CPSP vs. TWOX

Last updated Jun 4, 2026

CPSP (Calamos S&P 500 Structured Alt Protection ETF - April) and TWOX (iShares Large Cap Accelerated Outcome ETF) are both exchange-traded funds - CPSP is a S&P 500 fund actively managed by Calamos, while TWOX is a Defined Outcome fund actively managed by iShares. Both are actively managed. Over the past year, CPSP returned 7.13% vs 16.12% for TWOX. A 0.69 correlation means they provide meaningful diversification when combined. CPSP charges 0.69%/yr vs 0.50%/yr for TWOX.

Performance

CPSP vs. TWOX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - April (CPSP) and iShares Large Cap Accelerated Outcome ETF (TWOX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSP achieves a 3.18% return, which is significantly higher than TWOX's 2.15% return.

CPSP

• 1D: 0.00%
• 1M: 0.60%
• YTD: 3.18%
• 6M: 3.74%
• 1Y: 7.13%
• 3Y*: —
• 5Y*: —
• 10Y*: —

TWOX

• 1D: 0.00%
• 1M: 1.50%
• YTD: 2.15%
• 6M: 3.54%
• 1Y: 16.12%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSP vs. TWOX - Yearly Performance Comparison

	2026 (YTD)	2025
CPSP Calamos S&P 500 Structured Alt Protection ETF - April	3.18%	5.46%
TWOX iShares Large Cap Accelerated Outcome ETF	2.15%	19.78%

Correlation

The correlation between CPSP and TWOX is 0.66, 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	0.66
Correlation (All Time) Calculated using the full available price history since Apr 2, 2025	0.69

The correlation between CPSP and TWOX has been stable across timeframes, ranging from 0.66 to 0.69 - a consistent structural relationship.

Return for Risk

CPSP vs. TWOX — Risk / Return Rank

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

CPSP

CPSP Risk / Return Rank: 98
CPSP Sharpe Ratio Rank: 98
CPSP Sortino Ratio Rank: 99
CPSP Omega Ratio Rank: 98
CPSP Calmar Ratio Rank: 98
CPSP Martin Ratio Rank: 99

TWOX

TWOX Risk / Return Rank: 45
TWOX Sharpe Ratio Rank: 45
TWOX Sortino Ratio Rank: 43
TWOX Omega Ratio Rank: 53
TWOX Calmar Ratio Rank: 35
TWOX Martin Ratio Rank: 49

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.

CPSP vs. TWOX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - April (CPSP) and iShares Large Cap Accelerated Outcome ETF (TWOX). 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.

	CPSP	TWOX	Difference
Sharpe ratio: Return per unit of total volatility	5.08	1.55	+3.52
Sortino ratio: Return per unit of downside risk	9.15	2.14	+7.01
Omega ratio: Gain probability vs. loss probability	2.31	1.32	+0.99
Calmar ratio: Return relative to maximum drawdown	19.11	1.70	+17.40
Martin ratio: Return relative to average drawdown	96.35	8.04	+88.31
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSP vs. TWOX - Sharpe Ratio Comparison

The current CPSP Sharpe Ratio is 5.08, which is higher than the TWOX Sharpe Ratio of 1.55. The chart below compares the historical Sharpe Ratios of CPSP and TWOX, 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

	CPSP	TWOX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	5.08	1.55	+3.52
Sharpe Ratio (All Time) Calculated using the full available price history	3.17	0.67	+2.50

Drawdowns

CPSP vs. TWOX - Drawdown Comparison

The maximum CPSP drawdown since its inception was -1.73%, smaller than the maximum TWOX drawdown of -19.35%. Use the drawdown chart below to compare losses from any high point for CPSP and TWOX.

Drawdown Indicators

	CPSP	TWOX	Difference
Max Drawdown Largest peak-to-trough decline	-1.73%	-19.35%	+17.62%
Max Drawdown (1Y) Largest decline over 1 year	-0.37%	-9.51%	+9.14%
Current Drawdown Current decline from peak	0.00%	-0.02%	+0.02%
Average Drawdown Average peak-to-trough decline	-0.08%	-2.64%	+2.56%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.07%	2.01%	-1.94%

Volatility

CPSP vs. TWOX - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - April (CPSP) is 0.32%, while iShares Large Cap Accelerated Outcome ETF (TWOX) has a volatility of 0.49%. This indicates that CPSP experiences smaller price fluctuations and is considered to be less risky than TWOX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSP	TWOX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.32%	0.49%	-0.17%
Volatility (6M) Calculated over the trailing 6-month period	0.84%	8.25%	-7.41%
Volatility (1Y) Calculated over the trailing 1-year period	1.42%	10.44%	-9.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.37%	16.78%	-14.41%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	2.37%	16.78%	-14.41%

CPSP vs. TWOX - Expense Ratio Comparison

CPSP has a 0.69% expense ratio, which is higher than TWOX's 0.50% expense ratio.

Dividends

CPSP vs. TWOX - Dividend Comparison

CPSP has not paid dividends to shareholders, while TWOX's dividend yield for the trailing twelve months is around 0.55%.

Position	TTM	2025
CPSP Calamos S&P 500 Structured Alt Protection ETF - April	0.00%	0.00%
TWOX iShares Large Cap Accelerated Outcome ETF	0.55%	0.57%

Frequently Asked Questions

Can I hold both CPSP and TWOX in my portfolio?

CPSP and TWOX have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSP or TWOX?

TWOX has higher volatility (0.49%) compared to CPSP (0.32%). In terms of maximum drawdown, CPSP dropped -1.73% vs TWOX's -19.35%.

Which ETF is better, CPSP or TWOX?

On 1-year performance, TWOX leads with 16.12% vs 7.13% for CPSP. On fees, TWOX is cheaper at 0.50% per year. On volatility, CPSP has been the lower-risk option at 0.32%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSP or TWOX?

Over the 1-year period, TWOX has performed better with a 16.12% return vs 7.13%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSP or TWOX?

TWOX is cheaper with a 0.50% expense ratio, compared with 0.69% for CPSP.

Which ETF pays a higher dividend yield, CPSP or TWOX?

TWOX has the higher dividend yield at 0.55%, compared with 0.00% for CPSP.

What is the main difference between CPSP and TWOX?

CPSP is categorized as S&P 500, while TWOX is Defined Outcome. They also come from different issuers: Calamos and iShares. Their fees differ too: 0.69% for CPSP and 0.50% for TWOX.

Which has better risk-adjusted returns?

CPSP currently has the higher Sharpe Ratio (5.08 vs 1.55), 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.