CPSA vs. ZFEB

Last updated Jun 24, 2026

CPSA (Calamos S&P 500 Structured Alt Protection ETF - August) and ZFEB (Innovator Equity Defined Protection ETF - 1 Yr February) are both Defined Outcome funds. CPSA is passively managed, while ZFEB is actively managed. Over the past year, CPSA returned 7.47% vs 7.24% for ZFEB. A 0.75 correlation means they provide meaningful diversification when combined. CPSA charges 0.69%/yr vs 0.79%/yr for ZFEB.

Performance

CPSA vs. ZFEB - 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 Equity Defined Protection ETF - 1 Yr February (ZFEB). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSA achieves a 2.88% return, which is significantly higher than ZFEB's 2.19% return.

CPSA

• 1D: -0.13%
• 1M: 0.34%
• YTD: 2.88%
• 6M: 2.86%
• 1Y: 7.47%
• 3Y*: —
• 5Y*: —
• 10Y*: —

ZFEB

• 1D: -0.06%
• 1M: 0.00%
• YTD: 2.19%
• 6M: 2.25%
• 1Y: 7.24%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSA vs. ZFEB - Yearly Performance Comparison

	2026 (YTD)	2025
CPSA Calamos S&P 500 Structured Alt Protection ETF - August	2.88%	6.40%
ZFEB Innovator Equity Defined Protection ETF - 1 Yr February	2.19%	6.19%

Correlation

The correlation between CPSA and ZFEB is 0.71, 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	0.71
Correlation (All Time) Calculated using the full available price history since Feb 3, 2025	0.75

The correlation between CPSA and ZFEB has been stable across timeframes, ranging from 0.71 to 0.75 - a consistent structural relationship.

Return for Risk

CPSA vs. ZFEB — Risk / Return Rank

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

CPSA

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

ZFEB

ZFEB Risk / Return Rank: 94
ZFEB Sharpe Ratio Rank: 95
ZFEB Sortino Ratio Rank: 96
ZFEB Omega Ratio Rank: 96
ZFEB Calmar Ratio Rank: 91
ZFEB Martin Ratio Rank: 95

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. ZFEB - 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 Equity Defined Protection ETF - 1 Yr February (ZFEB). 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.

	CPSA	ZFEB	Difference
Sharpe ratio: Return per unit of total volatility	3.43	3.35	+0.08
Sortino ratio: Return per unit of downside risk	5.63	5.32	+0.31
Omega ratio: Gain probability vs. loss probability	1.74	1.73	+0.01
Calmar ratio: Return relative to maximum drawdown	5.09	5.39	-0.30
Martin ratio: Return relative to average drawdown	29.08	26.07	+3.02

CPSA vs. ZFEB - Sharpe Ratio Comparison

The current CPSA Sharpe Ratio is 3.43, which is comparable to the ZFEB Sharpe Ratio of 3.35. The chart below compares the historical Sharpe Ratios of CPSA and ZFEB, 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

CPSA vs. ZFEB - Drawdown Comparison

The maximum CPSA drawdown since its inception was -4.72%, which is greater than ZFEB's maximum drawdown of -3.00%. Use the drawdown chart below to compare losses from any high point for CPSA and ZFEB.

Drawdown Indicators

	CPSA	ZFEB	Difference
Max Drawdown Largest peak-to-trough decline	-4.72%	-3.00%	-1.72%
Max Drawdown (1Y) Largest decline over 1 year	-1.47%	-1.35%	-0.12%
Current Drawdown Current decline from peak	-0.13%	-0.23%	+0.10%
Average Drawdown Average peak-to-trough decline	-0.38%	-0.36%	-0.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	0.28%	-0.02%

Volatility

CPSA vs. ZFEB - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - August (CPSA) is 0.48%, while Innovator Equity Defined Protection ETF - 1 Yr February (ZFEB) has a volatility of 0.56%. This indicates that CPSA experiences smaller price fluctuations and is considered to be less risky than ZFEB based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSA	ZFEB	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.48%	0.56%	-0.08%
Volatility (6M) Calculated over the trailing 6-month period	1.74%	1.51%	+0.23%
Volatility (1Y) Calculated over the trailing 1-year period	2.23%	2.18%	+0.05%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.10%	2.86%	+1.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.10%	2.86%	+1.24%

CPSA vs. ZFEB - Expense Ratio Comparison

CPSA has a 0.69% expense ratio, which is lower than ZFEB's 0.79% expense ratio.

Dividends

CPSA vs. ZFEB - Dividend Comparison

Neither CPSA nor ZFEB has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSA and ZFEB in my portfolio?

CPSA and ZFEB have a correlation of 0.71, 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 ZFEB?

ZFEB has higher volatility (0.56%) compared to CPSA (0.48%). In terms of maximum drawdown, CPSA dropped -4.72% vs ZFEB's -3.00%.

Which ETF is better, CPSA or ZFEB?

On 1-year performance, CPSA leads with 7.47% vs 7.24% for ZFEB. On fees, CPSA is cheaper at 0.69% per year. 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 ZFEB?

Over the 1-year period, CPSA has performed better with a 7.47% return vs 7.24%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSA or ZFEB?

CPSA is cheaper with a 0.69% expense ratio, compared with 0.79% for ZFEB.

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

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

What is the main difference between CPSA and ZFEB?

They also come from different issuers: Calamos and Innovator. Their fees differ too: 0.69% for CPSA and 0.79% for ZFEB.

Which has better risk-adjusted returns?

CPSA currently has the higher Sharpe Ratio (3.43 vs 3.35), 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.