DMAX vs. CPSP

Last updated Jun 3, 2026

DMAX (iShares Large Cap Max Buffer December ETF) and CPSP (Calamos S&P 500 Structured Alt Protection ETF - April) are both exchange-traded funds - DMAX is a Defined Outcome fund tracking the S&P 500 Index, while CPSP is a S&P 500 fund actively managed by Calamos. DMAX is passively managed, while CPSP is actively managed. Over the past year, DMAX returned 8.68% vs 7.32% for CPSP. A 0.71 correlation means they provide meaningful diversification when combined. DMAX charges 0.50%/yr vs 0.69%/yr for CPSP.

Performance

DMAX vs. CPSP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Large Cap Max Buffer December ETF (DMAX) and Calamos S&P 500 Structured Alt Protection ETF - April (CPSP). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, DMAX achieves a 2.42% return, which is significantly lower than CPSP's 3.18% return.

DMAX

• 1D: 0.02%
• 1M: 0.83%
• YTD: 2.42%
• 6M: 3.14%
• 1Y: 8.68%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSP

• 1D: 0.02%
• 1M: 0.52%
• YTD: 3.18%
• 6M: 3.78%
• 1Y: 7.32%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

DMAX vs. CPSP - Yearly Performance Comparison

	2026 (YTD)	2025
DMAX iShares Large Cap Max Buffer December ETF	2.42%	8.03%
CPSP Calamos S&P 500 Structured Alt Protection ETF - April	3.18%	5.46%

Correlation

The correlation between DMAX and CPSP is 0.69, 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	0.69
Correlation (All Time) Calculated using the full available price history since Apr 2, 2025	0.71

The correlation between DMAX and CPSP has been stable across timeframes, ranging from 0.69 to 0.71 - a consistent structural relationship.

Return for Risk

DMAX vs. CPSP — Risk / Return Rank

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

DMAX

DMAX Risk / Return Rank: 95
DMAX Sharpe Ratio Rank: 94
DMAX Sortino Ratio Rank: 96
DMAX Omega Ratio Rank: 96
DMAX Calmar Ratio Rank: 92
DMAX Martin Ratio Rank: 95

CPSP

CPSP Risk / Return Rank: 98
CPSP Sharpe Ratio Rank: 98
CPSP Sortino Ratio Rank: 99
CPSP Omega Ratio Rank: 98
CPSP Calmar Ratio Rank: 99
CPSP Martin Ratio Rank: 99

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.

DMAX vs. CPSP - 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 - April (CPSP). 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.

	DMAX	CPSP	Difference
Sharpe ratio Return per unit of total volatility	3.74	5.18	-1.44
Sortino ratio Return per unit of downside risk	5.80	9.39	-3.59
Omega ratio Gain probability vs. loss probability	1.81	2.34	-0.53
Calmar ratio Return relative to maximum drawdown	6.15	19.72	-13.57
Martin ratio Return relative to average drawdown	31.49	99.44	-67.96
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DMAX vs. CPSP - Sharpe Ratio Comparison

The current DMAX Sharpe Ratio is 3.74, which is comparable to the CPSP Sharpe Ratio of 5.18. The chart below compares the historical Sharpe Ratios of DMAX and CPSP, 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

	DMAX	CPSP	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.74	5.18	-1.44
Sharpe Ratio (All Time) Calculated using the full available price history	2.16	3.18	-1.02

Drawdowns

DMAX vs. CPSP - Drawdown Comparison

The maximum DMAX drawdown since its inception was -3.37%, which is greater than CPSP's maximum drawdown of -1.73%. Use the drawdown chart below to compare losses from any high point for DMAX and CPSP.

Drawdown Indicators

	DMAX	CPSP	Difference
Max Drawdown Largest peak-to-trough decline	-3.37%	-1.73%	-1.64%
Max Drawdown (1Y) Largest decline over 1 year	-1.41%	-0.37%	-1.04%
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-0.38%	-0.08%	-0.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.28%	0.07%	+0.21%

Volatility

DMAX vs. CPSP - Volatility Comparison

iShares Large Cap Max Buffer December ETF (DMAX) and Calamos S&P 500 Structured Alt Protection ETF - April (CPSP) have volatilities of 0.33% and 0.34%, 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

	DMAX	CPSP	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.33%	0.34%	-0.01%
Volatility (6M) Calculated over the trailing 6-month period	1.54%	0.84%	+0.70%
Volatility (1Y) Calculated over the trailing 1-year period	2.33%	1.42%	+0.91%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	3.40%	2.38%	+1.02%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	3.40%	2.38%	+1.02%

DMAX vs. CPSP - Expense Ratio Comparison

DMAX has a 0.50% expense ratio, which is lower than CPSP's 0.69% expense ratio.

Dividends

DMAX vs. CPSP - Dividend Comparison

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

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

Frequently Asked Questions

Can I hold both DMAX and CPSP in my portfolio?

DMAX and CPSP have a correlation of 0.69, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DMAX or CPSP?

CPSP has higher volatility (0.34%) compared to DMAX (0.33%). In terms of maximum drawdown, DMAX dropped -3.37% vs CPSP's -1.73%.

Which ETF is better, DMAX or CPSP?

On 1-year performance, DMAX leads with 8.68% vs 7.32% for CPSP. 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, DMAX or CPSP?

Over the 1-year period, DMAX has performed better with a 8.68% return vs 7.32%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, DMAX or CPSP?

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

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

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

What is the main difference between DMAX and CPSP?

DMAX is categorized as Defined Outcome, while CPSP is S&P 500. They also come from different issuers: iShares and Calamos. Their fees differ too: 0.50% for DMAX and 0.69% for CPSP.

Which has better risk-adjusted returns?

CPSP currently has the higher Sharpe Ratio (5.18 vs 3.74), 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.