SPLV vs. CPSU

Last updated Jun 4, 2026

SPLV (Invesco S&P 500 Low Volatility ETF) and CPSU (Calamos S&P 500 Structured Alt Protection ETF - June) are both exchange-traded funds - SPLV is a S&P 500 fund tracking the S&P 500 Low Volatility Index, while CPSU is a Defined Outcome fund actively managed by Calamos. SPLV is passively managed, while CPSU is actively managed. Over the past year, SPLV returned -0.03% vs 6.43% for CPSU. At a 0.20 correlation, their price movements are largely independent. SPLV charges 0.25%/yr vs 0.69%/yr for CPSU.

Performance

SPLV vs. CPSU - Performance Comparison

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

Returns By Period

In the year-to-date period, SPLV achieves a 1.32% return, which is significantly lower than CPSU's 2.29% return.

SPLV

• 1D: 0.08%
• 1M: -2.50%
• YTD: 1.32%
• 6M: 1.06%
• 1Y: -0.03%
• 3Y*: 7.54%
• 5Y*: 5.33%
• 10Y*: 8.01%

CPSU

• 1D: -0.05%
• 1M: 0.45%
• YTD: 2.29%
• 6M: 2.84%
• 1Y: 6.43%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

SPLV vs. CPSU - Yearly Performance Comparison

	2026 (YTD)	2025
SPLV Invesco S&P 500 Low Volatility ETF	1.32%	-1.55%
CPSU Calamos S&P 500 Structured Alt Protection ETF - June	2.29%	4.15%

Correlation

The correlation between SPLV and CPSU is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.21
Correlation (All Time) Calculated using the full available price history since Jun 3, 2025	0.20

Return for Risk

SPLV vs. CPSU — Risk / Return Rank

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

SPLV

SPLV Risk / Return Rank: 8
SPLV Sharpe Ratio Rank: 8
SPLV Sortino Ratio Rank: 8
SPLV Omega Ratio Rank: 8
SPLV Calmar Ratio Rank: 8
SPLV Martin Ratio Rank: 8

CPSU

CPSU Risk / Return Rank: 96
CPSU Sharpe Ratio Rank: 95
CPSU Sortino Ratio Rank: 97
CPSU Omega Ratio Rank: 97
CPSU Calmar Ratio Rank: 92
CPSU Martin Ratio Rank: 97

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.

SPLV vs. CPSU - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P 500 Low Volatility ETF (SPLV) and Calamos S&P 500 Structured Alt Protection ETF - June (CPSU). 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.

	SPLV	CPSU	Difference
Sharpe ratio: Return per unit of total volatility	-0.00	3.76	-3.76
Sortino ratio: Return per unit of downside risk	0.06	6.32	-6.26
Omega ratio: Gain probability vs. loss probability	1.01	1.97	-0.96
Calmar ratio: Return relative to maximum drawdown	-0.00	6.29	-6.29
Martin ratio: Return relative to average drawdown	-0.01	42.62	-42.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SPLV vs. CPSU - Sharpe Ratio Comparison

The current SPLV Sharpe Ratio is -0.00, which is lower than the CPSU Sharpe Ratio of 3.76. The chart below compares the historical Sharpe Ratios of SPLV and CPSU, 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

	SPLV	CPSU	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.00	3.76	-3.76
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.43	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.52	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.68	3.81	-3.13

Drawdowns

SPLV vs. CPSU - Drawdown Comparison

The maximum SPLV drawdown since its inception was -36.26%, which is greater than CPSU's maximum drawdown of -1.03%. Use the drawdown chart below to compare losses from any high point for SPLV and CPSU.

Drawdown Indicators

	SPLV	CPSU	Difference
Max Drawdown Largest peak-to-trough decline	-36.26%	-1.03%	-35.23%
Max Drawdown (1Y) Largest decline over 1 year	-7.41%	-1.03%	-6.38%
Max Drawdown (3Y) Largest decline over 3 years	-9.64%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-17.26%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-36.26%	—	—
Current Drawdown Current decline from peak	-6.91%	-0.15%	-6.76%
Average Drawdown Average peak-to-trough decline	-3.55%	-0.07%	-3.48%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.05%	0.15%	+2.90%

Volatility

SPLV vs. CPSU - Volatility Comparison

Invesco S&P 500 Low Volatility ETF (SPLV) has a higher volatility of 2.97% compared to Calamos S&P 500 Structured Alt Protection ETF - June (CPSU) at 0.29%. This indicates that SPLV's price experiences larger fluctuations and is considered to be riskier than CPSU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SPLV	CPSU	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.97%	0.29%	+2.68%
Volatility (6M) Calculated over the trailing 6-month period	6.78%	1.39%	+5.39%
Volatility (1Y) Calculated over the trailing 1-year period	9.78%	1.72%	+8.06%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.45%	1.72%	+10.73%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.36%	1.72%	+13.64%

SPLV vs. CPSU - Expense Ratio Comparison

SPLV has a 0.25% expense ratio, which is lower than CPSU's 0.69% expense ratio.

Dividends

SPLV vs. CPSU - Dividend Comparison

SPLV's dividend yield for the trailing twelve months is around 2.22%, while CPSU has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CPSU Calamos S&P 500 Structured Alt Protection ETF - June	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPLV Invesco S&P 500 Low Volatility ETF	2.22%	2.04%	1.88%	2.45%	2.11%	1.51%	2.12%	2.08%	2.18%	2.03%	2.03%	2.28%

Frequently Asked Questions

Can I hold both SPLV and CPSU in my portfolio?

SPLV and CPSU have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPLV or CPSU?

SPLV has higher volatility (2.97%) compared to CPSU (0.29%). In terms of maximum drawdown, SPLV dropped -36.26% vs CPSU's -1.03%.

Which ETF is better, SPLV or CPSU?

On 1-year performance, CPSU leads with 6.43% vs -0.03% for SPLV. On fees, SPLV is cheaper at 0.25% per year. On volatility, CPSU has been the lower-risk option at 0.29%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SPLV or CPSU?

Over the 1-year period, CPSU has performed better with a 6.43% return vs -0.03%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPLV or CPSU?

SPLV is cheaper with a 0.25% expense ratio, compared with 0.69% for CPSU.

Which ETF pays a higher dividend yield, SPLV or CPSU?

SPLV has the higher dividend yield at 2.22%, compared with 0.00% for CPSU.

What is the main difference between SPLV and CPSU?

SPLV is categorized as S&P 500, while CPSU is Defined Outcome. They also come from different issuers: Invesco and Calamos. Their fees differ too: 0.25% for SPLV and 0.69% for CPSU.

Which has better risk-adjusted returns?

CPSU currently has the higher Sharpe Ratio (3.76 vs -0.00), 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.