BALT vs. CPSP

Last updated Jun 24, 2026

BALT (Innovator Defined Wealth Shield ETF) and CPSP (Calamos S&P 500 Structured Alt Protection ETF - April) are both exchange-traded funds - BALT is a Defined Outcome fund tracking the S&P 500, while CPSP is a S&P 500 fund actively managed by Calamos. BALT is passively managed, while CPSP is actively managed. Over the past year, BALT returned 6.86% vs 6.61% for CPSP. A 0.63 correlation means they provide meaningful diversification when combined. Both charge a 0.69% expense ratio.

Performance

BALT vs. CPSP - 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 - April (CPSP). 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 lower than CPSP's 3.05% return.

BALT

• 1D: 0.00%
• 1M: 0.47%
• YTD: 2.21%
• 6M: 2.42%
• 1Y: 6.86%
• 3Y*: 7.11%
• 5Y*: —
• 10Y*: —

CPSP

• 1D: -0.04%
• 1M: 0.13%
• YTD: 3.05%
• 6M: 3.13%
• 1Y: 6.61%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

BALT vs. CPSP - Yearly Performance Comparison

	2026 (YTD)	2025
BALT Innovator Defined Wealth Shield ETF	2.21%	6.79%
CPSP Calamos S&P 500 Structured Alt Protection ETF - April	3.05%	5.96%

Correlation

The correlation between BALT and CPSP is 0.60, 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	0.61
Correlation (All Time) Calculated using the full available price history since Apr 1, 2025	0.63

The correlation between BALT and CPSP has been stable across timeframes, ranging from 0.60 to 0.63 - a consistent structural relationship.

Return for Risk

BALT vs. CPSP — 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

CPSP

CPSP Risk / Return Rank: 98
CPSP Sharpe Ratio Rank: 98
CPSP Sortino Ratio Rank: 98
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.

BALT vs. CPSP - 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 - 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.

	BALT	CPSP	Difference
Sharpe ratio: Return per unit of total volatility	3.19	4.91	-1.72
Sortino ratio: Return per unit of downside risk	4.88	9.21	-4.33
Omega ratio: Gain probability vs. loss probability	1.69	2.22	-0.53
Calmar ratio: Return relative to maximum drawdown	5.98	17.71	-11.74
Martin ratio: Return relative to average drawdown	22.31	82.47	-60.16

BALT vs. CPSP - Sharpe Ratio Comparison

The current BALT Sharpe Ratio is 3.19, which is lower than the CPSP Sharpe Ratio of 4.91. The chart below compares the historical Sharpe Ratios of BALT 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

BALT vs. CPSP - Drawdown Comparison

The maximum BALT drawdown since its inception was -4.89%, which is greater than CPSP's maximum drawdown of -1.73%. Use the drawdown chart below to compare losses from any high point for BALT and CPSP.

Drawdown Indicators

	BALT	CPSP	Difference
Max Drawdown Largest peak-to-trough decline	-4.89%	-1.73%	-3.16%
Max Drawdown (1Y) Largest decline over 1 year	-1.15%	-0.37%	-0.78%
Max Drawdown (3Y) Largest decline over 3 years	-4.89%	—	—
Current Drawdown Current decline from peak	0.00%	-0.24%	+0.24%
Average Drawdown Average peak-to-trough decline	-0.34%	-0.09%	-0.25%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.31%	0.08%	+0.23%

Volatility

BALT vs. CPSP - Volatility Comparison

The current volatility for Innovator Defined Wealth Shield ETF (BALT) is 0.29%, while Calamos S&P 500 Structured Alt Protection ETF - April (CPSP) has a volatility of 0.40%. This indicates that BALT experiences smaller price fluctuations and is considered to be less risky than CPSP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	BALT	CPSP	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.29%	0.40%	-0.11%
Volatility (6M) Calculated over the trailing 6-month period	1.45%	0.86%	+0.59%
Volatility (1Y) Calculated over the trailing 1-year period	2.16%	1.36%	+0.80%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.30%	2.38%	+0.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.30%	2.38%	+0.92%

BALT vs. CPSP - Expense Ratio Comparison

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

Dividends

BALT vs. CPSP - Dividend Comparison

Neither BALT nor CPSP has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both BALT and CPSP in my portfolio?

BALT and CPSP have a correlation of 0.60, 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 CPSP?

CPSP has higher volatility (0.40%) compared to BALT (0.29%). In terms of maximum drawdown, BALT dropped -4.89% vs CPSP's -1.73%.

Which ETF is better, BALT or CPSP?

On 1-year performance, BALT leads with 6.86% vs 6.61% for CPSP. 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 CPSP?

Over the 1-year period, BALT has performed better with a 6.86% return vs 6.61%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, BALT or CPSP?

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

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

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

What is the main difference between BALT and CPSP?

BALT is categorized as Defined Outcome, while CPSP is S&P 500. They also come from different issuers: Innovator and Calamos.

Which has better risk-adjusted returns?

CPSP currently has the higher Sharpe Ratio (4.91 vs 3.19), 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.