CPSD vs. CVRT

Last updated Jun 4, 2026

CPSD (Calamos S&P 500 Structured Alt Protection ETF - December) and CVRT (Calamos Convertible Equity Alternative ETF) are both exchange-traded funds - CPSD is a Defined Outcome fund actively managed by Calamos, while CVRT is a Convertible Bonds fund actively managed by Calamos. Both are actively managed. Over the past year, CPSD returned 9.16% vs 76.22% for CVRT. A 0.62 correlation means they provide meaningful diversification when combined. Both charge a 0.69% expense ratio.

Performance

CPSD vs. CVRT - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) and Calamos Convertible Equity Alternative ETF (CVRT). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSD achieves a 2.55% return, which is significantly lower than CVRT's 40.89% return.

CPSD

• 1D: 0.07%
• 1M: 0.89%
• YTD: 2.55%
• 6M: 2.99%
• 1Y: 9.16%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CVRT

• 1D: -1.21%
• 1M: 8.71%
• YTD: 40.89%
• 6M: 41.79%
• 1Y: 76.22%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSD vs. CVRT - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSD Calamos S&P 500 Structured Alt Protection ETF - December	2.55%	7.63%	0.04%
CVRT Calamos Convertible Equity Alternative ETF	40.89%	29.37%	-6.91%

Correlation

The correlation between CPSD and CVRT is 0.58, 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	0.58
Correlation (All Time) Calculated using the full available price history since Dec 3, 2024	0.62

The correlation between CPSD and CVRT has been stable across timeframes, ranging from 0.58 to 0.62 - a consistent structural relationship.

Return for Risk

CPSD vs. CVRT — Risk / Return Rank

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

CPSD

CPSD Risk / Return Rank: 94
CPSD Sharpe Ratio Rank: 92
CPSD Sortino Ratio Rank: 95
CPSD Omega Ratio Rank: 95
CPSD Calmar Ratio Rank: 92
CPSD Martin Ratio Rank: 95

CVRT

CVRT Risk / Return Rank: 93
CVRT Sharpe Ratio Rank: 93
CVRT Sortino Ratio Rank: 91
CVRT Omega Ratio Rank: 90
CVRT Calmar Ratio Rank: 96
CVRT Martin Ratio Rank: 96

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.

CPSD vs. CVRT - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) and Calamos Convertible Equity Alternative ETF (CVRT). 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.

	CPSD	CVRT	Difference
Sharpe ratio: Return per unit of total volatility	3.26	3.57	-0.30
Sortino ratio: Return per unit of downside risk	5.18	4.32	+0.86
Omega ratio: Gain probability vs. loss probability	1.72	1.59	+0.12
Calmar ratio: Return relative to maximum drawdown	6.19	8.91	-2.72
Martin ratio: Return relative to average drawdown	30.66	34.91	-4.25
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSD vs. CVRT - Sharpe Ratio Comparison

The current CPSD Sharpe Ratio is 3.26, which is comparable to the CVRT Sharpe Ratio of 3.57. The chart below compares the historical Sharpe Ratios of CPSD and CVRT, 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

	CPSD	CVRT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.26	3.57	-0.30
Sharpe Ratio (All Time) Calculated using the full available price history	2.03	1.84	+0.18

Drawdowns

CPSD vs. CVRT - Drawdown Comparison

The maximum CPSD drawdown since its inception was -3.45%, smaller than the maximum CVRT drawdown of -20.71%. Use the drawdown chart below to compare losses from any high point for CPSD and CVRT.

Drawdown Indicators

	CPSD	CVRT	Difference
Max Drawdown Largest peak-to-trough decline	-3.45%	-20.71%	+17.26%
Max Drawdown (1Y) Largest decline over 1 year	-1.49%	-8.60%	+7.11%
Current Drawdown Current decline from peak	0.00%	-1.21%	+1.21%
Average Drawdown Average peak-to-trough decline	-0.47%	-3.06%	+2.59%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.30%	2.19%	-1.89%

Volatility

CPSD vs. CVRT - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) is 0.37%, while Calamos Convertible Equity Alternative ETF (CVRT) has a volatility of 7.64%. This indicates that CPSD experiences smaller price fluctuations and is considered to be less risky than CVRT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSD	CVRT	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.37%	7.64%	-7.27%
Volatility (6M) Calculated over the trailing 6-month period	1.58%	17.57%	-15.99%
Volatility (1Y) Calculated over the trailing 1-year period	2.83%	21.47%	-18.64%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.41%	19.96%	-16.55%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.41%	19.96%	-16.55%

CPSD vs. CVRT - Expense Ratio Comparison

Both CPSD and CVRT have an expense ratio of 0.69%.

Dividends

CPSD vs. CVRT - Dividend Comparison

CPSD has not paid dividends to shareholders, while CVRT's dividend yield for the trailing twelve months is around 1.43%.

Position	TTM	2025	2024	2023
CPSD Calamos S&P 500 Structured Alt Protection ETF - December	0.00%	0.00%	0.00%	0.00%
CVRT Calamos Convertible Equity Alternative ETF	1.43%	1.68%	1.49%	0.32%

Frequently Asked Questions

Can I hold both CPSD and CVRT in my portfolio?

CPSD and CVRT have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSD or CVRT?

CVRT has higher volatility (7.64%) compared to CPSD (0.37%). In terms of maximum drawdown, CPSD dropped -3.45% vs CVRT's -20.71%.

Which ETF is better, CPSD or CVRT?

On 1-year performance, CVRT leads with 76.22% vs 9.16% for CPSD. Both ETFs have the same 0.69% expense ratio. On volatility, CPSD has been the lower-risk option at 0.37%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSD or CVRT?

Over the 1-year period, CVRT has performed better with a 76.22% return vs 9.16%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSD or CVRT?

CPSD and CVRT have the same expense ratio: 0.69% per year.

Which ETF pays a higher dividend yield, CPSD or CVRT?

CVRT has the higher dividend yield at 1.43%, compared with 0.00% for CPSD.

What is the main difference between CPSD and CVRT?

CPSD is categorized as Defined Outcome, while CVRT is Convertible Bonds.

Which has better risk-adjusted returns?

CVRT currently has the higher Sharpe Ratio (3.57 vs 3.26), 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.