CPST vs. SPY

Last updated Jun 3, 2026

CPST (Calamos S&P 500 Structured Alt Protection ETF - September) and SPY (State Street SPDR S&P 500 ETF) are both exchange-traded funds - CPST is a Defined Outcome fund tracking the MerQube Cap Protect US Lrg Cap PR Index - Sep, while SPY is a S&P 500 fund tracking the S&P 500 Index. Both are passively managed. Over the past year, CPST returned 7.84% vs 29.62% for SPY. Their correlation of 0.83 suggests significant overlap in exposure. CPST charges 0.69%/yr vs 0.09%/yr for SPY.

Performance

CPST vs. SPY - 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 State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPST achieves a 2.67% return, which is significantly lower than SPY's 11.69% return.

CPST

• 1D: 0.07%
• 1M: 0.82%
• YTD: 2.67%
• 6M: 3.20%
• 1Y: 7.84%
• 3Y*: —
• 5Y*: —
• 10Y*: —

SPY

• 1D: 0.14%
• 1M: 5.40%
• YTD: 11.69%
• 6M: 12.09%
• 1Y: 29.62%
• 3Y*: 22.64%
• 5Y*: 14.20%
• 10Y*: 15.57%

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

CPST vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPST Calamos S&P 500 Structured Alt Protection ETF - September	2.67%	6.73%	2.30%
SPY State Street SPDR S&P 500 ETF	11.69%	17.72%	6.84%

Correlation

The correlation between CPST and SPY is 0.82, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.82
Correlation (All Time) Calculated using the full available price history since Sep 4, 2024	0.83

The correlation between CPST and SPY has been stable across timeframes, ranging from 0.82 to 0.83 - a consistent structural relationship.

Return for Risk

CPST vs. SPY — 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: 94
CPST Sortino Ratio Rank: 97
CPST Omega Ratio Rank: 96
CPST Calmar Ratio Rank: 90
CPST Martin Ratio Rank: 95

SPY

SPY Risk / Return Rank: 75
SPY Sharpe Ratio Rank: 77
SPY Sortino Ratio Rank: 75
SPY Omega Ratio Rank: 76
SPY Calmar Ratio Rank: 68
SPY Martin Ratio Rank: 80

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. SPY - 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 State Street SPDR S&P 500 ETF (SPY). 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.

	CPST	SPY	Difference
Sharpe ratio Return per unit of total volatility	3.66	2.52	+1.14
Sortino ratio Return per unit of downside risk	6.09	3.42	+2.67
Omega ratio Gain probability vs. loss probability	1.84	1.46	+0.39
Calmar ratio Return relative to maximum drawdown	5.58	3.42	+2.17
Martin ratio Return relative to average drawdown	30.14	15.93	+14.21
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPST vs. SPY - Sharpe Ratio Comparison

The current CPST Sharpe Ratio is 3.66, which is higher than the SPY Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of CPST and SPY, 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

	CPST	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.66	2.52	+1.14
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.84	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	2.02	0.59	+1.44

Drawdowns

CPST vs. SPY - Drawdown Comparison

The maximum CPST drawdown since its inception was -3.79%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CPST and SPY.

Drawdown Indicators

	CPST	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-3.79%	-55.19%	+51.40%
Max Drawdown (1Y) Largest decline over 1 year	-1.42%	-8.88%	+7.46%
Max Drawdown (3Y) Largest decline over 3 years	—	-18.76%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-24.50%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.35%	-9.05%	+8.70%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	1.91%	-1.65%

Volatility

CPST vs. SPY - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - September (CPST) is 0.32%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 2.75%. This indicates that CPST experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPST	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.32%	2.75%	-2.43%
Volatility (6M) Calculated over the trailing 6-month period	1.60%	8.89%	-7.29%
Volatility (1Y) Calculated over the trailing 1-year period	2.15%	11.81%	-9.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.37%	17.05%	-13.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.37%	17.94%	-14.57%

CPST vs. SPY - Expense Ratio Comparison

CPST has a 0.69% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

CPST vs. SPY - Dividend Comparison

CPST has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 0.97%.

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%
SPY State Street SPDR S&P 500 ETF	0.97%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both CPST and SPY in my portfolio?

CPST and SPY have a correlation of 0.82, 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 SPY?

SPY has higher volatility (2.75%) compared to CPST (0.32%). In terms of maximum drawdown, CPST dropped -3.79% vs SPY's -55.19%.

Which ETF is better, CPST or SPY?

On 1-year performance, SPY leads with 29.62% vs 7.84% for CPST. On fees, SPY is cheaper at 0.09% per year. On volatility, CPST has been the lower-risk option at 0.32%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPST or SPY?

Over the 1-year period, SPY has performed better with a 29.62% return vs 7.84%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPST or SPY?

SPY is cheaper with a 0.09% expense ratio, compared with 0.69% for CPST.

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

SPY has the higher dividend yield at 0.97%, compared with 0.00% for CPST.

What is the main difference between CPST and SPY?

CPST is categorized as Defined Outcome, while SPY is S&P 500. CPST tracks MerQube Cap Protect US Lrg Cap PR Index - Sep, while SPY tracks S&P 500 Index. They also come from different issuers: Calamos and State Street. Their fees differ too: 0.69% for CPST and 0.09% for SPY.

Which has better risk-adjusted returns?

CPST currently has the higher Sharpe Ratio (3.66 vs 2.52), 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.