SPLT.TO vs. CPSM

Last updated Jun 4, 2026

SPLT.TO (Brompton Split Corp. Preferred Share ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both exchange-traded funds - SPLT.TO is a Preferred Stock/Convertible Bonds fund actively managed by Brompton Funds, while CPSM is a Defined Outcome fund actively managed by Calamos. Both are actively managed. Over the past year, SPLT.TO returned 5.81% vs 7.24% for CPSM. At a 0.08 correlation, their price movements are largely independent. SPLT.TO charges 0.50%/yr vs 0.69%/yr for CPSM.

Performance

SPLT.TO vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Brompton Split Corp. Preferred Share ETF (SPLT.TO) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

SPLT.TO is traded in CAD, while CPSM is traded in USD. To make them comparable, the CPSM values have been converted to CAD using the latest available exchange rates.

Returns By Period

In the year-to-date period, SPLT.TO achieves a 2.84% return, which is significantly lower than CPSM's 3.57% return.

SPLT.TO

• 1D: -0.09%
• 1M: 1.89%
• YTD: 2.84%
• 6M: 3.64%
• 1Y: 5.81%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSM

• 1D: 0.35%
• 1M: 2.72%
• YTD: 3.57%
• 6M: 2.32%
• 1Y: 7.24%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

SPLT.TO vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
SPLT.TO Brompton Split Corp. Preferred Share ETF	2.84%	5.80%	10.48%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	3.57%	2.29%	11.66%

Correlation

The correlation between SPLT.TO and CPSM is -0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.07
Correlation (All Time) Calculated using the full available price history since May 2, 2024	0.08

The correlation between SPLT.TO and CPSM shifts across timeframes, from -0.07 (1 year) to 0.08 (all time), reflecting how their relationship changes across market environments.

Return for Risk

SPLT.TO vs. CPSM — Risk / Return Rank

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

SPLT.TO

SPLT.TO Risk / Return Rank: 54
SPLT.TO Sharpe Ratio Rank: 51
SPLT.TO Sortino Ratio Rank: 52
SPLT.TO Omega Ratio Rank: 55
SPLT.TO Calmar Ratio Rank: 64
SPLT.TO Martin Ratio Rank: 51

CPSM

CPSM Risk / Return Rank: 97
CPSM Sharpe Ratio Rank: 94
CPSM Sortino Ratio Rank: 97
CPSM Omega Ratio Rank: 96
CPSM Calmar Ratio Rank: 98
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.

SPLT.TO vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Brompton Split Corp. Preferred Share ETF (SPLT.TO) 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.

	SPLT.TO	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	1.74	1.60	+0.14
Sortino ratio: Return per unit of downside risk	2.51	2.26	+0.25
Omega ratio: Gain probability vs. loss probability	1.34	1.29	+0.05
Calmar ratio: Return relative to maximum drawdown	3.21	2.19	+1.02
Martin ratio: Return relative to average drawdown	8.60	6.39	+2.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SPLT.TO vs. CPSM - Sharpe Ratio Comparison

The current SPLT.TO Sharpe Ratio is 1.74, which is comparable to the CPSM Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of SPLT.TO 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.

Sharpe Ratios by Period

	SPLT.TO	CPSM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.74	1.60	+0.14
Sharpe Ratio (All Time) Calculated using the full available price history	2.05	1.28	+0.76

Drawdowns

SPLT.TO vs. CPSM - Drawdown Comparison

The maximum SPLT.TO drawdown since its inception was -5.36%, smaller than the maximum CPSM drawdown of -9.15%. Use the drawdown chart below to compare losses from any high point for SPLT.TO and CPSM.

Drawdown Indicators

	SPLT.TO	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-5.36%	-9.15%	+3.79%
Max Drawdown (1Y) Largest decline over 1 year	-1.82%	-3.32%	+1.50%
Current Drawdown Current decline from peak	-0.14%	0.00%	-0.14%
Average Drawdown Average peak-to-trough decline	-0.51%	-1.19%	+0.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.68%	1.14%	-0.46%

Volatility

SPLT.TO vs. CPSM - Volatility Comparison

Brompton Split Corp. Preferred Share ETF (SPLT.TO) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) have volatilities of 0.74% and 0.76%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SPLT.TO	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.74%	0.76%	-0.02%
Volatility (6M) Calculated over the trailing 6-month period	2.25%	3.44%	-1.19%
Volatility (1Y) Calculated over the trailing 1-year period	3.36%	4.56%	-1.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.67%	6.58%	-1.91%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.67%	6.58%	-1.91%

SPLT.TO vs. CPSM - Expense Ratio Comparison

SPLT.TO has a 0.50% expense ratio, which is lower than CPSM's 0.69% expense ratio.

Dividends

SPLT.TO vs. CPSM - Dividend Comparison

SPLT.TO's dividend yield for the trailing twelve months is around 5.99%, while CPSM has not paid dividends to shareholders.

Position	TTM	2025	2024	2023
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	0.00%	0.00%	0.00%	0.00%
SPLT.TO Brompton Split Corp. Preferred Share ETF	5.99%	6.01%	5.99%	3.54%

Frequently Asked Questions

Can I hold both SPLT.TO and CPSM in my portfolio?

SPLT.TO and CPSM have a correlation of -0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, SPLT.TO or CPSM?

On fees, SPLT.TO is cheaper at 0.50% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, SPLT.TO or CPSM?

SPLT.TO is cheaper with a 0.50% expense ratio, compared with 0.69% for CPSM.

What is the main difference between SPLT.TO and CPSM?

SPLT.TO is categorized as Preferred Stock/Convertible Bonds, while CPSM is Defined Outcome. They also come from different issuers: Brompton Funds and Calamos. Their fees differ too: 0.50% for SPLT.TO and 0.69% for CPSM.