CPSU vs. CAIE
CPSU (Calamos S&P 500 Structured Alt Protection ETF - June) and CAIE (Calamos Autocallable Income ETF) are both exchange-traded funds - CPSU is a Defined Outcome fund actively managed by Calamos, while CAIE is a Derivative Income fund tracking the MerQube US Large Cap Vol Advantage Autocallable Index. CPSU is actively managed, while CAIE is passively managed. A 0.75 correlation means they provide meaningful diversification when combined. CPSU charges 0.69%/yr vs 0.74%/yr for CAIE.
Performance
CPSU vs. CAIE - Performance Comparison
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Returns By Period
In the year-to-date period, CPSU achieves a 2.29% return, which is significantly lower than CAIE's 9.06% return.
CPSU
- 1D
- -0.05%
- 1M
- 0.45%
- YTD
- 2.29%
- 6M
- 2.84%
- 1Y
- 6.43%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CAIE
- 1D
- -0.40%
- 1M
- 3.61%
- YTD
- 9.06%
- 6M
- 9.11%
- 1Y
- —
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CPSU vs. CAIE - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CPSU Calamos S&P 500 Structured Alt Protection ETF - June | 2.29% | 3.38% |
CAIE Calamos Autocallable Income ETF | 9.06% | 15.15% |
Correlation
The correlation between CPSU and CAIE is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (All Time) Calculated using the full available price history since Jun 26, 2025 | 0.75 |
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Return for Risk
CPSU vs. CAIE — Risk / Return Rank
CPSU
CAIE
CPSU 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 - June (CPSU) 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.
| CPSU | CAIE | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | — | |
| Sortino ratioReturn per unit of downside risk | — | — | |
| Omega ratioGain probability vs. loss probability | 1.97 | — | — |
| Calmar ratioReturn relative to maximum drawdown | 6.29 | — | — |
| Martin ratioReturn relative to average drawdown | 42.62 | — | — |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CPSU | CAIE | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.76 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 3.81 | 2.31 | +1.49 |
Drawdowns
CPSU vs. CAIE - Drawdown Comparison
The maximum CPSU drawdown since its inception was -1.03%, smaller than the maximum CAIE drawdown of -7.73%. Use the drawdown chart below to compare losses from any high point for CPSU and CAIE.
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Drawdown Indicators
| CPSU | CAIE | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -1.03% | -7.73% | +6.70% |
Max Drawdown (1Y)Largest decline over 1 year | -1.03% | — | — |
Current DrawdownCurrent decline from peak | -0.15% | -0.40% | +0.25% |
Average DrawdownAverage peak-to-trough decline | -0.07% | -1.06% | +0.99% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.15% | — | — |
Volatility
CPSU vs. CAIE - Volatility Comparison
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Volatility by Period
| CPSU | CAIE | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.29% | — | — |
Volatility (6M)Calculated over the trailing 6-month period | 1.39% | — | — |
Volatility (1Y)Calculated over the trailing 1-year period | 1.72% | 11.93% | -10.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 1.72% | 11.93% | -10.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 1.72% | 11.93% | -10.21% |
CPSU vs. CAIE - Expense Ratio Comparison
CPSU has a 0.69% expense ratio, which is lower than CAIE's 0.74% expense ratio.
Dividends
CPSU vs. CAIE - Dividend Comparison
CPSU has not paid dividends to shareholders, while CAIE's dividend yield for the trailing twelve months is around 13.09%.
| Position | TTM | 2025 |
|---|---|---|
CAIE Calamos Autocallable Income ETF | 13.09% | 7.46% |
CPSU Calamos S&P 500 Structured Alt Protection ETF - June | 0.00% | 0.00% |
Frequently Asked Questions
CPSU and CAIE have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
On fees, CPSU is cheaper at 0.69% per year. The better choice depends on whether you care most about return, fees, risk, or income.
CPSU is cheaper with a 0.69% expense ratio, compared with 0.74% for CAIE.
CAIE has the higher dividend yield at 13.09%, compared with 0.00% for CPSU.
CPSU is categorized as Defined Outcome, while CAIE is Derivative Income. Their fees differ too: 0.69% for CPSU and 0.74% for CAIE.
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