VOOG vs. CPSM

Last updated Jun 4, 2026

VOOG (Vanguard S&P 500 Growth ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both exchange-traded funds - VOOG is a S&P 500 fund tracking the S&P 500 Growth Index, while CPSM is a Defined Outcome fund actively managed by Calamos. VOOG is passively managed, while CPSM is actively managed. Over the past year, VOOG returned 34.04% vs 5.88% for CPSM. A 0.66 correlation means they provide meaningful diversification when combined. VOOG charges 0.07%/yr vs 0.69%/yr for CPSM.

Performance

VOOG vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard S&P 500 Growth ETF (VOOG) 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, VOOG achieves a 13.78% return, which is significantly higher than CPSM's 2.27% return.

VOOG

• 1D: -0.93%
• 1M: 7.44%
• YTD: 13.78%
• 6M: 13.58%
• 1Y: 34.04%
• 3Y*: 28.13%
• 5Y*: 16.03%
• 10Y*: 18.15%

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)

VOOG vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
VOOG Vanguard S&P 500 Growth ETF	13.78%	22.11%	26.17%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.27%	7.21%	6.67%

Correlation

The correlation between VOOG 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 VOOG 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

VOOG vs. CPSM — Risk / Return Rank

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

VOOG

VOOG Risk / Return Rank: 58
VOOG Sharpe Ratio Rank: 63
VOOG Sortino Ratio Rank: 61
VOOG Omega Ratio Rank: 59
VOOG Calmar Ratio Rank: 50
VOOG Martin Ratio Rank: 58

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.

VOOG vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard S&P 500 Growth ETF (VOOG) 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.

	VOOG	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	2.16	3.78	-1.62
Sortino ratio: Return per unit of downside risk	2.91	6.33	-3.42
Omega ratio: Gain probability vs. loss probability	1.37	1.84	-0.47
Calmar ratio: Return relative to maximum drawdown	2.49	13.01	-10.52
Martin ratio: Return relative to average drawdown	10.32	61.11	-50.80
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VOOG vs. CPSM - Sharpe Ratio Comparison

The current VOOG Sharpe Ratio is 2.16, which is lower than the CPSM Sharpe Ratio of 3.78. The chart below compares the historical Sharpe Ratios of VOOG 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

	VOOG	CPSM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.16	3.78	-1.62
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	0.91	1.54	-0.63

Drawdowns

VOOG vs. CPSM - Drawdown Comparison

The maximum VOOG drawdown since its inception was -32.73%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for VOOG and CPSM.

Drawdown Indicators

	VOOG	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-32.73%	-5.19%	-27.54%
Max Drawdown (1Y) Largest decline over 1 year	-13.71%	-0.45%	-13.26%
Max Drawdown (3Y) Largest decline over 3 years	-22.18%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-32.73%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-32.73%	—	—
Current Drawdown Current decline from peak	-1.08%	-0.06%	-1.02%
Average Drawdown Average peak-to-trough decline	-4.97%	-0.20%	-4.77%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.31%	0.10%	+3.21%

Volatility

VOOG vs. CPSM - Volatility Comparison

Vanguard S&P 500 Growth ETF (VOOG) has a higher volatility of 4.32% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.35%. This indicates that VOOG'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

	VOOG	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.32%	0.35%	+3.97%
Volatility (6M) Calculated over the trailing 6-month period	12.41%	1.14%	+11.27%
Volatility (1Y) Calculated over the trailing 1-year period	15.85%	1.57%	+14.28%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	21.19%	5.10%	+16.09%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.73%	5.10%	+15.63%

VOOG vs. CPSM - Expense Ratio Comparison

VOOG has a 0.07% expense ratio, which is lower than CPSM's 0.69% expense ratio.

Dividends

VOOG vs. CPSM - Dividend Comparison

VOOG's dividend yield for the trailing twelve months is around 0.44%, 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%
VOOG Vanguard S&P 500 Growth ETF	0.44%	0.49%	0.49%	1.12%	0.93%	0.53%	0.88%	1.26%	1.34%	1.32%	1.47%	1.56%

Frequently Asked Questions

Can I hold both VOOG and CPSM in my portfolio?

VOOG 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, VOOG or CPSM?

VOOG has higher volatility (4.32%) compared to CPSM (0.35%). In terms of maximum drawdown, VOOG dropped -32.73% vs CPSM's -5.19%.

Which ETF is better, VOOG or CPSM?

On 1-year performance, VOOG leads with 34.04% vs 5.88% for CPSM. On fees, VOOG is cheaper at 0.07% 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, VOOG or CPSM?

Over the 1-year period, VOOG has performed better with a 34.04% return vs 5.88%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, VOOG or CPSM?

VOOG is cheaper with a 0.07% expense ratio, compared with 0.69% for CPSM.

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

VOOG has the higher dividend yield at 0.44%, compared with 0.00% for CPSM.

What is the main difference between VOOG and CPSM?

VOOG is categorized as S&P 500, while CPSM is Defined Outcome. They also come from different issuers: Vanguard and Calamos. Their fees differ too: 0.07% for VOOG and 0.69% for CPSM.

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.78 vs 2.16), 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.