CPSF vs. PMMY

Last updated Jun 4, 2026

CPSF (Calamos S&P 500 Structured Alt Protection ETF - February) and PMMY (PGIM S&P 500 Max Buffer ETF - May) are both Defined Outcome funds. Both are actively managed. Over the past year, CPSF returned 7.72% vs 5.98% for PMMY. A 0.74 correlation means they provide meaningful diversification when combined. CPSF charges 0.69%/yr vs 0.50%/yr for PMMY.

Performance

CPSF 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 - February (CPSF) and PGIM S&P 500 Max Buffer ETF - May (PMMY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with CPSF having a 2.27% return and PMMY slightly lower at 2.19%.

CPSF

• 1D: -0.19%
• 1M: 0.56%
• YTD: 2.27%
• 6M: 2.93%
• 1Y: 7.72%
• 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)

CPSF vs. PMMY - Yearly Performance Comparison

	2026 (YTD)	2025
CPSF Calamos S&P 500 Structured Alt Protection ETF - February	2.27%	6.79%
PMMY PGIM S&P 500 Max Buffer ETF - May	2.19%	4.59%

Correlation

The correlation between CPSF and PMMY is 0.78, 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	0.78
Correlation (All Time) Calculated using the full available price history since May 2, 2025	0.74

The correlation between CPSF and PMMY has been stable across timeframes, ranging from 0.74 to 0.78 - a consistent structural relationship.

Return for Risk

CPSF vs. PMMY — 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

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.

CPSF 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 - February (CPSF) 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.

	CPSF	PMMY	Difference
Sharpe ratio: Return per unit of total volatility	3.73	5.35	-1.62
Sortino ratio: Return per unit of downside risk	6.01	9.00	-2.99
Omega ratio: Gain probability vs. loss probability	1.82	2.45	-0.63
Calmar ratio: Return relative to maximum drawdown	5.97	16.90	-10.93
Martin ratio: Return relative to average drawdown	29.19	89.69	-60.50
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSF vs. PMMY - Sharpe Ratio Comparison

The current CPSF Sharpe Ratio is 3.73, which is lower than the PMMY Sharpe Ratio of 5.35. The chart below compares the historical Sharpe Ratios of CPSF 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

	CPSF	PMMY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.73	5.35	-1.62
Sharpe Ratio (All Time) Calculated using the full available price history	2.28	4.56	-2.28

Drawdowns

CPSF vs. PMMY - Drawdown Comparison

The maximum CPSF drawdown since its inception was -2.89%, which is greater than PMMY's maximum drawdown of -0.36%. Use the drawdown chart below to compare losses from any high point for CPSF and PMMY.

Drawdown Indicators

	CPSF	PMMY	Difference
Max Drawdown Largest peak-to-trough decline	-2.89%	-0.36%	-2.53%
Max Drawdown (1Y) Largest decline over 1 year	-1.30%	-0.36%	-0.94%
Current Drawdown Current decline from peak	-0.19%	-0.04%	-0.15%
Average Drawdown Average peak-to-trough decline	-0.35%	-0.04%	-0.31%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	0.07%	+0.19%

Volatility

CPSF vs. PMMY - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - February (CPSF) has a higher volatility of 0.43% compared to PGIM S&P 500 Max Buffer ETF - May (PMMY) at 0.36%. This indicates that CPSF's price experiences larger fluctuations and is considered to be riskier than PMMY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSF	PMMY	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.43%	0.36%	+0.07%
Volatility (6M) Calculated over the trailing 6-month period	1.40%	0.87%	+0.53%
Volatility (1Y) Calculated over the trailing 1-year period	2.09%	1.12%	+0.97%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.82%	1.39%	+1.43%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.82%	1.39%	+1.43%

CPSF vs. PMMY - Expense Ratio Comparison

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

Dividends

CPSF vs. PMMY - Dividend Comparison

Neither CPSF nor PMMY has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSF and PMMY in my portfolio?

CPSF and PMMY have a correlation of 0.78, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSF or PMMY?

CPSF has higher volatility (0.43%) compared to PMMY (0.36%). In terms of maximum drawdown, CPSF dropped -2.89% vs PMMY's -0.36%.

Which ETF is better, CPSF or PMMY?

On 1-year performance, CPSF leads with 7.72% 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, CPSF or PMMY?

Over the 1-year period, CPSF has performed better with a 7.72% return vs 5.98%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSF or PMMY?

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

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

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

What is the main difference between CPSF and PMMY?

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

Which has better risk-adjusted returns?

PMMY currently has the higher Sharpe Ratio (5.35 vs 3.73), 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.