- CUSIP
- 12811T779
- Issuer
- Calamos
- Inception Date
- Feb 3, 2025
- Region
- North America (U.S.)
- Category
- Defined Outcome
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Domicile
- United States
- Distribution Policy
- Accumulating
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Blend
- Assets Under Management
- $34M
Highlights
- Avg. Volume (1M)
- 1K
- Avg. Volume Value (1M)
- $32.30K
Share Price Chart
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Performance
CPSF Performance Chart
Calamos S&P 500 Structured Alt Protection ETF - February (CPSF) is up 3.0% since the beginning of the year. CPSF is currently trading at $26 per share.
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Returns By Period
Calamos S&P 500 Structured Alt Protection ETF - February (CPSF) has returned 2.97% so far this year and 6.67% over the past 12 months.
Calamos S&P 500 Structured Alt Protection ETF - February
- 1D
- 0.14%
- 1M
- 0.52%
- 6M
- 2.37%
- YTD
- 2.97%
- 1Y
- 6.67%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 6.16%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
CPSF Monthly Returns History
Based on dividend-adjusted daily data since Feb 3, 2025, CPSF's average daily return is +0.02%, while the average monthly return is +0.50%. At this rate, an investment would double in approximately 11.6 years.
Historically, 83% of months were positive and 17% were negative. The best month was Apr 2026 with a return of +1.7%, while the worst month was Mar 2025 at -1.1%. The longest winning streak lasted 11 consecutive months, and the longest losing streak was 2 months.
On a daily basis, CPSF closed higher 59% of trading days. The best single day was Apr 9, 2025 with a return of +1.1%, while the worst single day was Apr 3, 2025 at -0.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 0.59% | 0.14% | -0.73% | 1.72% | 0.61% | 0.08% | 0.55% | 2.97% | |||||
| 2025 | -0.01% | -1.06% | 0.71% | 0.90% | 1.47% | 0.62% | 0.83% | 0.81% | 0.50% | 0.44% | 0.78% | 6.14% |
Benchmark Metrics
Calamos S&P 500 Structured Alt Protection ETF - February has an annualized alpha of 3.81%, beta of 0.14, and R2 of 0.81 versus S&P 500 Index. Calculated based on daily prices since February 03, 2025.
- This ETF captured 19.10% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -3.17%) - a profile typical of hedging or uncorrelated assets.
- This ETF generated an annualized alpha of 3.81% versus S&P 500 Index - delivering returns beyond what market exposure alone would predict.
- Beta of 0.14 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
- 3.81%
- Beta
- 0.14
- R²
- 0.81
- Upside Capture
- 19.10%
- Downside Capture
- -3.17%
Expense Ratio
CPSF has an expense ratio of 0.69%, placing it in the medium range.
Return for Risk
Risk / Return Rank
CPSF ranks 96 for risk / return — above 96% of ETFs peers on PortfoliosLab. Its historical combined result is among the stronger results in the peer group.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - February (CPSF) and compare them to 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.
| CPSF | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.68 | ||
| Sortino ratioReturn per unit of downside risk | +2.85 | ||
| Omega ratioGain probability vs. loss probability | 1.64 | 1.25 | +0.39 |
| Calmar ratioReturn relative to maximum drawdown | 5.01 | 2.00 | +3.01 |
| Martin ratioReturn relative to average drawdown | 23.98 | 8.49 | +15.49 |
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 - February. 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 - February was 2.89%, occurring on Apr 7, 2025. Recovery took 38 trading sessions.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-2.89%Apr 2025 | 1mo 16d | 1mo 26d | 3mo 12dFeb 2025 - Jun 2025 | 2025 selloff2025 |
-1.30%Mar 2026 | 1mo 14d | 18d | 2mo 2dFeb 2026 - Apr 2026 | — |
-0.81%Nov 2025 | 7d | 6d | 13dNov 2025 - Nov 2025 | — |
-0.48%Oct 2025 | 1d | 10d | 11dOct 2025 - Oct 2025 | — |
-0.47%Jun 2026 | 7d | 5d | 12dJun 2026 - Jun 2026 | — |
Drawdown Indicators
| CPSF | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -2.89% | -56.78% | +53.89% |
Max Drawdown (1Y)Largest decline over 1 year | -1.30% | -9.10% | +7.80% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | 0.00% | -1.58% | +1.58% |
Average DrawdownAverage peak-to-trough decline | -0.33% | -10.70% | +10.37% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.27% | 2.14% | -1.87% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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