KAUG vs. CPSM

Last updated Jun 24, 2026

KAUG (Innovator U.S. Small Cap Power Buffer ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both Defined Outcome funds. Both are actively managed. Over the past year, KAUG returned 15.78% vs 5.15% for CPSM. A 0.55 correlation means they provide meaningful diversification when combined. KAUG charges 0.79%/yr vs 0.69%/yr for CPSM.

Performance

KAUG vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator U.S. Small Cap Power Buffer ETF (KAUG) 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, KAUG achieves a 7.75% return, which is significantly higher than CPSM's 1.94% return.

KAUG

• 1D: -0.05%
• 1M: 0.99%
• YTD: 7.75%
• 6M: 7.02%
• 1Y: 15.78%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSM

• 1D: -0.14%
• 1M: -0.09%
• YTD: 1.94%
• 6M: 2.03%
• 1Y: 5.15%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

KAUG vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
KAUG Innovator U.S. Small Cap Power Buffer ETF	7.75%	5.52%	0.81%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	1.94%	7.21%	3.01%

Correlation

The correlation between KAUG and CPSM is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.49
Correlation (All Time) Calculated using the full available price history since Aug 1, 2024	0.55

The correlation between KAUG and CPSM has been stable across timeframes, ranging from 0.49 to 0.55 - a consistent structural relationship.

Return for Risk

KAUG vs. CPSM — Risk / Return Rank

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

KAUG

KAUG Risk / Return Rank: 74
KAUG Sharpe Ratio Rank: 67
KAUG Sortino Ratio Rank: 72
KAUG Omega Ratio Rank: 70
KAUG Calmar Ratio Rank: 82
KAUG Martin Ratio Rank: 80

CPSM

CPSM Risk / Return Rank: 96
CPSM Sharpe Ratio Rank: 93
CPSM Sortino Ratio Rank: 95
CPSM Omega Ratio Rank: 95
CPSM Calmar Ratio Rank: 97
CPSM Martin Ratio Rank: 97

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.

KAUG vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator U.S. Small Cap Power Buffer ETF (KAUG) 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.

	KAUG	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	1.99	3.15	-1.16
Sortino ratio: Return per unit of downside risk	2.94	5.05	-2.11
Omega ratio: Gain probability vs. loss probability	1.38	1.67	-0.29
Calmar ratio: Return relative to maximum drawdown	4.02	10.57	-6.55
Martin ratio: Return relative to average drawdown	14.64	45.23	-30.59

KAUG vs. CPSM - Sharpe Ratio Comparison

The current KAUG Sharpe Ratio is 1.99, which is lower than the CPSM Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of KAUG and CPSM, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

KAUG vs. CPSM - Drawdown Comparison

The maximum KAUG drawdown since its inception was -15.66%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for KAUG and CPSM.

Drawdown Indicators

	KAUG	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-15.66%	-5.19%	-10.47%
Max Drawdown (1Y) Largest decline over 1 year	-3.94%	-0.49%	-3.45%
Current Drawdown Current decline from peak	-0.05%	-0.39%	+0.34%
Average Drawdown Average peak-to-trough decline	-2.84%	-0.20%	-2.64%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.08%	0.11%	+0.97%

Volatility

KAUG vs. CPSM - Volatility Comparison

Innovator U.S. Small Cap Power Buffer ETF (KAUG) has a higher volatility of 1.06% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.66%. This indicates that KAUG's price experiences larger fluctuations and is considered to be riskier than CPSM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	KAUG	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.06%	0.66%	+0.40%
Volatility (6M) Calculated over the trailing 6-month period	5.07%	1.16%	+3.91%
Volatility (1Y) Calculated over the trailing 1-year period	7.97%	1.65%	+6.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.15%	5.05%	+6.10%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.15%	5.05%	+6.10%

KAUG vs. CPSM - Expense Ratio Comparison

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

Dividends

KAUG vs. CPSM - Dividend Comparison

Neither KAUG nor CPSM has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both KAUG and CPSM in my portfolio?

KAUG and CPSM have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, KAUG or CPSM?

KAUG has higher volatility (1.06%) compared to CPSM (0.66%). In terms of maximum drawdown, KAUG dropped -15.66% vs CPSM's -5.19%.

Which ETF is better, KAUG or CPSM?

On 1-year performance, KAUG leads with 15.78% vs 5.15% for CPSM. On fees, CPSM is cheaper at 0.69% per year. On volatility, CPSM has been the lower-risk option at 0.66%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, KAUG or CPSM?

Over the 1-year period, KAUG has performed better with a 15.78% return vs 5.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, KAUG or CPSM?

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

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

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

What is the main difference between KAUG and CPSM?

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

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.15 vs 1.99), 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.