VOO vs. CPSL
VOO (Vanguard S&P 500 ETF) and CPSL (Calamos Laddered S&P 500 Structured Alt Protection ETF) are both exchange-traded funds - VOO is a S&P 500 fund tracking the S&P 500 Index, while CPSL is a Defined Outcome fund actively managed by Calamos. VOO is passively managed, while CPSL is actively managed. Over the past year, VOO returned 24.01% vs 7.22% for CPSL. Their 0.77 correlation means they have sometimes moved together and sometimes differently. VOO charges 0.03%/yr vs 0.79%/yr for CPSL.
Performance
VOO vs. CPSL - Performance Comparison
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Returns By Period
In the year-to-date period, VOO achieves a 13.52% return, which is significantly higher than CPSL's 4.29% return.
VOO
- 1D
- -0.19%
- 1M
- 2.46%
- 6M
- 12.84%
- YTD
- 13.52%
- 1Y
- 24.01%
- 3Y*
- 21.49%
- 5Y*
- 13.30%
- 10Y*
- 15.35%
- ALL TIME*
- 14.99%
CPSL
- 1D
- 0.57%
- 1M
- 1.30%
- 6M
- 3.69%
- YTD
- 4.29%
- 1Y
- 7.22%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 6.87%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $1.65M | $1.43M | $948.66K | |
| $4.29B | $3.83B | $5.49B |
VOO vs. CPSL - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
VOO Vanguard S&P 500 ETF | 13.52% | 17.82% | 9.18% |
CPSL Calamos Laddered S&P 500 Structured Alt Protection ETF | 4.29% | 6.43% | 2.24% |
Correlation
The correlation between VOO and CPSL is 0.67, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.67 |
Correlation (All Time) Calculated using the full available price history since Sep 9, 2024 | 0.77 |
The correlation between VOO and CPSL shifts across timeframes, from 0.67 (1 year) to 0.77 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
VOO vs. CPSL — Risk / Return Rank
VOO
CPSL
VOO vs. CPSL - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P 500 ETF (VOO) and Calamos Laddered S&P 500 Structured Alt Protection ETF (CPSL). 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.
| VOO | CPSL | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.29 | ||
| Sortino ratioReturn per unit of downside risk | -2.62 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.64 | -0.30 |
| Calmar ratioReturn relative to maximum drawdown | 2.71 | 6.15 | -3.44 |
| Martin ratioReturn relative to average drawdown | 11.57 | 30.62 | -19.05 |
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Drawdowns
VOO vs. CPSL - Drawdown Comparison
The maximum VOO drawdown since its inception was -33.99%, which is greater than CPSL's maximum drawdown of -3.72%. Use the drawdown chart below to compare losses from any high point for VOO and CPSL.
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Drawdown Indicators
| VOO | CPSL | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.99% | -3.72% | -30.27% |
Max Drawdown (1Y)Largest decline over 1 year | -8.90% | -1.18% | -7.72% |
Max Drawdown (3Y)Largest decline over 3 years | -18.69% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -24.52% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -33.99% | — | — |
Current DrawdownCurrent decline from peak | -0.19% | 0.00% | -0.19% |
Average DrawdownAverage peak-to-trough decline | -3.67% | -0.31% | -3.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.08% | 0.24% | +1.84% |
Volatility
VOO vs. CPSL - Volatility Comparison
Vanguard S&P 500 ETF (VOO) has a higher volatility of 4.07% compared to Calamos Laddered S&P 500 Structured Alt Protection ETF (CPSL) at 0.75%. This indicates that VOO's price experiences larger fluctuations and is considered to be riskier than CPSL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VOO | CPSL | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.07% | 0.75% | +3.32% |
Volatility (6M)Calculated over the trailing 6-month period | 10.27% | 1.68% | +8.59% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.81% | 2.29% | +10.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.96% | 3.26% | +13.70% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.03% | 3.26% | +14.77% |
VOO vs. CPSL - Expense Ratio Comparison
VOO has a 0.03% expense ratio, which is lower than CPSL's 0.79% expense ratio.
Dividends
VOO vs. CPSL - Dividend Comparison
VOO's dividend yield for the trailing twelve months is around 1.04%, while CPSL has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CPSL Calamos Laddered S&P 500 Structured Alt Protection ETF | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
VOO Vanguard S&P 500 ETF | 1.04% | 1.13% | 1.24% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% |
Frequently Asked Questions
VOO and CPSL have a correlation of 0.67, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VOO has higher volatility (4.07%) compared to CPSL (0.75%). In terms of maximum drawdown, VOO dropped -33.99% vs CPSL's -3.72%.
On 1-year performance, VOO leads with 24.01% vs 7.22% for CPSL. On fees, VOO is cheaper at 0.03% per year. On volatility, CPSL has been the lower-risk option at 0.75%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, VOO has performed better with a 24.01% return vs 7.22%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
VOO is cheaper with a 0.03% expense ratio, compared with 0.79% for CPSL.
VOO has the higher dividend yield at 1.04%, compared with 0.00% for CPSL.
VOO is categorized as S&P 500, while CPSL is Defined Outcome. They also come from different issuers: Vanguard and Calamos. Their fees differ too: 0.03% for VOO and 0.79% for CPSL.
CPSL currently has the higher Sharpe Ratio (3.18 vs 1.88), 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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