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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Calamos S&P 500 Structured Alt Protection ETF - August, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
Calamos S&P 500 Structured Alt Protection ETF - August (CPSA) has returned 0.27% so far this year and 11.22% over the past 12 months.
Calamos S&P 500 Structured Alt Protection ETF - August
- 1D
- 0.13%
- 1M
- -0.13%
- YTD
- 0.27%
- 6M
- 1.27%
- 1Y
- 11.22%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- 0.44%
- 1M
- -1.90%
- YTD
- -3.41%
- 6M
- -1.91%
- 1Y
- 30.31%
- 3Y*
- 17.22%
- 5Y*
- 10.14%
- 10Y*
- 12.44%
Monthly Returns
Based on dividend-adjusted daily data since Aug 1, 2024, CPSA's average daily return is +0.03%, while the average monthly return is +0.52%. At this rate, your investment would double in approximately 11.1 years.
Historically, 76% of months were positive and 24% were negative. The best month was May 2025 with a return of +2.4%, while the worst month was Mar 2025 at -1.5%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 2 months.
On a daily basis, CPSA closed higher 58% of trading days. The best single day was Apr 9, 2025 with a return of +2.3%, while the worst single day was Apr 3, 2025 at -1.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.49% | 0.18% | -0.83% | 0.43% | 0.27% | ||||||||
| 2025 | 0.94% | -0.13% | -1.48% | 0.14% | 2.37% | 1.76% | 0.85% | 0.86% | 0.80% | 0.41% | 0.20% | 0.49% | 7.39% |
| 2024 | 1.47% | 0.98% | -0.14% | 1.21% | -0.04% | 3.51% |
Benchmark Metrics
Calamos S&P 500 Structured Alt Protection ETF - August has an annualized alpha of 3.70%, beta of 0.23, and R² of 0.82 versus S&P 500 Index. Calculated based on daily prices since August 02, 2024.
- This ETF participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (30.35%) than losses (11.62%) — typical of diversified or defensive assets.
- This ETF generated an annualized alpha of 3.70% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
- Beta of 0.23 indicates this ETF moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- 3.70%
- Beta
- 0.23
- R²
- 0.82
- Upside Capture
- 30.35%
- Downside Capture
- 11.62%
Expense Ratio
CPSA has an expense ratio of 0.69%, placing it in the medium range.
Return for Risk
Risk / Return Rank
CPSA ranks 94 for risk / return — in the top 94% of ETFs on our site. This means strong returns relative to risk — exactly what professional investors look for. Well-suited for investors who want to maximize return per unit of risk.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - August (CPSA) and compare them to a chosen benchmark (S&P 500 Index).
| CPSA | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.79 | 1.84 | +0.95 |
Sortino ratioReturn per unit of downside risk | 5.10 | 2.97 | +2.13 |
Omega ratioGain probability vs. loss probability | 1.79 | 1.40 | +0.38 |
Calmar ratioReturn relative to maximum drawdown | 4.01 | 1.82 | +2.18 |
Martin ratioReturn relative to average drawdown | 21.00 | 7.76 | +13.24 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore CPSA risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
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 Calamos S&P 500 Structured Alt Protection ETF - August. 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 Calamos S&P 500 Structured Alt Protection ETF - August was 4.72%, occurring on Apr 8, 2025. Recovery took 26 trading sessions.
The current Calamos S&P 500 Structured Alt Protection ETF - August drawdown is 0.48%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -4.72% | Feb 20, 2025 | 34 | Apr 8, 2025 | 26 | May 15, 2025 | 60 |
| -1.47% | Feb 27, 2026 | 22 | Mar 30, 2026 | — | — | — |
| -0.93% | Jan 27, 2025 | 6 | Feb 3, 2025 | 6 | Feb 11, 2025 | 12 |
| -0.86% | May 20, 2025 | 4 | May 23, 2025 | 6 | Jun 3, 2025 | 10 |
| -0.79% | Oct 29, 2025 | 17 | Nov 20, 2025 | 5 | Nov 28, 2025 | 22 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with CPSA
Add Calamos S&P 500 Structured Alt Protection ETF - August to a portfolio and analyze allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
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