CPSF vs. SROI

Last updated Jun 4, 2026

CPSF (Calamos S&P 500 Structured Alt Protection ETF - February) and SROI (Calamos Antetokounmpo Global Sustainable Equities ETF) are both exchange-traded funds - CPSF is a Defined Outcome fund actively managed by Calamos, while SROI is a Global Equities fund actively managed by Calamos. Both are actively managed. Over the past year, CPSF returned 7.72% vs 20.66% for SROI. Their correlation of 0.82 suggests significant overlap in exposure. CPSF charges 0.69%/yr vs 0.95%/yr for SROI.

Performance

CPSF vs. SROI - 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 Antetokounmpo Global Sustainable Equities ETF (SROI). 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 SROI's 11.06% return.

CPSF

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

SROI

• 1D: -0.71%
• 1M: 3.89%
• YTD: 11.06%
• 6M: 11.15%
• 1Y: 20.66%
• 3Y*: 14.52%
• 5Y*: —
• 10Y*: —

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

CPSF vs. SROI - Yearly Performance Comparison

	2026 (YTD)	2025
CPSF Calamos S&P 500 Structured Alt Protection ETF - February	2.27%	6.18%
SROI Calamos Antetokounmpo Global Sustainable Equities ETF	11.06%	14.55%

Correlation

The correlation between CPSF and SROI 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 (1Y) Calculated over the trailing 1-year period	0.83
Correlation (All Time) Calculated using the full available price history since Feb 4, 2025	0.82

The correlation between CPSF and SROI has been stable across timeframes, ranging from 0.82 to 0.83 - a consistent structural relationship.

CPSF vs. SROI - Sectors Allocation Comparison

Sectors	CPSF	SROI
Technology	35.1%	29.6%
Financial Services	13.1%	13.6%
Communication Services	10.9%	7.4%
Consumer Cyclical	10.6%	9.2%
Healthcare	9.6%	8.8%
Industrials	7.5%	18.1%
Consumer Defensive	4.7%	5.3%
Energy	2.8%	0.8%
Utilities	2.3%	2.5%
Real Estate	1.8%	1.0%
Basic Materials	1.7%	4.4%

Return for Risk

CPSF vs. SROI — 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

SROI

SROI Risk / Return Rank: 46
SROI Sharpe Ratio Rank: 45
SROI Sortino Ratio Rank: 46
SROI Omega Ratio Rank: 44
SROI Calmar Ratio Rank: 42
SROI Martin Ratio Rank: 52

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. SROI - 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 Antetokounmpo Global Sustainable Equities ETF (SROI). 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	SROI	Difference
Sharpe ratio: Return per unit of total volatility	3.73	1.55	+2.17
Sortino ratio: Return per unit of downside risk	6.01	2.24	+3.77
Omega ratio: Gain probability vs. loss probability	1.82	1.28	+0.55
Calmar ratio: Return relative to maximum drawdown	5.97	2.04	+3.93
Martin ratio: Return relative to average drawdown	29.19	8.77	+20.42
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. SROI - Sharpe Ratio Comparison

The current CPSF Sharpe Ratio is 3.73, which is higher than the SROI Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of CPSF and SROI, 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	SROI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.73	1.55	+2.17
Sharpe Ratio (All Time) Calculated using the full available price history	2.28	1.01	+1.27

Drawdowns

CPSF vs. SROI - Drawdown Comparison

The maximum CPSF drawdown since its inception was -2.89%, smaller than the maximum SROI drawdown of -15.38%. Use the drawdown chart below to compare losses from any high point for CPSF and SROI.

Drawdown Indicators

	CPSF	SROI	Difference
Max Drawdown Largest peak-to-trough decline	-2.89%	-15.38%	+12.49%
Max Drawdown (1Y) Largest decline over 1 year	-1.30%	-10.19%	+8.89%
Max Drawdown (3Y) Largest decline over 3 years	—	-15.38%	—
Current Drawdown Current decline from peak	-0.19%	-0.71%	+0.52%
Average Drawdown Average peak-to-trough decline	-0.35%	-2.42%	+2.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	2.36%	-2.10%

Volatility

CPSF vs. SROI - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - February (CPSF) is 0.43%, while Calamos Antetokounmpo Global Sustainable Equities ETF (SROI) has a volatility of 4.00%. This indicates that CPSF experiences smaller price fluctuations and is considered to be less risky than SROI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSF	SROI	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.43%	4.00%	-3.57%
Volatility (6M) Calculated over the trailing 6-month period	1.40%	10.86%	-9.46%
Volatility (1Y) Calculated over the trailing 1-year period	2.09%	13.38%	-11.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.82%	13.87%	-11.05%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.82%	13.87%	-11.05%

CPSF vs. SROI - Expense Ratio Comparison

CPSF has a 0.69% expense ratio, which is lower than SROI's 0.95% expense ratio.

Dividends

CPSF vs. SROI - Dividend Comparison

CPSF has not paid dividends to shareholders, while SROI's dividend yield for the trailing twelve months is around 0.54%.

Position	TTM	2025	2024	2023
CPSF Calamos S&P 500 Structured Alt Protection ETF - February	0.00%	0.00%	0.00%	0.00%
SROI Calamos Antetokounmpo Global Sustainable Equities ETF	0.54%	0.60%	0.68%	0.94%

Frequently Asked Questions

Can I hold both CPSF and SROI in my portfolio?

CPSF and SROI 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 is riskier, CPSF or SROI?

SROI has higher volatility (4.00%) compared to CPSF (0.43%). In terms of maximum drawdown, CPSF dropped -2.89% vs SROI's -15.38%.

Which ETF is better, CPSF or SROI?

On 1-year performance, SROI leads with 20.66% vs 7.72% for CPSF. On fees, CPSF is cheaper at 0.69% per year. On volatility, CPSF has been the lower-risk option at 0.43%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSF or SROI?

Over the 1-year period, SROI has performed better with a 20.66% return vs 7.72%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSF or SROI?

CPSF is cheaper with a 0.69% expense ratio, compared with 0.95% for SROI.

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

SROI has the higher dividend yield at 0.54%, compared with 0.00% for CPSF.

What is the main difference between CPSF and SROI?

CPSF is categorized as Defined Outcome, while SROI is Global Equities. Their fees differ too: 0.69% for CPSF and 0.95% for SROI.

Which has better risk-adjusted returns?

CPSF currently has the higher Sharpe Ratio (3.73 vs 1.55), 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.