CPSO vs. CAIE

Last updated Jun 6, 2026

CPSO (Calamos S&P 500 Structured Alt Protection ETF - October) and CAIE (Calamos Autocallable Income ETF) are both exchange-traded funds - CPSO 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. CPSO is actively managed, while CAIE is passively managed. A 0.77 correlation means they provide meaningful diversification when combined. CPSO charges 0.69%/yr vs 0.74%/yr for CAIE.

Performance

CPSO vs. CAIE - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - October (CPSO) and Calamos Autocallable Income ETF (CAIE). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSO achieves a 2.48% return, which is significantly lower than CAIE's 7.12% return.

CPSO

• 1D: -0.25%
• 1M: 0.38%
• YTD: 2.48%
• 6M: 2.72%
• 1Y: 7.02%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CAIE

• 1D: -2.11%
• 1M: -0.24%
• YTD: 7.12%
• 6M: 7.13%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSO vs. CAIE - Yearly Performance Comparison

	2026 (YTD)	2025
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	2.48%	3.60%
CAIE Calamos Autocallable Income ETF	7.12%	15.15%

Correlation

The correlation between CPSO and CAIE is 0.77, 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	0.77

Return for Risk

CPSO vs. CAIE — Risk / Return Rank

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

CPSO

CPSO Risk / Return Rank: 93
CPSO Sharpe Ratio Rank: 93
CPSO Sortino Ratio Rank: 96
CPSO Omega Ratio Rank: 95
CPSO Calmar Ratio Rank: 88
CPSO Martin Ratio Rank: 94

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.

CPSO 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 - October (CPSO) 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.

	CPSO	CAIE	Difference
Sharpe ratio: Return per unit of total volatility	3.27	—	—
Sortino ratio: Return per unit of downside risk	5.24	—	—
Omega ratio: Gain probability vs. loss probability	1.72	—	—
Calmar ratio: Return relative to maximum drawdown	4.87	—	—
Martin ratio: Return relative to average drawdown	24.45	—	—
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

Sharpe Ratios by Period

	CPSO	CAIE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.27	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.90	2.06	-0.16

Drawdowns

CPSO vs. CAIE - Drawdown Comparison

The maximum CPSO drawdown since its inception was -3.23%, smaller than the maximum CAIE drawdown of -7.73%. Use the drawdown chart below to compare losses from any high point for CPSO and CAIE.

Drawdown Indicators

	CPSO	CAIE	Difference
Max Drawdown Largest peak-to-trough decline	-3.23%	-7.73%	+4.50%
Max Drawdown (1Y) Largest decline over 1 year	-1.45%	—	—
Current Drawdown Current decline from peak	-0.25%	-2.18%	+1.93%
Average Drawdown Average peak-to-trough decline	-0.33%	-1.06%	+0.73%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.29%	—	—

Volatility

Volatility by Period

	CPSO	CAIE	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.39%	—	—
Volatility (6M) Calculated over the trailing 6-month period	1.68%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	2.16%	12.09%	-9.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.02%	12.09%	-9.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.02%	12.09%	-9.07%

CPSO vs. CAIE - Expense Ratio Comparison

CPSO has a 0.69% expense ratio, which is lower than CAIE's 0.74% expense ratio.

Dividends

CPSO vs. CAIE - Dividend Comparison

CPSO has not paid dividends to shareholders, while CAIE's dividend yield for the trailing twelve months is around 13.33%.

Position	TTM	2025
CAIE Calamos Autocallable Income ETF	13.33%	7.46%
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	0.00%	0.00%

Frequently Asked Questions

Can I hold both CPSO and CAIE in my portfolio?

CPSO and CAIE have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, CPSO or CAIE?

On fees, CPSO is cheaper at 0.69% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, CPSO or CAIE?

CPSO is cheaper with a 0.69% expense ratio, compared with 0.74% for CAIE.

Which ETF pays a higher dividend yield, CPSO or CAIE?

CAIE has the higher dividend yield at 13.33%, compared with 0.00% for CPSO.

What is the main difference between CPSO and CAIE?

CPSO is categorized as Defined Outcome, while CAIE is Derivative Income. Their fees differ too: 0.69% for CPSO and 0.74% for CAIE.