SPY vs. CPSP

Last updated Jun 4, 2026

SPY (State Street SPDR S&P 500 ETF) and CPSP (Calamos S&P 500 Structured Alt Protection ETF - April) are both S&P 500 funds. SPY is passively managed, while CPSP is actively managed. Over the past year, SPY returned 27.98% vs 7.13% for CPSP. A 0.76 correlation means they provide meaningful diversification when combined. SPY charges 0.09%/yr vs 0.69%/yr for CPSP.

Performance

SPY vs. CPSP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street SPDR S&P 500 ETF (SPY) and Calamos S&P 500 Structured Alt Protection ETF - April (CPSP). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SPY achieves a 10.91% return, which is significantly higher than CPSP's 3.18% return.

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

CPSP

• 1D: 0.00%
• 1M: 0.60%
• YTD: 3.18%
• 6M: 3.74%
• 1Y: 7.13%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

SPY vs. CPSP - Yearly Performance Comparison

	2026 (YTD)	2025
SPY State Street SPDR S&P 500 ETF	10.91%	22.62%
CPSP Calamos S&P 500 Structured Alt Protection ETF - April	3.18%	5.46%

Correlation

The correlation between SPY and CPSP is 0.75, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.75
Correlation (All Time) Calculated using the full available price history since Apr 2, 2025	0.76

The correlation between SPY and CPSP has been stable across timeframes, ranging from 0.75 to 0.76 - a consistent structural relationship.

Return for Risk

SPY vs. CPSP — Risk / Return Rank

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

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

CPSP

CPSP Risk / Return Rank: 98
CPSP Sharpe Ratio Rank: 98
CPSP Sortino Ratio Rank: 99
CPSP Omega Ratio Rank: 98
CPSP Calmar Ratio Rank: 98
CPSP Martin Ratio Rank: 99

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.

SPY vs. CPSP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street SPDR S&P 500 ETF (SPY) and Calamos S&P 500 Structured Alt Protection ETF - April (CPSP). 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.

	SPY	CPSP	Difference
Sharpe ratio: Return per unit of total volatility	2.38	5.08	-2.70
Sortino ratio: Return per unit of downside risk	3.24	9.15	-5.91
Omega ratio: Gain probability vs. loss probability	1.43	2.31	-0.88
Calmar ratio: Return relative to maximum drawdown	3.16	19.11	-15.94
Martin ratio: Return relative to average drawdown	14.72	96.35	-81.63
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SPY vs. CPSP - Sharpe Ratio Comparison

The current SPY Sharpe Ratio is 2.38, which is lower than the CPSP Sharpe Ratio of 5.08. The chart below compares the historical Sharpe Ratios of SPY and CPSP, 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

	SPY	CPSP	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.38	5.08	-2.70
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.82	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.87	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.59	3.17	-2.58

Drawdowns

SPY vs. CPSP - Drawdown Comparison

The maximum SPY drawdown since its inception was -55.19%, which is greater than CPSP's maximum drawdown of -1.73%. Use the drawdown chart below to compare losses from any high point for SPY and CPSP.

Drawdown Indicators

	SPY	CPSP	Difference
Max Drawdown Largest peak-to-trough decline	-55.19%	-1.73%	-53.46%
Max Drawdown (1Y) Largest decline over 1 year	-8.88%	-0.37%	-8.51%
Max Drawdown (3Y) Largest decline over 3 years	-18.76%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-24.50%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-33.72%	—	—
Current Drawdown Current decline from peak	-0.70%	0.00%	-0.70%
Average Drawdown Average peak-to-trough decline	-9.05%	-0.08%	-8.97%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.91%	0.07%	+1.84%

Volatility

SPY vs. CPSP - Volatility Comparison

State Street SPDR S&P 500 ETF (SPY) has a higher volatility of 2.84% compared to Calamos S&P 500 Structured Alt Protection ETF - April (CPSP) at 0.32%. This indicates that SPY's price experiences larger fluctuations and is considered to be riskier than CPSP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SPY	CPSP	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.84%	0.32%	+2.52%
Volatility (6M) Calculated over the trailing 6-month period	8.90%	0.84%	+8.06%
Volatility (1Y) Calculated over the trailing 1-year period	11.83%	1.42%	+10.41%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.05%	2.37%	+14.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.94%	2.37%	+15.57%

SPY vs. CPSP - Expense Ratio Comparison

SPY has a 0.09% expense ratio, which is lower than CPSP's 0.69% expense ratio.

Dividends

SPY vs. CPSP - Dividend Comparison

SPY's dividend yield for the trailing twelve months is around 0.98%, while CPSP has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CPSP Calamos S&P 500 Structured Alt Protection ETF - April	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	0.98%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both SPY and CPSP in my portfolio?

SPY and CPSP have a correlation of 0.75, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPY or CPSP?

SPY has higher volatility (2.84%) compared to CPSP (0.32%). In terms of maximum drawdown, SPY dropped -55.19% vs CPSP's -1.73%.

Which ETF is better, SPY or CPSP?

On 1-year performance, SPY leads with 27.98% vs 7.13% for CPSP. On fees, SPY is cheaper at 0.09% per year. On volatility, CPSP has been the lower-risk option at 0.32%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SPY or CPSP?

Over the 1-year period, SPY has performed better with a 27.98% return vs 7.13%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPY or CPSP?

SPY is cheaper with a 0.09% expense ratio, compared with 0.69% for CPSP.

Which ETF pays a higher dividend yield, SPY or CPSP?

SPY has the higher dividend yield at 0.98%, compared with 0.00% for CPSP.

What is the main difference between SPY and CPSP?

They also come from different issuers: State Street and Calamos. Their fees differ too: 0.09% for SPY and 0.69% for CPSP.

Which has better risk-adjusted returns?

CPSP currently has the higher Sharpe Ratio (5.08 vs 2.38), 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.