CPSA vs. BALT

Last updated Jun 3, 2026

CPSA (Calamos S&P 500 Structured Alt Protection ETF - August) and BALT (Innovator Defined Wealth Shield ETF) are both Defined Outcome funds - CPSA tracks the MerQube Cap Protect US Lrg Cap PR Index - Aug while BALT tracks the S&P 500. Both are passively managed. Over the past year, CPSA returned 8.51% vs 6.95% for BALT. A 0.68 correlation means they provide meaningful diversification when combined. Both charge a 0.69% expense ratio.

Performance

CPSA vs. BALT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - August (CPSA) and Innovator Defined Wealth Shield ETF (BALT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSA achieves a 2.81% return, which is significantly higher than BALT's 1.91% return.

CPSA

• 1D: 0.09%
• 1M: 0.71%
• YTD: 2.81%
• 6M: 3.34%
• 1Y: 8.51%
• 3Y*: —
• 5Y*: —
• 10Y*: —

BALT

• 1D: -0.06%
• 1M: 0.53%
• YTD: 1.91%
• 6M: 2.81%
• 1Y: 6.95%
• 3Y*: 7.27%
• 5Y*: —
• 10Y*: —

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

CPSA vs. BALT - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSA Calamos S&P 500 Structured Alt Protection ETF - August	2.81%	7.39%	3.51%
BALT Innovator Defined Wealth Shield ETF	1.91%	6.65%	4.32%

Correlation

The correlation between CPSA and BALT is 0.62, 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	0.62
Correlation (All Time) Calculated using the full available price history since Aug 2, 2024	0.68

The correlation between CPSA and BALT has been stable across timeframes, ranging from 0.62 to 0.68 - a consistent structural relationship.

Return for Risk

CPSA vs. BALT — Risk / Return Rank

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

CPSA

CPSA Risk / Return Rank: 94
CPSA Sharpe Ratio Rank: 94
CPSA Sortino Ratio Rank: 97
CPSA Omega Ratio Rank: 96
CPSA Calmar Ratio Rank: 90
CPSA Martin Ratio Rank: 95

BALT

BALT Risk / Return Rank: 92
BALT Sharpe Ratio Rank: 90
BALT Sortino Ratio Rank: 94
BALT Omega Ratio Rank: 93
BALT Calmar Ratio Rank: 91
BALT Martin Ratio Rank: 91

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.

CPSA vs. BALT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - August (CPSA) and Innovator Defined Wealth Shield ETF (BALT). 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.

	CPSA	BALT	Difference
Sharpe ratio Return per unit of total volatility	3.66	3.19	+0.47
Sortino ratio Return per unit of downside risk	6.09	4.88	+1.21
Omega ratio Gain probability vs. loss probability	1.82	1.67	+0.14
Calmar ratio Return relative to maximum drawdown	5.74	6.05	-0.32
Martin ratio Return relative to average drawdown	32.67	22.58	+10.10
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSA vs. BALT - Sharpe Ratio Comparison

The current CPSA Sharpe Ratio is 3.66, which is comparable to the BALT Sharpe Ratio of 3.19. The chart below compares the historical Sharpe Ratios of CPSA and BALT, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CPSA	BALT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.66	3.19	+0.47
Sharpe Ratio (All Time) Calculated using the full available price history	1.84	1.80	+0.04

Drawdowns

CPSA vs. BALT - Drawdown Comparison

The maximum CPSA drawdown since its inception was -4.72%, roughly equal to the maximum BALT drawdown of -4.89%. Use the drawdown chart below to compare losses from any high point for CPSA and BALT.

Drawdown Indicators

	CPSA	BALT	Difference
Max Drawdown Largest peak-to-trough decline	-4.72%	-4.89%	+0.17%
Max Drawdown (1Y) Largest decline over 1 year	-1.47%	-1.15%	-0.32%
Max Drawdown (3Y) Largest decline over 3 years	—	-4.89%	—
Current Drawdown Current decline from peak	0.00%	-0.06%	+0.06%
Average Drawdown Average peak-to-trough decline	-0.38%	-0.34%	-0.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	0.31%	-0.05%

Volatility

CPSA vs. BALT - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - August (CPSA) has a higher volatility of 0.46% compared to Innovator Defined Wealth Shield ETF (BALT) at 0.37%. This indicates that CPSA's price experiences larger fluctuations and is considered to be riskier than BALT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSA	BALT	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.46%	0.37%	+0.09%
Volatility (6M) Calculated over the trailing 6-month period	1.73%	1.56%	+0.17%
Volatility (1Y) Calculated over the trailing 1-year period	2.33%	2.19%	+0.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.14%	3.32%	+0.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.14%	3.32%	+0.82%

CPSA vs. BALT - Expense Ratio Comparison

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

Dividends

CPSA vs. BALT - Dividend Comparison

Neither CPSA nor BALT has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSA and BALT in my portfolio?

CPSA and BALT have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSA or BALT?

CPSA has higher volatility (0.46%) compared to BALT (0.37%). In terms of maximum drawdown, CPSA dropped -4.72% vs BALT's -4.89%.

Which ETF is better, CPSA or BALT?

On 1-year performance, CPSA leads with 8.51% vs 6.95% for BALT. Both ETFs have the same 0.69% expense ratio. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSA or BALT?

Over the 1-year period, CPSA has performed better with a 8.51% return vs 6.95%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSA or BALT?

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

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

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

What is the main difference between CPSA and BALT?

CPSA tracks MerQube Cap Protect US Lrg Cap PR Index - Aug, while BALT tracks S&P 500. They also come from different issuers: Calamos and Innovator.

Which has better risk-adjusted returns?

CPSA currently has the higher Sharpe Ratio (3.66 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.