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CPSM vs. QQQ
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


CPSMQQQ
Daily Std Dev2.84%17.35%
Max Drawdown-1.16%-82.98%
Current Drawdown0.00%-0.06%

Correlation

-0.50.00.51.00.7

The correlation between CPSM and QQQ is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

CPSM vs. QQQ - Performance Comparison

The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%15.00%JuneJulyAugustSeptemberOctoberNovember
5.14%
16.33%
CPSM
QQQ

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


CPSM vs. QQQ - Expense Ratio Comparison

CPSM has a 0.69% expense ratio, which is higher than QQQ's 0.20% expense ratio.


CPSM
Calamos S&P 500 Structured Alt Protection ETF - May
Expense ratio chart for CPSM: current value at 0.69% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.69%
Expense ratio chart for QQQ: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

CPSM vs. QQQ - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) and Invesco QQQ (QQQ). 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
Sharpe ratio
No data
QQQ
Sharpe ratio
The chart of Sharpe ratio for QQQ, currently valued at 2.28, compared to the broader market-2.000.002.004.006.002.28
Sortino ratio
The chart of Sortino ratio for QQQ, currently valued at 2.98, compared to the broader market0.005.0010.002.98
Omega ratio
The chart of Omega ratio for QQQ, currently valued at 1.41, compared to the broader market1.001.502.002.503.001.41
Calmar ratio
The chart of Calmar ratio for QQQ, currently valued at 2.94, compared to the broader market0.005.0010.0015.002.94
Martin ratio
The chart of Martin ratio for QQQ, currently valued at 10.71, compared to the broader market0.0020.0040.0060.0080.00100.0010.71

CPSM vs. QQQ - Sharpe Ratio Comparison


Chart placeholderNot enough data

Dividends

CPSM vs. QQQ - Dividend Comparison

CPSM has not paid dividends to shareholders, while QQQ's dividend yield for the trailing twelve months is around 0.59%.


TTM20232022202120202019201820172016201520142013
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%
QQQ
Invesco QQQ
0.59%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%1.02%

Drawdowns

CPSM vs. QQQ - Drawdown Comparison

The maximum CPSM drawdown since its inception was -1.16%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for CPSM and QQQ. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember0
-0.06%
CPSM
QQQ

Volatility

CPSM vs. QQQ - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) is 0.75%, while Invesco QQQ (QQQ) has a volatility of 5.18%. This indicates that CPSM experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JuneJulyAugustSeptemberOctoberNovember
0.75%
5.18%
CPSM
QQQ