CPSM vs. AOA
CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) and AOA (iShares Core 80/20 Aggressive Allocation ETF) are both exchange-traded funds - CPSM is a Defined Outcome fund actively managed by Calamos, while AOA is a Diversified Portfolio fund tracking the S&P Target Risk Aggressive Index. CPSM is actively managed, while AOA is passively managed. Over the past year, CPSM returned 5.86% vs 24.17% for AOA. A 0.67 correlation means they provide meaningful diversification when combined. CPSM charges 0.69%/yr vs 0.15%/yr for AOA.
Performance
CPSM vs. AOA - Performance Comparison
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Returns By Period
In the year-to-date period, CPSM achieves a 2.27% return, which is significantly lower than AOA's 10.13% return.
CPSM
- 1D
- 0.00%
- 1M
- 0.53%
- YTD
- 2.27%
- 6M
- 2.81%
- 1Y
- 5.86%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
AOA
- 1D
- 0.18%
- 1M
- 3.39%
- YTD
- 10.13%
- 6M
- 10.89%
- 1Y
- 24.17%
- 3Y*
- 17.70%
- 5Y*
- 9.19%
- 10Y*
- 10.53%
CPSM vs. AOA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 2.27% | 7.21% | 6.67% |
AOA iShares Core 80/20 Aggressive Allocation ETF | 10.13% | 19.59% | 10.53% |
Correlation
The correlation between CPSM and AOA is 0.59, 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 | 0.59 |
Correlation (All Time) Calculated using the full available price history since May 2, 2024 | 0.67 |
The correlation between CPSM and AOA has been stable across timeframes, ranging from 0.59 to 0.67 - a consistent structural relationship.
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Return for Risk
CPSM vs. AOA — Risk / Return Rank
CPSM
AOA
CPSM vs. AOA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) and iShares Core 80/20 Aggressive Allocation ETF (AOA). 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.
| CPSM | AOA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.48 | ||
| Sortino ratioReturn per unit of downside risk | +3.09 | ||
| Omega ratioGain probability vs. loss probability | 1.83 | 1.42 | +0.41 |
| Calmar ratioReturn relative to maximum drawdown | 12.97 | 2.96 | +10.01 |
| Martin ratioReturn relative to average drawdown | 60.87 | 13.13 | +47.73 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| CPSM | AOA | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.76 | 2.28 | +1.48 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.71 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.78 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.54 | 0.69 | +0.85 |
Drawdowns
CPSM vs. AOA - Drawdown Comparison
The maximum CPSM drawdown since its inception was -5.19%, smaller than the maximum AOA drawdown of -28.38%. Use the drawdown chart below to compare losses from any high point for CPSM and AOA.
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Drawdown Indicators
| CPSM | AOA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.19% | -28.38% | +23.19% |
Max Drawdown (1Y)Largest decline over 1 year | -0.45% | -8.20% | +7.75% |
Max Drawdown (3Y)Largest decline over 3 years | — | -12.94% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -23.62% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -28.38% | — |
Current DrawdownCurrent decline from peak | -0.06% | -0.31% | +0.25% |
Average DrawdownAverage peak-to-trough decline | -0.20% | -4.05% | +3.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.10% | 1.85% | -1.75% |
Volatility
CPSM vs. AOA - Volatility Comparison
The current volatility for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) is 0.32%, while iShares Core 80/20 Aggressive Allocation ETF (AOA) has a volatility of 3.16%. This indicates that CPSM experiences smaller price fluctuations and is considered to be less risky than AOA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPSM | AOA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.32% | 3.16% | -2.84% |
Volatility (6M)Calculated over the trailing 6-month period | 1.13% | 8.51% | -7.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.56% | 10.63% | -9.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.09% | 12.97% | -7.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.09% | 13.54% | -8.45% |
CPSM vs. AOA - Expense Ratio Comparison
CPSM has a 0.69% expense ratio, which is higher than AOA's 0.15% expense ratio.
Dividends
CPSM vs. AOA - Dividend Comparison
CPSM has not paid dividends to shareholders, while AOA's dividend yield for the trailing twelve months is around 2.04%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AOA iShares Core 80/20 Aggressive Allocation ETF | 2.04% | 2.18% | 2.30% | 2.22% | 2.10% | 1.67% | 1.71% | 2.50% | 2.37% | 5.09% | 2.26% | 2.15% |
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
CPSM and AOA have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AOA has higher volatility (3.16%) compared to CPSM (0.32%). In terms of maximum drawdown, CPSM dropped -5.19% vs AOA's -28.38%.
On 1-year performance, AOA leads with 24.17% vs 5.86% for CPSM. On fees, AOA is cheaper at 0.15% per year. On volatility, CPSM has been the lower-risk option at 0.32%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, AOA has performed better with a 24.17% return vs 5.86%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
AOA is cheaper with a 0.15% expense ratio, compared with 0.69% for CPSM.
AOA has the higher dividend yield at 2.04%, compared with 0.00% for CPSM.
CPSM is categorized as Defined Outcome, while AOA is Diversified Portfolio. They also come from different issuers: Calamos and iShares. Their fees differ too: 0.69% for CPSM and 0.15% for AOA.
CPSM currently has the higher Sharpe Ratio (3.76 vs 2.28), 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.
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