SPHD vs. CPSM
Compare and contrast key facts about Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM).
SPHD and CPSM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPHD is a passively managed fund by Invesco that tracks the performance of the S&P Low Volatility High Dividend index. It was launched on Oct 18, 2012. CPSM is an actively managed fund by Calamos. It was launched on May 1, 2024.
Performance
SPHD vs. CPSM - Performance Comparison
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SPHD vs. CPSM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.64% | 3.41% | 13.60% |
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 0.81% | 7.21% | 6.67% |
Returns By Period
In the year-to-date period, SPHD achieves a 4.64% return, which is significantly higher than CPSM's 0.81% return.
SPHD
- 1D
- 0.55%
- 1M
- -4.99%
- YTD
- 4.64%
- 6M
- 2.81%
- 1Y
- 3.20%
- 3Y*
- 9.99%
- 5Y*
- 7.05%
- 10Y*
- 7.24%
CPSM
- 1D
- 0.28%
- 1M
- 0.09%
- YTD
- 0.81%
- 6M
- 2.00%
- 1Y
- 7.34%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
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SPHD vs. CPSM - Expense Ratio Comparison
SPHD has a 0.30% expense ratio, which is lower than CPSM's 0.69% expense ratio.
Return for Risk
SPHD vs. CPSM — Risk / Return Rank
SPHD
CPSM
SPHD vs. CPSM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) 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.
| SPHD | CPSM | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.22 | 1.10 | -0.88 |
Sortino ratioReturn per unit of downside risk | 0.41 | 1.70 | -1.29 |
Omega ratioGain probability vs. loss probability | 1.05 | 1.45 | -0.39 |
Calmar ratioReturn relative to maximum drawdown | 0.38 | 1.51 | -1.13 |
Martin ratioReturn relative to average drawdown | 1.22 | 9.75 | -8.53 |
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
| SPHD | CPSM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.22 | 1.10 | -0.88 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.50 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.41 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.59 | 1.47 | -0.88 |
Correlation
The correlation between SPHD and CPSM is 0.27, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
SPHD vs. CPSM - Dividend Comparison
SPHD's dividend yield for the trailing twelve months is around 4.31%, while CPSM has not paid dividends to shareholders.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPHD Invesco S&P 500® High Dividend Low Volatility ETF | 4.31% | 4.02% | 3.41% | 4.48% | 3.89% | 3.45% | 4.89% | 4.07% | 4.40% | 3.14% | 3.83% | 3.49% |
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% |
Drawdowns
SPHD vs. CPSM - Drawdown Comparison
The maximum SPHD drawdown since its inception was -41.39%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for SPHD and CPSM.
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Drawdown Indicators
| SPHD | CPSM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.39% | -5.19% | -36.20% |
Max Drawdown (1Y)Largest decline over 1 year | -11.33% | -4.99% | -6.34% |
Max Drawdown (5Y)Largest decline over 5 years | -19.50% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -41.39% | — | — |
Current DrawdownCurrent decline from peak | -5.14% | -0.08% | -5.06% |
Average DrawdownAverage peak-to-trough decline | -4.70% | -0.22% | -4.48% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.67% | 0.77% | +2.90% |
Volatility
SPHD vs. CPSM - Volatility Comparison
Invesco S&P 500® High Dividend Low Volatility ETF (SPHD) has a higher volatility of 3.21% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.68%. This indicates that SPHD'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
| SPHD | CPSM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.21% | 0.68% | +2.53% |
Volatility (6M)Calculated over the trailing 6-month period | 7.91% | 1.18% | +6.73% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.51% | 6.69% | +7.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 14.20% | 5.31% | +8.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.65% | 5.31% | +12.34% |