CPSO vs. CCEF

Last updated Aug 2, 2026

CPSO (Calamos S&P 500 Structured Alt Protection ETF - October) and CCEF (Calamos CEF Income & Arbitrage ETF) are both exchange-traded funds - CPSO is a Defined Outcome fund actively managed by Calamos, while CCEF is a Dividend fund actively managed by Calamos. Both are actively managed. Over the past year, CPSO returned 6.34% vs 12.87% for CCEF. Their 0.70 correlation means they have sometimes moved together and sometimes differently. CPSO charges 0.69%/yr vs 2.74%/yr for CCEF.

Performance

CPSO vs. CCEF - 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 CEF Income & Arbitrage ETF (CCEF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSO achieves a 3.56% return, which is significantly lower than CCEF's 6.53% return.

CPSO

• 1D: 0.17%
• 1M: 0.60%
• 6M: 3.06%
• YTD: 3.56%
• 1Y: 6.34%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 5.87%

CCEF

• 1D: 0.34%
• 1M: -0.32%
• 6M: 3.30%
• YTD: 6.53%
• 1Y: 12.87%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 14.94%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CCEF Calamos CEF Income & Arbitrage ETF	$74.18K	$103.33K	$101.25K
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	$74.80K	$43.90K	$28.49K

CPSO vs. CCEF - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	3.56%	6.24%	0.89%
CCEF Calamos CEF Income & Arbitrage ETF	6.53%	13.47%	-1.97%

Correlation

The correlation between CPSO and CCEF is 0.74, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.74
Correlation (All Time) Calculated using the full available price history since Oct 1, 2024	0.70

The correlation between CPSO and CCEF has been stable across timeframes, ranging from 0.70 to 0.74 - a consistent structural relationship.

Return for Risk

CPSO vs. CCEF — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

CPSO

CPSO Risk / Return Rank: 95
CPSO Sharpe Ratio Rank: 95
CPSO Sortino Ratio Rank: 96
CPSO Omega Ratio Rank: 95
CPSO Calmar Ratio Rank: 92
CPSO Martin Ratio Rank: 95

CCEF

CCEF Risk / Return Rank: 57
CCEF Sharpe Ratio Rank: 63
CCEF Sortino Ratio Rank: 61
CCEF Omega Ratio Rank: 63
CCEF Calmar Ratio Rank: 44
CCEF Martin Ratio Rank: 57

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

CPSO vs. CCEF - 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 CEF Income & Arbitrage ETF (CCEF). 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.

	CPSO	CCEF	Difference
Sharpe ratio: Return per unit of total volatility	2.77	1.45	+1.32
Sortino ratio: Return per unit of downside risk	4.35	2.04	+2.31
Omega ratio: Gain probability vs. loss probability	1.59	1.27	+0.32
Calmar ratio: Return relative to maximum drawdown	4.21	1.58	+2.64
Martin ratio: Return relative to average drawdown	20.90	6.74	+14.15

CPSO vs. CCEF - Sharpe Ratio Comparison

The current CPSO Sharpe Ratio is 2.77, which is higher than the CCEF Sharpe Ratio of 1.45. The chart below compares the historical Sharpe Ratios of CPSO and CCEF, 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

CPSO vs. CCEF - Drawdown Comparison

The maximum CPSO drawdown since its inception was -3.23%, smaller than the maximum CCEF drawdown of -13.25%. Use the drawdown chart below to compare losses from any high point for CPSO and CCEF.

Drawdown Indicators

	CPSO	CCEF	Difference
Max Drawdown Largest peak-to-trough decline	-3.23%	-13.25%	+10.02%
Max Drawdown (1Y) Largest decline over 1 year	-1.45%	-7.75%	+6.30%
Current Drawdown Current decline from peak	0.00%	-0.86%	+0.86%
Average Drawdown Average peak-to-trough decline	-0.31%	-1.32%	+1.01%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.29%	1.81%	-1.52%

Volatility

CPSO vs. CCEF - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - October (CPSO) is 0.71%, while Calamos CEF Income & Arbitrage ETF (CCEF) has a volatility of 2.06%. This indicates that CPSO experiences smaller price fluctuations and is considered to be less risky than CCEF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSO	CCEF	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.71%	2.06%	-1.35%
Volatility (6M) Calculated over the trailing 6-month period	1.79%	7.14%	-5.35%
Volatility (1Y) Calculated over the trailing 1-year period	2.21%	8.41%	-6.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.96%	10.66%	-7.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.96%	10.66%	-7.70%

CPSO vs. CCEF - Expense Ratio Comparison

CPSO has a 0.69% expense ratio, which is lower than CCEF's 2.74% expense ratio.

Dividends

CPSO vs. CCEF - Dividend Comparison

CPSO has not paid dividends to shareholders, while CCEF's dividend yield for the trailing twelve months is around 8.01%.

Position	TTM	2025	2024
CCEF Calamos CEF Income & Arbitrage ETF	7.36%	8.08%	6.55%
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CPSO and CCEF in my portfolio?

CPSO and CCEF have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSO or CCEF?

CCEF has higher volatility (2.06%) compared to CPSO (0.71%). In terms of maximum drawdown, CPSO dropped -3.23% vs CCEF's -13.25%.

Which ETF is better, CPSO or CCEF?

On 1-year performance, CCEF leads with 12.87% vs 6.34% for CPSO. On fees, CPSO is cheaper at 0.69% per year. On volatility, CPSO has been the lower-risk option at 0.71%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSO or CCEF?

Over the 1-year period, CCEF has performed better with a 12.87% return vs 6.34%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSO or CCEF?

CPSO is cheaper with a 0.69% expense ratio, compared with 2.74% for CCEF.

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

CCEF has the higher dividend yield at 7.36%, compared with 0.00% for CPSO.

What is the main difference between CPSO and CCEF?

CPSO is categorized as Defined Outcome, while CCEF is Dividend. Their fees differ too: 0.69% for CPSO and 2.74% for CCEF.

Which has better risk-adjusted returns?

CPSO currently has the higher Sharpe Ratio (2.77 vs 1.45), 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.