BALT vs. CPSM

Last updated Jun 24, 2026

BALT (Innovator Defined Wealth Shield ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both Defined Outcome funds. BALT is passively managed, while CPSM is actively managed. Over the past year, BALT returned 6.86% vs 5.15% for CPSM. A 0.58 correlation means they provide meaningful diversification when combined. Both charge a 0.69% expense ratio.

Performance

BALT vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator Defined Wealth Shield ETF (BALT) 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, BALT achieves a 2.21% return, which is significantly higher than CPSM's 1.94% return.

BALT

• 1D: 0.00%
• 1M: 0.47%
• YTD: 2.21%
• 6M: 2.42%
• 1Y: 6.86%
• 3Y*: 7.11%
• 5Y*: —
• 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)

BALT vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
BALT Innovator Defined Wealth Shield ETF	2.21%	6.65%	8.12%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	1.94%	7.21%	6.80%

Correlation

The correlation between BALT and CPSM is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.41
Correlation (All Time) Calculated using the full available price history since May 1, 2024	0.58

The correlation between BALT and CPSM shifts across timeframes, from 0.41 (1 year) to 0.58 (all time), reflecting how their relationship changes across market environments.

Return for Risk

BALT vs. CPSM — Risk / Return Rank

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

BALT

BALT Risk / Return Rank: 94
BALT Sharpe Ratio Rank: 93
BALT Sortino Ratio Rank: 95
BALT Omega Ratio Rank: 95
BALT Calmar Ratio Rank: 92
BALT Martin Ratio Rank: 93

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.

BALT vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator Defined Wealth Shield ETF (BALT) 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.

	BALT	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	3.19	3.15	+0.04
Sortino ratio: Return per unit of downside risk	4.88	5.05	-0.17
Omega ratio: Gain probability vs. loss probability	1.69	1.67	+0.02
Calmar ratio: Return relative to maximum drawdown	5.98	10.57	-4.59
Martin ratio: Return relative to average drawdown	22.31	45.23	-22.93

BALT vs. CPSM - Sharpe Ratio Comparison

The current BALT Sharpe Ratio is 3.19, which is comparable to the CPSM Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of BALT 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

BALT vs. CPSM - Drawdown Comparison

The maximum BALT drawdown since its inception was -4.89%, smaller than the maximum CPSM drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for BALT and CPSM.

Drawdown Indicators

	BALT	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-4.89%	-5.19%	+0.30%
Max Drawdown (1Y) Largest decline over 1 year	-1.15%	-0.49%	-0.66%
Max Drawdown (3Y) Largest decline over 3 years	-4.89%	—	—
Current Drawdown Current decline from peak	0.00%	-0.39%	+0.39%
Average Drawdown Average peak-to-trough decline	-0.34%	-0.20%	-0.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.31%	0.11%	+0.20%

Volatility

BALT vs. CPSM - Volatility Comparison

The current volatility for Innovator Defined Wealth Shield ETF (BALT) is 0.29%, while Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) has a volatility of 0.66%. This indicates that BALT experiences smaller price fluctuations and is considered to be less risky than CPSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BALT	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.29%	0.66%	-0.37%
Volatility (6M) Calculated over the trailing 6-month period	1.45%	1.16%	+0.29%
Volatility (1Y) Calculated over the trailing 1-year period	2.16%	1.65%	+0.51%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.30%	5.05%	-1.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.30%	5.05%	-1.75%

BALT vs. CPSM - Expense Ratio Comparison

Both BALT and CPSM have an expense ratio of 0.69%.

Dividends

BALT vs. CPSM - Dividend Comparison

Neither BALT nor CPSM has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both BALT and CPSM in my portfolio?

BALT and CPSM have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, BALT or CPSM?

CPSM has higher volatility (0.66%) compared to BALT (0.29%). In terms of maximum drawdown, BALT dropped -4.89% vs CPSM's -5.19%.

Which ETF is better, BALT or CPSM?

On 1-year performance, BALT leads with 6.86% vs 5.15% for CPSM. Both ETFs have the same 0.69% expense ratio. On volatility, BALT has been the lower-risk option at 0.29%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, BALT or CPSM?

Over the 1-year period, BALT has performed better with a 6.86% return vs 5.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, BALT or CPSM?

BALT and CPSM have the same expense ratio: 0.69% per year.

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

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

What is the main difference between BALT and CPSM?

They also come from different issuers: Innovator and Calamos.

Which has better risk-adjusted returns?

BALT currently has the higher Sharpe Ratio (3.19 vs 3.15), 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.