PMJN vs. CPSP

Last updated Jun 23, 2026

PMJN (PGIM S&P 500 Max Buffer ETF - June) and CPSP (Calamos S&P 500 Structured Alt Protection ETF - April) are both exchange-traded funds - PMJN is a Defined Outcome fund actively managed by PGIM, while CPSP is a S&P 500 fund actively managed by Calamos. Both are actively managed. Over the past year, PMJN returned 6.03% vs 6.88% for CPSP. A 0.72 correlation means they provide meaningful diversification when combined. PMJN charges 0.50%/yr vs 0.69%/yr for CPSP.

Performance

PMJN vs. CPSP - Performance Comparison

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

Returns By Period

In the year-to-date period, PMJN achieves a 2.07% return, which is significantly lower than CPSP's 3.09% return.

PMJN

• 1D: -0.08%
• 1M: -0.22%
• YTD: 2.07%
• 6M: 2.13%
• 1Y: 6.03%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSP

• 1D: -0.06%
• 1M: 0.17%
• YTD: 3.09%
• 6M: 3.21%
• 1Y: 6.88%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

PMJN vs. CPSP - Yearly Performance Comparison

	2026 (YTD)	2025
PMJN PGIM S&P 500 Max Buffer ETF - June	2.07%	4.26%
CPSP Calamos S&P 500 Structured Alt Protection ETF - April	3.09%	4.07%

Correlation

The correlation between PMJN and CPSP is 0.71, 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	0.71
Correlation (All Time) Calculated using the full available price history since Jun 2, 2025	0.72

The correlation between PMJN and CPSP has been stable across timeframes, ranging from 0.71 to 0.72 - a consistent structural relationship.

Return for Risk

PMJN vs. CPSP — Risk / Return Rank

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

PMJN

PMJN Risk / Return Rank: 94
PMJN Sharpe Ratio Rank: 93
PMJN Sortino Ratio Rank: 95
PMJN Omega Ratio Rank: 96
PMJN Calmar Ratio Rank: 90
PMJN Martin Ratio Rank: 95

CPSP

CPSP Risk / Return Rank: 98
CPSP Sharpe Ratio Rank: 98
CPSP Sortino Ratio Rank: 99
CPSP Omega Ratio Rank: 98
CPSP Calmar Ratio Rank: 99
CPSP Martin Ratio Rank: 99

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.

PMJN vs. CPSP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for PGIM S&P 500 Max Buffer ETF - June (PMJN) 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.

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.

	PMJN	CPSP	Difference
Sharpe ratio: Return per unit of total volatility	3.17	5.07	-1.90
Sortino ratio: Return per unit of downside risk	4.98	9.59	-4.60
Omega ratio: Gain probability vs. loss probability	1.78	2.28	-0.50
Calmar ratio: Return relative to maximum drawdown	5.27	18.43	-13.17
Martin ratio: Return relative to average drawdown	30.32	87.41	-57.09

PMJN vs. CPSP - Sharpe Ratio Comparison

The current PMJN Sharpe Ratio is 3.17, which is lower than the CPSP Sharpe Ratio of 5.07. The chart below compares the historical Sharpe Ratios of PMJN and CPSP, 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

PMJN vs. CPSP - Drawdown Comparison

The maximum PMJN drawdown since its inception was -1.15%, smaller than the maximum CPSP drawdown of -1.73%. Use the drawdown chart below to compare losses from any high point for PMJN and CPSP.

Drawdown Indicators

	PMJN	CPSP	Difference
Max Drawdown Largest peak-to-trough decline	-1.15%	-1.73%	+0.58%
Max Drawdown (1Y) Largest decline over 1 year	-1.15%	-0.37%	-0.78%
Current Drawdown Current decline from peak	-0.37%	-0.20%	-0.17%
Average Drawdown Average peak-to-trough decline	-0.09%	-0.09%	0.00%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.20%	0.08%	+0.12%

Volatility

PMJN vs. CPSP - Volatility Comparison

PGIM S&P 500 Max Buffer ETF - June (PMJN) has a higher volatility of 0.86% compared to Calamos S&P 500 Structured Alt Protection ETF - April (CPSP) at 0.40%. This indicates that PMJN'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.

Volatility by Period

	PMJN	CPSP	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.86%	0.40%	+0.46%
Volatility (6M) Calculated over the trailing 6-month period	1.64%	0.87%	+0.77%
Volatility (1Y) Calculated over the trailing 1-year period	1.91%	1.37%	+0.54%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	1.89%	2.38%	-0.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	1.89%	2.38%	-0.49%

PMJN vs. CPSP - Expense Ratio Comparison

PMJN has a 0.50% expense ratio, which is lower than CPSP's 0.69% expense ratio.

Dividends

PMJN vs. CPSP - Dividend Comparison

Neither PMJN nor CPSP has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both PMJN and CPSP in my portfolio?

PMJN and CPSP have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PMJN or CPSP?

PMJN has higher volatility (0.86%) compared to CPSP (0.40%). In terms of maximum drawdown, PMJN dropped -1.15% vs CPSP's -1.73%.

Which ETF is better, PMJN or CPSP?

On 1-year performance, CPSP leads with 6.88% vs 6.03% for PMJN. On fees, PMJN is cheaper at 0.50% per year. On volatility, CPSP has been the lower-risk option at 0.40%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PMJN or CPSP?

Over the 1-year period, CPSP has performed better with a 6.88% return vs 6.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PMJN or CPSP?

PMJN is cheaper with a 0.50% expense ratio, compared with 0.69% for CPSP.

Which ETF pays a higher dividend yield, PMJN or CPSP?

PMJN and CPSP have nearly identical dividend yields, around 0.00%.

What is the main difference between PMJN and CPSP?

PMJN is categorized as Defined Outcome, while CPSP is S&P 500. They also come from different issuers: PGIM and Calamos. Their fees differ too: 0.50% for PMJN and 0.69% for CPSP.

Which has better risk-adjusted returns?

CPSP currently has the higher Sharpe Ratio (5.07 vs 3.17), 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.