SPXE vs. CPST
SPXE (ProShares S&P 500 Ex-Energy ETF) and CPST (Calamos S&P 500 Structured Alt Protection ETF - September) are both exchange-traded funds - SPXE is a S&P 500 fund tracking the S&P 500 Ex-Energy Index, while CPST is a Defined Outcome fund tracking the MerQube Cap Protect US Lrg Cap PR Index - Sep. Both are passively managed. Over the past year, SPXE returned 26.63% vs 7.56% for CPST. Their correlation of 0.83 suggests significant overlap in exposure. SPXE charges 0.09%/yr vs 0.69%/yr for CPST.
Performance
SPXE vs. CPST - Performance Comparison
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Returns By Period
In the year-to-date period, SPXE achieves a 9.34% return, which is significantly higher than CPST's 2.83% return.
SPXE
- 1D
- -0.47%
- 1M
- 0.37%
- YTD
- 9.34%
- 6M
- 8.86%
- 1Y
- 26.63%
- 3Y*
- 21.46%
- 5Y*
- 13.28%
- 10Y*
- 15.93%
CPST
- 1D
- 0.10%
- 1M
- 0.45%
- YTD
- 2.83%
- 6M
- 2.79%
- 1Y
- 7.56%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
SPXE vs. CPST - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
SPXE ProShares S&P 500 Ex-Energy ETF | 9.34% | 18.03% | 4.95% |
CPST Calamos S&P 500 Structured Alt Protection ETF - September | 2.83% | 6.73% | 1.97% |
Correlation
The correlation between SPXE and CPST is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.81 |
Correlation (All Time) Calculated using the full available price history since Sep 3, 2024 | 0.83 |
The correlation between SPXE and CPST has been stable across timeframes, ranging from 0.81 to 0.83 - a consistent structural relationship.
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Return for Risk
SPXE vs. CPST — Risk / Return Rank
SPXE
CPST
SPXE vs. CPST - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for ProShares S&P 500 Ex-Energy ETF (SPXE) and Calamos S&P 500 Structured Alt Protection ETF - September (CPST). 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.
| SPXE | CPST | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.56 | ||
| Sortino ratioReturn per unit of downside risk | -3.18 | ||
| Omega ratioGain probability vs. loss probability | 1.37 | 1.83 | -0.46 |
| Calmar ratioReturn relative to maximum drawdown | 2.65 | 5.34 | -2.69 |
| Martin ratioReturn relative to average drawdown | 11.73 | 28.83 | -17.10 |
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Drawdowns
SPXE vs. CPST - Drawdown Comparison
The maximum SPXE drawdown since its inception was -32.27%, which is greater than CPST's maximum drawdown of -3.79%. Use the drawdown chart below to compare losses from any high point for SPXE and CPST.
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Drawdown Indicators
| SPXE | CPST | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -32.27% | -3.79% | -28.48% |
Max Drawdown (1Y)Largest decline over 1 year | -10.09% | -1.42% | -8.67% |
Max Drawdown (3Y)Largest decline over 3 years | -18.90% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -26.50% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -32.27% | — | — |
Current DrawdownCurrent decline from peak | -1.58% | 0.00% | -1.58% |
Average DrawdownAverage peak-to-trough decline | -4.45% | -0.34% | -4.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.28% | 0.26% | +2.02% |
Volatility
SPXE vs. CPST - Volatility Comparison
ProShares S&P 500 Ex-Energy ETF (SPXE) has a higher volatility of 4.53% compared to Calamos S&P 500 Structured Alt Protection ETF - September (CPST) at 0.44%. This indicates that SPXE's price experiences larger fluctuations and is considered to be riskier than CPST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SPXE | CPST | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.53% | 0.44% | +4.09% |
Volatility (6M)Calculated over the trailing 6-month period | 10.30% | 1.60% | +8.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.97% | 2.09% | +10.88% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.00% | 3.34% | +13.66% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.46% | 3.34% | +14.12% |
SPXE vs. CPST - Expense Ratio Comparison
SPXE has a 0.09% expense ratio, which is lower than CPST's 0.69% expense ratio.
Dividends
SPXE vs. CPST - Dividend Comparison
SPXE's dividend yield for the trailing twelve months is around 0.92%, while CPST has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CPST Calamos S&P 500 Structured Alt Protection ETF - September | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPXE ProShares S&P 500 Ex-Energy ETF | 0.92% | 0.99% | 1.09% | 1.29% | 1.49% | 0.94% | 1.16% | 1.38% | 1.61% | 1.65% | 1.53% | 0.51% |
Frequently Asked Questions
SPXE and CPST have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SPXE has higher volatility (4.53%) compared to CPST (0.44%). In terms of maximum drawdown, SPXE dropped -32.27% vs CPST's -3.79%.
On 1-year performance, SPXE leads with 26.63% vs 7.56% for CPST. On fees, SPXE is cheaper at 0.09% per year. On volatility, CPST has been the lower-risk option at 0.44%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, SPXE has performed better with a 26.63% return vs 7.56%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPXE is cheaper with a 0.09% expense ratio, compared with 0.69% for CPST.
SPXE has the higher dividend yield at 0.92%, compared with 0.00% for CPST.
SPXE is categorized as S&P 500, while CPST is Defined Outcome. SPXE tracks S&P 500 Ex-Energy Index, while CPST tracks MerQube Cap Protect US Lrg Cap PR Index - Sep. They also come from different issuers: ProShares and Calamos. Their fees differ too: 0.09% for SPXE and 0.69% for CPST.
CPST currently has the higher Sharpe Ratio (3.63 vs 2.07), 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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