CPSM vs. COMT
CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) and COMT (iShares GSCI Commodity Dynamic Roll Strategy ETF) are both exchange-traded funds - CPSM is a Defined Outcome fund actively managed by Calamos, while COMT is a Commodities fund tracking the S&P GSCI Dynamic Roll (USD) Total Return Index. CPSM is actively managed, while COMT is passively managed. Over the past year, CPSM returned 5.23% vs 33.46% for COMT. Their 0.04 correlation means their historical movements had little consistent relationship. CPSM charges 0.69%/yr vs 0.48%/yr for COMT.
Performance
CPSM vs. COMT - Performance Comparison
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Returns By Period
In the year-to-date period, CPSM achieves a 2.88% return, which is significantly lower than COMT's 29.49% return.
CPSM
- 1D
- 0.00%
- 1M
- 0.48%
- 6M
- 2.54%
- YTD
- 2.88%
- 1Y
- 5.23%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 7.51%
COMT
- 1D
- 0.65%
- 1M
- 5.25%
- 6M
- 19.23%
- YTD
- 29.49%
- 1Y
- 33.46%
- 3Y*
- 10.63%
- 5Y*
- 11.85%
- 10Y*
- 8.63%
- ALL TIME*
- 3.30%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $6.13M | $10.19M | $11.89M | |
| $90.94K | $78.87K | $159.89K |
CPSM vs. COMT - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 2.88% | 7.21% | 6.80% |
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 29.49% | 6.07% | -2.81% |
Correlation
The correlation between CPSM and COMT is -0.15, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.15 |
Correlation (All Time) Calculated using the full available price history since May 1, 2024 | 0.04 |
The correlation between CPSM and COMT shifts across timeframes, from -0.15 (1 year) to 0.04 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
CPSM vs. COMT — Risk / Return Rank
CPSM
COMT
CPSM vs. COMT - 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 GSCI Commodity Dynamic Roll Strategy ETF (COMT). 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.
| CPSM | COMT | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.62 | ||
| Sortino ratioReturn per unit of downside risk | +2.98 | ||
| Omega ratioGain probability vs. loss probability | 1.67 | 1.27 | +0.39 |
| Calmar ratioReturn relative to maximum drawdown | 10.74 | 1.91 | +8.82 |
| Martin ratioReturn relative to average drawdown | 40.71 | 5.84 | +34.87 |
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Drawdowns
CPSM vs. COMT - Drawdown Comparison
The maximum CPSM drawdown since its inception was -5.19%, smaller than the maximum COMT drawdown of -51.89%. Use the drawdown chart below to compare losses from any high point for CPSM and COMT.
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Drawdown Indicators
| CPSM | COMT | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.19% | -51.89% | +46.70% |
Max Drawdown (1Y)Largest decline over 1 year | -0.49% | -17.57% | +17.08% |
Max Drawdown (3Y)Largest decline over 3 years | — | -17.57% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -29.00% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -39.22% | — |
Current DrawdownCurrent decline from peak | 0.00% | -11.75% | +11.75% |
Average DrawdownAverage peak-to-trough decline | -0.20% | -23.89% | +23.69% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.13% | 5.75% | -5.62% |
Volatility
CPSM vs. COMT - Volatility Comparison
The current volatility for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) is 0.47%, while iShares GSCI Commodity Dynamic Roll Strategy ETF (COMT) has a volatility of 5.13%. This indicates that CPSM experiences smaller price fluctuations and is considered to be less risky than COMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPSM | COMT | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.47% | 5.13% | -4.66% |
Volatility (6M)Calculated over the trailing 6-month period | 1.26% | 18.95% | -17.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.66% | 21.64% | -19.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.92% | 21.09% | -16.17% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.92% | 18.86% | -13.94% |
CPSM vs. COMT - Expense Ratio Comparison
CPSM has a 0.69% expense ratio, which is higher than COMT's 0.48% expense ratio.
Dividends
CPSM vs. COMT - Dividend Comparison
CPSM has not paid dividends to shareholders, while COMT's dividend yield for the trailing twelve months is around 5.98%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
COMT iShares GSCI Commodity Dynamic Roll Strategy ETF | 5.98% | 7.74% | 4.90% | 5.19% | 29.79% | 17.79% | 0.36% | 2.61% | 11.65% | 5.16% | 0.52% | 1.44% |
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 COMT have a correlation of -0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
COMT has higher volatility (5.13%) compared to CPSM (0.47%). In terms of maximum drawdown, CPSM dropped -5.19% vs COMT's -51.89%.
On 1-year performance, COMT leads with 33.46% vs 5.23% for CPSM. On fees, COMT is cheaper at 0.48% per year. On volatility, CPSM has been the lower-risk option at 0.47%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, COMT has performed better with a 33.46% return vs 5.23%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
COMT is cheaper with a 0.48% expense ratio, compared with 0.69% for CPSM.
COMT has the higher dividend yield at 5.98%, compared with 0.00% for CPSM.
CPSM is categorized as Defined Outcome, while COMT is Commodities. They also come from different issuers: Calamos and iShares. Their fees differ too: 0.69% for CPSM and 0.48% for COMT.
CPSM currently has the higher Sharpe Ratio (3.17 vs 1.55), 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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