IVV vs. CPSU
IVV (iShares Core S&P 500 ETF) and CPSU (Calamos S&P 500 Structured Alt Protection ETF - June) are both exchange-traded funds - IVV is a S&P 500 fund tracking the S&P 500 Index, while CPSU is a Defined Outcome fund actively managed by Calamos. IVV is passively managed, while CPSU is actively managed. Over the past year, IVV returned 28.00% vs 6.43% for CPSU. Their correlation of 0.80 suggests significant overlap in exposure. IVV charges 0.03%/yr vs 0.69%/yr for CPSU.
Performance
IVV vs. CPSU - Performance Comparison
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Returns By Period
In the year-to-date period, IVV achieves a 10.85% return, which is significantly higher than CPSU's 2.29% return.
IVV
- 1D
- -0.76%
- 1M
- 4.97%
- YTD
- 10.85%
- 6M
- 10.87%
- 1Y
- 28.00%
- 3Y*
- 22.43%
- 5Y*
- 13.88%
- 10Y*
- 15.54%
CPSU
- 1D
- -0.05%
- 1M
- 0.45%
- YTD
- 2.29%
- 6M
- 2.84%
- 1Y
- 6.43%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
IVV vs. CPSU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
IVV iShares Core S&P 500 ETF | 10.85% | 16.12% |
CPSU Calamos S&P 500 Structured Alt Protection ETF - June | 2.29% | 4.15% |
Correlation
The correlation between IVV and CPSU is 0.80, 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 | 0.80 |
Correlation (All Time) Calculated using the full available price history since Jun 3, 2025 | 0.80 |
The correlation between IVV and CPSU has been stable across timeframes, ranging from 0.80 to 0.80 - a consistent structural relationship.
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Return for Risk
IVV vs. CPSU — Risk / Return Rank
IVV
CPSU
IVV vs. CPSU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Core S&P 500 ETF (IVV) and Calamos S&P 500 Structured Alt Protection ETF - June (CPSU). 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.
| IVV | CPSU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.37 | ||
| Sortino ratioReturn per unit of downside risk | -3.07 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.97 | -0.53 |
| Calmar ratioReturn relative to maximum drawdown | 3.17 | 6.29 | -3.12 |
| Martin ratioReturn relative to average drawdown | 14.71 | 42.62 | -27.91 |
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
| IVV | CPSU | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.39 | 3.76 | -1.37 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.83 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.86 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.45 | 3.81 | -3.35 |
Drawdowns
IVV vs. CPSU - Drawdown Comparison
The maximum IVV drawdown since its inception was -55.25%, which is greater than CPSU's maximum drawdown of -1.03%. Use the drawdown chart below to compare losses from any high point for IVV and CPSU.
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Drawdown Indicators
| IVV | CPSU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.25% | -1.03% | -54.22% |
Max Drawdown (1Y)Largest decline over 1 year | -8.89% | -1.03% | -7.86% |
Max Drawdown (3Y)Largest decline over 3 years | -18.75% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -24.53% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -33.90% | — | — |
Current DrawdownCurrent decline from peak | -0.76% | -0.15% | -0.61% |
Average DrawdownAverage peak-to-trough decline | -10.78% | -0.07% | -10.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.91% | 0.15% | +1.76% |
Volatility
IVV vs. CPSU - Volatility Comparison
iShares Core S&P 500 ETF (IVV) has a higher volatility of 2.87% compared to Calamos S&P 500 Structured Alt Protection ETF - June (CPSU) at 0.29%. This indicates that IVV's price experiences larger fluctuations and is considered to be riskier than CPSU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| IVV | CPSU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.87% | 0.29% | +2.58% |
Volatility (6M)Calculated over the trailing 6-month period | 8.90% | 1.39% | +7.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.80% | 1.72% | +10.08% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.88% | 1.72% | +15.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.05% | 1.72% | +16.33% |
IVV vs. CPSU - Expense Ratio Comparison
IVV has a 0.03% expense ratio, which is lower than CPSU's 0.69% expense ratio.
Dividends
IVV vs. CPSU - Dividend Comparison
IVV's dividend yield for the trailing twelve months is around 1.06%, while CPSU has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CPSU Calamos S&P 500 Structured Alt Protection ETF - June | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
IVV iShares Core S&P 500 ETF | 1.06% | 1.17% | 1.30% | 1.44% | 1.66% | 1.20% | 1.57% | 1.85% | 2.21% | 1.75% | 2.01% | 2.27% |
Frequently Asked Questions
IVV and CPSU have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IVV has higher volatility (2.87%) compared to CPSU (0.29%). In terms of maximum drawdown, IVV dropped -55.25% vs CPSU's -1.03%.
On 1-year performance, IVV leads with 28.00% vs 6.43% for CPSU. On fees, IVV is cheaper at 0.03% per year. On volatility, CPSU has been the lower-risk option at 0.29%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, IVV has performed better with a 28.00% return vs 6.43%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
IVV is cheaper with a 0.03% expense ratio, compared with 0.69% for CPSU.
IVV has the higher dividend yield at 1.06%, compared with 0.00% for CPSU.
IVV is categorized as S&P 500, while CPSU is Defined Outcome. They also come from different issuers: iShares and Calamos. Their fees differ too: 0.03% for IVV and 0.69% for CPSU.
CPSU currently has the higher Sharpe Ratio (3.76 vs 2.39), 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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