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CPSD vs. SPLV
Performance
Return for Risk
Drawdowns
Volatility
Dividends

CPSD vs. SPLV

Last updated Apr 18, 2026

CPSD (Calamos S&P 500 Structured Alt Protection ETF - December) and SPLV (Invesco S&P 500 Low Volatility ETF) are both exchange-traded funds — CPSD is a Defined Outcome fund actively managed by Calamos, while SPLV is a S&P 500 fund tracking the S&P 500 Low Volatility Index. CPSD is actively managed, while SPLV is passively managed. Over the past year, CPSD returned 10.93% vs 5.78% for SPLV. At 0.29, their price movements are largely independent. CPSD charges 0.69%/yr vs 0.25%/yr for SPLV.

Performance

CPSD vs. SPLV - 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 Invesco S&P 500 Low Volatility ETF (SPLV). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, CPSD achieves a 1.36% return, which is significantly lower than SPLV's 5.14% return.

CPSD

1D
0.25%
1M
1.47%
YTD
1.36%
6M
3.29%
1Y
10.93%
3Y*
—
5Y*
—
10Y*
—

SPLV

1D
0.57%
1M
1.44%
YTD
5.14%
6M
3.89%
1Y
5.78%
3Y*
7.83%
5Y*
6.54%
10Y*
8.54%
*Multi-year figures are annualized to reflect compound growth (CAGR)

CPSD vs. SPLV - Yearly Performance Comparison

2026 (YTD)20252024
CPSD
Calamos S&P 500 Structured Alt Protection ETF - December		1.36%7.63%0.04%
SPLV
Invesco S&P 500 Low Volatility ETF		5.14%4.10%-5.41%

Correlation

The correlation between CPSD and SPLV is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.30

Correlation (All Time)
Calculated using the full available price history since Dec 3, 2024

0.29

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Calamos S&P 500 Structured Alt Protection ETF - December

Invesco S&P 500 Low Volatility ETF

Often compared with CPSD:
CPSD vs. VOOCPSD vs. SPXTCPSD vs. RSPCPSD vs. SPYCPSD vs. SPHQCPSD vs. BUFPCPSD vs. CPSL
Often compared with SPLV:
SPLV vs. USMVSPLV vs. SPYSPLV vs. SPHBSPLV vs. VOOSPLV vs. SPHDSPLV vs. JEPISPLV vs. DGRW

Return for Risk

CPSD vs. SPLV — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
CPSD
CPSD Risk / Return Rank: 9494
Overall Rank
CPSD Sharpe Ratio Rank: 9292
Sharpe Ratio Rank
CPSD Sortino Ratio Rank: 9696
Sortino Ratio Rank
CPSD Omega Ratio Rank: 9595
Omega Ratio Rank
CPSD Calmar Ratio Rank: 9393
Calmar Ratio Rank
CPSD Martin Ratio Rank: 9696
Martin Ratio Rank
SPLV
SPLV Risk / Return Rank: 1414
Overall Rank
SPLV Sharpe Ratio Rank: 1414
Sharpe Ratio Rank
SPLV Sortino Ratio Rank: 1313
Sortino Ratio Rank
SPLV Omega Ratio Rank: 1313
Omega Ratio Rank
SPLV Calmar Ratio Rank: 1616
Calmar Ratio Rank
SPLV Martin Ratio Rank: 1515
Martin Ratio Rank
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. SPLV - 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 Invesco S&P 500 Low Volatility ETF (SPLV). 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.

CPSDSPLVDifference

Sharpe ratio

Return per unit of total volatility

3.60

0.58

+3.02

Sortino ratio

Return per unit of downside risk

5.81

0.88

+4.93

Omega ratio

Gain probability vs. loss probability

1.78

1.10

+0.67

Calmar ratio

Return relative to maximum drawdown

7.06

0.86

+6.20

Martin ratio

Return relative to average drawdown

33.82

2.25

+31.57

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. SPLV - Sharpe Ratio Comparison

The current CPSD Sharpe Ratio is 3.60, which is higher than the SPLV Sharpe Ratio of 0.58. The chart below compares the historical Sharpe Ratios of CPSD and SPLV, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Sharpe Ratios by Period

CPSDSPLVDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

3.60

0.58

+3.02

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

—

0.53

—

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.56

—

Sharpe Ratio (All Time)

Calculated using the full available price history

1.88

0.70

+1.17

Drawdowns

CPSD vs. SPLV - Drawdown Comparison

The maximum CPSD drawdown since its inception was -3.45%, smaller than the maximum SPLV drawdown of -36.26%. Use the drawdown chart below to compare losses from any high point for CPSD and SPLV.

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Drawdown Indicators

CPSDSPLVDifference

Max Drawdown

Largest peak-to-trough decline

-3.45%

-36.26%

+32.81%

Max Drawdown (1Y)

Largest decline over 1 year

-1.49%

-6.64%

+5.15%

Max Drawdown (5Y)

Largest decline over 5 years

—

-17.26%

—

Max Drawdown (10Y)

Largest decline over 10 years

—

-36.26%

—

Current Drawdown

Current decline from peak

0.00%

-3.40%

+3.40%

Average Drawdown

Average peak-to-trough decline

-0.51%

-3.54%

+3.03%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.31%

2.53%

-2.22%

Volatility

CPSD vs. SPLV - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) is 1.03%, while Invesco S&P 500 Low Volatility ETF (SPLV) has a volatility of 2.77%. This indicates that CPSD experiences smaller price fluctuations and is considered to be less risky than SPLV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

CPSDSPLVDifference

Volatility (1M)

Calculated over the trailing 1-month period

1.03%

2.77%

-1.74%

Volatility (6M)

Calculated over the trailing 6-month period

1.96%

6.89%

-4.93%

Volatility (1Y)

Calculated over the trailing 1-year period

3.06%

10.13%

-7.07%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

3.54%

12.42%

-8.88%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

3.54%

15.35%

-11.81%

CPSD vs. SPLV - Expense Ratio Comparison

CPSD has a 0.69% expense ratio, which is higher than SPLV's 0.25% expense ratio.

Dividends

CPSD vs. SPLV - Dividend Comparison

CPSD has not paid dividends to shareholders, while SPLV's dividend yield for the trailing twelve months is around 2.08%.

TTM20252024202320222021202020192018201720162015
CPSD
Calamos S&P 500 Structured Alt Protection ETF - December		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
SPLV
Invesco S&P 500 Low Volatility ETF		2.08%2.04%1.88%2.45%2.11%1.51%2.12%2.08%2.18%2.03%2.03%2.28%