4.57% return, which is significantly higher than CPSM's 1.94% return.

PJAN

• 1D: -0.47%
• 1M: -0.04%
• YTD: 4.57%
• 6M: 4.91%
• 1Y: 13.40%
• 3Y*: 12.33%
• 5Y*: 8.65%
• 10Y*: —

CPSM

• 1D: -0.14%
• 1M: -0.09%
• YTD: 1.94%
• 6M: 2.03%
• 1Y: 5.15%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

PJAN vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
PJAN Innovator U.S. Equity Power Buffer ETF - January	4.57%	11.29%	9.40%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	1.94%	7.21%	6.80%

Correlation

The correlation between PJAN and CPSM is 0.62, 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	0.62
Correlation (All Time) Calculated using the full available price history since May 1, 2024	0.66

The correlation between PJAN and CPSM has been stable across timeframes, ranging from 0.62 to 0.66 - a consistent structural relationship.

Return for Risk

PJAN vs. CPSM — Risk / Return Rank

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

PJAN

PJAN Risk / Return Rank: 77
PJAN Sharpe Ratio Rank: 76
PJAN Sortino Ratio Rank: 81
PJAN Omega Ratio Rank: 84
PJAN Calmar Ratio Rank: 63
PJAN Martin Ratio Rank: 82

CPSM

CPSM Risk / Return Rank: 96
CPSM Sharpe Ratio Rank: 93
CPSM Sortino Ratio Rank: 95
CPSM Omega Ratio Rank: 95
CPSM Calmar Ratio Rank: 97
CPSM Martin Ratio Rank: 97

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.

PJAN vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator U.S. Equity Power Buffer ETF - January (PJAN) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM). 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.

	PJAN	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	2.28	3.15	-0.87
Sortino ratio: Return per unit of downside risk	3.33	5.05	-1.72
Omega ratio: Gain probability vs. loss probability	1.47	1.67	-0.20
Calmar ratio: Return relative to maximum drawdown	2.91	10.57	-7.66
Martin ratio: Return relative to average drawdown	15.29	45.23	-29.94

PJAN vs. CPSM - Sharpe Ratio Comparison

The current PJAN Sharpe Ratio is 2.28, which is comparable to the CPSM Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of PJAN and CPSM, 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

PJAN vs. CPSM - Drawdown Comparison

The maximum PJAN drawdown since its inception was -21.25%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for PJAN and CPSM.

Drawdown Indicators

	PJAN	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-21.25%	-5.19%	-16.06%
Max Drawdown (1Y) Largest decline over 1 year	-4.63%	-0.49%	-4.14%
Max Drawdown (3Y) Largest decline over 3 years	-10.49%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-11.93%	—	—
Current Drawdown Current decline from peak	-0.87%	-0.39%	-0.48%
Average Drawdown Average peak-to-trough decline	-1.72%	-0.20%	-1.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.88%	0.11%	+0.77%

Volatility

PJAN vs. CPSM - Volatility Comparison

Innovator U.S. Equity Power Buffer ETF - January (PJAN) has a higher volatility of 1.77% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.66%. This indicates that PJAN's price experiences larger fluctuations and is considered to be riskier than CPSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PJAN	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.77%	0.66%	+1.11%
Volatility (6M) Calculated over the trailing 6-month period	4.98%	1.16%	+3.82%
Volatility (1Y) Calculated over the trailing 1-year period	5.94%	1.65%	+4.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.95%	5.05%	+3.90%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.58%	5.05%	+5.53%

PJAN vs. CPSM - Expense Ratio Comparison

PJAN has a 0.79% expense ratio, which is higher than CPSM's 0.69% expense ratio.

Dividends

PJAN vs. CPSM - Dividend Comparison

Neither PJAN nor CPSM has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both PJAN and CPSM in my portfolio?

PJAN and CPSM have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PJAN or CPSM?

PJAN has higher volatility (1.77%) compared to CPSM (0.66%). In terms of maximum drawdown, PJAN dropped -21.25% vs CPSM's -5.19%.

Which ETF is better, PJAN or CPSM?

On 1-year performance, PJAN leads with 13.40% vs 5.15% for CPSM. On fees, CPSM is cheaper at 0.69% per year. On volatility, CPSM has been the lower-risk option at 0.66%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PJAN or CPSM?

Over the 1-year period, PJAN has performed better with a 13.40% return vs 5.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PJAN or CPSM?

CPSM is cheaper with a 0.69% expense ratio, compared with 0.79% for PJAN.

Which ETF pays a higher dividend yield, PJAN or CPSM?

PJAN and CPSM have nearly identical dividend yields, around 0.00%.

What is the main difference between PJAN and CPSM?

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

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.15 vs 2.28), 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.