CPSO vs. ZAPR

Last updated Jun 23, 2026

CPSO (Calamos S&P 500 Structured Alt Protection ETF - October) and ZAPR (Innovator Equity Defined Protection ETF - 1 Yr April) are both Defined Outcome funds. Both are actively managed. Over the past year, CPSO returned 7.09% vs 6.96% for ZAPR. A 0.63 correlation means they provide meaningful diversification when combined. CPSO charges 0.69%/yr vs 0.79%/yr for ZAPR.

Performance

CPSO vs. ZAPR - 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 Innovator Equity Defined Protection ETF - 1 Yr April (ZAPR). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSO achieves a 2.81% return, which is significantly lower than ZAPR's 3.14% return.

CPSO

• 1D: -0.04%
• 1M: 0.38%
• YTD: 2.81%
• 6M: 2.87%
• 1Y: 7.09%
• 3Y*: —
• 5Y*: —
• 10Y*: —

ZAPR

• 1D: -0.04%
• 1M: 0.08%
• YTD: 3.14%
• 6M: 3.18%
• 1Y: 6.96%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSO vs. ZAPR - Yearly Performance Comparison

	2026 (YTD)	2025
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	2.81%	6.66%
ZAPR Innovator Equity Defined Protection ETF - 1 Yr April	3.14%	5.31%

Correlation

The correlation between CPSO and ZAPR is 0.59, 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	0.59
Correlation (All Time) Calculated using the full available price history since Apr 1, 2025	0.63

The correlation between CPSO and ZAPR has been stable across timeframes, ranging from 0.59 to 0.63 - a consistent structural relationship.

Return for Risk

CPSO vs. ZAPR — 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: 94
CPSO Sortino Ratio Rank: 96
CPSO Omega Ratio Rank: 96
CPSO Calmar Ratio Rank: 88
CPSO Martin Ratio Rank: 94

ZAPR

ZAPR Risk / Return Rank: 98
ZAPR Sharpe Ratio Rank: 97
ZAPR Sortino Ratio Rank: 98
ZAPR Omega Ratio Rank: 98
ZAPR Calmar Ratio Rank: 98
ZAPR Martin Ratio Rank: 99

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. ZAPR - 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 Innovator Equity Defined Protection ETF - 1 Yr April (ZAPR). 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	ZAPR	Difference
Sharpe ratio: Return per unit of total volatility	3.31	4.74	-1.43
Sortino ratio: Return per unit of downside risk	5.32	8.64	-3.32
Omega ratio: Gain probability vs. loss probability	1.73	2.24	-0.51
Calmar ratio: Return relative to maximum drawdown	4.91	17.39	-12.48
Martin ratio: Return relative to average drawdown	24.52	80.28	-55.76

CPSO vs. ZAPR - Sharpe Ratio Comparison

The current CPSO Sharpe Ratio is 3.31, which is lower than the ZAPR Sharpe Ratio of 4.74. The chart below compares the historical Sharpe Ratios of CPSO and ZAPR, 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. ZAPR - Drawdown Comparison

The maximum CPSO drawdown since its inception was -3.23%, which is greater than ZAPR's maximum drawdown of -1.72%. Use the drawdown chart below to compare losses from any high point for CPSO and ZAPR.

Drawdown Indicators

	CPSO	ZAPR	Difference
Max Drawdown Largest peak-to-trough decline	-3.23%	-1.72%	-1.51%
Max Drawdown (1Y) Largest decline over 1 year	-1.45%	-0.40%	-1.05%
Current Drawdown Current decline from peak	-0.04%	-0.17%	+0.13%
Average Drawdown Average peak-to-trough decline	-0.32%	-0.09%	-0.23%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.29%	0.09%	+0.20%

Volatility

CPSO vs. ZAPR - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - October (CPSO) has a higher volatility of 0.56% compared to Innovator Equity Defined Protection ETF - 1 Yr April (ZAPR) at 0.51%. This indicates that CPSO's price experiences larger fluctuations and is considered to be riskier than ZAPR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSO	ZAPR	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.56%	0.51%	+0.05%
Volatility (6M) Calculated over the trailing 6-month period	1.71%	1.10%	+0.61%
Volatility (1Y) Calculated over the trailing 1-year period	2.16%	1.48%	+0.68%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.00%	2.49%	+0.51%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.00%	2.49%	+0.51%

CPSO vs. ZAPR - Expense Ratio Comparison

CPSO has a 0.69% expense ratio, which is lower than ZAPR's 0.79% expense ratio.

Dividends

CPSO vs. ZAPR - Dividend Comparison

Neither CPSO nor ZAPR has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSO and ZAPR in my portfolio?

CPSO and ZAPR have a correlation of 0.59, 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 ZAPR?

CPSO has higher volatility (0.56%) compared to ZAPR (0.51%). In terms of maximum drawdown, CPSO dropped -3.23% vs ZAPR's -1.72%.

Which ETF is better, CPSO or ZAPR?

On 1-year performance, CPSO leads with 7.09% vs 6.96% for ZAPR. On fees, CPSO is cheaper at 0.69% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSO or ZAPR?

Over the 1-year period, CPSO has performed better with a 7.09% return vs 6.96%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSO or ZAPR?

CPSO is cheaper with a 0.69% expense ratio, compared with 0.79% for ZAPR.

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

CPSO and ZAPR have nearly identical dividend yields, around 0.00%.

What is the main difference between CPSO and ZAPR?

They also come from different issuers: Calamos and Innovator. Their fees differ too: 0.69% for CPSO and 0.79% for ZAPR.

Which has better risk-adjusted returns?

ZAPR currently has the higher Sharpe Ratio (4.74 vs 3.31), 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.