VOO vs. CPSM
VOO (Vanguard S&P 500 ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both exchange-traded funds - VOO is a S&P 500 fund tracking the S&P 500 Index, while CPSM is a Defined Outcome fund actively managed by Calamos. VOO is passively managed, while CPSM is actively managed. Over the past year, VOO returned 28.04% vs 5.88% for CPSM. A 0.70 correlation means they provide meaningful diversification when combined. VOO charges 0.03%/yr vs 0.69%/yr for CPSM.
Performance
VOO vs. CPSM - Performance Comparison
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Returns By Period
In the year-to-date period, VOO achieves a 10.91% return, which is significantly higher than CPSM's 2.27% return.
VOO
- 1D
- -0.70%
- 1M
- 5.04%
- YTD
- 10.91%
- 6M
- 10.93%
- 1Y
- 28.04%
- 3Y*
- 22.44%
- 5Y*
- 13.90%
- 10Y*
- 15.56%
CPSM
- 1D
- -0.06%
- 1M
- 0.71%
- YTD
- 2.27%
- 6M
- 2.72%
- 1Y
- 5.88%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
VOO vs. CPSM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
VOO Vanguard S&P 500 ETF | 10.91% | 17.82% | 18.31% |
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 2.27% | 7.21% | 6.67% |
Correlation
The correlation between VOO and CPSM is 0.61, 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 | 0.61 |
Correlation (All Time) Calculated using the full available price history since May 2, 2024 | 0.70 |
The correlation between VOO and CPSM has been stable across timeframes, ranging from 0.61 to 0.70 - a consistent structural relationship.
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Return for Risk
VOO vs. CPSM — Risk / Return Rank
VOO
CPSM
VOO vs. CPSM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P 500 ETF (VOO) 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.
| VOO | CPSM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.39 | ||
| Sortino ratioReturn per unit of downside risk | -3.08 | ||
| Omega ratioGain probability vs. loss probability | 1.43 | 1.84 | -0.40 |
| Calmar ratioReturn relative to maximum drawdown | 3.16 | 13.01 | -9.85 |
| Martin ratioReturn relative to average drawdown | 14.73 | 61.11 | -46.39 |
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
| VOO | CPSM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.39 | 3.78 | -1.39 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.83 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.87 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.89 | 1.54 | -0.65 |
Drawdowns
VOO vs. CPSM - Drawdown Comparison
The maximum VOO drawdown since its inception was -33.99%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for VOO and CPSM.
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Drawdown Indicators
| VOO | CPSM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.99% | -5.19% | -28.80% |
Max Drawdown (1Y)Largest decline over 1 year | -8.90% | -0.45% | -8.45% |
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 | -0.70% | -0.06% | -0.64% |
Average DrawdownAverage peak-to-trough decline | -3.69% | -0.20% | -3.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.91% | 0.10% | +1.81% |
Volatility
VOO vs. CPSM - Volatility Comparison
Vanguard S&P 500 ETF (VOO) has a higher volatility of 2.84% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.35%. This indicates that VOO'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
| VOO | CPSM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.84% | 0.35% | +2.49% |
Volatility (6M)Calculated over the trailing 6-month period | 8.90% | 1.14% | +7.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.80% | 1.57% | +10.23% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.81% | 5.10% | +11.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.01% | 5.10% | +12.91% |
VOO vs. CPSM - Expense Ratio Comparison
VOO has a 0.03% expense ratio, which is lower than CPSM's 0.69% expense ratio.
Dividends
VOO vs. CPSM - Dividend Comparison
VOO's dividend yield for the trailing twelve months is around 1.03%, 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% |
VOO Vanguard S&P 500 ETF | 1.03% | 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 CPSM have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
VOO has higher volatility (2.84%) compared to CPSM (0.35%). In terms of maximum drawdown, VOO dropped -33.99% vs CPSM's -5.19%.
On 1-year performance, VOO leads with 28.04% vs 5.88% for CPSM. On fees, VOO is cheaper at 0.03% 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.
Over the 1-year period, VOO has performed better with a 28.04% return vs 5.88%. 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 0.69% for CPSM.
VOO has the higher dividend yield at 1.03%, compared with 0.00% for CPSM.
VOO is categorized as S&P 500, while CPSM is Defined Outcome. They also come from different issuers: Vanguard and Calamos. Their fees differ too: 0.03% for VOO and 0.69% for CPSM.
CPSM currently has the higher Sharpe Ratio (3.78 vs 2.39), 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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