CPSM vs. CAIE
CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) and CAIE (Calamos Autocallable Income ETF) are both exchange-traded funds - CPSM 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. CPSM is actively managed, while CAIE is passively managed. A 0.53 correlation means they provide meaningful diversification when combined. CPSM charges 0.69%/yr vs 0.74%/yr for CAIE.
Performance
CPSM vs. CAIE - Performance Comparison
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Returns By Period
In the year-to-date period, CPSM achieves a 2.27% return, which is significantly lower than CAIE's 9.06% return.
CPSM
- 1D
- -0.06%
- 1M
- 0.71%
- YTD
- 2.27%
- 6M
- 2.72%
- 1Y
- 5.88%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CAIE
- 1D
- -0.40%
- 1M
- 3.61%
- YTD
- 9.06%
- 6M
- 9.11%
- 1Y
- —
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CPSM vs. CAIE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 2.27% | 3.00% |
CAIE Calamos Autocallable Income ETF | 9.06% | 15.15% |
Correlation
The correlation between CPSM and CAIE is 0.53, 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 Jun 26, 2025 | 0.53 |
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Return for Risk
CPSM vs. CAIE — Risk / Return Rank
CPSM
CAIE
CPSM 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 - May (CPSM) 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.
| CPSM | CAIE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | 1.84 | — | — |
| Calmar ratioReturn relative to maximum drawdown | 13.01 | — | — |
| Martin ratioReturn relative to average drawdown | 61.11 | — | — |
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
| CPSM | CAIE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.78 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.54 | 2.31 | -0.77 |
Drawdowns
CPSM vs. CAIE - Drawdown Comparison
The maximum CPSM drawdown since its inception was -5.19%, smaller than the maximum CAIE drawdown of -7.73%. Use the drawdown chart below to compare losses from any high point for CPSM and CAIE.
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Drawdown Indicators
| CPSM | CAIE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.19% | -7.73% | +2.54% |
Max Drawdown (1Y)Largest decline over 1 year | -0.45% | — | — |
Current DrawdownCurrent decline from peak | -0.06% | -0.40% | +0.34% |
Average DrawdownAverage peak-to-trough decline | -0.20% | -1.06% | +0.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.10% | — | — |
Volatility
CPSM vs. CAIE - Volatility Comparison
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Volatility by Period
| CPSM | CAIE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.35% | — | — |
Volatility (6M)Calculated over the trailing 6-month period | 1.14% | — | — |
Volatility (1Y)Calculated over the trailing 1-year period | 1.57% | 11.93% | -10.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.10% | 11.93% | -6.83% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.10% | 11.93% | -6.83% |
CPSM vs. CAIE - Expense Ratio Comparison
CPSM has a 0.69% expense ratio, which is lower than CAIE's 0.74% expense ratio.
Dividends
CPSM vs. CAIE - Dividend Comparison
CPSM 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% |
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 0.00% | 0.00% |
Frequently Asked Questions
CPSM and CAIE have a correlation of 0.53, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, CPSM is cheaper at 0.69% per year. The better choice depends on whether you care most about return, fees, risk, or income.
CPSM is cheaper with a 0.69% expense ratio, compared with 0.74% for CAIE.
CAIE has the higher dividend yield at 13.09%, compared with 0.00% for CPSM.
CPSM is categorized as Defined Outcome, while CAIE is Derivative Income. Their fees differ too: 0.69% for CPSM and 0.74% for CAIE.
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