CPSR vs. CAIE

Last updated Jun 6, 2026

CPSR (Calamos S&P 500 Structured Alt Protection ETF - March) and CAIE (Calamos Autocallable Income ETF) are both exchange-traded funds - CPSR is a Defined Outcome fund tracking the S&P 500 Index Price Return, while CAIE is a Derivative Income fund tracking the MerQube US Large Cap Vol Advantage Autocallable Index. Both are passively managed. Their correlation of 0.83 suggests significant overlap in exposure. CPSR charges 0.69%/yr vs 0.74%/yr for CAIE.

Performance

CPSR 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 - March (CPSR) 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, CPSR achieves a 2.30% return, which is significantly lower than CAIE's 7.12% return.

CPSR

• 1D: -0.16%
• 1M: 0.10%
• YTD: 2.30%
• 6M: 2.77%
• 1Y: 7.24%
• 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)

CPSR vs. CAIE - Yearly Performance Comparison

	2026 (YTD)	2025
CPSR Calamos S&P 500 Structured Alt Protection ETF - March	2.30%	4.07%
CAIE Calamos Autocallable Income ETF	7.12%	15.15%

Correlation

The correlation between CPSR and CAIE is 0.83, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (All Time) Calculated using the full available price history since Jun 26, 2025	0.83

Return for Risk

CPSR vs. CAIE — Risk / Return Rank

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

CPSR

CPSR Risk / Return Rank: 96
CPSR Sharpe Ratio Rank: 96
CPSR Sortino Ratio Rank: 98
CPSR Omega Ratio Rank: 97
CPSR Calmar Ratio Rank: 94
CPSR Martin Ratio Rank: 96

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.

CPSR 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 - March (CPSR) 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.

	CPSR	CAIE	Difference
Sharpe ratio: Return per unit of total volatility	3.99	—	—
Sortino ratio: Return per unit of downside risk	6.66	—	—
Omega ratio: Gain probability vs. loss probability	1.92	—	—
Calmar ratio: Return relative to maximum drawdown	6.50	—	—
Martin ratio: Return relative to average drawdown	31.57	—	—
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

	CPSR	CAIE	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.99	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.73	2.06	-0.33

Drawdowns

CPSR vs. CAIE - Drawdown Comparison

The maximum CPSR drawdown since its inception was -3.40%, smaller than the maximum CAIE drawdown of -7.73%. Use the drawdown chart below to compare losses from any high point for CPSR and CAIE.

Drawdown Indicators

	CPSR	CAIE	Difference
Max Drawdown Largest peak-to-trough decline	-3.40%	-7.73%	+4.33%
Max Drawdown (1Y) Largest decline over 1 year	-1.12%	—	—
Current Drawdown Current decline from peak	-0.23%	-2.18%	+1.95%
Average Drawdown Average peak-to-trough decline	-0.38%	-1.06%	+0.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.23%	—	—

Volatility

Volatility by Period

	CPSR	CAIE	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.31%	—	—
Volatility (6M) Calculated over the trailing 6-month period	1.30%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	1.83%	12.09%	-10.26%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.93%	12.09%	-8.16%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.93%	12.09%	-8.16%

CPSR vs. CAIE - Expense Ratio Comparison

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

Dividends

CPSR vs. CAIE - Dividend Comparison

CPSR 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%
CPSR Calamos S&P 500 Structured Alt Protection ETF - March	0.00%	0.00%

Frequently Asked Questions

Can I hold both CPSR and CAIE in my portfolio?

CPSR and CAIE have a correlation of 0.83, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, CPSR or CAIE?

On fees, CPSR 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, CPSR or CAIE?

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

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

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

What is the main difference between CPSR and CAIE?

CPSR is categorized as Defined Outcome, while CAIE is Derivative Income. CPSR tracks S&P 500 Index Price Return, while CAIE tracks MerQube US Large Cap Vol Advantage Autocallable Index. Their fees differ too: 0.69% for CPSR and 0.74% for CAIE.