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Calamos S&P 500 Structured Alt Protection ETF - Ma...
Performance
Return for Risk
Dividends
Drawdowns
Volatility

Calamos S&P 500 Structured Alt Protection ETF - May (CPSM)

ETF · Currency in USD · Last updated Apr 1, 2026

The Calamos S&P 500 Structured Alt Protection ETF – May aims to provide investors with 100% downside protection over a one-year outcome period, while offering upside participation in the S&P 500® up to a predetermined cap. The fund utilizes a structured options strategy to achieve these objectives.

ETF Info

CUSIP
12811T605
Issuer
Calamos
Inception Date
May 1, 2024
Category
Defined Outcome, S&P 500
Leveraged
1x (No leverage)
Index Tracked
No Index (Active)
Distribution Policy
Accumulating
Asset Class
Alternatives

Share Price Chart

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Calamos S&P 500 Structured Alt Protection ETF - May

Often compared with CPSM:
CPSM vs. XXXXCPSM vs. SPYCPSM vs. SPYICPSM vs. ISPYCPSM vs. PHDGCPSM vs. VMFXXCPSM vs. FNILXCPSM vs. QQQCPSM vs. AOACPSM vs. VOOMore CPSM alternatives

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in Calamos S&P 500 Structured Alt Protection ETF - May, 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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S&P 500 Index

Returns By Period

Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) has returned 0.81% so far this year and 7.34% over the past 12 months.

Calamos S&P 500 Structured Alt Protection ETF - May

1D
0.28%
1M
0.09%
YTD
0.81%
6M
2.00%
1Y
7.34%
3Y*
—
5Y*
—
10Y*
—

Benchmark (S&P 500 Index)

1D
2.91%
1M
-5.09%
YTD
-4.63%
6M
-2.39%
1Y
16.33%
3Y*
16.69%
5Y*
10.18%
10Y*
12.16%
*Multi-year figures are annualized to reflect compound growth (CAGR)

Monthly Returns

Based on dividend-adjusted daily data since May 1, 2024, CPSM's average daily return is +0.03%, while the average monthly return is +0.62%. At this rate, your investment would double in approximately 9.3 years.

Historically, 91% of months were positive and 9% were negative. The best month was Apr 2025 with a return of +1.8%, while the worst month was Mar 2025 at -0.7%. The longest winning streak lasted 12 consecutive months, and the longest losing streak was 1 months.

On a daily basis, CPSM closed higher 59% of trading days. The best single day was Apr 9, 2025 with a return of +4.0%, while the worst single day was Apr 4, 2025 at -2.2%.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20260.40%0.31%0.09%0.81%
20250.92%0.44%-0.67%1.81%0.84%0.96%0.34%0.65%0.53%0.30%0.39%0.49%7.21%
20241.59%1.03%0.90%1.02%0.67%0.22%1.07%-0.01%6.67%

Benchmark Metrics

Calamos S&P 500 Structured Alt Protection ETF - May has an annualized alpha of 3.82%, beta of 0.25, and R² of 0.62 versus S&P 500 Index. Calculated based on daily prices since May 02, 2024.

  • This ETF captured 22.88% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -17.44%) — a profile typical of hedging or uncorrelated assets.
  • This ETF generated an annualized alpha of 3.82% versus S&P 500 Index — delivering returns beyond what market exposure alone would predict.
  • Beta of 0.25 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
3.82%
Beta
0.25
R²
0.62
Upside Capture
22.88%
Downside Capture
-17.44%

Expense Ratio

CPSM has an expense ratio of 0.69%, placing it in the medium range.

Return for Risk

Risk / Return Rank

CPSM ranks 72 for risk / return — better than 72% of ETFs on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.

CPSM Risk / Return Rank: 7272
Overall Rank
CPSM Sharpe Ratio Rank: 6161
Sharpe Ratio Rank
CPSM Sortino Ratio Rank: 6666
Sortino Ratio Rank
CPSM Omega Ratio Rank: 9494
Omega Ratio Rank
CPSM Calmar Ratio Rank: 5757
Calmar Ratio Rank
CPSM Martin Ratio Rank: 8383
Martin Ratio Rank
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.

Return / Risk — by metrics

The table below present risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) and compare them to a chosen benchmark (S&P 500 Index).

CPSMBenchmarkDifference

Sharpe ratio

Return per unit of total volatility

1.10

0.90

+0.21

Sortino ratio

Return per unit of downside risk

1.70

1.39

+0.32

Omega ratio

Gain probability vs. loss probability

1.45

1.21

+0.24

Calmar ratio

Return relative to maximum drawdown

1.51

1.40

+0.11

Martin ratio

Return relative to average drawdown

9.75

6.61

+3.14

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 CPSM risk-adjusted metrics in detail

Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.

CPSM Sortino RatioCPSM Sharpe Ratio

Dividends

Dividend History

Calamos S&P 500 Structured Alt Protection ETF - May doesn't pay dividends

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 - May. 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 - May was 5.19%, occurring on Apr 8, 2025. Recovery took 13 trading sessions.

The current Calamos S&P 500 Structured Alt Protection ETF - May drawdown is 0.08%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-5.19%Feb 20, 202534Apr 8, 202513Apr 28, 202547
-1.16%Jul 17, 202415Aug 6, 20245Aug 13, 202420
-0.59%Sep 3, 20244Sep 6, 20244Sep 12, 20248
-0.45%Sep 26, 20246Oct 3, 20247Oct 14, 202413
-0.45%Nov 12, 20255Nov 18, 20256Nov 26, 202511

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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