CPSM vs. FNILX

Last updated Jun 4, 2026

CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) and FNILX (Fidelity ZERO Large Cap Index Fund) are both funds - CPSM is a Defined Outcome fund actively managed by Calamos, while FNILX is a Large Cap Blend Equities fund managed by Fidelity. Over the past year, CPSM returned 5.88% vs 28.65% for FNILX. A 0.68 correlation means they provide meaningful diversification when combined. CPSM charges 0.69%/yr vs 0.00%/yr for FNILX.

Performance

CPSM vs. FNILX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) and Fidelity ZERO Large Cap Index Fund (FNILX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSM achieves a 2.27% return, which is significantly lower than FNILX's 11.56% return.

CPSM

• 1D: -0.06%
• 1M: 0.71%
• YTD: 2.27%
• 6M: 2.72%
• 1Y: 5.88%
• 3Y*: —
• 5Y*: —
• 10Y*: —

FNILX

• 1D: 0.26%
• 1M: 6.04%
• YTD: 11.56%
• 6M: 11.44%
• 1Y: 28.65%
• 3Y*: 23.01%
• 5Y*: 14.13%
• 10Y*: —

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

CPSM vs. FNILX - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.27%	7.21%	6.67%
FNILX Fidelity ZERO Large Cap Index Fund	11.56%	17.81%	18.71%

Correlation

The correlation between CPSM and FNILX is 0.61, 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	0.61
Correlation (All Time) Calculated using the full available price history since May 2, 2024	0.68

The correlation between CPSM and FNILX has been stable across timeframes, ranging from 0.61 to 0.68 - a consistent structural relationship.

Return for Risk

CPSM vs. FNILX — Risk / Return Rank

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

CPSM

CPSM Risk / Return Rank: 97
CPSM Sharpe Ratio Rank: 94
CPSM Sortino Ratio Rank: 97
CPSM Omega Ratio Rank: 96
CPSM Calmar Ratio Rank: 98
CPSM Martin Ratio Rank: 98

FNILX

FNILX Risk / Return Rank: 71
FNILX Sharpe Ratio Rank: 73
FNILX Sortino Ratio Rank: 65
FNILX Omega Ratio Rank: 64
FNILX Calmar Ratio Rank: 72
FNILX Martin Ratio Rank: 80

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.

CPSM vs. FNILX - 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 Fidelity ZERO Large Cap Index Fund (FNILX). 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	FNILX	Difference
Sharpe ratio: Return per unit of total volatility	3.78	2.48	+1.30
Sortino ratio: Return per unit of downside risk	6.33	3.36	+2.97
Omega ratio: Gain probability vs. loss probability	1.84	1.45	+0.39
Calmar ratio: Return relative to maximum drawdown	13.01	3.28	+9.73
Martin ratio: Return relative to average drawdown	61.11	15.01	+46.10
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSM vs. FNILX - Sharpe Ratio Comparison

The current CPSM Sharpe Ratio is 3.78, which is higher than the FNILX Sharpe Ratio of 2.48. The chart below compares the historical Sharpe Ratios of CPSM and FNILX, 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

	CPSM	FNILX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.78	2.48	+1.30
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.82	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.54	0.76	+0.78

Drawdowns

CPSM vs. FNILX - Drawdown Comparison

The maximum CPSM drawdown since its inception was -5.19%, smaller than the maximum FNILX drawdown of -33.76%. Use the drawdown chart below to compare losses from any high point for CPSM and FNILX.

Drawdown Indicators

	CPSM	FNILX	Difference
Max Drawdown Largest peak-to-trough decline	-5.19%	-33.76%	+28.57%
Max Drawdown (1Y) Largest decline over 1 year	-0.45%	-9.01%	+8.56%
Max Drawdown (3Y) Largest decline over 3 years	—	-19.08%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-25.40%	—
Current Drawdown Current decline from peak	-0.06%	0.00%	-0.06%
Average Drawdown Average peak-to-trough decline	-0.20%	-5.37%	+5.17%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.10%	1.97%	-1.87%

Volatility

CPSM vs. FNILX - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) is 0.35%, while Fidelity ZERO Large Cap Index Fund (FNILX) has a volatility of 2.88%. This indicates that CPSM experiences smaller price fluctuations and is considered to be less risky than FNILX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSM	FNILX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.35%	2.88%	-2.53%
Volatility (6M) Calculated over the trailing 6-month period	1.14%	8.99%	-7.85%
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%	17.25%	-12.15%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.10%	20.04%	-14.94%

CPSM vs. FNILX - Expense Ratio Comparison

CPSM has a 0.69% expense ratio, which is higher than FNILX's 0.00% expense ratio.

Dividends

CPSM vs. FNILX - Dividend Comparison

CPSM has not paid dividends to shareholders, while FNILX's dividend yield for the trailing twelve months is around 0.91%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
FNILX Fidelity ZERO Large Cap Index Fund	0.91%	1.01%	1.09%	1.34%	1.53%	0.95%	1.20%	1.17%	0.53%

Frequently Asked Questions

Can I hold both CPSM and FNILX in my portfolio?

CPSM and FNILX have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSM or FNILX?

FNILX has higher volatility (2.88%) compared to CPSM (0.35%). In terms of maximum drawdown, CPSM dropped -5.19% vs FNILX's -33.76%.

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.78 vs 2.48), 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.