SPYM vs. CPSM
Compare and contrast key facts about State Street SPDR Portfolio S&P 500 ETF (SPYM) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM).
SPYM and CPSM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. SPYM is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Nov 8, 2005. CPSM is an actively managed fund by Calamos. It was launched on May 1, 2024.
Performance
SPYM vs. CPSM - Performance Comparison
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SPYM vs. CPSM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
SPYM State Street SPDR Portfolio S&P 500 ETF | -3.63% | 17.79% | 18.35% |
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 1.00% | 7.21% | 6.67% |
Returns By Period
In the year-to-date period, SPYM achieves a -3.63% return, which is significantly lower than CPSM's 1.00% return.
SPYM
- 1D
- 0.76%
- 1M
- -4.28%
- YTD
- -3.63%
- 6M
- -1.39%
- 1Y
- 18.21%
- 3Y*
- 18.57%
- 5Y*
- 11.94%
- 10Y*
- 14.21%
CPSM
- 1D
- 0.19%
- 1M
- 0.26%
- YTD
- 1.00%
- 6M
- 2.12%
- 1Y
- 7.35%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
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SPYM vs. CPSM - Expense Ratio Comparison
SPYM has a 0.02% expense ratio, which is lower than CPSM's 0.69% expense ratio.
Return for Risk
SPYM vs. CPSM — Risk / Return Rank
SPYM
CPSM
SPYM vs. CPSM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for State Street SPDR Portfolio S&P 500 ETF (SPYM) 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.
| SPYM | CPSM | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.00 | 1.10 | -0.10 |
Sortino ratioReturn per unit of downside risk | 1.53 | 1.71 | -0.18 |
Omega ratioGain probability vs. loss probability | 1.23 | 1.45 | -0.21 |
Calmar ratioReturn relative to maximum drawdown | 1.55 | 1.51 | +0.04 |
Martin ratioReturn relative to average drawdown | 7.32 | 9.75 | -2.44 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SPYM | CPSM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.00 | 1.10 | -0.10 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.71 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.79 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.58 | 1.48 | -0.90 |
Correlation
The correlation between SPYM and CPSM is 0.71, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
SPYM vs. CPSM - Dividend Comparison
SPYM's dividend yield for the trailing twelve months is around 1.15%, while CPSM has not paid dividends to shareholders.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
SPYM State Street SPDR Portfolio S&P 500 ETF | 1.15% | 1.13% | 1.28% | 1.44% | 1.69% | 1.25% | 1.54% | 1.79% | 2.23% | 1.75% | 1.97% | 1.98% |
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% |
Drawdowns
SPYM vs. CPSM - Drawdown Comparison
The maximum SPYM drawdown since its inception was -54.46%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for SPYM and CPSM.
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Drawdown Indicators
| SPYM | CPSM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.46% | -5.19% | -49.27% |
Max Drawdown (1Y)Largest decline over 1 year | -12.02% | -4.99% | -7.03% |
Max Drawdown (5Y)Largest decline over 5 years | -24.48% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -33.87% | — | — |
Current DrawdownCurrent decline from peak | -5.54% | 0.00% | -5.54% |
Average DrawdownAverage peak-to-trough decline | -7.21% | -0.21% | -7.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.55% | 0.77% | +1.78% |
Volatility
SPYM vs. CPSM - Volatility Comparison
State Street SPDR Portfolio S&P 500 ETF (SPYM) has a higher volatility of 5.33% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.70%. This indicates that SPYM'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.
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Volatility by Period
| SPYM | CPSM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.33% | 0.70% | +4.63% |
Volatility (6M)Calculated over the trailing 6-month period | 9.48% | 1.19% | +8.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.25% | 6.69% | +11.56% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.81% | 5.30% | +11.51% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.99% | 5.30% | +12.69% |