CPSR vs. DMAX

Last updated Jun 6, 2026

CPSR (Calamos S&P 500 Structured Alt Protection ETF - March) and DMAX (iShares Large Cap Max Buffer December ETF) are both Defined Outcome funds - CPSR tracks the S&P 500 Index Price Return while DMAX tracks the S&P 500 Index. Both are passively managed. Over the past year, CPSR returned 7.24% vs 8.27% for DMAX. A 0.78 correlation means they provide meaningful diversification when combined. CPSR charges 0.69%/yr vs 0.50%/yr for DMAX.

Performance

CPSR vs. DMAX - 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 iShares Large Cap Max Buffer December ETF (DMAX). 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 DMAX's 2.12% return.

CPSR

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

DMAX

• 1D: -0.27%
• 1M: 0.35%
• YTD: 2.12%
• 6M: 2.65%
• 1Y: 8.27%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSR vs. DMAX - Yearly Performance Comparison

	2026 (YTD)	2025
CPSR Calamos S&P 500 Structured Alt Protection ETF - March	2.30%	6.17%
DMAX iShares Large Cap Max Buffer December ETF	2.12%	7.30%

Correlation

The correlation between CPSR and DMAX is 0.77, 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	0.77
Correlation (All Time) Calculated using the full available price history since Mar 4, 2025	0.78

The correlation between CPSR and DMAX has been stable across timeframes, ranging from 0.77 to 0.78 - a consistent structural relationship.

Return for Risk

CPSR vs. DMAX — 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

DMAX

DMAX Risk / Return Rank: 95
DMAX Sharpe Ratio Rank: 95
DMAX Sortino Ratio Rank: 96
DMAX Omega Ratio Rank: 96
DMAX Calmar Ratio Rank: 92
DMAX Martin Ratio Rank: 95

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. DMAX - 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 iShares Large Cap Max Buffer December ETF (DMAX). 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	DMAX	Difference
Sharpe ratio: Return per unit of total volatility	3.99	3.54	+0.44
Sortino ratio: Return per unit of downside risk	6.66	5.45	+1.21
Omega ratio: Gain probability vs. loss probability	1.92	1.76	+0.16
Calmar ratio: Return relative to maximum drawdown	6.50	5.88	+0.62
Martin ratio: Return relative to average drawdown	31.57	29.98	+1.59
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. DMAX - Sharpe Ratio Comparison

The current CPSR Sharpe Ratio is 3.99, which is comparable to the DMAX Sharpe Ratio of 3.54. The chart below compares the historical Sharpe Ratios of CPSR and DMAX, 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	DMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.99	3.54	+0.44
Sharpe Ratio (All Time) Calculated using the full available price history	1.73	2.08	-0.35

Drawdowns

CPSR vs. DMAX - Drawdown Comparison

The maximum CPSR drawdown since its inception was -3.40%, roughly equal to the maximum DMAX drawdown of -3.37%. Use the drawdown chart below to compare losses from any high point for CPSR and DMAX.

Drawdown Indicators

	CPSR	DMAX	Difference
Max Drawdown Largest peak-to-trough decline	-3.40%	-3.37%	-0.03%
Max Drawdown (1Y) Largest decline over 1 year	-1.12%	-1.41%	+0.29%
Current Drawdown Current decline from peak	-0.23%	-0.29%	+0.06%
Average Drawdown Average peak-to-trough decline	-0.38%	-0.38%	0.00%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.23%	0.28%	-0.05%

Volatility

CPSR vs. DMAX - Volatility Comparison

The current volatility for Calamos S&P 500 Structured Alt Protection ETF - March (CPSR) is 0.31%, while iShares Large Cap Max Buffer December ETF (DMAX) has a volatility of 0.42%. This indicates that CPSR experiences smaller price fluctuations and is considered to be less risky than DMAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSR	DMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.31%	0.42%	-0.11%
Volatility (6M) Calculated over the trailing 6-month period	1.30%	1.56%	-0.26%
Volatility (1Y) Calculated over the trailing 1-year period	1.83%	2.35%	-0.52%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.93%	3.40%	+0.53%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.93%	3.40%	+0.53%

CPSR vs. DMAX - Expense Ratio Comparison

CPSR has a 0.69% expense ratio, which is higher than DMAX's 0.50% expense ratio.

Dividends

CPSR vs. DMAX - Dividend Comparison

CPSR has not paid dividends to shareholders, while DMAX's dividend yield for the trailing twelve months is around 1.16%.

Position	TTM	2025
CPSR Calamos S&P 500 Structured Alt Protection ETF - March	0.00%	0.00%
DMAX iShares Large Cap Max Buffer December ETF	1.16%	1.18%

Frequently Asked Questions

Can I hold both CPSR and DMAX in my portfolio?

CPSR and DMAX have a correlation of 0.77, 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 DMAX?

DMAX has higher volatility (0.42%) compared to CPSR (0.31%). In terms of maximum drawdown, CPSR dropped -3.40% vs DMAX's -3.37%.

Which ETF is better, CPSR or DMAX?

On 1-year performance, DMAX leads with 8.27% vs 7.24% for CPSR. On fees, DMAX is cheaper at 0.50% per year. On volatility, CPSR has been the lower-risk option at 0.31%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, CPSR or DMAX?

Over the 1-year period, DMAX has performed better with a 8.27% return vs 7.24%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSR or DMAX?

DMAX is cheaper with a 0.50% expense ratio, compared with 0.69% for CPSR.

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

DMAX has the higher dividend yield at 1.16%, compared with 0.00% for CPSR.

What is the main difference between CPSR and DMAX?

CPSR tracks S&P 500 Index Price Return, while DMAX tracks S&P 500 Index. They also come from different issuers: Calamos and iShares. Their fees differ too: 0.69% for CPSR and 0.50% for DMAX.

Which has better risk-adjusted returns?

CPSR currently has the higher Sharpe Ratio (3.99 vs 3.54), 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.