CPSF vs. PMSE

Last updated Jul 15, 2026

CPSF (Calamos S&P 500 Structured Alt Protection ETF - February) and PMSE (PGIM S&P 500 Max Buffer ETF - September) are both Defined Outcome funds. Both are actively managed. A 0.79 correlation means they provide meaningful diversification when combined. CPSF charges 0.69%/yr vs 0.50%/yr for PMSE.

Performance

CPSF vs. PMSE - 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 - September (PMSE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSF achieves a 2.70% return, which is significantly lower than PMSE's 3.42% return.

CPSF

• 1D: 0.06%
• 1M: 0.42%
• 6M: 2.48%
• YTD: 2.70%
• 1Y: 6.57%
• 3Y*: —
• 5Y*: —
• 10Y*: —

PMSE

• 1D: 0.04%
• 1M: 0.72%
• 6M: 3.10%
• YTD: 3.42%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSF vs. PMSE - Yearly Performance Comparison

	2026 (YTD)	2025
CPSF Calamos S&P 500 Structured Alt Protection ETF - February	2.70%	2.56%
PMSE PGIM S&P 500 Max Buffer ETF - September	3.42%	2.13%

Correlation

The correlation between CPSF and PMSE is 0.79, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (All Time) Calculated using the full available price history since Sep 2, 2025	0.79

Return for Risk

CPSF vs. PMSE — 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: 96
CPSF Sortino Ratio Rank: 97
CPSF Omega Ratio Rank: 96
CPSF Calmar Ratio Rank: 93
CPSF Martin Ratio Rank: 95

PMSE

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

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. PMSE - 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 - September (PMSE). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	CPSF	PMSE	Difference
Sharpe ratio: Return per unit of total volatility	3.19	—	—
Sortino ratio: Return per unit of downside risk	5.01	—	—
Omega ratio: Gain probability vs. loss probability	1.67	—	—
Calmar ratio: Return relative to maximum drawdown	5.08	—	—
Martin ratio: Return relative to average drawdown	24.26	—	—

Drawdowns

CPSF vs. PMSE - Drawdown Comparison

The maximum CPSF drawdown since its inception was -2.89%, which is greater than PMSE's maximum drawdown of -1.44%. Use the drawdown chart below to compare losses from any high point for CPSF and PMSE.

Drawdown Indicators

	CPSF	PMSE	Difference
Max Drawdown Largest peak-to-trough decline	-2.89%	-1.44%	-1.45%
Max Drawdown (1Y) Largest decline over 1 year	-1.30%	—	—
Current Drawdown Current decline from peak	-0.06%	0.00%	-0.06%
Average Drawdown Average peak-to-trough decline	-0.34%	-0.16%	-0.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.27%	—	—

Volatility

Volatility by Period

	CPSF	PMSE	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.49%	—	—
Volatility (6M) Calculated over the trailing 6-month period	1.49%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	2.07%	2.22%	-0.15%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.76%	2.22%	+0.54%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.76%	2.22%	+0.54%

CPSF vs. PMSE - Expense Ratio Comparison

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

Dividends

CPSF vs. PMSE - Dividend Comparison

Neither CPSF nor PMSE has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSF and PMSE in my portfolio?

CPSF and PMSE have a correlation of 0.79, 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 PMSE?

On fees, PMSE is cheaper at 0.50% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, CPSF or PMSE?

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

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

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

What is the main difference between CPSF and PMSE?

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