CPSY vs. DMAX

Last updated Jun 4, 2026

CPSY (Calamos S&P 500 Structured Alt Protection ETF - January) and DMAX (iShares Large Cap Max Buffer December ETF) are both Defined Outcome funds. CPSY is actively managed, while DMAX is passively managed. Over the past year, CPSY returned 7.60% vs 8.46% for DMAX. A 0.78 correlation means they provide meaningful diversification when combined. CPSY charges 0.69%/yr vs 0.50%/yr for DMAX.

Performance

CPSY 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 - January (CPSY) and iShares Large Cap Max Buffer December ETF (DMAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with CPSY having a 2.37% return and DMAX slightly lower at 2.34%.

CPSY

• 1D: 0.02%
• 1M: 0.80%
• YTD: 2.37%
• 6M: 2.92%
• 1Y: 7.60%
• 3Y*: —
• 5Y*: —
• 10Y*: —

DMAX

• 1D: -0.07%
• 1M: 0.86%
• YTD: 2.34%
• 6M: 3.01%
• 1Y: 8.46%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

CPSY vs. DMAX - Yearly Performance Comparison

	2026 (YTD)	2025
CPSY Calamos S&P 500 Structured Alt Protection ETF - January	2.37%	6.83%
DMAX iShares Large Cap Max Buffer December ETF	2.34%	7.81%

Correlation

The correlation between CPSY and DMAX is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.81
Correlation (All Time) Calculated using the full available price history since Jan 3, 2025	0.78

The correlation between CPSY and DMAX has been stable across timeframes, ranging from 0.78 to 0.81 - a consistent structural relationship.

Return for Risk

CPSY vs. DMAX — Risk / Return Rank

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

CPSY

CPSY Risk / Return Rank: 95
CPSY Sharpe Ratio Rank: 95
CPSY Sortino Ratio Rank: 97
CPSY Omega Ratio Rank: 96
CPSY Calmar Ratio Rank: 90
CPSY Martin Ratio Rank: 95

DMAX

DMAX Risk / Return Rank: 94
DMAX Sharpe Ratio Rank: 94
DMAX Sortino Ratio Rank: 96
DMAX Omega Ratio Rank: 96
DMAX Calmar Ratio Rank: 91
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.

CPSY 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 - January (CPSY) 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.

	CPSY	DMAX	Difference
Sharpe ratio: Return per unit of total volatility	3.74	3.65	+0.09
Sortino ratio: Return per unit of downside risk	6.06	5.65	+0.42
Omega ratio: Gain probability vs. loss probability	1.84	1.79	+0.05
Calmar ratio: Return relative to maximum drawdown	5.67	6.01	-0.35
Martin ratio: Return relative to average drawdown	29.46	30.74	-1.28
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CPSY vs. DMAX - Sharpe Ratio Comparison

The current CPSY Sharpe Ratio is 3.74, which is comparable to the DMAX Sharpe Ratio of 3.65. The chart below compares the historical Sharpe Ratios of CPSY 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

	CPSY	DMAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.74	3.65	+0.09
Sharpe Ratio (All Time) Calculated using the full available price history	2.14	2.14	0.00

Drawdowns

CPSY vs. DMAX - Drawdown Comparison

The maximum CPSY drawdown since its inception was -3.01%, smaller than the maximum DMAX drawdown of -3.37%. Use the drawdown chart below to compare losses from any high point for CPSY and DMAX.

Drawdown Indicators

	CPSY	DMAX	Difference
Max Drawdown Largest peak-to-trough decline	-3.01%	-3.37%	+0.36%
Max Drawdown (1Y) Largest decline over 1 year	-1.35%	-1.41%	+0.06%
Current Drawdown Current decline from peak	0.00%	-0.07%	+0.07%
Average Drawdown Average peak-to-trough decline	-0.33%	-0.38%	+0.05%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.26%	0.28%	-0.02%

Volatility

CPSY vs. DMAX - Volatility Comparison

Calamos S&P 500 Structured Alt Protection ETF - January (CPSY) and iShares Large Cap Max Buffer December ETF (DMAX) have volatilities of 0.31% and 0.32%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CPSY	DMAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.31%	0.32%	-0.01%
Volatility (6M) Calculated over the trailing 6-month period	1.42%	1.54%	-0.12%
Volatility (1Y) Calculated over the trailing 1-year period	2.04%	2.33%	-0.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.08%	3.40%	-0.32%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.08%	3.40%	-0.32%

CPSY vs. DMAX - Expense Ratio Comparison

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

Dividends

CPSY vs. DMAX - Dividend Comparison

CPSY has not paid dividends to shareholders, while DMAX's dividend yield for the trailing twelve months is around 1.15%.

Position	TTM	2025
CPSY Calamos S&P 500 Structured Alt Protection ETF - January	0.00%	0.00%
DMAX iShares Large Cap Max Buffer December ETF	1.15%	1.18%

Frequently Asked Questions

Can I hold both CPSY and DMAX in my portfolio?

CPSY and DMAX have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CPSY or DMAX?

DMAX has higher volatility (0.32%) compared to CPSY (0.31%). In terms of maximum drawdown, CPSY dropped -3.01% vs DMAX's -3.37%.

Which ETF is better, CPSY or DMAX?

On 1-year performance, DMAX leads with 8.46% vs 7.60% for CPSY. On fees, DMAX is cheaper at 0.50% 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, CPSY or DMAX?

Over the 1-year period, DMAX has performed better with a 8.46% return vs 7.60%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, CPSY or DMAX?

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

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

DMAX has the higher dividend yield at 1.15%, compared with 0.00% for CPSY.

What is the main difference between CPSY and DMAX?

They also come from different issuers: Calamos and iShares. Their fees differ too: 0.69% for CPSY and 0.50% for DMAX.

Which has better risk-adjusted returns?

CPSY currently has the higher Sharpe Ratio (3.74 vs 3.65), 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.