CPSD vs. TWOX

Last updated Jun 24, 2026

CPSD (Calamos S&P 500 Structured Alt Protection ETF - December) and TWOX (iShares Large Cap Accelerated Outcome ETF) are both Defined Outcome funds. Both are actively managed. Over the past year, CPSD returned 8.56% vs 15.18% for TWOX. A 0.79 correlation means they provide meaningful diversification when combined. CPSD charges 0.69%/yr vs 0.50%/yr for TWOX.

Performance

CPSD vs. TWOX - 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 Accelerated Outcome ETF (TWOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with CPSD having a 2.38% return and TWOX slightly higher at 2.49%.

CPSD

• 1D: -0.24%
• 1M: 0.21%
• YTD: 2.38%
• 6M: 2.44%
• 1Y: 8.56%
• 3Y*: —
• 5Y*: —
• 10Y*: —

TWOX

• 1D: -0.02%
• 1M: 0.63%
• YTD: 2.49%
• 6M: 1.73%
• 1Y: 15.18%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSD vs. TWOX - Yearly Performance Comparison

	2026 (YTD)	2025
CPSD Calamos S&P 500 Structured Alt Protection ETF - December	2.38%	7.56%
TWOX iShares Large Cap Accelerated Outcome ETF	2.49%	12.99%

Correlation

The correlation between CPSD and TWOX is 0.82, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.82
Correlation (All Time) Calculated using the full available price history since Jan 16, 2025	0.79

The correlation between CPSD and TWOX has been stable across timeframes, ranging from 0.79 to 0.82 - a consistent structural relationship.

Return for Risk

CPSD vs. TWOX — 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: 93
CPSD Sortino Ratio Rank: 95
CPSD Omega Ratio Rank: 95
CPSD Calmar Ratio Rank: 92
CPSD Martin Ratio Rank: 95

TWOX

TWOX Risk / Return Rank: 45
TWOX Sharpe Ratio Rank: 46
TWOX Sortino Ratio Rank: 43
TWOX Omega Ratio Rank: 53
TWOX Calmar Ratio Rank: 34
TWOX Martin Ratio Rank: 49

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. TWOX - 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 Accelerated Outcome ETF (TWOX). 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.

	CPSD	TWOX	Difference
Sharpe ratio: Return per unit of total volatility	3.06	1.47	+1.59
Sortino ratio: Return per unit of downside risk	4.81	2.03	+2.78
Omega ratio: Gain probability vs. loss probability	1.66	1.31	+0.35
Calmar ratio: Return relative to maximum drawdown	5.79	1.60	+4.19
Martin ratio: Return relative to average drawdown	28.39	7.57	+20.82

CPSD vs. TWOX - Sharpe Ratio Comparison

The current CPSD Sharpe Ratio is 3.06, which is higher than the TWOX Sharpe Ratio of 1.47. The chart below compares the historical Sharpe Ratios of CPSD and TWOX, 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

CPSD vs. TWOX - Drawdown Comparison

The maximum CPSD drawdown since its inception was -3.45%, smaller than the maximum TWOX drawdown of -19.35%. Use the drawdown chart below to compare losses from any high point for CPSD and TWOX.

Drawdown Indicators

	CPSD	TWOX	Difference
Max Drawdown Largest peak-to-trough decline	-3.45%	-19.35%	+15.90%
Max Drawdown (1Y) Largest decline over 1 year	-1.49%	-9.51%	+8.02%
Current Drawdown Current decline from peak	-0.24%	-0.02%	-0.22%
Average Drawdown Average peak-to-trough decline	-0.46%	-2.54%	+2.08%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.30%	2.01%	-1.71%

Volatility

CPSD vs. TWOX - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) and iShares Large Cap Accelerated Outcome ETF (TWOX) have volatilities of 0.65% and 0.62%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSD	TWOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.65%	0.62%	+0.03%
Volatility (6M) Calculated over the trailing 6-month period	1.65%	7.95%	-6.30%
Volatility (1Y) Calculated over the trailing 1-year period	2.82%	10.40%	-7.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.38%	16.46%	-13.08%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.38%	16.46%	-13.08%

CPSD vs. TWOX - Expense Ratio Comparison

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

Dividends

CPSD vs. TWOX - Dividend Comparison

CPSD has not paid dividends to shareholders, while TWOX's dividend yield for the trailing twelve months is around 0.55%.

Position	TTM	2025
CPSD Calamos S&P 500 Structured Alt Protection ETF - December	0.00%	0.00%
TWOX iShares Large Cap Accelerated Outcome ETF	0.55%	0.57%

Frequently Asked Questions

Can I hold both CPSD and TWOX in my portfolio?

CPSD and TWOX have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSD or TWOX?

CPSD has higher volatility (0.65%) compared to TWOX (0.62%). In terms of maximum drawdown, CPSD dropped -3.45% vs TWOX's -19.35%.

Which ETF is better, CPSD or TWOX?

On 1-year performance, TWOX leads with 15.18% vs 8.56% for CPSD. On fees, TWOX 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, CPSD or TWOX?

Over the 1-year period, TWOX has performed better with a 15.18% return vs 8.56%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSD or TWOX?

TWOX is cheaper with a 0.50% expense ratio, compared with 0.69% for CPSD.

Which ETF pays a higher dividend yield, CPSD or TWOX?

TWOX has the higher dividend yield at 0.55%, compared with 0.00% for CPSD.

What is the main difference between CPSD and TWOX?

They also come from different issuers: Calamos and iShares. Their fees differ too: 0.69% for CPSD and 0.50% for TWOX.

Which has better risk-adjusted returns?

CPSD currently has the higher Sharpe Ratio (3.06 vs 1.47), 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.