CPSD vs. PMMY

Last updated Jun 4, 2026

CPSD (Calamos S&P 500 Structured Alt Protection ETF - December) and PMMY (PGIM S&P 500 Max Buffer ETF - May) are both Defined Outcome funds. Both are actively managed. Over the past year, CPSD returned 9.16% vs 5.98% for PMMY. A 0.70 correlation means they provide meaningful diversification when combined. CPSD charges 0.69%/yr vs 0.50%/yr for PMMY.

Performance

CPSD vs. PMMY - 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 PGIM S&P 500 Max Buffer ETF - May (PMMY). 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 higher than PMMY's 2.19% return.

CPSD

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

PMMY

• 1D: -0.04%
• 1M: 0.79%
• YTD: 2.19%
• 6M: 2.74%
• 1Y: 5.98%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSD vs. PMMY - Yearly Performance Comparison

	2026 (YTD)	2025
CPSD Calamos S&P 500 Structured Alt Protection ETF - December	2.55%	8.17%
PMMY PGIM S&P 500 Max Buffer ETF - May	2.19%	4.59%

Correlation

The correlation between CPSD and PMMY is 0.72, 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	0.72
Correlation (All Time) Calculated using the full available price history since May 2, 2025	0.70

The correlation between CPSD and PMMY has been stable across timeframes, ranging from 0.70 to 0.72 - a consistent structural relationship.

Return for Risk

CPSD vs. PMMY — 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

PMMY

PMMY Risk / Return Rank: 98
PMMY Sharpe Ratio Rank: 98
PMMY Sortino Ratio Rank: 99
PMMY Omega Ratio Rank: 99
PMMY Calmar Ratio Rank: 98
PMMY Martin Ratio Rank: 99

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. PMMY - 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 PGIM S&P 500 Max Buffer ETF - May (PMMY). 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	PMMY	Difference
Sharpe ratio Return per unit of total volatility	3.26	5.35	-2.08
Sortino ratio Return per unit of downside risk	5.18	9.00	-3.82
Omega ratio Gain probability vs. loss probability	1.72	2.45	-0.74
Calmar ratio Return relative to maximum drawdown	6.19	16.90	-10.70
Martin ratio Return relative to average drawdown	30.66	89.69	-59.02
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. PMMY - Sharpe Ratio Comparison

The current CPSD Sharpe Ratio is 3.26, which is lower than the PMMY Sharpe Ratio of 5.35. The chart below compares the historical Sharpe Ratios of CPSD and PMMY, 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	PMMY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.26	5.35	-2.08
Sharpe Ratio (All Time) Calculated using the full available price history	2.03	4.56	-2.53

Drawdowns

CPSD vs. PMMY - Drawdown Comparison

The maximum CPSD drawdown since its inception was -3.45%, which is greater than PMMY's maximum drawdown of -0.36%. Use the drawdown chart below to compare losses from any high point for CPSD and PMMY.

Drawdown Indicators

	CPSD	PMMY	Difference
Max Drawdown Largest peak-to-trough decline	-3.45%	-0.36%	-3.09%
Max Drawdown (1Y) Largest decline over 1 year	-1.49%	-0.36%	-1.13%
Current Drawdown Current decline from peak	0.00%	-0.04%	+0.04%
Average Drawdown Average peak-to-trough decline	-0.47%	-0.04%	-0.43%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.30%	0.07%	+0.23%

Volatility

CPSD vs. PMMY - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) and PGIM S&P 500 Max Buffer ETF - May (PMMY) have volatilities of 0.37% and 0.36%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSD	PMMY	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.37%	0.36%	+0.01%
Volatility (6M) Calculated over the trailing 6-month period	1.58%	0.87%	+0.71%
Volatility (1Y) Calculated over the trailing 1-year period	2.83%	1.12%	+1.71%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.41%	1.39%	+2.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.41%	1.39%	+2.02%

CPSD vs. PMMY - Expense Ratio Comparison

CPSD has a 0.69% expense ratio, which is higher than PMMY's 0.50% expense ratio.

Dividends

CPSD vs. PMMY - Dividend Comparison

Neither CPSD nor PMMY has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSD and PMMY in my portfolio?

CPSD and PMMY have a correlation of 0.72, 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 PMMY?

CPSD has higher volatility (0.37%) compared to PMMY (0.36%). In terms of maximum drawdown, CPSD dropped -3.45% vs PMMY's -0.36%.

Which ETF is better, CPSD or PMMY?

On 1-year performance, CPSD leads with 9.16% vs 5.98% for PMMY. On fees, PMMY is cheaper at 0.50% 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, CPSD or PMMY?

Over the 1-year period, CPSD has performed better with a 9.16% return vs 5.98%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSD or PMMY?

PMMY is cheaper with a 0.50% expense ratio, compared with 0.69% for CPSD.

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

CPSD and PMMY have nearly identical dividend yields, around 0.00%.

What is the main difference between CPSD and PMMY?

They also come from different issuers: Calamos and PGIM. Their fees differ too: 0.69% for CPSD and 0.50% for PMMY.

Which has better risk-adjusted returns?

PMMY currently has the higher Sharpe Ratio (5.35 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.