CCEF vs. ^GSPC

Last updated Apr 2, 2026

Compare and contrast key facts about Calamos CEF Income & Arbitrage ETF (CCEF) and S&P 500 Index (^GSPC).

CCEF is an actively managed fund by Calamos. It was launched on Jan 16, 2024.

Performance

CCEF vs. ^GSPC - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos CEF Income & Arbitrage ETF (CCEF) and S&P 500 Index (^GSPC). The values are adjusted to include any dividend payments, if applicable.

CCEF vs. ^GSPC - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CCEF Calamos CEF Income & Arbitrage ETF	-0.48%	13.47%	18.80%
^GSPC S&P 500 Index	-3.95%	16.39%	23.41%

Returns By Period

In the year-to-date period, CCEF achieves a -0.48% return, which is significantly higher than ^GSPC's -3.95% return.

CCEF

• 1D: 0.41%
• 1M: -5.22%
• YTD: -0.48%
• 6M: 1.30%
• 1Y: 10.11%
• 3Y*: —
• 5Y*: —
• 10Y*: —

^GSPC

• 1D: 0.72%
• 1M: -4.45%
• YTD: -3.95%
• 6M: -2.02%
• 1Y: 16.73%
• 3Y*: 16.96%
• 5Y*: 10.34%
• 10Y*: 12.24%

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

Return for Risk

CCEF vs. ^GSPC — Risk / Return Rank

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

CCEF

CCEF Risk / Return Rank: 40
CCEF Sharpe Ratio Rank: 40
CCEF Sortino Ratio Rank: 35
CCEF Omega Ratio Rank: 49
CCEF Calmar Ratio Rank: 33
CCEF Martin Ratio Rank: 42

^GSPC

^GSPC Risk / Return Rank: 67
^GSPC Sharpe Ratio Rank: 63
^GSPC Sortino Ratio Rank: 64
^GSPC Omega Ratio Rank: 69
^GSPC Calmar Ratio Rank: 60
^GSPC Martin Ratio Rank: 77

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.

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 ratio Return per unit of total volatility	0.79	0.92	-0.12
Sortino ratio Return per unit of downside risk	1.09	1.41	-0.33
Omega ratio Gain probability vs. loss probability	1.20	1.21	-0.02
Calmar ratio Return relative to maximum drawdown	0.91	1.41	-0.50
Martin ratio Return relative to average drawdown	4.16	6.61	-2.46
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CCEF vs. ^GSPC - Sharpe Ratio Comparison

The current CCEF Sharpe Ratio is 0.79, which is comparable to the ^GSPC Sharpe Ratio of 0.92. The chart below compares the historical Sharpe Ratios of CCEF and ^GSPC, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	CCEF	^GSPC	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.79	0.92	-0.12
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.61	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.68	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.31	0.46	+0.85

Correlation

The correlation between CCEF and ^GSPC is 0.74, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

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.

Drawdown Indicators

	CCEF	^GSPC	Difference
Max Drawdown Largest peak-to-trough decline	-13.25%	-56.78%	+43.53%
Max Drawdown (1Y) Largest decline over 1 year	-11.43%	-12.14%	+0.71%
Max Drawdown (5Y) Largest decline over 5 years	—	-25.43%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.92%	—
Current Drawdown Current decline from peak	-5.22%	-5.78%	+0.56%
Average Drawdown Average peak-to-trough decline	-1.35%	-10.75%	+9.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.50%	2.60%	-0.10%

Volatility

CCEF vs. ^GSPC - Volatility Comparison

The current volatility for Calamos CEF Income & Arbitrage ETF (CCEF) is 4.48%, while S&P 500 Index (^GSPC) has a volatility of 5.37%. 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.

Volatility by Period

	CCEF	^GSPC	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.48%	5.37%	-0.89%
Volatility (6M) Calculated over the trailing 6-month period	6.53%	9.55%	-3.02%
Volatility (1Y) Calculated over the trailing 1-year period	12.79%	18.33%	-5.54%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.94%	16.90%	-5.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.94%	18.05%	-7.11%