CPSM vs. BND
CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) and BND (Vanguard Total Bond Market ETF) are both exchange-traded funds - CPSM is a Defined Outcome fund actively managed by Calamos, while BND is a Total Bond Market fund tracking the Bloomberg U.S. Aggregate Float Adjusted Index. CPSM is actively managed, while BND is passively managed. Over the past year, CPSM returned 5.88% vs 5.11% for BND. At a 0.20 correlation, their price movements are largely independent. CPSM charges 0.69%/yr vs 0.03%/yr for BND.
Performance
CPSM vs. BND - Performance Comparison
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Returns By Period
In the year-to-date period, CPSM achieves a 2.27% return, which is significantly higher than BND's 0.27% return.
CPSM
- 1D
- -0.06%
- 1M
- 0.71%
- YTD
- 2.27%
- 6M
- 2.72%
- 1Y
- 5.88%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
BND
- 1D
- -0.19%
- 1M
- 0.27%
- YTD
- 0.27%
- 6M
- 0.12%
- 1Y
- 5.11%
- 3Y*
- 3.96%
- 5Y*
- 0.09%
- 10Y*
- 1.58%
CPSM vs. BND - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 2.27% | 7.21% | 6.67% |
BND Vanguard Total Bond Market ETF | 0.27% | 7.08% | 4.23% |
Correlation
The correlation between CPSM and BND is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.33 |
Correlation (All Time) Calculated using the full available price history since May 2, 2024 | 0.20 |
The correlation between CPSM and BND shifts across timeframes, from 0.20 (all time) to 0.33 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
CPSM vs. BND — Risk / Return Rank
CPSM
BND
CPSM vs. BND - 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 Vanguard Total Bond Market ETF (BND). 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 | BND | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.42 | ||
| Sortino ratioReturn per unit of downside risk | +4.30 | ||
| Omega ratioGain probability vs. loss probability | 1.84 | 1.24 | +0.60 |
| Calmar ratioReturn relative to maximum drawdown | 13.01 | 1.92 | +11.09 |
| Martin ratioReturn relative to average drawdown | 61.11 | 5.80 | +55.31 |
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 | BND | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 3.78 | 1.36 | +2.42 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.01 | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.29 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.54 | 0.59 | +0.95 |
Drawdowns
CPSM vs. BND - Drawdown Comparison
The maximum CPSM drawdown since its inception was -5.19%, smaller than the maximum BND drawdown of -18.58%. Use the drawdown chart below to compare losses from any high point for CPSM and BND.
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Drawdown Indicators
| CPSM | BND | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.19% | -18.58% | +13.39% |
Max Drawdown (1Y)Largest decline over 1 year | -0.45% | -2.68% | +2.23% |
Max Drawdown (3Y)Largest decline over 3 years | — | -5.92% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -17.91% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -18.58% | — |
Current DrawdownCurrent decline from peak | -0.06% | -2.37% | +2.31% |
Average DrawdownAverage peak-to-trough decline | -0.20% | -3.06% | +2.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.10% | 0.88% | -0.78% |
Volatility
CPSM vs. BND - Volatility Comparison
The current volatility for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) is 0.35%, while Vanguard Total Bond Market ETF (BND) has a volatility of 1.23%. This indicates that CPSM experiences smaller price fluctuations and is considered to be less risky than BND based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPSM | BND | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.35% | 1.23% | -0.88% |
Volatility (6M)Calculated over the trailing 6-month period | 1.14% | 2.66% | -1.52% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.57% | 3.78% | -2.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.10% | 6.02% | -0.92% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.10% | 5.53% | -0.43% |
CPSM vs. BND - Expense Ratio Comparison
CPSM has a 0.69% expense ratio, which is higher than BND's 0.03% expense ratio.
Dividends
CPSM vs. BND - Dividend Comparison
CPSM has not paid dividends to shareholders, while BND's dividend yield for the trailing twelve months is around 3.97%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BND Vanguard Total Bond Market ETF | 3.97% | 3.86% | 3.67% | 3.09% | 2.60% | 2.12% | 2.38% | 2.72% | 2.81% | 2.54% | 2.51% | 2.57% |
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 BND have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BND has higher volatility (1.23%) compared to CPSM (0.35%). In terms of maximum drawdown, CPSM dropped -5.19% vs BND's -18.58%.
On 1-year performance, CPSM leads with 5.88% vs 5.11% for BND. On fees, BND is cheaper at 0.03% per year. On volatility, CPSM has been the lower-risk option at 0.35%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, CPSM has performed better with a 5.88% return vs 5.11%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
BND is cheaper with a 0.03% expense ratio, compared with 0.69% for CPSM.
BND has the higher dividend yield at 3.97%, compared with 0.00% for CPSM.
CPSM is categorized as Defined Outcome, while BND is Total Bond Market. They also come from different issuers: Calamos and Vanguard. Their fees differ too: 0.69% for CPSM and 0.03% for BND.
CPSM currently has the higher Sharpe Ratio (3.78 vs 1.36), 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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