PMJN vs. CPSU

Last updated Jun 5, 2026

PMJN (PGIM S&P 500 Max Buffer ETF - June) and CPSU (Calamos S&P 500 Structured Alt Protection ETF - June) are both Defined Outcome funds. Both are actively managed. Over the past year, PMJN returned 6.64% vs 6.41% for CPSU. Their correlation of 0.83 suggests significant overlap in exposure. PMJN charges 0.50%/yr vs 0.69%/yr for CPSU.

Performance

PMJN vs. CPSU - 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 - June (CPSU). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PMJN achieves a 2.45% return, which is significantly higher than CPSU's 2.27% return.

PMJN

• 1D: 0.11%
• 1M: 0.38%
• YTD: 2.45%
• 6M: 2.96%
• 1Y: 6.64%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSU

• 1D: -0.02%
• 1M: 0.36%
• YTD: 2.27%
• 6M: 2.80%
• 1Y: 6.41%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

PMJN vs. CPSU - Yearly Performance Comparison

	2026 (YTD)	2025
PMJN PGIM S&P 500 Max Buffer ETF - June	2.45%	4.21%
CPSU Calamos S&P 500 Structured Alt Protection ETF - June	2.27%	4.15%

Correlation

The correlation between PMJN and CPSU is 0.83, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.83
Correlation (All Time) Calculated using the full available price history since Jun 3, 2025	0.83

The correlation between PMJN and CPSU has been stable across timeframes, ranging from 0.83 to 0.83 - a consistent structural relationship.

Return for Risk

PMJN vs. CPSU — Risk / Return Rank

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

PMJN

PMJN Risk / Return Rank: 96
PMJN Sharpe Ratio Rank: 95
PMJN Sortino Ratio Rank: 97
PMJN Omega Ratio Rank: 98
PMJN Calmar Ratio Rank: 91
PMJN Martin Ratio Rank: 96

CPSU

CPSU Risk / Return Rank: 96
CPSU Sharpe Ratio Rank: 95
CPSU Sortino Ratio Rank: 97
CPSU Omega Ratio Rank: 97
CPSU Calmar Ratio Rank: 92
CPSU 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.

PMJN vs. CPSU - 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 - June (CPSU). 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.

	PMJN	CPSU	Difference
Sharpe ratio: Return per unit of total volatility	3.82	3.74	+0.08
Sortino ratio: Return per unit of downside risk	6.31	6.30	+0.01
Omega ratio: Gain probability vs. loss probability	1.99	1.96	+0.03
Calmar ratio: Return relative to maximum drawdown	5.80	6.26	-0.46
Martin ratio: Return relative to average drawdown	38.42	42.38	-3.96
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

PMJN vs. CPSU - Sharpe Ratio Comparison

The current PMJN Sharpe Ratio is 3.82, which is comparable to the CPSU Sharpe Ratio of 3.74. The chart below compares the historical Sharpe Ratios of PMJN and CPSU, 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

	PMJN	CPSU	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.82	3.74	+0.08
Sharpe Ratio (All Time) Calculated using the full available price history	3.87	3.79	+0.08

Drawdowns

PMJN vs. CPSU - Drawdown Comparison

The maximum PMJN drawdown since its inception was -1.15%, which is greater than CPSU's maximum drawdown of -1.03%. Use the drawdown chart below to compare losses from any high point for PMJN and CPSU.

Drawdown Indicators

	PMJN	CPSU	Difference
Max Drawdown Largest peak-to-trough decline	-1.15%	-1.03%	-0.12%
Max Drawdown (1Y) Largest decline over 1 year	-1.15%	-1.03%	-0.12%
Current Drawdown Current decline from peak	0.00%	-0.17%	+0.17%
Average Drawdown Average peak-to-trough decline	-0.08%	-0.07%	-0.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.17%	0.15%	+0.02%

Volatility

PMJN vs. CPSU - Volatility Comparison

The current volatility for PGIM S&P 500 Max Buffer ETF - June (PMJN) is 0.22%, while Calamos S&P 500 Structured Alt Protection ETF - June (CPSU) has a volatility of 0.28%. This indicates that PMJN experiences smaller price fluctuations and is considered to be less risky than CPSU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PMJN	CPSU	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.22%	0.28%	-0.06%
Volatility (6M) Calculated over the trailing 6-month period	1.43%	1.39%	+0.04%
Volatility (1Y) Calculated over the trailing 1-year period	1.75%	1.72%	+0.03%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	1.74%	1.72%	+0.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	1.74%	1.72%	+0.02%

PMJN vs. CPSU - Expense Ratio Comparison

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

Dividends

PMJN vs. CPSU - Dividend Comparison

Neither PMJN nor CPSU has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both PMJN and CPSU in my portfolio?

PMJN and CPSU have a correlation of 0.83, 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 CPSU?

CPSU has higher volatility (0.28%) compared to PMJN (0.22%). In terms of maximum drawdown, PMJN dropped -1.15% vs CPSU's -1.03%.

Which ETF is better, PMJN or CPSU?

On 1-year performance, PMJN leads with 6.64% vs 6.41% for CPSU. On fees, PMJN is cheaper at 0.50% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PMJN or CPSU?

Over the 1-year period, PMJN has performed better with a 6.64% return vs 6.41%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PMJN or CPSU?

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

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

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

What is the main difference between PMJN and CPSU?

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

Which has better risk-adjusted returns?

PMJN currently has the higher Sharpe Ratio (3.82 vs 3.74), 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.