SPYV vs. CPSM

Last updated Jun 4, 2026

SPYV (SPDR Portfolio S&P 500 Value ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both exchange-traded funds - SPYV is a S&P 500 fund tracking the S&P 500 Value, while CPSM is a Defined Outcome fund actively managed by Calamos. SPYV is passively managed, while CPSM is actively managed. Over the past year, SPYV returned 21.26% vs 5.88% for CPSM. A 0.52 correlation means they provide meaningful diversification when combined. SPYV charges 0.04%/yr vs 0.69%/yr for CPSM.

Performance

SPYV vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio S&P 500 Value ETF (SPYV) 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, SPYV achieves a 7.46% return, which is significantly higher than CPSM's 2.27% return.

SPYV

• 1D: -0.36%
• 1M: 2.22%
• YTD: 7.46%
• 6M: 7.77%
• 1Y: 21.26%
• 3Y*: 15.72%
• 5Y*: 10.68%
• 10Y*: 11.90%

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)

SPYV vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
SPYV SPDR Portfolio S&P 500 Value ETF	7.46%	13.18%	8.78%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.27%	7.21%	6.67%

Correlation

The correlation between SPYV and CPSM is 0.52, 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	0.52
Correlation (All Time) Calculated using the full available price history since May 2, 2024	0.52

The correlation between SPYV and CPSM has been stable across timeframes, ranging from 0.52 to 0.52 - a consistent structural relationship.

Return for Risk

SPYV vs. CPSM — Risk / Return Rank

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

SPYV

SPYV Risk / Return Rank: 66
SPYV Sharpe Ratio Rank: 63
SPYV Sortino Ratio Rank: 64
SPYV Omega Ratio Rank: 63
SPYV Calmar Ratio Rank: 68
SPYV Martin Ratio Rank: 69

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.

SPYV vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio S&P 500 Value ETF (SPYV) 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.

	SPYV	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	2.17	3.78	-1.60
Sortino ratio: Return per unit of downside risk	3.05	6.33	-3.28
Omega ratio: Gain probability vs. loss probability	1.39	1.84	-0.45
Calmar ratio: Return relative to maximum drawdown	3.43	13.01	-9.58
Martin ratio: Return relative to average drawdown	13.16	61.11	-47.95
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SPYV vs. CPSM - Sharpe Ratio Comparison

The current SPYV Sharpe Ratio is 2.17, which is lower than the CPSM Sharpe Ratio of 3.78. The chart below compares the historical Sharpe Ratios of SPYV 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

	SPYV	CPSM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.17	3.78	-1.60
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.75	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.70	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.42	1.54	-1.12

Drawdowns

SPYV vs. CPSM - Drawdown Comparison

The maximum SPYV drawdown since its inception was -58.45%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for SPYV and CPSM.

Drawdown Indicators

	SPYV	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-58.45%	-5.19%	-53.26%
Max Drawdown (1Y) Largest decline over 1 year	-6.22%	-0.45%	-5.77%
Max Drawdown (3Y) Largest decline over 3 years	-17.54%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-17.89%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-36.89%	—	—
Current Drawdown Current decline from peak	-0.57%	-0.06%	-0.51%
Average Drawdown Average peak-to-trough decline	-8.72%	-0.20%	-8.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.62%	0.10%	+1.52%

Volatility

SPYV vs. CPSM - Volatility Comparison

SPDR Portfolio S&P 500 Value ETF (SPYV) has a higher volatility of 1.98% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.35%. This indicates that SPYV'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

	SPYV	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.98%	0.35%	+1.63%
Volatility (6M) Calculated over the trailing 6-month period	7.04%	1.14%	+5.90%
Volatility (1Y) Calculated over the trailing 1-year period	9.84%	1.57%	+8.27%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.40%	5.10%	+9.30%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.94%	5.10%	+11.84%

SPYV vs. CPSM - Expense Ratio Comparison

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

Dividends

SPYV vs. CPSM - Dividend Comparison

SPYV's dividend yield for the trailing twelve months is around 1.70%, 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%
SPYV SPDR Portfolio S&P 500 Value ETF	1.70%	1.77%	2.29%	1.75%	2.22%	2.10%	2.38%	2.25%	2.97%	2.77%	2.39%	2.53%

Frequently Asked Questions

Can I hold both SPYV and CPSM in my portfolio?

SPYV and CPSM have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPYV or CPSM?

SPYV has higher volatility (1.98%) compared to CPSM (0.35%). In terms of maximum drawdown, SPYV dropped -58.45% vs CPSM's -5.19%.

Which ETF is better, SPYV or CPSM?

On 1-year performance, SPYV leads with 21.26% vs 5.88% for CPSM. On fees, SPYV 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, SPYV or CPSM?

Over the 1-year period, SPYV has performed better with a 21.26% return vs 5.88%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, SPYV or CPSM?

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

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

SPYV has the higher dividend yield at 1.70%, compared with 0.00% for CPSM.

What is the main difference between SPYV and CPSM?

SPYV 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 SPYV and 0.69% for CPSM.

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.78 vs 2.17), 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.