DDFO vs. CPSM

Last updated Jun 23, 2026

DDFO (Innovator Equity Dual Directional 15 Buffer ETF - October) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both Defined Outcome funds. DDFO is passively managed, while CPSM is actively managed. A 0.58 correlation means they provide meaningful diversification when combined. DDFO charges 0.79%/yr vs 0.69%/yr for CPSM.

Performance

DDFO vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator Equity Dual Directional 15 Buffer ETF - October (DDFO) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DDFO achieves a 3.93% return, which is significantly higher than CPSM's 2.08% return.

DDFO

• 1D: 0.02%
• 1M: 0.56%
• YTD: 3.93%
• 6M: 4.02%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSM

• 1D: -0.07%
• 1M: 0.05%
• YTD: 2.08%
• 6M: 2.19%
• 1Y: 5.49%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

DDFO vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025
DDFO Innovator Equity Dual Directional 15 Buffer ETF - October	3.93%	1.91%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.08%	1.18%

Correlation

The correlation between DDFO and CPSM is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (All Time) Calculated using the full available price history since Oct 1, 2025	0.58

Return for Risk

DDFO vs. CPSM — Risk / Return Rank

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

DDFO

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

CPSM

CPSM Risk / Return Rank: 96
CPSM Sharpe Ratio Rank: 94
CPSM Sortino Ratio Rank: 96
CPSM Omega Ratio Rank: 95
CPSM Calmar Ratio Rank: 97
CPSM Martin Ratio Rank: 98

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.

DDFO vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator Equity Dual Directional 15 Buffer ETF - October (DDFO) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	DDFO	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	—	3.35	—
Sortino ratio: Return per unit of downside risk	—	5.42	—
Omega ratio: Gain probability vs. loss probability	—	1.73	—
Calmar ratio: Return relative to maximum drawdown	—	11.26	—
Martin ratio: Return relative to average drawdown	—	49.30	—

Drawdowns

DDFO vs. CPSM - Drawdown Comparison

The maximum DDFO drawdown since its inception was -2.79%, smaller than the maximum CPSM drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for DDFO and CPSM.

Drawdown Indicators

	DDFO	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-2.79%	-5.19%	+2.40%
Max Drawdown (1Y) Largest decline over 1 year	—	-0.49%	—
Current Drawdown Current decline from peak	0.00%	-0.25%	+0.25%
Average Drawdown Average peak-to-trough decline	-0.41%	-0.20%	-0.21%
Ulcer Index Depth and duration of drawdowns from previous peaks	—	0.11%	—

Volatility

Volatility by Period

	DDFO	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	0.64%	—
Volatility (6M) Calculated over the trailing 6-month period	—	1.17%	—
Volatility (1Y) Calculated over the trailing 1-year period	4.61%	1.65%	+2.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.61%	5.05%	-0.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.61%	5.05%	-0.44%

DDFO vs. CPSM - Expense Ratio Comparison

DDFO has a 0.79% expense ratio, which is higher than CPSM's 0.69% expense ratio.

Dividends

DDFO vs. CPSM - Dividend Comparison

Neither DDFO nor CPSM has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both DDFO and CPSM in my portfolio?

DDFO and CPSM have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, DDFO or CPSM?

On fees, CPSM is cheaper at 0.69% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, DDFO or CPSM?

CPSM is cheaper with a 0.69% expense ratio, compared with 0.79% for DDFO.

Which ETF pays a higher dividend yield, DDFO or CPSM?

DDFO and CPSM have nearly identical dividend yields, around 0.00%.

What is the main difference between DDFO and CPSM?

They also come from different issuers: Innovator and Calamos. Their fees differ too: 0.79% for DDFO and 0.69% for CPSM.