CPSD vs. VOO
CPSD (Calamos S&P 500 Structured Alt Protection ETF - December) and VOO (Vanguard S&P 500 ETF) are both exchange-traded funds — CPSD is a Defined Outcome fund actively managed by Calamos, while VOO is a S&P 500 fund tracking the S&P 500 Index. CPSD is actively managed, while VOO is passively managed. Over the past year, CPSD returned 10.93% vs 36.52% for VOO. Their correlation of 0.83 suggests significant overlap in exposure. CPSD charges 0.69%/yr vs 0.03%/yr for VOO.
Performance
CPSD vs. VOO - Performance Comparison
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Returns By Period
In the year-to-date period, CPSD achieves a 1.36% return, which is significantly lower than VOO's 4.42% return.
CPSD
- 1D
- 0.25%
- 1M
- 1.47%
- YTD
- 1.36%
- 6M
- 3.29%
- 1Y
- 10.93%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
VOO
- 1D
- 1.23%
- 1M
- 7.64%
- YTD
- 4.42%
- 6M
- 7.52%
- 1Y
- 36.52%
- 3Y*
- 21.33%
- 5Y*
- 12.82%
- 10Y*
- 14.89%
CPSD vs. VOO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
CPSD Calamos S&P 500 Structured Alt Protection ETF - December | 1.36% | 7.63% | 0.04% |
VOO Vanguard S&P 500 ETF | 4.42% | 17.82% | -2.61% |
Correlation
The correlation between CPSD and VOO is 0.86, indicating a strong positive relationship between their price movements. Combining them offers limited diversification — they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.86 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2024 | 0.83 |
The correlation between CPSD and VOO has been stable across timeframes, ranging from 0.83 to 0.86 — a consistent structural relationship.
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Return for Risk
CPSD vs. VOO — Risk / Return Rank
CPSD
VOO
CPSD vs. VOO - 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 Vanguard S&P 500 ETF (VOO). 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 | VOO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 3.60 | 2.82 | +0.78 |
Sortino ratioReturn per unit of downside risk | 5.81 | 3.89 | +1.92 |
Omega ratioGain probability vs. loss probability | 1.78 | 1.53 | +0.25 |
Calmar ratioReturn relative to maximum drawdown | 7.06 | 3.79 | +3.27 |
Martin ratioReturn relative to average drawdown | 33.82 | 17.49 | +16.33 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CPSD | VOO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.60 | 2.82 | +0.78 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.76 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.83 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.88 | 0.87 | +1.01 |
Drawdowns
CPSD vs. VOO - Drawdown Comparison
The maximum CPSD drawdown since its inception was -3.45%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for CPSD and VOO.
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Drawdown Indicators
| CPSD | VOO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.45% | -33.99% | +30.54% |
Max Drawdown (1Y)Largest decline over 1 year | -1.49% | -8.90% | +7.41% |
Max Drawdown (5Y)Largest decline over 5 years | — | -24.52% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.99% | — |
Current DrawdownCurrent decline from peak | 0.00% | 0.00% | 0.00% |
Average DrawdownAverage peak-to-trough decline | -0.51% | -3.71% | +3.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.31% | 1.93% | -1.62% |
Volatility
CPSD vs. VOO - Volatility Comparison
The current volatility for Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) is 1.03%, while Vanguard S&P 500 ETF (VOO) has a volatility of 5.36%. This indicates that CPSD experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPSD | VOO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.03% | 5.36% | -4.33% |
Volatility (6M)Calculated over the trailing 6-month period | 1.96% | 9.48% | -7.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.06% | 13.07% | -10.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.54% | 16.85% | -13.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.54% | 18.00% | -14.46% |
CPSD vs. VOO - Expense Ratio Comparison
CPSD has a 0.69% expense ratio, which is higher than VOO's 0.03% expense ratio.
Dividends
CPSD vs. VOO - Dividend Comparison
CPSD has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.09%.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
VOO Vanguard S&P 500 ETF | 1.09% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |