CCEF vs. ^GSPC
CCEF (Calamos CEF Income & Arbitrage ETF) is Dividend fund actively managed by Calamos, while ^GSPC (S&P 500 Index) is an index. Over the past year, CCEF returned 16.03% vs 27.02% for ^GSPC. A 0.74 correlation means they provide meaningful diversification when combined.
Performance
CCEF vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, CCEF achieves a 6.10% return, which is significantly lower than ^GSPC's 10.79% return.
CCEF
- 1D
- 0.36%
- 1M
- 1.30%
- YTD
- 6.10%
- 6M
- 7.04%
- 1Y
- 16.03%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
^GSPC
- 1D
- 0.41%
- 1M
- 4.48%
- YTD
- 10.79%
- 6M
- 10.60%
- 1Y
- 27.02%
- 3Y*
- 21.07%
- 5Y*
- 12.39%
- 10Y*
- 13.65%
CCEF vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
CCEF Calamos CEF Income & Arbitrage ETF | 6.10% | 13.47% | 18.80% |
^GSPC S&P 500 Index | 10.79% | 16.39% | 23.41% |
Correlation
The correlation between CCEF and ^GSPC is 0.76, 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 | 0.76 |
Correlation (All Time) Calculated using the full available price history since Jan 17, 2024 | 0.74 |
The correlation between CCEF and ^GSPC has been stable across timeframes, ranging from 0.74 to 0.76 - a consistent structural relationship.
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Return for Risk
CCEF vs. ^GSPC — Risk / Return Rank
CCEF
^GSPC
CCEF vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos CEF Income & Arbitrage ETF (CCEF) and S&P 500 Index (^GSPC). 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.
| CCEF | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.26 | ||
| Sortino ratioReturn per unit of downside risk | -0.29 | ||
| Omega ratioGain probability vs. loss probability | 1.38 | 1.41 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 2.08 | 2.98 | -0.91 |
| Martin ratioReturn relative to average drawdown | 9.04 | 13.78 | -4.74 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CCEF | ^GSPC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.03 | 2.28 | -0.26 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.74 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.76 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.51 | 0.47 | +1.04 |
Drawdowns
CCEF vs. ^GSPC - Drawdown Comparison
The maximum CCEF drawdown since its inception was -13.25%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for CCEF and ^GSPC.
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Drawdown Indicators
| CCEF | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.25% | -56.78% | +43.53% |
Max Drawdown (1Y)Largest decline over 1 year | -7.75% | -9.10% | +1.35% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -0.29% | -0.33% | +0.04% |
Average DrawdownAverage peak-to-trough decline | -1.35% | -10.72% | +9.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.78% | 1.97% | -0.19% |
Volatility
CCEF vs. ^GSPC - Volatility Comparison
The current volatility for Calamos CEF Income & Arbitrage ETF (CCEF) is 2.28%, while S&P 500 Index (^GSPC) has a volatility of 2.88%. This indicates that CCEF experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CCEF | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.28% | 2.88% | -0.60% |
Volatility (6M)Calculated over the trailing 6-month period | 6.66% | 9.00% | -2.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.95% | 11.89% | -3.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.77% | 16.90% | -6.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.77% | 18.06% | -7.29% |
Frequently Asked Questions
CCEF and ^GSPC have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (2.88%) compared to CCEF (2.28%). In terms of maximum drawdown, CCEF dropped -13.25% vs ^GSPC's -56.78%.
^GSPC currently has the higher Sharpe Ratio (2.28 vs 2.03), 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.
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