CPSO vs. AAA

Last updated Jun 4, 2026

CPSO (Calamos S&P 500 Structured Alt Protection ETF - October) and AAA (AAF First Priority CLO Bond ETF) are both exchange-traded funds - CPSO is a Defined Outcome fund actively managed by Calamos, while AAA is a CLO fund actively managed by Alternative Access Funds LLC. Both are actively managed. Over the past year, CPSO returned 7.29% vs 5.39% for AAA. At a 0.16 correlation, their price movements are largely independent. CPSO charges 0.69%/yr vs 0.25%/yr for AAA.

Performance

CPSO vs. AAA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - October (CPSO) and AAF First Priority CLO Bond ETF (AAA). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSO achieves a 2.72% return, which is significantly higher than AAA's 1.86% return.

CPSO

• 1D: -0.02%
• 1M: 0.96%
• YTD: 2.72%
• 6M: 3.00%
• 1Y: 7.29%
• 3Y*: —
• 5Y*: —
• 10Y*: —

AAA

• 1D: -0.22%
• 1M: 0.67%
• YTD: 1.86%
• 6M: 2.19%
• 1Y: 5.39%
• 3Y*: 6.50%
• 5Y*: 4.64%
• 10Y*: —

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

CPSO vs. AAA - Yearly Performance Comparison

	2026 (YTD)	2025	2024
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	2.72%	6.24%	0.77%
AAA AAF First Priority CLO Bond ETF	1.86%	4.92%	1.54%

Correlation

The correlation between CPSO and AAA is 0.11, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.11
Correlation (All Time) Calculated using the full available price history since Oct 2, 2024	0.16

Return for Risk

CPSO vs. AAA — Risk / Return Rank

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

CPSO

CPSO Risk / Return Rank: 93
CPSO Sharpe Ratio Rank: 93
CPSO Sortino Ratio Rank: 96
CPSO Omega Ratio Rank: 96
CPSO Calmar Ratio Rank: 88
CPSO Martin Ratio Rank: 93

AAA

AAA Risk / Return Rank: 85
AAA Sharpe Ratio Rank: 71
AAA Sortino Ratio Rank: 87
AAA Omega Ratio Rank: 77
AAA Calmar Ratio Rank: 96
AAA Martin Ratio Rank: 94

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.

CPSO vs. AAA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - October (CPSO) and AAF First Priority CLO Bond ETF (AAA). 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.

	CPSO	AAA	Difference
Sharpe ratio: Return per unit of total volatility	3.42	2.36	+1.06
Sortino ratio: Return per unit of downside risk	5.54	4.06	+1.48
Omega ratio: Gain probability vs. loss probability	1.77	1.47	+0.30
Calmar ratio: Return relative to maximum drawdown	5.05	8.98	-3.93
Martin ratio: Return relative to average drawdown	25.43	27.78	-2.35
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSO vs. AAA - Sharpe Ratio Comparison

The current CPSO Sharpe Ratio is 3.42, which is higher than the AAA Sharpe Ratio of 2.36. The chart below compares the historical Sharpe Ratios of CPSO and AAA, 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

	CPSO	AAA	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.42	2.36	+1.06
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	2.05	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.96	1.93	+0.03

Drawdowns

CPSO vs. AAA - Drawdown Comparison

The maximum CPSO drawdown since its inception was -3.23%, which is greater than AAA's maximum drawdown of -2.63%. Use the drawdown chart below to compare losses from any high point for CPSO and AAA.

Drawdown Indicators

	CPSO	AAA	Difference
Max Drawdown Largest peak-to-trough decline	-3.23%	-2.63%	-0.60%
Max Drawdown (1Y) Largest decline over 1 year	-1.45%	-0.60%	-0.85%
Max Drawdown (3Y) Largest decline over 3 years	—	-2.40%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-2.63%	—
Current Drawdown Current decline from peak	-0.02%	-0.22%	+0.20%
Average Drawdown Average peak-to-trough decline	-0.33%	-0.30%	-0.03%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.29%	0.19%	+0.10%

Volatility

CPSO vs. AAA - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - October (CPSO) is 0.33%, while AAF First Priority CLO Bond ETF (AAA) has a volatility of 0.74%. This indicates that CPSO experiences smaller price fluctuations and is considered to be less risky than AAA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSO	AAA	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.33%	0.74%	-0.41%
Volatility (6M) Calculated over the trailing 6-month period	1.66%	1.76%	-0.10%
Volatility (1Y) Calculated over the trailing 1-year period	2.14%	2.30%	-0.16%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.02%	2.28%	+0.74%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.02%	2.15%	+0.87%

CPSO vs. AAA - Expense Ratio Comparison

CPSO has a 0.69% expense ratio, which is higher than AAA's 0.25% expense ratio.

Dividends

CPSO vs. AAA - Dividend Comparison

CPSO has not paid dividends to shareholders, while AAA's dividend yield for the trailing twelve months is around 4.90%.

Position	TTM	2025	2024	2023	2022	2021	2020
AAA AAF First Priority CLO Bond ETF	4.90%	5.11%	6.17%	6.11%	2.78%	1.06%	0.32%
CPSO Calamos S&P 500 Structured Alt Protection ETF - October	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both CPSO and AAA in my portfolio?

CPSO and AAA have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSO or AAA?

AAA has higher volatility (0.74%) compared to CPSO (0.33%). In terms of maximum drawdown, CPSO dropped -3.23% vs AAA's -2.63%.

Which ETF is better, CPSO or AAA?

On 1-year performance, CPSO leads with 7.29% vs 5.39% for AAA. On fees, AAA is cheaper at 0.25% per year. On volatility, CPSO has been the lower-risk option at 0.33%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSO or AAA?

Over the 1-year period, CPSO has performed better with a 7.29% return vs 5.39%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSO or AAA?

AAA is cheaper with a 0.25% expense ratio, compared with 0.69% for CPSO.

Which ETF pays a higher dividend yield, CPSO or AAA?

AAA has the higher dividend yield at 4.90%, compared with 0.00% for CPSO.

What is the main difference between CPSO and AAA?

CPSO is categorized as Defined Outcome, while AAA is CLO. They also come from different issuers: Calamos and Alternative Access Funds LLC. Their fees differ too: 0.69% for CPSO and 0.25% for AAA.

Which has better risk-adjusted returns?

CPSO currently has the higher Sharpe Ratio (3.42 vs 2.36), 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.