CPSM vs. CPSD

Last updated Jun 4, 2026

CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) and CPSD (Calamos S&P 500 Structured Alt Protection ETF - December) are both Defined Outcome funds from Calamos. Both are actively managed. Over the past year, CPSM returned 5.88% vs 9.16% for CPSD. A 0.59 correlation means they provide meaningful diversification when combined. Both charge a 0.69% expense ratio.

Performance

CPSM vs. CPSD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) and Calamos S&P 500 Structured Alt Protection ETF - December (CPSD). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSM achieves a 2.27% return, which is significantly lower than CPSD's 2.55% return.

CPSM

• 1D: -0.06%
• 1M: 0.71%
• YTD: 2.27%
• 6M: 2.72%
• 1Y: 5.88%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSD

• 1D: 0.07%
• 1M: 0.89%
• YTD: 2.55%
• 6M: 2.99%
• 1Y: 9.16%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSM vs. CPSD - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.27%	7.21%	0.15%
CPSD Calamos S&P 500 Structured Alt Protection ETF - December	2.55%	7.63%	0.04%

Correlation

The correlation between CPSM and CPSD is 0.54, 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	0.54
Correlation (All Time) Calculated using the full available price history since Dec 3, 2024	0.59

The correlation between CPSM and CPSD has been stable across timeframes, ranging from 0.54 to 0.59 - a consistent structural relationship.

Return for Risk

CPSM vs. CPSD — Risk / Return Rank

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

CPSM

CPSM Risk / Return Rank: 97
CPSM Sharpe Ratio Rank: 94
CPSM Sortino Ratio Rank: 97
CPSM Omega Ratio Rank: 96
CPSM Calmar Ratio Rank: 98
CPSM Martin Ratio Rank: 98

CPSD

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

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.

CPSM vs. CPSD - 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 Calamos S&P 500 Structured Alt Protection ETF - December (CPSD). 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	CPSD	Difference
Sharpe ratio: Return per unit of total volatility	3.78	3.26	+0.51
Sortino ratio: Return per unit of downside risk	6.33	5.18	+1.15
Omega ratio: Gain probability vs. loss probability	1.84	1.72	+0.12
Calmar ratio: Return relative to maximum drawdown	13.01	6.19	+6.82
Martin ratio: Return relative to average drawdown	61.11	30.66	+30.45
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSM vs. CPSD - Sharpe Ratio Comparison

The current CPSM Sharpe Ratio is 3.78, which is comparable to the CPSD Sharpe Ratio of 3.26. The chart below compares the historical Sharpe Ratios of CPSM and CPSD, 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

	CPSM	CPSD	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.78	3.26	+0.51
Sharpe Ratio (All Time) Calculated using the full available price history	1.54	2.03	-0.48

Drawdowns

CPSM vs. CPSD - Drawdown Comparison

The maximum CPSM drawdown since its inception was -5.19%, which is greater than CPSD's maximum drawdown of -3.45%. Use the drawdown chart below to compare losses from any high point for CPSM and CPSD.

Drawdown Indicators

	CPSM	CPSD	Difference
Max Drawdown Largest peak-to-trough decline	-5.19%	-3.45%	-1.74%
Max Drawdown (1Y) Largest decline over 1 year	-0.45%	-1.49%	+1.04%
Current Drawdown Current decline from peak	-0.06%	0.00%	-0.06%
Average Drawdown Average peak-to-trough decline	-0.20%	-0.47%	+0.27%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.10%	0.30%	-0.20%

Volatility

CPSM vs. CPSD - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) is 0.35%, while Calamos S&P 500 Structured Alt Protection ETF - December (CPSD) has a volatility of 0.37%. This indicates that CPSM experiences smaller price fluctuations and is considered to be less risky than CPSD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSM	CPSD	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.35%	0.37%	-0.02%
Volatility (6M) Calculated over the trailing 6-month period	1.14%	1.58%	-0.44%
Volatility (1Y) Calculated over the trailing 1-year period	1.57%	2.83%	-1.26%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.10%	3.41%	+1.69%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.10%	3.41%	+1.69%

CPSM vs. CPSD - Expense Ratio Comparison

Both CPSM and CPSD have an expense ratio of 0.69%.

Dividends

CPSM vs. CPSD - Dividend Comparison

Neither CPSM nor CPSD has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSM and CPSD in my portfolio?

CPSM and CPSD have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSM or CPSD?

CPSD has higher volatility (0.37%) compared to CPSM (0.35%). In terms of maximum drawdown, CPSM dropped -5.19% vs CPSD's -3.45%.

Which ETF is better, CPSM or CPSD?

On 1-year performance, CPSD leads with 9.16% vs 5.88% for CPSM. Both ETFs have the same 0.69% expense ratio. 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, CPSM or CPSD?

Over the 1-year period, CPSD has performed better with a 9.16% return vs 5.88%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSM or CPSD?

CPSM and CPSD have the same expense ratio: 0.69% per year.

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

CPSM and CPSD have nearly identical dividend yields, around 0.00%.

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.78 vs 3.26), 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.