CPSM vs. KNGZ
Compare and contrast key facts about Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) and First Trust S&P 500 Diversified Dividend Aristocrats ETF (KNGZ).
CPSM and KNGZ are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. CPSM is an actively managed fund by Calamos. It was launched on May 1, 2024. KNGZ is a passively managed fund by First Trust that tracks the performance of the S&P 500 Sector-Neutral Dividend Aristocrats Index. It was launched on Jun 20, 2017.
Performance
CPSM vs. KNGZ - Performance Comparison
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CPSM vs. KNGZ - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 0.81% | 7.21% | 6.67% |
KNGZ First Trust S&P 500 Diversified Dividend Aristocrats ETF | 1.04% | 14.27% | 9.01% |
Returns By Period
In the year-to-date period, CPSM achieves a 0.81% return, which is significantly lower than KNGZ's 1.04% return.
CPSM
- 1D
- 0.28%
- 1M
- 0.09%
- YTD
- 0.81%
- 6M
- 2.00%
- 1Y
- 7.34%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
KNGZ
- 1D
- 1.93%
- 1M
- -5.13%
- YTD
- 1.04%
- 6M
- 1.97%
- 1Y
- 14.94%
- 3Y*
- 11.32%
- 5Y*
- 7.74%
- 10Y*
- —
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CPSM vs. KNGZ - Expense Ratio Comparison
CPSM has a 0.69% expense ratio, which is higher than KNGZ's 0.50% expense ratio.
Return for Risk
CPSM vs. KNGZ — Risk / Return Rank
CPSM
KNGZ
CPSM vs. KNGZ - 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 First Trust S&P 500 Diversified Dividend Aristocrats ETF (KNGZ). 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 | KNGZ | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.10 | 0.81 | +0.29 |
Sortino ratioReturn per unit of downside risk | 1.70 | 1.23 | +0.47 |
Omega ratioGain probability vs. loss probability | 1.45 | 1.17 | +0.27 |
Calmar ratioReturn relative to maximum drawdown | 1.51 | 1.20 | +0.31 |
Martin ratioReturn relative to average drawdown | 9.75 | 4.66 | +5.09 |
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 | KNGZ | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.10 | 0.81 | +0.29 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | — | 0.49 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.47 | 0.53 | +0.94 |
Correlation
The correlation between CPSM and KNGZ is 0.51, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
CPSM vs. KNGZ - Dividend Comparison
CPSM has not paid dividends to shareholders, while KNGZ's dividend yield for the trailing twelve months is around 2.69%.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
KNGZ First Trust S&P 500 Diversified Dividend Aristocrats ETF | 2.69% | 2.70% | 2.55% | 3.10% | 2.52% | 1.95% | 2.44% | 2.85% | 4.09% | 1.10% |
Drawdowns
CPSM vs. KNGZ - Drawdown Comparison
The maximum CPSM drawdown since its inception was -5.19%, smaller than the maximum KNGZ drawdown of -37.44%. Use the drawdown chart below to compare losses from any high point for CPSM and KNGZ.
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Drawdown Indicators
| CPSM | KNGZ | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -5.19% | -37.44% | +32.25% |
Max Drawdown (1Y)Largest decline over 1 year | -4.99% | -13.46% | +8.47% |
Max Drawdown (5Y)Largest decline over 5 years | — | -19.71% | — |
Current DrawdownCurrent decline from peak | -0.08% | -7.23% | +7.15% |
Average DrawdownAverage peak-to-trough decline | -0.22% | -4.93% | +4.71% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.77% | 3.47% | -2.70% |
Volatility
CPSM vs. KNGZ - Volatility Comparison
The current volatility for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) is 0.68%, while First Trust S&P 500 Diversified Dividend Aristocrats ETF (KNGZ) has a volatility of 4.32%. This indicates that CPSM experiences smaller price fluctuations and is considered to be less risky than KNGZ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| CPSM | KNGZ | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.68% | 4.32% | -3.64% |
Volatility (6M)Calculated over the trailing 6-month period | 1.18% | 10.20% | -9.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.69% | 18.64% | -11.95% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.31% | 16.03% | -10.72% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.31% | 18.95% | -13.64% |