DMAX vs. CPSM
DMAX (iShares Large Cap Max Buffer December ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both Defined Outcome funds. DMAX is passively managed, while CPSM is actively managed. Over the past year, DMAX returned 7.75% vs 5.15% for CPSM. A 0.64 correlation means they provide meaningful diversification when combined. DMAX charges 0.50%/yr vs 0.69%/yr for CPSM.
Performance
DMAX vs. CPSM - Performance Comparison
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Returns By Period
In the year-to-date period, DMAX achieves a 2.19% return, which is significantly higher than CPSM's 1.94% return.
DMAX
- 1D
- -0.15%
- 1M
- 0.07%
- YTD
- 2.19%
- 6M
- 2.35%
- 1Y
- 7.75%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
CPSM
- 1D
- -0.14%
- 1M
- -0.09%
- YTD
- 1.94%
- 6M
- 2.03%
- 1Y
- 5.15%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
DMAX vs. CPSM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
DMAX iShares Large Cap Max Buffer December ETF | 2.19% | 7.51% |
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 1.94% | 7.21% |
Correlation
The correlation between DMAX and CPSM is 0.59, 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 | 0.59 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2025 | 0.64 |
The correlation between DMAX and CPSM has been stable across timeframes, ranging from 0.59 to 0.64 - a consistent structural relationship.
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Return for Risk
DMAX vs. CPSM — Risk / Return Rank
DMAX
CPSM
DMAX vs. CPSM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Large Cap Max Buffer December ETF (DMAX) 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.
| DMAX | CPSM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.20 | ||
| Sortino ratioReturn per unit of downside risk | +0.07 | ||
| Omega ratioGain probability vs. loss probability | 1.70 | 1.67 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 5.51 | 10.57 | -5.06 |
| Martin ratioReturn relative to average drawdown | 27.58 | 45.23 | -17.65 |
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Drawdowns
DMAX vs. CPSM - Drawdown Comparison
The maximum DMAX drawdown since its inception was -3.37%, smaller than the maximum CPSM drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for DMAX and CPSM.
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Drawdown Indicators
| DMAX | CPSM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -3.37% | -5.19% | +1.82% |
Max Drawdown (1Y)Largest decline over 1 year | -1.41% | -0.49% | -0.92% |
Current DrawdownCurrent decline from peak | -0.38% | -0.39% | +0.01% |
Average DrawdownAverage peak-to-trough decline | -0.38% | -0.20% | -0.18% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.28% | 0.11% | +0.17% |
Volatility
DMAX vs. CPSM - Volatility Comparison
iShares Large Cap Max Buffer December ETF (DMAX) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) have volatilities of 0.65% and 0.66%, 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.
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Volatility by Period
| DMAX | CPSM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.65% | 0.66% | -0.01% |
Volatility (6M)Calculated over the trailing 6-month period | 1.65% | 1.16% | +0.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 2.34% | 1.65% | +0.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.38% | 5.05% | -1.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 3.38% | 5.05% | -1.67% |
DMAX vs. CPSM - Expense Ratio Comparison
DMAX has a 0.50% expense ratio, which is lower than CPSM's 0.69% expense ratio.
Dividends
DMAX vs. CPSM - Dividend Comparison
DMAX's dividend yield for the trailing twelve months is around 1.15%, while CPSM has not paid dividends to shareholders.
| Position | TTM | 2025 |
|---|---|---|
CPSM Calamos S&P 500 Structured Alt Protection ETF - May | 0.00% | 0.00% |
DMAX iShares Large Cap Max Buffer December ETF | 1.15% | 1.18% |
Frequently Asked Questions
DMAX and CPSM have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
CPSM has higher volatility (0.66%) compared to DMAX (0.65%). In terms of maximum drawdown, DMAX dropped -3.37% vs CPSM's -5.19%.
On 1-year performance, DMAX leads with 7.75% vs 5.15% for CPSM. 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.
Over the 1-year period, DMAX has performed better with a 7.75% return vs 5.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
DMAX is cheaper with a 0.50% expense ratio, compared with 0.69% for CPSM.
DMAX has the higher dividend yield at 1.15%, compared with 0.00% for CPSM.
They also come from different issuers: iShares and Calamos. Their fees differ too: 0.50% for DMAX and 0.69% for CPSM.
DMAX currently has the higher Sharpe Ratio (3.35 vs 3.15), 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.
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