AUGZ vs. CPSM

Last updated Jun 24, 2026

AUGZ (TrueShares Structured Outcome (August) ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both Defined Outcome funds. AUGZ is passively managed, while CPSM is actively managed. Over the past year, AUGZ returned 17.31% vs 5.15% for CPSM. A 0.68 correlation means they provide meaningful diversification when combined. AUGZ charges 0.79%/yr vs 0.69%/yr for CPSM.

Performance

AUGZ vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in TrueShares Structured Outcome (August) ETF (AUGZ) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AUGZ achieves a 5.82% return, which is significantly higher than CPSM's 1.94% return.

AUGZ

• 1D: -1.18%
• 1M: -1.11%
• YTD: 5.82%
• 6M: 5.18%
• 1Y: 17.31%
• 3Y*: 15.12%
• 5Y*: 10.16%
• 10Y*: —

CPSM

• 1D: -0.14%
• 1M: -0.09%
• YTD: 1.94%
• 6M: 2.03%
• 1Y: 5.15%
• 3Y*: —
• 5Y*: —
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

AUGZ vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
AUGZ TrueShares Structured Outcome (August) ETF	5.82%	13.49%	13.06%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	1.94%	7.21%	6.80%

Correlation

The correlation between AUGZ and CPSM is 0.64, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.64
Correlation (All Time) Calculated using the full available price history since May 1, 2024	0.68

The correlation between AUGZ and CPSM has been stable across timeframes, ranging from 0.64 to 0.68 - a consistent structural relationship.

Return for Risk

AUGZ vs. CPSM — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AUGZ

AUGZ Risk / Return Rank: 54
AUGZ Sharpe Ratio Rank: 54
AUGZ Sortino Ratio Rank: 52
AUGZ Omega Ratio Rank: 53
AUGZ Calmar Ratio Rank: 52
AUGZ Martin Ratio Rank: 60

CPSM

CPSM Risk / Return Rank: 96
CPSM Sharpe Ratio Rank: 93
CPSM Sortino Ratio Rank: 95
CPSM Omega Ratio Rank: 95
CPSM Calmar Ratio Rank: 97
CPSM Martin Ratio Rank: 97

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.

AUGZ vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for TrueShares Structured Outcome (August) ETF (AUGZ) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.

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.

	AUGZ	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	1.73	3.15	-1.42
Sortino ratio: Return per unit of downside risk	2.38	5.05	-2.67
Omega ratio: Gain probability vs. loss probability	1.31	1.67	-0.36
Calmar ratio: Return relative to maximum drawdown	2.40	10.57	-8.17
Martin ratio: Return relative to average drawdown	9.92	45.23	-35.31

AUGZ vs. CPSM - Sharpe Ratio Comparison

The current AUGZ Sharpe Ratio is 1.73, which is lower than the CPSM Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of AUGZ and CPSM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

AUGZ vs. CPSM - Drawdown Comparison

The maximum AUGZ drawdown since its inception was -15.67%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for AUGZ and CPSM.

Drawdown Indicators

	AUGZ	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-15.67%	-5.19%	-10.48%
Max Drawdown (1Y) Largest decline over 1 year	-7.23%	-0.49%	-6.74%
Max Drawdown (3Y) Largest decline over 3 years	-14.52%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-15.67%	—	—
Current Drawdown Current decline from peak	-2.81%	-0.39%	-2.42%
Average Drawdown Average peak-to-trough decline	-3.10%	-0.20%	-2.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.75%	0.11%	+1.64%

Volatility

AUGZ vs. CPSM - Volatility Comparison

TrueShares Structured Outcome (August) ETF (AUGZ) has a higher volatility of 4.02% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.66%. This indicates that AUGZ's price experiences larger fluctuations and is considered to be riskier than CPSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AUGZ	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.02%	0.66%	+3.36%
Volatility (6M) Calculated over the trailing 6-month period	8.03%	1.16%	+6.87%
Volatility (1Y) Calculated over the trailing 1-year period	10.08%	1.65%	+8.43%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.06%	5.05%	+7.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.14%	5.05%	+7.09%

AUGZ vs. CPSM - Expense Ratio Comparison

AUGZ has a 0.79% expense ratio, which is higher than CPSM's 0.69% expense ratio.

Dividends

AUGZ vs. CPSM - Dividend Comparison

AUGZ's dividend yield for the trailing twelve months is around 3.43%, while CPSM has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022
AUGZ TrueShares Structured Outcome (August) ETF	3.43%	3.63%	4.08%	3.42%	0.41%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both AUGZ and CPSM in my portfolio?

AUGZ and CPSM have a correlation of 0.64, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AUGZ or CPSM?

AUGZ has higher volatility (4.02%) compared to CPSM (0.66%). In terms of maximum drawdown, AUGZ dropped -15.67% vs CPSM's -5.19%.

Which ETF is better, AUGZ or CPSM?

On 1-year performance, AUGZ leads with 17.31% vs 5.15% for CPSM. On fees, CPSM is cheaper at 0.69% per year. On volatility, CPSM has been the lower-risk option at 0.66%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, AUGZ or CPSM?

Over the 1-year period, AUGZ has performed better with a 17.31% return vs 5.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, AUGZ or CPSM?

CPSM is cheaper with a 0.69% expense ratio, compared with 0.79% for AUGZ.

Which ETF pays a higher dividend yield, AUGZ or CPSM?

AUGZ has the higher dividend yield at 3.43%, compared with 0.00% for CPSM.

What is the main difference between AUGZ and CPSM?

They also come from different issuers: TrueShares and Calamos. Their fees differ too: 0.79% for AUGZ and 0.69% for CPSM.

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.15 vs 1.73), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.