CPSM vs. SPYI

Last updated Jun 19, 2026

CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) and SPYI (NEOS S&P 500 High Income ETF) are both exchange-traded funds - CPSM is a Defined Outcome fund actively managed by Calamos, while SPYI is a Derivative Income fund actively managed by Neos. Both are actively managed. Over the past year, CPSM returned 5.67% vs 21.71% for SPYI. A 0.69 correlation means they provide meaningful diversification when combined. CPSM charges 0.69%/yr vs 0.68%/yr for SPYI.

Performance

CPSM vs. SPYI - 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 NEOS S&P 500 High Income ETF (SPYI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSM achieves a 2.15% return, which is significantly lower than SPYI's 7.27% return.

CPSM

• 1D: 0.19%
• 1M: 0.27%
• YTD: 2.15%
• 6M: 2.42%
• 1Y: 5.67%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPYI

• 1D: 0.95%
• 1M: 1.48%
• YTD: 7.27%
• 6M: 8.58%
• 1Y: 21.71%
• 3Y*: 15.66%
• 5Y*: —
• 10Y*: —

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

CPSM vs. SPYI - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.15%	7.21%	6.80%
SPYI NEOS S&P 500 High Income ETF	7.27%	16.67%	14.40%

Correlation

The correlation between CPSM and SPYI is 0.63, 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	0.63
Correlation (All Time) Calculated using the full available price history since May 1, 2024	0.69

The correlation between CPSM and SPYI has been stable across timeframes, ranging from 0.63 to 0.69 - a consistent structural relationship.

Return for Risk

CPSM vs. SPYI — 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: 95
CPSM Sortino Ratio Rank: 97
CPSM Omega Ratio Rank: 96
CPSM Calmar Ratio Rank: 98
CPSM Martin Ratio Rank: 98

SPYI

SPYI Risk / Return Rank: 71
SPYI Sharpe Ratio Rank: 72
SPYI Sortino Ratio Rank: 68
SPYI Omega Ratio Rank: 77
SPYI Calmar Ratio Rank: 61
SPYI Martin Ratio Rank: 79

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. SPYI - 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 NEOS S&P 500 High Income ETF (SPYI). 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.

	CPSM	SPYI	Difference
Sharpe ratio: Return per unit of total volatility	3.47	2.13	+1.34
Sortino ratio: Return per unit of downside risk	5.61	2.89	+2.72
Omega ratio: Gain probability vs. loss probability	1.76	1.42	+0.34
Calmar ratio: Return relative to maximum drawdown	11.64	2.83	+8.81
Martin ratio: Return relative to average drawdown	51.49	14.19	+37.30

CPSM vs. SPYI - Sharpe Ratio Comparison

The current CPSM Sharpe Ratio is 3.47, which is higher than the SPYI Sharpe Ratio of 2.13. The chart below compares the historical Sharpe Ratios of CPSM and SPYI, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CPSM vs. SPYI - Drawdown Comparison

The maximum CPSM drawdown since its inception was -5.19%, smaller than the maximum SPYI drawdown of -16.47%. Use the drawdown chart below to compare losses from any high point for CPSM and SPYI.

Drawdown Indicators

	CPSM	SPYI	Difference
Max Drawdown Largest peak-to-trough decline	-5.19%	-16.47%	+11.28%
Max Drawdown (1Y) Largest decline over 1 year	-0.49%	-7.72%	+7.23%
Max Drawdown (3Y) Largest decline over 3 years	—	-16.47%	—
Current Drawdown Current decline from peak	-0.18%	-0.91%	+0.73%
Average Drawdown Average peak-to-trough decline	-0.20%	-1.81%	+1.61%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.11%	1.53%	-1.42%

Volatility

CPSM vs. SPYI - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) is 0.64%, while NEOS S&P 500 High Income ETF (SPYI) has a volatility of 4.10%. This indicates that CPSM experiences smaller price fluctuations and is considered to be less risky than SPYI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSM	SPYI	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.64%	4.10%	-3.46%
Volatility (6M) Calculated over the trailing 6-month period	1.20%	8.30%	-7.10%
Volatility (1Y) Calculated over the trailing 1-year period	1.65%	10.24%	-8.59%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.05%	13.01%	-7.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.05%	13.01%	-7.96%

CPSM vs. SPYI - Expense Ratio Comparison

CPSM has a 0.69% expense ratio, which is higher than SPYI's 0.68% expense ratio.

Dividends

CPSM vs. SPYI - Dividend Comparison

CPSM has not paid dividends to shareholders, while SPYI's dividend yield for the trailing twelve months is around 12.81%.

Position	TTM	2025	2024	2023	2022
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	0.00%	0.00%	0.00%	0.00%	0.00%
SPYI NEOS S&P 500 High Income ETF	12.81%	11.70%	12.04%	12.01%	4.10%

Frequently Asked Questions

Can I hold both CPSM and SPYI in my portfolio?

CPSM and SPYI have a correlation of 0.63, 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 SPYI?

SPYI has higher volatility (4.10%) compared to CPSM (0.64%). In terms of maximum drawdown, CPSM dropped -5.19% vs SPYI's -16.47%.

Which ETF is better, CPSM or SPYI?

On 1-year performance, SPYI leads with 21.71% vs 5.67% for CPSM. On fees, SPYI is cheaper at 0.68% per year. On volatility, CPSM has been the lower-risk option at 0.64%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSM or SPYI?

Over the 1-year period, SPYI has performed better with a 21.71% return vs 5.67%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSM or SPYI?

SPYI is cheaper with a 0.68% expense ratio, compared with 0.69% for CPSM.

Which ETF pays a higher dividend yield, CPSM or SPYI?

SPYI has the higher dividend yield at 12.81%, compared with 0.00% for CPSM.

What is the main difference between CPSM and SPYI?

CPSM is categorized as Defined Outcome, while SPYI is Derivative Income. They also come from different issuers: Calamos and Neos. Their fees differ too: 0.69% for CPSM and 0.68% for SPYI.

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.47 vs 2.13), 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.