CPSM vs. VOO
Compare and contrast key facts about Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) and Vanguard S&P 500 ETF (VOO).
CPSM and VOO are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CPSM is an actively managed fund by Calamos. It was launched on May 1, 2024. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Performance
CPSM vs. VOO - Performance Comparison
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CPSM vs. VOO - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 0.81% | 7.21% | 6.67% |
VOO Vanguard S&P 500 ETF | -4.42% | 17.82% | 18.31% |
Returns By Period
In the year-to-date period, CPSM achieves a 0.81% return, which is significantly higher than VOO's -4.42% return.
CPSM
- 1D
- 0.28%
- 1M
- 0.09%
- YTD
- 0.81%
- 6M
- 2.00%
- 1Y
- 7.34%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
VOO
- 1D
- 2.86%
- 1M
- -5.01%
- YTD
- -4.42%
- 6M
- -1.84%
- 1Y
- 17.67%
- 3Y*
- 18.27%
- 5Y*
- 11.75%
- 10Y*
- 14.05%
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CPSM vs. VOO - Expense Ratio Comparison
CPSM has a 0.69% expense ratio, which is higher than VOO's 0.03% expense ratio.
Return for Risk
CPSM vs. VOO — Risk / Return Rank
CPSM
VOO
CPSM vs. VOO - 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 Vanguard S&P 500 ETF (VOO). 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 | VOO | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.10 | 0.98 | +0.12 |
Sortino ratioReturn per unit of downside risk | 1.70 | 1.50 | +0.20 |
Omega ratioGain probability vs. loss probability | 1.45 | 1.23 | +0.22 |
Calmar ratioReturn relative to maximum drawdown | 1.51 | 1.53 | -0.02 |
Martin ratioReturn relative to average drawdown | 9.75 | 7.29 | +2.46 |
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 | VOO | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.10 | 0.98 | +0.12 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.70 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.78 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.47 | 0.83 | +0.63 |
Correlation
The correlation between CPSM and VOO is 0.71, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
CPSM vs. VOO - Dividend Comparison
CPSM has not paid dividends to shareholders, while VOO's dividend yield for the trailing twelve months is around 1.19%.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.19% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
Drawdowns
CPSM vs. VOO - Drawdown Comparison
The maximum CPSM drawdown since its inception was -5.19%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for CPSM and VOO.
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Drawdown Indicators
| CPSM | VOO | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.19% | -33.99% | +28.80% |
Max Drawdown (1Y)Largest decline over 1 year | -4.99% | -11.98% | +6.99% |
Max Drawdown (5Y)Largest decline over 5 years | — | -24.52% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.99% | — |
Current DrawdownCurrent decline from peak | -0.08% | -6.29% | +6.21% |
Average DrawdownAverage peak-to-trough decline | -0.22% | -3.72% | +3.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.77% | 2.52% | -1.75% |
Volatility
CPSM vs. VOO - Volatility Comparison
The current volatility for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) is 0.68%, while Vanguard S&P 500 ETF (VOO) has a volatility of 5.29%. This indicates that CPSM experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPSM | VOO | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.68% | 5.29% | -4.61% |
Volatility (6M)Calculated over the trailing 6-month period | 1.18% | 9.44% | -8.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.69% | 18.10% | -11.41% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.31% | 16.82% | -11.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.31% | 17.99% | -12.68% |