CPSM vs. QVMT

Last updated Jun 4, 2026

CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) and QVMT (Invesco S&P S&P 500 Concentrated QVM ETF) are both exchange-traded funds - CPSM is a Defined Outcome fund actively managed by Calamos, while QVMT is a S&P 500 fund tracking the S&P 500 Quality, Value & Momentum Multi-factor Index. CPSM is actively managed, while QVMT is passively managed. Over the past year, CPSM returned 5.88% vs 34.37% for QVMT. At a 0.39 correlation, their price movements are largely independent. CPSM charges 0.69%/yr vs 0.13%/yr for QVMT.

Performance

CPSM vs. QVMT - 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 Invesco S&P S&P 500 Concentrated QVM ETF (QVMT). 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 QVMT's 17.16% return.

CPSM

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

QVMT

• 1D: 0.22%
• 1M: 5.11%
• YTD: 17.16%
• 6M: 19.76%
• 1Y: 34.37%
• 3Y*: 22.66%
• 5Y*: 11.45%
• 10Y*: 13.29%

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

CPSM vs. QVMT - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.27%	7.21%	6.67%
QVMT Invesco S&P S&P 500 Concentrated QVM ETF	17.16%	19.08%	5.99%

Correlation

The correlation between CPSM and QVMT is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.40
Correlation (All Time) Calculated using the full available price history since May 2, 2024	0.39

Return for Risk

CPSM vs. QVMT — 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

QVMT

QVMT Risk / Return Rank: 86
QVMT Sharpe Ratio Rank: 84
QVMT Sortino Ratio Rank: 87
QVMT Omega Ratio Rank: 79
QVMT Calmar Ratio Rank: 90
QVMT Martin Ratio Rank: 88

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. QVMT - 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 Invesco S&P S&P 500 Concentrated QVM ETF (QVMT). 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	QVMT	Difference
Sharpe ratio: Return per unit of total volatility	3.78	2.77	+1.00
Sortino ratio: Return per unit of downside risk	6.33	3.96	+2.38
Omega ratio: Gain probability vs. loss probability	1.84	1.47	+0.36
Calmar ratio: Return relative to maximum drawdown	13.01	5.52	+7.49
Martin ratio: Return relative to average drawdown	61.11	19.63	+41.49
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. QVMT - Sharpe Ratio Comparison

The current CPSM Sharpe Ratio is 3.78, which is higher than the QVMT Sharpe Ratio of 2.77. The chart below compares the historical Sharpe Ratios of CPSM and QVMT, 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	QVMT	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.78	2.77	+1.00
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.67	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.63	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.54	0.59	+0.95

Drawdowns

CPSM vs. QVMT - Drawdown Comparison

The maximum CPSM drawdown since its inception was -5.19%, smaller than the maximum QVMT drawdown of -48.05%. Use the drawdown chart below to compare losses from any high point for CPSM and QVMT.

Drawdown Indicators

	CPSM	QVMT	Difference
Max Drawdown Largest peak-to-trough decline	-5.19%	-48.05%	+42.86%
Max Drawdown (1Y) Largest decline over 1 year	-0.45%	-6.25%	+5.80%
Max Drawdown (3Y) Largest decline over 3 years	—	-14.42%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-21.95%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-48.05%	—
Current Drawdown Current decline from peak	-0.06%	-0.46%	+0.40%
Average Drawdown Average peak-to-trough decline	-0.20%	-6.34%	+6.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.10%	1.76%	-1.66%

Volatility

CPSM vs. QVMT - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) is 0.35%, while Invesco S&P S&P 500 Concentrated QVM ETF (QVMT) has a volatility of 3.13%. This indicates that CPSM experiences smaller price fluctuations and is considered to be less risky than QVMT based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSM	QVMT	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.35%	3.13%	-2.78%
Volatility (6M) Calculated over the trailing 6-month period	1.14%	8.96%	-7.82%
Volatility (1Y) Calculated over the trailing 1-year period	1.57%	12.47%	-10.90%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.10%	17.28%	-12.18%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.10%	21.08%	-15.98%

CPSM vs. QVMT - Expense Ratio Comparison

CPSM has a 0.69% expense ratio, which is higher than QVMT's 0.13% expense ratio.

Dividends

CPSM vs. QVMT - Dividend Comparison

CPSM has not paid dividends to shareholders, while QVMT's dividend yield for the trailing twelve months is around 2.06%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
QVMT Invesco S&P S&P 500 Concentrated QVM ETF	2.06%	2.42%	2.71%	3.05%	2.49%	2.31%	2.70%	2.23%	2.48%	2.37%	1.11%	0.54%

Frequently Asked Questions

Can I hold both CPSM and QVMT in my portfolio?

CPSM and QVMT have a correlation of 0.40, 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 QVMT?

QVMT has higher volatility (3.13%) compared to CPSM (0.35%). In terms of maximum drawdown, CPSM dropped -5.19% vs QVMT's -48.05%.

Which ETF is better, CPSM or QVMT?

On 1-year performance, QVMT leads with 34.37% vs 5.88% for CPSM. On fees, QVMT is cheaper at 0.13% 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.

Which ETF has performed better, CPSM or QVMT?

Over the 1-year period, QVMT has performed better with a 34.37% 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 QVMT?

QVMT is cheaper with a 0.13% expense ratio, compared with 0.69% for CPSM.

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

QVMT has the higher dividend yield at 2.06%, compared with 0.00% for CPSM.

What is the main difference between CPSM and QVMT?

CPSM is categorized as Defined Outcome, while QVMT is S&P 500. They also come from different issuers: Calamos and Invesco. Their fees differ too: 0.69% for CPSM and 0.13% for QVMT.

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.78 vs 2.77), 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.