CPSR vs. CAOS

Last updated Jun 6, 2026

CPSR (Calamos S&P 500 Structured Alt Protection ETF - March) and CAOS (Alpha Architect Tail Risk ETF) are both exchange-traded funds - CPSR is a Defined Outcome fund tracking the S&P 500 Index Price Return, while CAOS is a Options Trading fund actively managed by Alpha Architect. CPSR is passively managed, while CAOS is actively managed. Over the past year, CPSR returned 7.24% vs 1.94% for CAOS. At a correlation of -0.29, they often move in opposite directions. CPSR charges 0.69%/yr vs 0.63%/yr for CAOS.

Performance

CPSR vs. CAOS - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Calamos S&P 500 Structured Alt Protection ETF - March (CPSR) and Alpha Architect Tail Risk ETF (CAOS). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CPSR achieves a 2.30% return, which is significantly higher than CAOS's 0.90% return.

CPSR

• 1D: -0.16%
• 1M: 0.10%
• YTD: 2.30%
• 6M: 2.77%
• 1Y: 7.24%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CAOS

• 1D: 0.12%
• 1M: 0.02%
• YTD: 0.90%
• 6M: 0.76%
• 1Y: 1.94%
• 3Y*: 4.27%
• 5Y*: —
• 10Y*: —

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

CPSR vs. CAOS - Yearly Performance Comparison

	2026 (YTD)	2025
CPSR Calamos S&P 500 Structured Alt Protection ETF - March	2.30%	6.17%
CAOS Alpha Architect Tail Risk ETF	0.90%	2.13%

Correlation

The correlation between CPSR and CAOS is -0.29, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.29
Correlation (All Time) Calculated using the full available price history since Mar 4, 2025	-0.29

Return for Risk

CPSR vs. CAOS — Risk / Return Rank

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

CPSR

CPSR Risk / Return Rank: 96
CPSR Sharpe Ratio Rank: 96
CPSR Sortino Ratio Rank: 98
CPSR Omega Ratio Rank: 97
CPSR Calmar Ratio Rank: 94
CPSR Martin Ratio Rank: 96

CAOS

CAOS Risk / Return Rank: 43
CAOS Sharpe Ratio Rank: 37
CAOS Sortino Ratio Rank: 41
CAOS Omega Ratio Rank: 42
CAOS Calmar Ratio Rank: 54
CAOS Martin Ratio Rank: 42

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.

CPSR vs. CAOS - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Calamos S&P 500 Structured Alt Protection ETF - March (CPSR) and Alpha Architect Tail Risk ETF (CAOS). 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.

	CPSR	CAOS	Difference
Sharpe ratio: Return per unit of total volatility	3.99	1.27	+2.71
Sortino ratio: Return per unit of downside risk	6.66	2.03	+4.62
Omega ratio: Gain probability vs. loss probability	1.92	1.26	+0.65
Calmar ratio: Return relative to maximum drawdown	6.50	2.57	+3.93
Martin ratio: Return relative to average drawdown	31.57	6.37	+25.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSR vs. CAOS - Sharpe Ratio Comparison

The current CPSR Sharpe Ratio is 3.99, which is higher than the CAOS Sharpe Ratio of 1.27. The chart below compares the historical Sharpe Ratios of CPSR and CAOS, 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

	CPSR	CAOS	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.99	1.27	+2.71
Sharpe Ratio (All Time) Calculated using the full available price history	1.73	1.21	+0.52

Drawdowns

CPSR vs. CAOS - Drawdown Comparison

The maximum CPSR drawdown since its inception was -3.40%, smaller than the maximum CAOS drawdown of -3.60%. Use the drawdown chart below to compare losses from any high point for CPSR and CAOS.

Drawdown Indicators

	CPSR	CAOS	Difference
Max Drawdown Largest peak-to-trough decline	-3.40%	-3.60%	+0.20%
Max Drawdown (1Y) Largest decline over 1 year	-1.12%	-0.76%	-0.36%
Max Drawdown (3Y) Largest decline over 3 years	—	-3.60%	—
Current Drawdown Current decline from peak	-0.23%	-0.99%	+0.76%
Average Drawdown Average peak-to-trough decline	-0.38%	-0.90%	+0.52%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.23%	0.30%	-0.07%

Volatility

CPSR vs. CAOS - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - March (CPSR) has a higher volatility of 0.31% compared to Alpha Architect Tail Risk ETF (CAOS) at 0.27%. This indicates that CPSR's price experiences larger fluctuations and is considered to be riskier than CAOS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSR	CAOS	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.31%	0.27%	+0.04%
Volatility (6M) Calculated over the trailing 6-month period	1.30%	1.03%	+0.27%
Volatility (1Y) Calculated over the trailing 1-year period	1.83%	1.53%	+0.30%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.93%	4.25%	-0.32%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.93%	4.25%	-0.32%

CPSR vs. CAOS - Expense Ratio Comparison

CPSR has a 0.69% expense ratio, which is higher than CAOS's 0.63% expense ratio.

Dividends

CPSR vs. CAOS - Dividend Comparison

Neither CPSR nor CAOS has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both CPSR and CAOS in my portfolio?

CPSR and CAOS have a correlation of -0.29, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSR or CAOS?

CPSR has higher volatility (0.31%) compared to CAOS (0.27%). In terms of maximum drawdown, CPSR dropped -3.40% vs CAOS's -3.60%.

Which ETF is better, CPSR or CAOS?

On 1-year performance, CPSR leads with 7.24% vs 1.94% for CAOS. On fees, CAOS is cheaper at 0.63% per year. Their volatility is very similar. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSR or CAOS?

Over the 1-year period, CPSR has performed better with a 7.24% return vs 1.94%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSR or CAOS?

CAOS is cheaper with a 0.63% expense ratio, compared with 0.69% for CPSR.

Which ETF pays a higher dividend yield, CPSR or CAOS?

CPSR and CAOS have nearly identical dividend yields, around 0.00%.

What is the main difference between CPSR and CAOS?

CPSR is categorized as Defined Outcome, while CAOS is Options Trading. They also come from different issuers: Calamos and Alpha Architect. Their fees differ too: 0.69% for CPSR and 0.63% for CAOS.

Which has better risk-adjusted returns?

CPSR currently has the higher Sharpe Ratio (3.99 vs 1.27), 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.