PHDG vs. CPSM

Last updated Jun 23, 2026

PHDG (Invesco S&P 500 Downside Hedged ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both exchange-traded funds - PHDG is a Equity Hedged fund tracking the S&P 500 Dynamic VEQTOR Index, while CPSM is a Defined Outcome fund actively managed by Calamos. PHDG is passively managed, while CPSM is actively managed. Over the past year, PHDG returned 21.44% vs 5.49% for CPSM. At a 0.37 correlation, their price movements are largely independent. PHDG charges 0.39%/yr vs 0.69%/yr for CPSM.

Performance

PHDG vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P 500 Downside Hedged ETF (PHDG) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, PHDG achieves a 10.56% return, which is significantly higher than CPSM's 2.08% return.

PHDG

• 1D: -0.33%
• 1M: -1.88%
• YTD: 10.56%
• 6M: 10.62%
• 1Y: 21.44%
• 3Y*: 9.78%
• 5Y*: 4.89%
• 10Y*: 7.12%

CPSM

• 1D: -0.07%
• 1M: 0.05%
• YTD: 2.08%
• 6M: 2.19%
• 1Y: 5.49%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

PHDG vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
PHDG Invesco S&P 500 Downside Hedged ETF	10.56%	2.72%	7.45%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.08%	7.21%	6.80%

Correlation

The correlation between PHDG and CPSM is 0.42, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.42
Correlation (All Time) Calculated using the full available price history since May 1, 2024	0.37

Return for Risk

PHDG vs. CPSM — Risk / Return Rank

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

PHDG

PHDG Risk / Return Rank: 70
PHDG Sharpe Ratio Rank: 58
PHDG Sortino Ratio Rank: 57
PHDG Omega Ratio Rank: 68
PHDG Calmar Ratio Rank: 79
PHDG Martin Ratio Rank: 86

CPSM

CPSM Risk / Return Rank: 96
CPSM Sharpe Ratio Rank: 94
CPSM Sortino Ratio Rank: 96
CPSM Omega Ratio Rank: 95
CPSM Calmar Ratio Rank: 97
CPSM 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.

PHDG vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Downside Hedged ETF (PHDG) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM). 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.

	PHDG	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	1.90	3.35	-1.46
Sortino ratio: Return per unit of downside risk	2.62	5.42	-2.79
Omega ratio: Gain probability vs. loss probability	1.39	1.73	-0.33
Calmar ratio: Return relative to maximum drawdown	3.93	11.26	-7.32
Martin ratio: Return relative to average drawdown	17.30	49.30	-32.00

PHDG vs. CPSM - Sharpe Ratio Comparison

The current PHDG Sharpe Ratio is 1.90, which is lower than the CPSM Sharpe Ratio of 3.35. The chart below compares the historical Sharpe Ratios of PHDG and CPSM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

PHDG vs. CPSM - Drawdown Comparison

The maximum PHDG drawdown since its inception was -17.70%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for PHDG and CPSM.

Drawdown Indicators

	PHDG	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-17.70%	-5.19%	-12.51%
Max Drawdown (1Y) Largest decline over 1 year	-5.48%	-0.49%	-4.99%
Max Drawdown (3Y) Largest decline over 3 years	-14.78%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-17.06%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-17.06%	—	—
Current Drawdown Current decline from peak	-5.01%	-0.25%	-4.76%
Average Drawdown Average peak-to-trough decline	-6.23%	-0.20%	-6.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.24%	0.11%	+1.13%

Volatility

PHDG vs. CPSM - Volatility Comparison

Invesco S&P 500 Downside Hedged ETF (PHDG) has a higher volatility of 7.74% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.64%. This indicates that PHDG's price experiences larger fluctuations and is considered to be riskier than CPSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	PHDG	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	7.74%	0.64%	+7.10%
Volatility (6M) Calculated over the trailing 6-month period	9.73%	1.17%	+8.56%
Volatility (1Y) Calculated over the trailing 1-year period	11.39%	1.65%	+9.74%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.40%	5.05%	+6.35%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.15%	5.05%	+7.10%

PHDG vs. CPSM - Expense Ratio Comparison

PHDG has a 0.39% expense ratio, which is lower than CPSM's 0.69% expense ratio.

Dividends

PHDG vs. CPSM - Dividend Comparison

PHDG's dividend yield for the trailing twelve months is around 2.28%, while CPSM has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
PHDG Invesco S&P 500 Downside Hedged ETF	2.28%	2.10%	1.94%	1.93%	1.35%	0.44%	0.63%	1.80%	1.56%	1.83%	2.29%	1.64%

Frequently Asked Questions

Can I hold both PHDG and CPSM in my portfolio?

PHDG and CPSM have a correlation of 0.42, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PHDG or CPSM?

PHDG has higher volatility (7.74%) compared to CPSM (0.64%). In terms of maximum drawdown, PHDG dropped -17.70% vs CPSM's -5.19%.

Which ETF is better, PHDG or CPSM?

On 1-year performance, PHDG leads with 21.44% vs 5.49% for CPSM. On fees, PHDG is cheaper at 0.39% per year. On volatility, CPSM has been the lower-risk option at 0.64%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PHDG or CPSM?

Over the 1-year period, PHDG has performed better with a 21.44% return vs 5.49%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PHDG or CPSM?

PHDG is cheaper with a 0.39% expense ratio, compared with 0.69% for CPSM.

Which ETF pays a higher dividend yield, PHDG or CPSM?

PHDG has the higher dividend yield at 2.28%, compared with 0.00% for CPSM.

What is the main difference between PHDG and CPSM?

PHDG is categorized as Equity Hedged, while CPSM is Defined Outcome. They also come from different issuers: Invesco and Calamos. Their fees differ too: 0.39% for PHDG and 0.69% for CPSM.

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.35 vs 1.90), 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.