CPNS vs. DMAX

Last updated Jun 24, 2026

CPNS (Calamos Nasdaq-100 Structured Alt Protection ETF - September) and DMAX (iShares Large Cap Max Buffer December ETF) are both Defined Outcome funds - CPNS tracks the MerQube Cap Protect US Large Cap Tech PR Index - Sep while DMAX tracks the S&P 500 Index. Both are passively managed. Over the past year, CPNS returned 7.21% vs 7.75% for DMAX. A 0.77 correlation means they provide meaningful diversification when combined. CPNS charges 0.69%/yr vs 0.50%/yr for DMAX.

Performance

CPNS vs. DMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos Nasdaq-100 Structured Alt Protection ETF - September (CPNS) and iShares Large Cap Max Buffer December ETF (DMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPNS achieves a 3.05% return, which is significantly higher than DMAX's 2.19% return.

CPNS

• 1D: -0.18%
• 1M: 0.16%
• YTD: 3.05%
• 6M: 2.93%
• 1Y: 7.21%
• 3Y*: —
• 5Y*: —
• 10Y*: —

DMAX

• 1D: -0.15%
• 1M: 0.07%
• YTD: 2.19%
• 6M: 2.35%
• 1Y: 7.75%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPNS vs. DMAX - Yearly Performance Comparison

	2026 (YTD)	2025
CPNS Calamos Nasdaq-100 Structured Alt Protection ETF - September	3.05%	7.25%
DMAX iShares Large Cap Max Buffer December ETF	2.19%	7.51%

Correlation

The correlation between CPNS and DMAX is 0.72, 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	0.72
Correlation (All Time) Calculated using the full available price history since Jan 2, 2025	0.77

The correlation between CPNS and DMAX has been stable across timeframes, ranging from 0.72 to 0.77 - a consistent structural relationship.

Return for Risk

CPNS vs. DMAX — Risk / Return Rank

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

CPNS

CPNS Risk / Return Rank: 95
CPNS Sharpe Ratio Rank: 95
CPNS Sortino Ratio Rank: 96
CPNS Omega Ratio Rank: 96
CPNS Calmar Ratio Rank: 92
CPNS Martin Ratio Rank: 96

DMAX

DMAX Risk / Return Rank: 94
DMAX Sharpe Ratio Rank: 94
DMAX Sortino Ratio Rank: 96
DMAX Omega Ratio Rank: 95
DMAX Calmar Ratio Rank: 91
DMAX Martin Ratio Rank: 95

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.

CPNS vs. DMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos Nasdaq-100 Structured Alt Protection ETF - September (CPNS) and iShares Large Cap Max Buffer December ETF (DMAX). 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.

	CPNS	DMAX	Difference
Sharpe ratio: Return per unit of total volatility	3.41	3.35	+0.06
Sortino ratio: Return per unit of downside risk	5.20	5.12	+0.08
Omega ratio: Gain probability vs. loss probability	1.74	1.70	+0.04
Calmar ratio: Return relative to maximum drawdown	5.51	5.51	0.00
Martin ratio: Return relative to average drawdown	29.76	27.58	+2.18

CPNS vs. DMAX - Sharpe Ratio Comparison

The current CPNS Sharpe Ratio is 3.41, which is comparable to the DMAX Sharpe Ratio of 3.35. The chart below compares the historical Sharpe Ratios of CPNS and DMAX, 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

CPNS vs. DMAX - Drawdown Comparison

The maximum CPNS drawdown since its inception was -3.99%, which is greater than DMAX's maximum drawdown of -3.37%. Use the drawdown chart below to compare losses from any high point for CPNS and DMAX.

Drawdown Indicators

	CPNS	DMAX	Difference
Max Drawdown Largest peak-to-trough decline	-3.99%	-3.37%	-0.62%
Max Drawdown (1Y) Largest decline over 1 year	-1.31%	-1.41%	+0.10%
Current Drawdown Current decline from peak	-0.19%	-0.38%	+0.19%
Average Drawdown Average peak-to-trough decline	-0.36%	-0.38%	+0.02%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.24%	0.28%	-0.04%

Volatility

CPNS vs. DMAX - Volatility Comparison

The current volatility for Calamos Nasdaq-100 Structured Alt Protection ETF - September (CPNS) is 0.58%, while iShares Large Cap Max Buffer December ETF (DMAX) has a volatility of 0.65%. This indicates that CPNS experiences smaller price fluctuations and is considered to be less risky than DMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPNS	DMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.58%	0.65%	-0.07%
Volatility (6M) Calculated over the trailing 6-month period	1.75%	1.65%	+0.10%
Volatility (1Y) Calculated over the trailing 1-year period	2.14%	2.34%	-0.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.51%	3.38%	+0.13%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.51%	3.38%	+0.13%

CPNS vs. DMAX - Expense Ratio Comparison

CPNS has a 0.69% expense ratio, which is higher than DMAX's 0.50% expense ratio.

Dividends

CPNS vs. DMAX - Dividend Comparison

CPNS has not paid dividends to shareholders, while DMAX's dividend yield for the trailing twelve months is around 1.15%.

Position	TTM	2025
CPNS Calamos Nasdaq-100 Structured Alt Protection ETF - September	0.00%	0.00%
DMAX iShares Large Cap Max Buffer December ETF	1.15%	1.18%

Frequently Asked Questions

Can I hold both CPNS and DMAX in my portfolio?

CPNS and DMAX have a correlation of 0.72, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPNS or DMAX?

DMAX has higher volatility (0.65%) compared to CPNS (0.58%). In terms of maximum drawdown, CPNS dropped -3.99% vs DMAX's -3.37%.

Which ETF is better, CPNS or DMAX?

On 1-year performance, DMAX leads with 7.75% vs 7.21% for CPNS. On fees, DMAX is cheaper at 0.50% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPNS or DMAX?

Over the 1-year period, DMAX has performed better with a 7.75% return vs 7.21%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPNS or DMAX?

DMAX is cheaper with a 0.50% expense ratio, compared with 0.69% for CPNS.

Which ETF pays a higher dividend yield, CPNS or DMAX?

DMAX has the higher dividend yield at 1.15%, compared with 0.00% for CPNS.

What is the main difference between CPNS and DMAX?

CPNS tracks MerQube Cap Protect US Large Cap Tech PR Index - Sep, while DMAX tracks S&P 500 Index. They also come from different issuers: Calamos and iShares. Their fees differ too: 0.69% for CPNS and 0.50% for DMAX.

Which has better risk-adjusted returns?

CPNS currently has the higher Sharpe Ratio (3.41 vs 3.35), 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.