CPST vs. ZMAY

Last updated Jun 3, 2026

CPST (Calamos S&P 500 Structured Alt Protection ETF - September) and ZMAY (Innovator Equity Defined Protection ETF - 1 Yr May) are both Defined Outcome funds. CPST is passively managed, while ZMAY is actively managed. Over the past year, CPST returned 7.84% vs 6.10% for ZMAY. A 0.61 correlation means they provide meaningful diversification when combined. CPST charges 0.69%/yr vs 0.79%/yr for ZMAY.

Performance

CPST 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 - September (CPST) 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, CPST achieves a 2.67% return, which is significantly higher than ZMAY's 2.26% return.

CPST

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

ZMAY

• 1D: 0.08%
• 1M: 0.72%
• YTD: 2.26%
• 6M: 2.89%
• 1Y: 6.10%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPST vs. ZMAY - Yearly Performance Comparison

	2026 (YTD)	2025
CPST Calamos S&P 500 Structured Alt Protection ETF - September	2.67%	7.06%
ZMAY Innovator Equity Defined Protection ETF - 1 Yr May	2.26%	4.67%

Correlation

The correlation between CPST and ZMAY is 0.58, 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	0.58
Correlation (All Time) Calculated using the full available price history since May 2, 2025	0.61

The correlation between CPST and ZMAY has been stable across timeframes, ranging from 0.58 to 0.61 - a consistent structural relationship.

Return for Risk

CPST vs. ZMAY — 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

ZMAY

ZMAY Risk / Return Rank: 98
ZMAY Sharpe Ratio Rank: 96
ZMAY Sortino Ratio Rank: 98
ZMAY Omega Ratio Rank: 98
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.

CPST 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 - September (CPST) 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.

	CPST	ZMAY	Difference
Sharpe ratio Return per unit of total volatility	3.66	4.23	-0.57
Sortino ratio Return per unit of downside risk	6.09	7.55	-1.46
Omega ratio Gain probability vs. loss probability	1.84	1.99	-0.15
Calmar ratio Return relative to maximum drawdown	5.58	15.74	-10.16
Martin ratio Return relative to average drawdown	30.14	73.27	-43.13
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. ZMAY - Sharpe Ratio Comparison

The current CPST Sharpe Ratio is 3.66, which is comparable to the ZMAY Sharpe Ratio of 4.23. The chart below compares the historical Sharpe Ratios of CPST 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

	CPST	ZMAY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.66	4.23	-0.57
Sharpe Ratio (All Time) Calculated using the full available price history	2.02	4.29	-2.27

Drawdowns

CPST vs. ZMAY - Drawdown Comparison

The maximum CPST drawdown since its inception was -3.79%, which is greater than ZMAY's maximum drawdown of -0.39%. Use the drawdown chart below to compare losses from any high point for CPST and ZMAY.

Drawdown Indicators

	CPST	ZMAY	Difference
Max Drawdown Largest peak-to-trough decline	-3.79%	-0.39%	-3.40%
Max Drawdown (1Y) Largest decline over 1 year	-1.42%	-0.39%	-1.03%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.35%	-0.05%	-0.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	0.08%	+0.18%

Volatility

CPST vs. ZMAY - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - September (CPST) is 0.32%, while Innovator Equity Defined Protection ETF - 1 Yr May (ZMAY) has a volatility of 0.55%. This indicates that CPST 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

	CPST	ZMAY	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.32%	0.55%	-0.23%
Volatility (6M) Calculated over the trailing 6-month period	1.60%	1.06%	+0.54%
Volatility (1Y) Calculated over the trailing 1-year period	2.15%	1.45%	+0.70%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.37%	1.52%	+1.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.37%	1.52%	+1.85%

CPST vs. ZMAY - Expense Ratio Comparison

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

Dividends

CPST vs. ZMAY - Dividend Comparison

Neither CPST nor ZMAY has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPST and ZMAY in my portfolio?

CPST and ZMAY have a correlation of 0.58, 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 ZMAY?

ZMAY has higher volatility (0.55%) compared to CPST (0.32%). In terms of maximum drawdown, CPST dropped -3.79% vs ZMAY's -0.39%.

Which ETF is better, CPST or ZMAY?

On 1-year performance, CPST leads with 7.84% vs 6.10% for ZMAY. On fees, CPST is cheaper at 0.69% 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 ZMAY?

Over the 1-year period, CPST has performed better with a 7.84% return vs 6.10%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPST or ZMAY?

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

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

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

What is the main difference between CPST and ZMAY?

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

Which has better risk-adjusted returns?

ZMAY currently has the higher Sharpe Ratio (4.23 vs 3.66), 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.