CPST vs. SPHD

Last updated Jun 24, 2026

CPST (Calamos S&P 500 Structured Alt Protection ETF - September) and SPHD (Invesco S&P 500® High Dividend Low Volatility ETF) are both exchange-traded funds - CPST is a Defined Outcome fund tracking the MerQube Cap Protect US Lrg Cap PR Index - Sep, while SPHD is a Dividend fund tracking the S&P 500 Low Volatility High Dividend Index. Both are passively managed. Over the past year, CPST returned 7.04% vs 12.09% for SPHD. At a 0.32 correlation, their price movements are largely independent. CPST charges 0.69%/yr vs 0.30%/yr for SPHD.

Performance

CPST vs. SPHD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - September (CPST) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPST achieves a 2.69% return, which is significantly lower than SPHD's 8.20% return.

CPST

• 1D: -0.14%
• 1M: 0.31%
• YTD: 2.69%
• 6M: 2.68%
• 1Y: 7.04%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPHD

• 1D: 1.63%
• 1M: 0.82%
• YTD: 8.20%
• 6M: 8.56%
• 1Y: 12.09%
• 3Y*: 12.70%
• 5Y*: 7.06%
• 10Y*: 7.55%

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

CPST vs. SPHD - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPST Calamos S&P 500 Structured Alt Protection ETF - September	2.69%	6.73%	1.97%
SPHD Invesco S&P 500® High Dividend Low Volatility ETF	8.20%	3.41%	-1.44%

Correlation

The correlation between CPST and SPHD is 0.22, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.22
Correlation (All Time) Calculated using the full available price history since Sep 3, 2024	0.32

Return for Risk

CPST vs. SPHD — Risk / Return Rank

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

CPST

CPST Risk / Return Rank: 94
CPST Sharpe Ratio Rank: 95
CPST Sortino Ratio Rank: 97
CPST Omega Ratio Rank: 96
CPST Calmar Ratio Rank: 89
CPST Martin Ratio Rank: 95

SPHD

SPHD Risk / Return Rank: 30
SPHD Sharpe Ratio Rank: 30
SPHD Sortino Ratio Rank: 31
SPHD Omega Ratio Rank: 27
SPHD Calmar Ratio Rank: 34
SPHD Martin Ratio Rank: 30

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.

CPST vs. SPHD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - September (CPST) and Invesco S&P 500® High Dividend Low Volatility ETF (SPHD). 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.

	CPST	SPHD	Difference
Sharpe ratio: Return per unit of total volatility	3.41	1.06	+2.35
Sortino ratio: Return per unit of downside risk	5.59	1.61	+3.98
Omega ratio: Gain probability vs. loss probability	1.76	1.18	+0.58
Calmar ratio: Return relative to maximum drawdown	4.98	1.66	+3.32
Martin ratio: Return relative to average drawdown	26.85	4.06	+22.79

CPST vs. SPHD - Sharpe Ratio Comparison

The current CPST Sharpe Ratio is 3.41, which is higher than the SPHD Sharpe Ratio of 1.06. The chart below compares the historical Sharpe Ratios of CPST and SPHD, 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

CPST vs. SPHD - Drawdown Comparison

The maximum CPST drawdown since its inception was -3.79%, smaller than the maximum SPHD drawdown of -41.39%. Use the drawdown chart below to compare losses from any high point for CPST and SPHD.

Drawdown Indicators

	CPST	SPHD	Difference
Max Drawdown Largest peak-to-trough decline	-3.79%	-41.39%	+37.60%
Max Drawdown (1Y) Largest decline over 1 year	-1.42%	-7.33%	+5.91%
Max Drawdown (3Y) Largest decline over 3 years	—	-13.29%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-19.50%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-41.39%	—
Current Drawdown Current decline from peak	-0.14%	-1.91%	+1.77%
Average Drawdown Average peak-to-trough decline	-0.34%	-4.69%	+4.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	2.98%	-2.72%

Volatility

CPST vs. SPHD - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - September (CPST) is 0.46%, while Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) has a volatility of 4.26%. This indicates that CPST experiences smaller price fluctuations and is considered to be less risky than SPHD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPST	SPHD	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.46%	4.26%	-3.80%
Volatility (6M) Calculated over the trailing 6-month period	1.61%	8.13%	-6.52%
Volatility (1Y) Calculated over the trailing 1-year period	2.10%	11.48%	-9.38%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.34%	14.16%	-10.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.34%	17.65%	-14.31%

CPST vs. SPHD - Expense Ratio Comparison

CPST has a 0.69% expense ratio, which is higher than SPHD's 0.30% expense ratio.

Dividends

CPST vs. SPHD - Dividend Comparison

CPST has not paid dividends to shareholders, while SPHD's dividend yield for the trailing twelve months is around 4.60%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CPST Calamos S&P 500 Structured Alt Protection ETF - September	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPHD Invesco S&P 500® High Dividend Low Volatility ETF	4.60%	4.02%	3.41%	4.48%	3.89%	3.45%	4.89%	4.07%	4.40%	3.14%	3.83%	3.49%

Frequently Asked Questions

Can I hold both CPST and SPHD in my portfolio?

CPST and SPHD have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPST or SPHD?

SPHD has higher volatility (4.26%) compared to CPST (0.46%). In terms of maximum drawdown, CPST dropped -3.79% vs SPHD's -41.39%.

Which ETF is better, CPST or SPHD?

On 1-year performance, SPHD leads with 12.09% vs 7.04% for CPST. On fees, SPHD is cheaper at 0.30% per year. On volatility, CPST has been the lower-risk option at 0.46%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPST or SPHD?

Over the 1-year period, SPHD has performed better with a 12.09% return vs 7.04%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPST or SPHD?

SPHD is cheaper with a 0.30% expense ratio, compared with 0.69% for CPST.

Which ETF pays a higher dividend yield, CPST or SPHD?

SPHD has the higher dividend yield at 4.60%, compared with 0.00% for CPST.

What is the main difference between CPST and SPHD?

CPST is categorized as Defined Outcome, while SPHD is Dividend. CPST tracks MerQube Cap Protect US Lrg Cap PR Index - Sep, while SPHD tracks S&P 500 Low Volatility High Dividend Index. They also come from different issuers: Calamos and Invesco. Their fees differ too: 0.69% for CPST and 0.30% for SPHD.

Which has better risk-adjusted returns?

CPST currently has the higher Sharpe Ratio (3.41 vs 1.06), 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.