RSP vs. CPSM
RSP (Invesco S&P 500 Equal Weight ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both exchange-traded funds - RSP is a S&P 500 fund tracking the S&P 500 Equal Weight Index, while CPSM is a Defined Outcome fund actively managed by Calamos. RSP is passively managed, while CPSM is actively managed. Over the past year, RSP returned 19.50% vs 5.88% for CPSM. A 0.56 correlation means they provide meaningful diversification when combined. RSP charges 0.20%/yr vs 0.69%/yr for CPSM.
Performance
RSP vs. CPSM - Performance Comparison
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Returns By Period
In the year-to-date period, RSP achieves a 9.70% return, which is significantly higher than CPSM's 2.27% return.
RSP
- 1D
- -0.38%
- 1M
- 3.77%
- YTD
- 9.70%
- 6M
- 10.18%
- 1Y
- 19.50%
- 3Y*
- 15.23%
- 5Y*
- 8.33%
- 10Y*
- 11.86%
CPSM
- 1D
- -0.06%
- 1M
- 0.71%
- YTD
- 2.27%
- 6M
- 2.72%
- 1Y
- 5.88%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
RSP vs. CPSM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
RSP Invesco S&P 500 Equal Weight ETF | 9.70% | 11.21% | 10.33% |
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 2.27% | 7.21% | 6.67% |
Correlation
The correlation between RSP and CPSM is 0.51, 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 | 0.51 |
Correlation (All Time) Calculated using the full available price history since May 2, 2024 | 0.56 |
The correlation between RSP and CPSM has been stable across timeframes, ranging from 0.51 to 0.56 - a consistent structural relationship.
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Return for Risk
RSP vs. CPSM — Risk / Return Rank
RSP
CPSM
RSP vs. CPSM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Equal Weight ETF (RSP) 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.
| RSP | CPSM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.08 | ||
| Sortino ratioReturn per unit of downside risk | -3.86 | ||
| Omega ratioGain probability vs. loss probability | 1.30 | 1.84 | -0.54 |
| Calmar ratioReturn relative to maximum drawdown | 2.49 | 13.01 | -10.52 |
| Martin ratioReturn relative to average drawdown | 9.48 | 61.11 | -51.64 |
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
| RSP | CPSM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.70 | 3.78 | -2.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.65 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.57 | 1.54 | -0.97 |
Drawdowns
RSP vs. CPSM - Drawdown Comparison
The maximum RSP drawdown since its inception was -59.92%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for RSP and CPSM.
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Drawdown Indicators
| RSP | CPSM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -59.92% | -5.19% | -54.73% |
Max Drawdown (1Y)Largest decline over 1 year | -7.85% | -0.45% | -7.40% |
Max Drawdown (3Y)Largest decline over 3 years | -17.81% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -21.38% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -39.04% | — | — |
Current DrawdownCurrent decline from peak | -0.38% | -0.06% | -0.32% |
Average DrawdownAverage peak-to-trough decline | -6.65% | -0.20% | -6.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.06% | 0.10% | +1.96% |
Volatility
RSP vs. CPSM - Volatility Comparison
Invesco S&P 500 Equal Weight ETF (RSP) has a higher volatility of 2.56% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.35%. This indicates that RSP'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.
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Volatility by Period
| RSP | CPSM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.56% | 0.35% | +2.21% |
Volatility (6M)Calculated over the trailing 6-month period | 8.29% | 1.14% | +7.15% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.56% | 1.57% | +9.99% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.18% | 5.10% | +11.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.35% | 5.10% | +13.25% |
RSP vs. CPSM - Expense Ratio Comparison
RSP has a 0.20% expense ratio, which is lower than CPSM's 0.69% expense ratio.
Dividends
RSP vs. CPSM - Dividend Comparison
RSP's dividend yield for the trailing twelve months is around 1.49%, 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% |
RSP Invesco S&P 500 Equal Weight ETF | 1.49% | 1.64% | 1.52% | 1.64% | 1.82% | 1.28% | 1.64% | 1.69% | 2.02% | 1.52% | 1.20% | 1.70% |
Frequently Asked Questions
RSP and CPSM have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
RSP has higher volatility (2.56%) compared to CPSM (0.35%). In terms of maximum drawdown, RSP dropped -59.92% vs CPSM's -5.19%.
On 1-year performance, RSP leads with 19.50% vs 5.88% for CPSM. On fees, RSP is cheaper at 0.20% per year. On volatility, CPSM has been the lower-risk option at 0.35%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, RSP has performed better with a 19.50% return vs 5.88%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
RSP is cheaper with a 0.20% expense ratio, compared with 0.69% for CPSM.
RSP has the higher dividend yield at 1.49%, compared with 0.00% for CPSM.
RSP is categorized as S&P 500, while CPSM is Defined Outcome. They also come from different issuers: Invesco and Calamos. Their fees differ too: 0.20% for RSP and 0.69% for CPSM.
CPSM currently has the higher Sharpe Ratio (3.78 vs 1.70), 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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