CTSIX vs. SPY

Last updated Jun 3, 2026

CTSIX (Calamos Timpani Small Cap Growth Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - CTSIX is a Small Cap Growth Equities fund managed by Calamos, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 5 years, CTSIX returned 10.17%/yr vs 14.20%/yr for SPY. A 0.78 correlation means they provide meaningful diversification when combined. CTSIX charges 1.05%/yr vs 0.09%/yr for SPY.

Performance

CTSIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Timpani Small Cap Growth Fund (CTSIX) 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, CTSIX achieves a 31.81% return, which is significantly higher than SPY's 11.69% return.

CTSIX

• 1D: -0.91%
• 1M: 7.71%
• YTD: 31.81%
• 6M: 33.04%
• 1Y: 64.80%
• 3Y*: 33.86%
• 5Y*: 10.17%
• 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)

CTSIX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
CTSIX Calamos Timpani Small Cap Growth Fund	31.81%	25.90%	44.34%	7.57%	-37.30%	9.12%	63.38%	1.20%
SPY State Street SPDR S&P 500 ETF	11.69%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	12.99%

Correlation

The correlation between CTSIX and SPY 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 (1Y) Calculated over the trailing 1-year period	0.75
Correlation (3Y) Calculated over the trailing 3-year period	0.78
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (All Time) Calculated using the full available price history since Jun 11, 2019	0.78

The correlation between CTSIX and SPY has been stable across timeframes, ranging from 0.75 to 0.79 - a consistent structural relationship.

Return for Risk

CTSIX vs. SPY — Risk / Return Rank

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

CTSIX

CTSIX Risk / Return Rank: 72
CTSIX Sharpe Ratio Rank: 68
CTSIX Sortino Ratio Rank: 53
CTSIX Omega Ratio Rank: 50
CTSIX Calmar Ratio Rank: 93
CTSIX 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.

CTSIX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Timpani Small Cap Growth Fund (CTSIX) 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.

	CTSIX	SPY	Difference
Sharpe ratio Return per unit of total volatility	2.41	2.52	-0.11
Sortino ratio Return per unit of downside risk	3.06	3.42	-0.35
Omega ratio Gain probability vs. loss probability	1.39	1.46	-0.07
Calmar ratio Return relative to maximum drawdown	5.34	3.42	+1.93
Martin ratio Return relative to average drawdown	22.01	15.93	+6.08
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CTSIX vs. SPY - Sharpe Ratio Comparison

The current CTSIX Sharpe Ratio is 2.41, which is comparable to the SPY Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of CTSIX 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

	CTSIX	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.41	2.52	-0.11
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.37	0.84	-0.47
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.56	0.59	-0.03

Drawdowns

CTSIX vs. SPY - Drawdown Comparison

The maximum CTSIX drawdown since its inception was -50.83%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for CTSIX and SPY.

Drawdown Indicators

	CTSIX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-50.83%	-55.19%	+4.36%
Max Drawdown (1Y) Largest decline over 1 year	-12.38%	-8.88%	-3.50%
Max Drawdown (3Y) Largest decline over 3 years	-28.40%	-18.76%	-9.64%
Max Drawdown (5Y) Largest decline over 5 years	-50.60%	-24.50%	-26.10%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-2.18%	0.00%	-2.18%
Average Drawdown Average peak-to-trough decline	-20.65%	-9.05%	-11.60%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.00%	1.91%	+1.09%

Volatility

CTSIX vs. SPY - Volatility Comparison

Calamos Timpani Small Cap Growth Fund (CTSIX) has a higher volatility of 9.08% compared to State Street SPDR S&P 500 ETF (SPY) at 2.75%. This indicates that CTSIX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CTSIX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	9.08%	2.75%	+6.33%
Volatility (6M) Calculated over the trailing 6-month period	21.15%	8.89%	+12.26%
Volatility (1Y) Calculated over the trailing 1-year period	27.63%	11.81%	+15.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	27.97%	17.05%	+10.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	29.77%	17.94%	+11.83%

CTSIX vs. SPY - Expense Ratio Comparison

CTSIX has a 1.05% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

CTSIX vs. SPY - Dividend Comparison

CTSIX 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
CTSIX Calamos Timpani Small Cap Growth Fund	0.00%	0.00%	2.58%	0.00%	0.00%	0.00%	3.77%	4.95%	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 CTSIX and SPY in my portfolio?

CTSIX and SPY 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.

Which is riskier, CTSIX or SPY?

CTSIX has higher volatility (9.08%) compared to SPY (2.75%). In terms of maximum drawdown, CTSIX dropped -50.83% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.52 vs 2.41), 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.