CPRO vs. CPSM
CPRO (Calamos Russell 2000 Structured Alt Protection ETF - October) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both Defined Outcome funds from Calamos. Both are actively managed. Over the past year, CPRO returned 13.21% vs 5.15% for CPSM. At a 0.49 correlation, their price movements are largely independent. Both charge a 0.69% expense ratio.
Performance
CPRO vs. CPSM - Performance Comparison
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Returns By Period
In the year-to-date period, CPRO achieves a 4.26% return, which is significantly higher than CPSM's 1.94% return.
CPRO
- 1D
- -0.12%
- 1M
- 0.82%
- YTD
- 4.26%
- 6M
- 4.01%
- 1Y
- 13.21%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CPSM
- 1D
- -0.14%
- 1M
- -0.09%
- YTD
- 1.94%
- 6M
- 2.03%
- 1Y
- 5.15%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CPRO vs. CPSM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
CPRO Calamos Russell 2000 Structured Alt Protection ETF - October | 4.26% | 8.34% | 0.22% |
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 1.94% | 7.21% | 1.29% |
Correlation
The correlation between CPRO and CPSM is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.48 |
Correlation (All Time) Calculated using the full available price history since Oct 1, 2024 | 0.49 |
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Return for Risk
CPRO vs. CPSM — Risk / Return Rank
CPRO
CPSM
CPRO vs. CPSM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos Russell 2000 Structured Alt Protection ETF - October (CPRO) 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.
| CPRO | CPSM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.19 | ||
| Sortino ratioReturn per unit of downside risk | +0.37 | ||
| Omega ratioGain probability vs. loss probability | 1.65 | 1.67 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 7.50 | 10.57 | -3.07 |
| Martin ratioReturn relative to average drawdown | 27.79 | 45.23 | -17.45 |
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Drawdowns
CPRO vs. CPSM - Drawdown Comparison
The maximum CPRO drawdown since its inception was -3.36%, smaller than the maximum CPSM drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for CPRO and CPSM.
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Drawdown Indicators
| CPRO | CPSM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.36% | -5.19% | +1.83% |
Max Drawdown (1Y)Largest decline over 1 year | -1.77% | -0.49% | -1.28% |
Current DrawdownCurrent decline from peak | -0.12% | -0.39% | +0.27% |
Average DrawdownAverage peak-to-trough decline | -0.69% | -0.20% | -0.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.48% | 0.11% | +0.37% |
Volatility
CPRO vs. CPSM - Volatility Comparison
Calamos Russell 2000 Structured Alt Protection ETF - October (CPRO) has a higher volatility of 0.79% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.66%. This indicates that CPRO's price experiences larger fluctuations and is considered to be riskier than CPSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPRO | CPSM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.79% | 0.66% | +0.13% |
Volatility (6M)Calculated over the trailing 6-month period | 2.12% | 1.16% | +0.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 4.48% | 1.65% | +2.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.13% | 5.05% | -0.92% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.13% | 5.05% | -0.92% |
CPRO vs. CPSM - Expense Ratio Comparison
Both CPRO and CPSM have an expense ratio of 0.69%.
Dividends
CPRO vs. CPSM - Dividend Comparison
Neither CPRO nor CPSM has paid dividends to shareholders.
Frequently Asked Questions
CPRO and CPSM have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CPRO has higher volatility (0.79%) compared to CPSM (0.66%). In terms of maximum drawdown, CPRO dropped -3.36% vs CPSM's -5.19%.
On 1-year performance, CPRO leads with 13.21% vs 5.15% for CPSM. Both ETFs have the same 0.69% expense ratio. On volatility, CPSM has been the lower-risk option at 0.66%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, CPRO has performed better with a 13.21% return vs 5.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CPRO and CPSM have the same expense ratio: 0.69% per year.
CPRO and CPSM have nearly identical dividend yields, around 0.00%.
CPSM currently has the higher Sharpe Ratio (3.15 vs 2.96), 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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