SETH vs. CPSO

Last updated Jul 15, 2026

SETH (ProShares Short Ether Strategy ETF) and CPSO (Calamos S&P 500 Structured Alt Protection ETF - October) are both exchange-traded funds - SETH is a Cryptocurrency fund tracking the Bloomberg Galaxy Ethereum (--100%), while CPSO is a Defined Outcome fund actively managed by Calamos. SETH is passively managed, while CPSO is actively managed. Over the past year, SETH returned 7.17% vs 6.20% for CPSO. At a correlation of -0.49, they often move in opposite directions. SETH charges 0.95%/yr vs 0.69%/yr for CPSO.

Performance

SETH vs. CPSO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ProShares Short Ether Strategy ETF (SETH) and Calamos S&P 500 Structured Alt Protection ETF - October (CPSO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SETH achieves a 29.42% return, which is significantly higher than CPSO's 3.24% return.

SETH

• 1D: -5.83%
• 1M: -13.54%
• 6M: 40.18%
• YTD: 29.42%
• 1Y: 7.17%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSO

• 1D: 0.04%
• 1M: 0.61%
• 6M: 2.85%
• YTD: 3.24%
• 1Y: 6.20%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

SETH vs. CPSO - Yearly Performance Comparison

	2026 (YTD)	2025	2024
SETH ProShares Short Ether Strategy ETF	29.42%	-29.41%	-29.31%
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	3.24%	6.24%	0.89%

Correlation

The correlation between SETH and CPSO is -0.54, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.54
Correlation (All Time) Calculated using the full available price history since Oct 1, 2024	-0.49

The correlation between SETH and CPSO has been stable across timeframes, ranging from -0.54 to -0.49 - a consistent structural relationship.

Return for Risk

SETH vs. CPSO — Risk / Return Rank

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

SETH

SETH Risk / Return Rank: 13
SETH Sharpe Ratio Rank: 11
SETH Sortino Ratio Rank: 15
SETH Omega Ratio Rank: 15
SETH Calmar Ratio Rank: 12
SETH Martin Ratio Rank: 11

CPSO

CPSO Risk / Return Rank: 94
CPSO Sharpe Ratio Rank: 95
CPSO Sortino Ratio Rank: 96
CPSO Omega Ratio Rank: 96
CPSO Calmar Ratio Rank: 90
CPSO Martin Ratio Rank: 94

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.

SETH vs. CPSO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ProShares Short Ether Strategy ETF (SETH) and Calamos S&P 500 Structured Alt Protection ETF - October (CPSO). 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.

	SETH	CPSO	Difference
Sharpe ratio: Return per unit of total volatility	0.11	2.94	-2.84
Sortino ratio: Return per unit of downside risk	0.63	4.67	-4.04
Omega ratio: Gain probability vs. loss probability	1.08	1.63	-0.56
Calmar ratio: Return relative to maximum drawdown	0.17	4.29	-4.12
Martin ratio: Return relative to average drawdown	0.31	21.34	-21.02

SETH vs. CPSO - Sharpe Ratio Comparison

The current SETH Sharpe Ratio is 0.11, which is lower than the CPSO Sharpe Ratio of 2.94. The chart below compares the historical Sharpe Ratios of SETH and CPSO, 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

SETH vs. CPSO - Drawdown Comparison

The maximum SETH drawdown since its inception was -80.74%, which is greater than CPSO's maximum drawdown of -3.23%. Use the drawdown chart below to compare losses from any high point for SETH and CPSO.

Drawdown Indicators

	SETH	CPSO	Difference
Max Drawdown Largest peak-to-trough decline	-80.74%	-3.23%	-77.51%
Max Drawdown (1Y) Largest decline over 1 year	-41.47%	-1.45%	-40.02%
Current Drawdown Current decline from peak	-64.45%	-0.07%	-64.38%
Average Drawdown Average peak-to-trough decline	-54.91%	-0.32%	-54.59%
Ulcer Index Depth and duration of drawdowns from previous peaks	23.16%	0.29%	+22.87%

Volatility

SETH vs. CPSO - Volatility Comparison

ProShares Short Ether Strategy ETF (SETH) has a higher volatility of 17.32% compared to Calamos S&P 500 Structured Alt Protection ETF - October (CPSO) at 0.52%. This indicates that SETH's price experiences larger fluctuations and is considered to be riskier than CPSO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SETH	CPSO	Difference
Volatility (1M) Calculated over the trailing 1-month period	17.32%	0.52%	+16.80%
Volatility (6M) Calculated over the trailing 6-month period	47.16%	1.73%	+45.43%
Volatility (1Y) Calculated over the trailing 1-year period	68.44%	2.12%	+66.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	69.36%	2.96%	+66.40%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	69.36%	2.96%	+66.40%

SETH vs. CPSO - Expense Ratio Comparison

SETH has a 0.95% expense ratio, which is higher than CPSO's 0.69% expense ratio.

Dividends

SETH vs. CPSO - Dividend Comparison

SETH's dividend yield for the trailing twelve months is around 17.24%, while CPSO has not paid dividends to shareholders.

Position	TTM	2025	2024	2023
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	0.00%	0.00%	0.00%	0.00%
SETH ProShares Short Ether Strategy ETF	17.24%	7.01%	3.44%	0.38%

Frequently Asked Questions

Can I hold both SETH and CPSO in my portfolio?

SETH and CPSO have a correlation of -0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SETH or CPSO?

SETH has higher volatility (17.32%) compared to CPSO (0.52%). In terms of maximum drawdown, SETH dropped -80.74% vs CPSO's -3.23%.

Which ETF is better, SETH or CPSO?

On 1-year performance, SETH leads with 7.17% vs 6.20% for CPSO. On fees, CPSO is cheaper at 0.69% per year. On volatility, CPSO has been the lower-risk option at 0.52%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SETH or CPSO?

Over the 1-year period, SETH has performed better with a 7.17% return vs 6.20%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SETH or CPSO?

CPSO is cheaper with a 0.69% expense ratio, compared with 0.95% for SETH.

Which ETF pays a higher dividend yield, SETH or CPSO?

SETH has the higher dividend yield at 17.24%, compared with 0.00% for CPSO.

What is the main difference between SETH and CPSO?

SETH is categorized as Cryptocurrency, while CPSO is Defined Outcome. They also come from different issuers: ProShares and Calamos. Their fees differ too: 0.95% for SETH and 0.69% for CPSO.

Which has better risk-adjusted returns?

CPSO currently has the higher Sharpe Ratio (2.94 vs 0.11), 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.