SPYG vs. CPSM

Last updated Jun 4, 2026

SPYG (State Street SPDR Portfolio S&P 500 Growth ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both exchange-traded funds - SPYG is a S&P 500 fund tracking the S&P 500 Growth Index, while CPSM is a Defined Outcome fund actively managed by Calamos. SPYG is passively managed, while CPSM is actively managed. Over the past year, SPYG returned 33.95% vs 5.88% for CPSM. A 0.66 correlation means they provide meaningful diversification when combined. SPYG charges 0.04%/yr vs 0.69%/yr for CPSM.

Performance

SPYG vs. CPSM - Performance Comparison

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

Returns By Period

In the year-to-date period, SPYG achieves a 13.75% return, which is significantly higher than CPSM's 2.27% return.

SPYG

• 1D: -0.98%
• 1M: 7.38%
• YTD: 13.75%
• 6M: 13.57%
• 1Y: 33.95%
• 3Y*: 28.16%
• 5Y*: 16.07%
• 10Y*: 18.20%

CPSM

• 1D: -0.06%
• 1M: 0.71%
• YTD: 2.27%
• 6M: 2.72%
• 1Y: 5.88%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

SPYG vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
SPYG State Street SPDR Portfolio S&P 500 Growth ETF	13.75%	22.09%	26.14%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.27%	7.21%	6.67%

Correlation

The correlation between SPYG and CPSM is 0.55, 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	0.55
Correlation (All Time) Calculated using the full available price history since May 2, 2024	0.66

The correlation between SPYG and CPSM shifts across timeframes, from 0.55 (1 year) to 0.66 (all time), reflecting how their relationship changes across market environments.

Return for Risk

SPYG vs. CPSM — Risk / Return Rank

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

SPYG

SPYG Risk / Return Rank: 57
SPYG Sharpe Ratio Rank: 62
SPYG Sortino Ratio Rank: 60
SPYG Omega Ratio Rank: 59
SPYG Calmar Ratio Rank: 49
SPYG Martin Ratio Rank: 57

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.

SPYG vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street SPDR Portfolio S&P 500 Growth ETF (SPYG) 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.

	SPYG	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	2.12	3.78	-1.65
Sortino ratio: Return per unit of downside risk	2.90	6.33	-3.43
Omega ratio: Gain probability vs. loss probability	1.37	1.84	-0.47
Calmar ratio: Return relative to maximum drawdown	2.48	13.01	-10.53
Martin ratio: Return relative to average drawdown	10.25	61.11	-50.86
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SPYG vs. CPSM - Sharpe Ratio Comparison

The current SPYG Sharpe Ratio is 2.12, which is lower than the CPSM Sharpe Ratio of 3.78. The chart below compares the historical Sharpe Ratios of SPYG 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

	SPYG	CPSM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.12	3.78	-1.65
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.76	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.88	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	1.54	-1.19

Drawdowns

SPYG vs. CPSM - Drawdown Comparison

The maximum SPYG drawdown since its inception was -67.63%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for SPYG and CPSM.

Drawdown Indicators

	SPYG	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-67.63%	-5.19%	-62.44%
Max Drawdown (1Y) Largest decline over 1 year	-13.76%	-0.45%	-13.31%
Max Drawdown (3Y) Largest decline over 3 years	-22.14%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-32.67%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-32.67%	—	—
Current Drawdown Current decline from peak	-1.13%	-0.06%	-1.07%
Average Drawdown Average peak-to-trough decline	-24.33%	-0.20%	-24.13%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.32%	0.10%	+3.22%

Volatility

SPYG vs. CPSM - Volatility Comparison

State Street SPDR Portfolio S&P 500 Growth ETF (SPYG) has a higher volatility of 4.35% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.35%. This indicates that SPYG'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.

Volatility by Period

	SPYG	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.35%	0.35%	+4.00%
Volatility (6M) Calculated over the trailing 6-month period	12.46%	1.14%	+11.32%
Volatility (1Y) Calculated over the trailing 1-year period	16.06%	1.57%	+14.49%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.17%	5.10%	+16.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.64%	5.10%	+15.54%

SPYG vs. CPSM - Expense Ratio Comparison

SPYG has a 0.04% expense ratio, which is lower than CPSM's 0.69% expense ratio.

Dividends

SPYG vs. CPSM - Dividend Comparison

SPYG's dividend yield for the trailing twelve months is around 0.47%, while CPSM has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
SPYG State Street SPDR Portfolio S&P 500 Growth ETF	0.47%	0.52%	0.60%	1.15%	1.03%	0.62%	0.90%	1.37%	1.51%	1.41%	1.55%	1.57%

Frequently Asked Questions

Can I hold both SPYG and CPSM in my portfolio?

SPYG and CPSM have a correlation of 0.55, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPYG or CPSM?

SPYG has higher volatility (4.35%) compared to CPSM (0.35%). In terms of maximum drawdown, SPYG dropped -67.63% vs CPSM's -5.19%.

Which ETF is better, SPYG or CPSM?

On 1-year performance, SPYG leads with 33.95% vs 5.88% for CPSM. On fees, SPYG is cheaper at 0.04% per year. On volatility, CPSM has been the lower-risk option at 0.35%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, SPYG or CPSM?

Over the 1-year period, SPYG has performed better with a 33.95% return vs 5.88%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPYG or CPSM?

SPYG is cheaper with a 0.04% expense ratio, compared with 0.69% for CPSM.

Which ETF pays a higher dividend yield, SPYG or CPSM?

SPYG has the higher dividend yield at 0.47%, compared with 0.00% for CPSM.

What is the main difference between SPYG and CPSM?

SPYG is categorized as S&P 500, while CPSM is Defined Outcome. They also come from different issuers: State Street and Calamos. Their fees differ too: 0.04% for SPYG and 0.69% for CPSM.

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.78 vs 2.12), 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.