CPSF vs. CAIE

Last updated Jun 4, 2026

CPSF (Calamos S&P 500 Structured Alt Protection ETF - February) and CAIE (Calamos Autocallable Income ETF) are both exchange-traded funds - CPSF is a Defined Outcome fund actively managed by Calamos, while CAIE is a Derivative Income fund tracking the MerQube US Large Cap Vol Advantage Autocallable Index. CPSF is actively managed, while CAIE is passively managed. Their correlation of 0.83 suggests significant overlap in exposure. CPSF charges 0.69%/yr vs 0.74%/yr for CAIE.

Performance

CPSF vs. CAIE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - February (CPSF) and Calamos Autocallable Income ETF (CAIE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSF achieves a 2.27% return, which is significantly lower than CAIE's 9.06% return.

CPSF

• 1D: -0.19%
• 1M: 0.56%
• YTD: 2.27%
• 6M: 2.93%
• 1Y: 7.72%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CAIE

• 1D: -0.40%
• 1M: 3.61%
• YTD: 9.06%
• 6M: 9.11%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSF vs. CAIE - Yearly Performance Comparison

	2026 (YTD)	2025
CPSF Calamos S&P 500 Structured Alt Protection ETF - February	2.27%	4.56%
CAIE Calamos Autocallable Income ETF	9.06%	15.15%

Correlation

The correlation between CPSF and CAIE is 0.83, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (All Time) Calculated using the full available price history since Jun 26, 2025	0.83

CPSF vs. CAIE - Sectors Allocation Comparison

Sectors	CPSF	CAIE
Technology	35.1%	-
Financial Services	13.1%	-
Communication Services	10.9%	-
Consumer Cyclical	10.6%	-
Healthcare	9.6%	-
Industrials	7.5%	-
Consumer Defensive	4.7%	-
Energy	2.8%	-
Utilities	2.3%	-
Real Estate	1.8%	-
Basic Materials	1.7%	13.4%

Return for Risk

CPSF vs. CAIE — Risk / Return Rank

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

CPSF

CPSF Risk / Return Rank: 95
CPSF Sharpe Ratio Rank: 95
CPSF Sortino Ratio Rank: 97
CPSF Omega Ratio Rank: 96
CPSF Calmar Ratio Rank: 91
CPSF 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.

CPSF vs. CAIE - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - February (CPSF) and Calamos Autocallable Income ETF (CAIE). 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.

	CPSF	CAIE	Difference
Sharpe ratio: Return per unit of total volatility	3.73	—	—
Sortino ratio: Return per unit of downside risk	6.01	—	—
Omega ratio: Gain probability vs. loss probability	1.82	—	—
Calmar ratio: Return relative to maximum drawdown	5.97	—	—
Martin ratio: Return relative to average drawdown	29.19	—	—
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

Sharpe Ratios by Period

	CPSF	CAIE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.73	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	2.28	2.31	-0.03

Drawdowns

CPSF vs. CAIE - Drawdown Comparison

The maximum CPSF drawdown since its inception was -2.89%, smaller than the maximum CAIE drawdown of -7.73%. Use the drawdown chart below to compare losses from any high point for CPSF and CAIE.

Drawdown Indicators

	CPSF	CAIE	Difference
Max Drawdown Largest peak-to-trough decline	-2.89%	-7.73%	+4.84%
Max Drawdown (1Y) Largest decline over 1 year	-1.30%	—	—
Current Drawdown Current decline from peak	-0.19%	-0.40%	+0.21%
Average Drawdown Average peak-to-trough decline	-0.35%	-1.06%	+0.71%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	—	—

Volatility

Volatility by Period

	CPSF	CAIE	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.43%	—	—
Volatility (6M) Calculated over the trailing 6-month period	1.40%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	2.09%	11.93%	-9.84%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.82%	11.93%	-9.11%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.82%	11.93%	-9.11%

CPSF vs. CAIE - Expense Ratio Comparison

CPSF has a 0.69% expense ratio, which is lower than CAIE's 0.74% expense ratio.

Dividends

CPSF vs. CAIE - Dividend Comparison

CPSF has not paid dividends to shareholders, while CAIE's dividend yield for the trailing twelve months is around 13.09%.

Position	TTM	2025
CAIE Calamos Autocallable Income ETF	13.09%	7.46%
CPSF Calamos S&P 500 Structured Alt Protection ETF - February	0.00%	0.00%

Frequently Asked Questions

Can I hold both CPSF and CAIE in my portfolio?

CPSF and CAIE have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, CPSF or CAIE?

On fees, CPSF is cheaper at 0.69% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, CPSF or CAIE?

CPSF is cheaper with a 0.69% expense ratio, compared with 0.74% for CAIE.

Which ETF pays a higher dividend yield, CPSF or CAIE?

CAIE has the higher dividend yield at 13.09%, compared with 0.00% for CPSF.

What is the main difference between CPSF and CAIE?

CPSF is categorized as Defined Outcome, while CAIE is Derivative Income. Their fees differ too: 0.69% for CPSF and 0.74% for CAIE.