ZFEB vs. CPSM

Last updated Aug 4, 2026

ZFEB (Innovator Equity Defined Protection ETF - 1 Yr February) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both Defined Outcome funds. Both are actively managed. Over the past year, ZFEB returned 6.81% vs 5.17% for CPSM. Their 0.61 correlation means they have sometimes moved together and sometimes differently. ZFEB charges 0.79%/yr vs 0.69%/yr for CPSM.

Performance

ZFEB vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator Equity Defined Protection ETF - 1 Yr February (ZFEB) 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, ZFEB achieves a 3.03% return, which is significantly higher than CPSM's 2.72% return.

ZFEB

• 1D: 0.17%
• 1M: 0.60%
• 6M: 2.27%
• YTD: 3.03%
• 1Y: 6.81%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 6.20%

CPSM

• 1D: 0.17%
• 1M: 0.44%
• 6M: 2.35%
• YTD: 2.72%
• 1Y: 5.17%
• 3Y*: —
• 5Y*: —
• 10Y*: —
• ALL TIME*: 7.46%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	$102.78K	$72.25K	$161.61K
ZFEB Innovator Equity Defined Protection ETF - 1 Yr February	$77.83K	$235.95K	$414.31K

ZFEB vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025
ZFEB Innovator Equity Defined Protection ETF - 1 Yr February	3.03%	6.19%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.72%	6.23%

Correlation

The correlation between ZFEB and CPSM is 0.58, 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.	0.58
Correlation (All Time) Calculated using the full available price history since Feb 3, 2025	0.61

The correlation between ZFEB and CPSM has been stable across timeframes, ranging from 0.58 to 0.61 - a consistent structural relationship.

Return for Risk

ZFEB vs. CPSM — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ZFEB

ZFEB Risk / Return Rank: 96
ZFEB Sharpe Ratio Rank: 96
ZFEB Sortino Ratio Rank: 97
ZFEB Omega Ratio Rank: 96
ZFEB Calmar Ratio Rank: 94
ZFEB Martin Ratio Rank: 96

CPSM

CPSM Risk / Return Rank: 97
CPSM Sharpe Ratio Rank: 96
CPSM Sortino Ratio Rank: 97
CPSM Omega Ratio Rank: 96
CPSM Calmar Ratio Rank: 98
CPSM Martin Ratio Rank: 98

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ZFEB vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Defined Protection ETF - 1 Yr February (ZFEB) 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.

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.

	ZFEB	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	3.20	3.12	+0.07
Sortino ratio: Return per unit of downside risk	5.10	5.04	+0.06
Omega ratio: Gain probability vs. loss probability	1.69	1.65	+0.04
Calmar ratio: Return relative to maximum drawdown	5.07	10.61	-5.54
Martin ratio: Return relative to average drawdown	24.33	40.17	-15.84

ZFEB vs. CPSM - Sharpe Ratio Comparison

The current ZFEB Sharpe Ratio is 3.20, which is comparable to the CPSM Sharpe Ratio of 3.12. The chart below compares the historical Sharpe Ratios of ZFEB 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.

Drawdowns

ZFEB vs. CPSM - Drawdown Comparison

The maximum ZFEB drawdown since its inception was -3.00%, smaller than the maximum CPSM drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for ZFEB and CPSM.

Drawdown Indicators

	ZFEB	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-3.00%	-5.19%	+2.19%
Max Drawdown (1Y) Largest decline over 1 year	-1.35%	-0.49%	-0.86%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.34%	-0.20%	-0.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.28%	0.13%	+0.15%

Volatility

ZFEB vs. CPSM - Volatility Comparison

Innovator Equity Defined Protection ETF - 1 Yr February (ZFEB) has a higher volatility of 0.55% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.47%. This indicates that ZFEB'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

	ZFEB	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.55%	0.47%	+0.08%
Volatility (6M) Calculated over the trailing 6-month period	1.55%	1.25%	+0.30%
Volatility (1Y) Calculated over the trailing 1-year period	2.14%	1.67%	+0.47%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.79%	4.93%	-2.14%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.79%	4.93%	-2.14%

ZFEB vs. CPSM - Expense Ratio Comparison

ZFEB has a 0.79% expense ratio, which is higher than CPSM's 0.69% expense ratio.

Dividends

ZFEB vs. CPSM - Dividend Comparison

Neither ZFEB nor CPSM has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both ZFEB and CPSM in my portfolio?

ZFEB and CPSM have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ZFEB or CPSM?

ZFEB has higher volatility (0.55%) compared to CPSM (0.47%). In terms of maximum drawdown, ZFEB dropped -3.00% vs CPSM's -5.19%.

Which ETF is better, ZFEB or CPSM?

On 1-year performance, ZFEB leads with 6.81% vs 5.17% for CPSM. On fees, CPSM is cheaper at 0.69% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ZFEB or CPSM?

Over the 1-year period, ZFEB has performed better with a 6.81% return vs 5.17%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ZFEB or CPSM?

CPSM is cheaper with a 0.69% expense ratio, compared with 0.79% for ZFEB.

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

ZFEB and CPSM have nearly identical dividend yields, around 0.00%.

What is the main difference between ZFEB and CPSM?

They also come from different issuers: Innovator and Calamos. Their fees differ too: 0.79% for ZFEB and 0.69% for CPSM.

Which has better risk-adjusted returns?

ZFEB currently has the higher Sharpe Ratio (3.20 vs 3.12), 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.