CPSY vs. CPST
CPSY (Calamos S&P 500 Structured Alt Protection ETF - January) and CPST (Calamos S&P 500 Structured Alt Protection ETF - September) are both Defined Outcome funds from Calamos. CPSY is actively managed, while CPST is passively managed. Over the past year, CPSY returned 7.07% vs 7.04% for CPST. Their correlation of 0.82 suggests significant overlap in exposure. Both charge a 0.69% expense ratio.
Performance
CPSY vs. CPST - Performance Comparison
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Returns By Period
In the year-to-date period, CPSY achieves a 2.33% return, which is significantly lower than CPST's 2.69% return.
CPSY
- 1D
- 0.00%
- 1M
- 0.22%
- YTD
- 2.33%
- 6M
- 2.47%
- 1Y
- 7.07%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CPST
- 1D
- -0.14%
- 1M
- 0.31%
- YTD
- 2.69%
- 6M
- 2.68%
- 1Y
- 7.04%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CPSY vs. CPST - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
CPSY Calamos S&P 500 Structured Alt Protection ETF - January | 2.33% | 6.74% |
CPST Calamos S&P 500 Structured Alt Protection ETF - September | 2.69% | 6.73% |
Correlation
The correlation between CPSY and CPST is 0.76, 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 | 0.76 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2025 | 0.82 |
The correlation between CPSY and CPST has been stable across timeframes, ranging from 0.76 to 0.82 - a consistent structural relationship.
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Return for Risk
CPSY vs. CPST — Risk / Return Rank
CPSY
CPST
CPSY vs. CPST - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - January (CPSY) and Calamos S&P 500 Structured Alt Protection ETF - September (CPST). 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.
| CPSY | CPST | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.13 | ||
| Sortino ratioReturn per unit of downside risk | +0.17 | ||
| Omega ratioGain probability vs. loss probability | 1.79 | 1.76 | +0.02 |
| Calmar ratioReturn relative to maximum drawdown | 5.27 | 4.98 | +0.29 |
| Martin ratioReturn relative to average drawdown | 27.15 | 26.85 | +0.30 |
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Drawdowns
CPSY vs. CPST - Drawdown Comparison
The maximum CPSY drawdown since its inception was -3.01%, smaller than the maximum CPST drawdown of -3.79%. Use the drawdown chart below to compare losses from any high point for CPSY and CPST.
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Drawdown Indicators
| CPSY | CPST | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.01% | -3.79% | +0.78% |
Max Drawdown (1Y)Largest decline over 1 year | -1.35% | -1.42% | +0.07% |
Current DrawdownCurrent decline from peak | -0.08% | -0.14% | +0.06% |
Average DrawdownAverage peak-to-trough decline | -0.32% | -0.34% | +0.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.26% | 0.26% | 0.00% |
Volatility
CPSY vs. CPST - Volatility Comparison
Calamos S&P 500 Structured Alt Protection ETF - January (CPSY) has a higher volatility of 0.54% compared to Calamos S&P 500 Structured Alt Protection ETF - September (CPST) at 0.46%. This indicates that CPSY's price experiences larger fluctuations and is considered to be riskier than CPST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPSY | CPST | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.54% | 0.46% | +0.08% |
Volatility (6M)Calculated over the trailing 6-month period | 1.47% | 1.61% | -0.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.02% | 2.10% | -0.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.05% | 3.34% | -0.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.05% | 3.34% | -0.29% |
CPSY vs. CPST - Expense Ratio Comparison
Both CPSY and CPST have an expense ratio of 0.69%.
Dividends
CPSY vs. CPST - Dividend Comparison
Neither CPSY nor CPST has paid dividends to shareholders.
Frequently Asked Questions
CPSY and CPST have a correlation of 0.76, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CPSY has higher volatility (0.54%) compared to CPST (0.46%). In terms of maximum drawdown, CPSY dropped -3.01% vs CPST's -3.79%.
On 1-year performance, CPSY leads with 7.07% vs 7.04% for CPST. Both ETFs have the same 0.69% expense ratio. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, CPSY has performed better with a 7.07% return vs 7.04%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
CPSY and CPST have the same expense ratio: 0.69% per year.
CPSY and CPST have nearly identical dividend yields, around 0.00%.
CPSY currently has the higher Sharpe Ratio (3.54 vs 3.41), 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.
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