CPSD vs. DMAX

Last updated Apr 18, 2026

CPSD (Calamos S&P 500 Structured Alt Protection ETF - December) and DMAX (iShares Large Cap Max Buffer December ETF) are both Defined Outcome funds. CPSD is actively managed, while DMAX is passively managed. Over the past year, CPSD returned 10.93% vs 10.63% for DMAX. A 0.77 correlation means they provide meaningful diversification when combined. CPSD charges 0.69%/yr vs 0.50%/yr for DMAX.

Performance

CPSD vs. DMAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) 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, CPSD achieves a 1.36% return, which is significantly higher than DMAX's 1.22% return.

CPSD

• 1D: 0.25%
• 1M: 1.47%
• YTD: 1.36%
• 6M: 3.29%
• 1Y: 10.93%
• 3Y*: —
• 5Y*: —
• 10Y*: —

DMAX

• 1D: 0.25%
• 1M: 1.44%
• YTD: 1.22%
• 6M: 3.27%
• 1Y: 10.63%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSD vs. DMAX - Yearly Performance Comparison

	2026 (YTD)	2025
CPSD Calamos S&P 500 Structured Alt Protection ETF - December	1.36%	7.85%
DMAX iShares Large Cap Max Buffer December ETF	1.22%	7.81%

Correlation

The correlation between CPSD and DMAX is 0.79, 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	0.79
Correlation (All Time) Calculated using the full available price history since Jan 3, 2025	0.77

The correlation between CPSD and DMAX has been stable across timeframes, ranging from 0.77 to 0.79 — a consistent structural relationship.

Return for Risk

CPSD vs. DMAX — Risk / Return Rank

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

CPSD

CPSD Risk / Return Rank: 94
CPSD Sharpe Ratio Rank: 92
CPSD Sortino Ratio Rank: 96
CPSD Omega Ratio Rank: 95
CPSD Calmar Ratio Rank: 93
CPSD Martin Ratio Rank: 96

DMAX

DMAX Risk / Return Rank: 96
DMAX Sharpe Ratio Rank: 95
DMAX Sortino Ratio Rank: 97
DMAX Omega Ratio Rank: 96
DMAX Calmar Ratio Rank: 94
DMAX Martin Ratio Rank: 96

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.

CPSD vs. DMAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) 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.

	CPSD	DMAX	Difference
Sharpe ratio Return per unit of total volatility	3.60	4.08	-0.48
Sortino ratio Return per unit of downside risk	5.81	6.66	-0.85
Omega ratio Gain probability vs. loss probability	1.78	1.90	-0.13
Calmar ratio Return relative to maximum drawdown	7.06	7.11	-0.05
Martin ratio Return relative to average drawdown	33.82	35.51	-1.69
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSD vs. DMAX - Sharpe Ratio Comparison

The current CPSD Sharpe Ratio is 3.60, which is comparable to the DMAX Sharpe Ratio of 4.08. The chart below compares the historical Sharpe Ratios of CPSD 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.

Sharpe Ratios by Period

	CPSD	DMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.60	4.08	-0.48
Sharpe Ratio (All Time) Calculated using the full available price history	1.88	2.00	-0.13

Drawdowns

CPSD vs. DMAX - Drawdown Comparison

The maximum CPSD drawdown since its inception was -3.45%, roughly equal to the maximum DMAX drawdown of -3.37%. Use the drawdown chart below to compare losses from any high point for CPSD and DMAX.

Drawdown Indicators

	CPSD	DMAX	Difference
Max Drawdown Largest peak-to-trough decline	-3.45%	-3.37%	-0.08%
Max Drawdown (1Y) Largest decline over 1 year	-1.49%	-1.41%	-0.08%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.51%	-0.42%	-0.09%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.31%	0.28%	+0.03%

Volatility

CPSD vs. DMAX - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) has a higher volatility of 1.03% compared to iShares Large Cap Max Buffer December ETF (DMAX) at 0.96%. This indicates that CPSD's price experiences larger fluctuations and is considered to be riskier than DMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSD	DMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.03%	0.96%	+0.07%
Volatility (6M) Calculated over the trailing 6-month period	1.96%	1.84%	+0.12%
Volatility (1Y) Calculated over the trailing 1-year period	3.06%	2.63%	+0.43%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.54%	3.54%	0.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.54%	3.54%	0.00%

CPSD vs. DMAX - Expense Ratio Comparison

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

Dividends

CPSD vs. DMAX - Dividend Comparison

CPSD has not paid dividends to shareholders, while DMAX's dividend yield for the trailing twelve months is around 1.17%.

	TTM	2025
CPSD Calamos S&P 500 Structured Alt Protection ETF - December	0.00%	0.00%
DMAX iShares Large Cap Max Buffer December ETF	1.17%	1.18%