CPSO vs. ZMAY

Last updated Jun 5, 2026

CPSO (Calamos S&P 500 Structured Alt Protection ETF - October) and ZMAY (Innovator Equity Defined Protection ETF - 1 Yr May) are both Defined Outcome funds. Both are actively managed. Over the past year, CPSO returned 7.25% vs 5.93% for ZMAY. A 0.64 correlation means they provide meaningful diversification when combined. CPSO charges 0.69%/yr vs 0.79%/yr for ZMAY.

Performance

CPSO vs. ZMAY - 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 May (ZMAY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSO achieves a 2.74% return, which is significantly higher than ZMAY's 2.24% return.

CPSO

• 1D: 0.02%
• 1M: 0.76%
• YTD: 2.74%
• 6M: 3.06%
• 1Y: 7.25%
• 3Y*: —
• 5Y*: —
• 10Y*: —

ZMAY

• 1D: 0.04%
• 1M: 0.62%
• YTD: 2.24%
• 6M: 2.79%
• 1Y: 5.93%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSO vs. ZMAY - Yearly Performance Comparison

	2026 (YTD)	2025
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	2.74%	6.23%
ZMAY Innovator Equity Defined Protection ETF - 1 Yr May	2.24%	4.67%

Correlation

The correlation between CPSO and ZMAY is 0.61, 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	0.61
Correlation (All Time) Calculated using the full available price history since May 2, 2025	0.64

The correlation between CPSO and ZMAY has been stable across timeframes, ranging from 0.61 to 0.64 - a consistent structural relationship.

Return for Risk

CPSO vs. ZMAY — 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: 96
CPSO Calmar Ratio Rank: 88
CPSO Martin Ratio Rank: 93

ZMAY

ZMAY Risk / Return Rank: 97
ZMAY Sharpe Ratio Rank: 96
ZMAY Sortino Ratio Rank: 98
ZMAY Omega Ratio Rank: 97
ZMAY Calmar Ratio Rank: 98
ZMAY Martin Ratio Rank: 98

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. ZMAY - 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 May (ZMAY). 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	ZMAY	Difference
Sharpe ratio: Return per unit of total volatility	3.40	4.11	-0.71
Sortino ratio: Return per unit of downside risk	5.51	7.32	-1.82
Omega ratio: Gain probability vs. loss probability	1.76	1.95	-0.19
Calmar ratio: Return relative to maximum drawdown	5.02	15.23	-10.20
Martin ratio: Return relative to average drawdown	25.28	70.67	-45.39
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSO vs. ZMAY - Sharpe Ratio Comparison

The current CPSO Sharpe Ratio is 3.40, which is comparable to the ZMAY Sharpe Ratio of 4.11. The chart below compares the historical Sharpe Ratios of CPSO and ZMAY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CPSO	ZMAY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.40	4.11	-0.71
Sharpe Ratio (All Time) Calculated using the full available price history	1.96	4.26	-2.30

Drawdowns

CPSO vs. ZMAY - Drawdown Comparison

The maximum CPSO drawdown since its inception was -3.23%, which is greater than ZMAY's maximum drawdown of -0.39%. Use the drawdown chart below to compare losses from any high point for CPSO and ZMAY.

Drawdown Indicators

	CPSO	ZMAY	Difference
Max Drawdown Largest peak-to-trough decline	-3.23%	-0.39%	-2.84%
Max Drawdown (1Y) Largest decline over 1 year	-1.45%	-0.39%	-1.06%
Current Drawdown Current decline from peak	0.00%	-0.02%	+0.02%
Average Drawdown Average peak-to-trough decline	-0.33%	-0.05%	-0.28%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.29%	0.08%	+0.21%

Volatility

CPSO vs. ZMAY - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - October (CPSO) is 0.28%, while Innovator Equity Defined Protection ETF - 1 Yr May (ZMAY) has a volatility of 0.50%. This indicates that CPSO experiences smaller price fluctuations and is considered to be less risky than ZMAY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSO	ZMAY	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.28%	0.50%	-0.22%
Volatility (6M) Calculated over the trailing 6-month period	1.66%	1.06%	+0.60%
Volatility (1Y) Calculated over the trailing 1-year period	2.14%	1.45%	+0.69%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.01%	1.52%	+1.49%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.01%	1.52%	+1.49%

CPSO vs. ZMAY - Expense Ratio Comparison

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

Dividends

CPSO vs. ZMAY - Dividend Comparison

Neither CPSO nor ZMAY has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSO and ZMAY in my portfolio?

CPSO and ZMAY have a correlation of 0.61, 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 ZMAY?

ZMAY has higher volatility (0.50%) compared to CPSO (0.28%). In terms of maximum drawdown, CPSO dropped -3.23% vs ZMAY's -0.39%.

Which ETF is better, CPSO or ZMAY?

On 1-year performance, CPSO leads with 7.25% vs 5.93% for ZMAY. On fees, CPSO is cheaper at 0.69% per year. On volatility, CPSO has been the lower-risk option at 0.28%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSO or ZMAY?

Over the 1-year period, CPSO has performed better with a 7.25% return vs 5.93%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSO or ZMAY?

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

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

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

What is the main difference between CPSO and ZMAY?

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

Which has better risk-adjusted returns?

ZMAY currently has the higher Sharpe Ratio (4.11 vs 3.40), 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.