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

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

ETF · Currency in USD · Last updated May 30, 2025

CPSM is an actively managed ETF by Calamos. CPSM launched on Apr 30, 2024 and has a 0.69% expense ratio.

ETF Info

Issuer

Calamos

Inception Date

Apr 30, 2024

Category

Options Trading

Leveraged

1x

Index Tracked

No Index (Active)

Asset Class

Alternatives

Expense Ratio

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

Share Price Chart

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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Calamos S&P 500 Structured Alt Protection ETF - May

Popular comparisons:
CPSM vs. SPY CPSM vs. QQQ CPSM vs. FNILX CPSM vs. VOO CPSM vs. SPYI CPSM vs. SPLG CPSM vs. AOA CPSM vs. ISPY CPSM vs. PHDG CPSM vs. VMFXX
Popular comparisons:
CPSM vs. SPY CPSM vs. QQQ CPSM vs. FNILX CPSM vs. VOO CPSM vs. SPYI CPSM vs. SPLG CPSM vs. AOA CPSM vs. ISPY CPSM vs. PHDG CPSM vs. VMFXX

Performance

Performance Chart

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S&P 500

Returns By Period

Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) returned 3.44% year-to-date (YTD) and 8.52% over the past 12 months.

CPSM

YTD

3.44%

1M

1.52%

6M

3.67%

1Y

8.52%

3Y*

N/A

5Y*

N/A

10Y*

N/A

^GSPC (Benchmark)

YTD

0.51%

1M

6.15%

6M

-2.00%

1Y

12.92%

3Y*

12.68%

5Y*

14.19%

10Y*

10.85%

*Annualized

Monthly Returns

The table below presents the monthly returns of CPSM, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.

JanFebMarAprMayJunJulAugSepOctNovDecTotal
20250.92%0.45%-0.67%1.81%0.91%3.44%
20241.59%1.03%0.90%1.03%0.66%0.22%1.07%-0.01%6.67%
Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 89, CPSM is among the top 11% of ETFs on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.

The Risk-Adjusted Performance Rank of CPSM is 8989
Overall Rank
The Sharpe Ratio Rank of CPSM is 8484
Sharpe Ratio Rank
The Sortino Ratio Rank of CPSM is 8686
Sortino Ratio Rank
The Omega Ratio Rank of CPSM is 9292
Omega Ratio Rank
The Calmar Ratio Rank of CPSM is 9090
Calmar Ratio Rank
The Martin Ratio Rank of CPSM is 9292
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

Calamos S&P 500 Structured Alt Protection ETF - May Sharpe ratios as of May 30, 2025 (values are recalculated daily):

  • 1-Year: 1.20
  • All Time: 1.39

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of Calamos S&P 500 Structured Alt Protection ETF - May compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time.

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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

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.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-5.19%Mar 3, 202527Apr 8, 202513Apr 28, 202540
-1.16%Jul 17, 202415Aug 6, 20245Aug 13, 202420
-0.6%Sep 3, 20244Sep 6, 20244Sep 12, 20248
-0.45%Sep 26, 20246Oct 3, 20247Oct 14, 202413
-0.43%Dec 17, 20243Dec 19, 20243Dec 24, 20246
Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.

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