Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
CBOX Calamos Tax-Aware Collateral ETF | Options Trading | 100% |
Benchmark: S&P 500 Index · Rebalance: Every 3 months
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Performance Chart
The chart shows the growth of an initial investment of $10,000 in CBOX, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Every 3 months.
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Compare your portfolio against anything
Returns By Period
| Position | 1D | 1M | 6M | YTD | 1Y | 3Y* | 5Y* | 10Y* | ALL TIME* |
|---|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.70% | 0.09% | 7.94% | 9.41% | 18.15% | 17.84% | 11.25% | 13.26% | 8.09% |
Portfolio CBOX | 0.00% | 0.40% | — | — | — | — | — | — | — |
| Portfolio components: | |||||||||
CBOX Calamos Tax-Aware Collateral ETF | 0.00% | 0.40% | — | — | — | — | — | — | — |
Monthly Returns
Based on dividend-adjusted daily data since Apr 17, 2026, CBOX's average daily return is +0.02%, while the average monthly return is +0.28%. At this rate, an investment would double in approximately 20.7 years.
Historically, 100% of months were positive and 0% were negative. The best month was Jul 2026 with a return of +0.4%, while the worst month was Apr 2026 at 0.1%. The longest winning streak lasted 4 consecutive months, and the longest losing streak was 0 months.
On a daily basis, CBOX closed higher 71% of trading days. The best single day was Jun 2, 2026 with a return of +3.0%, while the worst single day was Jun 3, 2026 at -2.9%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.13% | 0.31% | 0.32% | 0.35% | 1.12% |
Benchmark Metrics
CBOX has an annualized alpha of 3.10%, beta of 0.05, and R2 of 0.01 versus S&P 500 Index. Calculated based on daily prices since April 17, 2026.
- This portfolio captured 4.91% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -59.05%) - a profile typical of hedging or uncorrelated assets.
- Beta of 0.05 may look defensive, but with R2 of 0.01 this portfolio is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R2 of 0.01 means this portfolio moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 3.10%
- Beta
- 0.05
- R²
- 0.01
- Upside Capture
- 4.91%
- Downside Capture
- -59.05%
Expense Ratio
CBOX has an expense ratio of 0.14%, which is considered low. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Metrics
The table below presents risk-adjusted performance metrics for CBOX and compares them with S&P 500 Index.
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.
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | — | 1.42 | — |
| Sortino ratioReturn per unit of downside risk | — | 1.98 | — |
| Omega ratioGain probability vs. loss probability | — | 1.25 | — |
| Calmar ratioReturn relative to maximum drawdown | — | 2.00 | — |
| Martin ratioReturn relative to average drawdown | — | 8.49 | — |
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Position | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio |
|---|---|---|---|---|---|
CBOX Calamos Tax-Aware Collateral ETF | — | — | — | — | — |
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Dividends
Dividend yield
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the CBOX. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the CBOX was 2.90%, occurring on Jun 3, 2026. The portfolio has not yet recovered.
The current CBOX drawdown is 2.30%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-2.90%Jun 2026 | 0s | — | 1mo 29dJun 2026 - now | — |
-0.03%May 2026 | 0s | 1d | 1dMay 2026 - May 2026 | — |
-0.02%Apr 2026 | 0s | 3d | 3dApr 2026 - Apr 2026 | — |
-0.02%Apr 2026 | 0s | 2d | 2dApr 2026 - Apr 2026 | — |
-0.01%May 2026 | 0s | 1d | 1dMay 2026 - May 2026 | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 1 assets, with an effective number of assets of 1.00, reflecting the diversification based on asset allocation. Your capital is spread almost evenly across your holdings, indicating a well-balanced allocation. Note that true diversification also depends on the correlations between assets — check the diversification ratio below.
Diversification Ratio
All Time | |
|---|---|
Diversification Ratio | 1.00 |
The portfolio has a diversification ratio of 1.00, placing it in the bottom quartile across portfolios. The holdings provided limited volatility reduction when combined.
CBOX correlation to the S&P 500 Index
Find what CBOX is missing
See which holdings overlap, where CBOX is concentrated, and which low-correlation assets could fill the gaps.
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