PAUG vs. CPSM

Last updated Jun 21, 2026

PAUG (Innovator U.S. Equity Power Buffer ETF - August) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both Defined Outcome funds. PAUG is passively managed, while CPSM is actively managed. Over the past year, PAUG returned 15.19% vs 5.56% for CPSM. A 0.66 correlation means they provide meaningful diversification when combined. PAUG charges 0.79%/yr vs 0.69%/yr for CPSM.

Performance

PAUG vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Innovator U.S. Equity Power Buffer ETF - August (PAUG) 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, PAUG achieves a 5.18% return, which is significantly higher than CPSM's 2.15% return.

PAUG

• 1D: 0.20%
• 1M: 0.75%
• YTD: 5.18%
• 6M: 5.42%
• 1Y: 15.19%
• 3Y*: 13.73%
• 5Y*: 9.22%
• 10Y*: —

CPSM

• 1D: 0.19%
• 1M: 0.21%
• YTD: 2.15%
• 6M: 2.31%
• 1Y: 5.56%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

PAUG vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
PAUG Innovator U.S. Equity Power Buffer ETF - August	5.18%	12.34%	10.66%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.15%	7.21%	6.80%

Correlation

The correlation between PAUG and CPSM is 0.61, 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	0.61
Correlation (All Time) Calculated using the full available price history since May 1, 2024	0.66

The correlation between PAUG and CPSM has been stable across timeframes, ranging from 0.61 to 0.66 - a consistent structural relationship.

Return for Risk

PAUG vs. CPSM — Risk / Return Rank

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

PAUG

PAUG Risk / Return Rank: 88
PAUG Sharpe Ratio Rank: 88
PAUG Sortino Ratio Rank: 92
PAUG Omega Ratio Rank: 93
PAUG Calmar Ratio Rank: 77
PAUG Martin Ratio Rank: 91

CPSM

CPSM Risk / Return Rank: 96
CPSM Sharpe Ratio Rank: 95
CPSM Sortino Ratio Rank: 96
CPSM Omega Ratio Rank: 96
CPSM Calmar Ratio Rank: 98
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.

PAUG vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Innovator U.S. Equity Power Buffer ETF - August (PAUG) 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.

	PAUG	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	2.77	3.47	-0.69
Sortino ratio: Return per unit of downside risk	4.15	5.61	-1.45
Omega ratio: Gain probability vs. loss probability	1.60	1.76	-0.16
Calmar ratio: Return relative to maximum drawdown	3.81	11.64	-7.83
Martin ratio: Return relative to average drawdown	20.84	51.49	-30.66

PAUG vs. CPSM - Sharpe Ratio Comparison

The current PAUG Sharpe Ratio is 2.77, which is comparable to the CPSM Sharpe Ratio of 3.47. The chart below compares the historical Sharpe Ratios of PAUG 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

PAUG vs. CPSM - Drawdown Comparison

The maximum PAUG drawdown since its inception was -17.88%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for PAUG and CPSM.

Drawdown Indicators

	PAUG	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-17.88%	-5.19%	-12.69%
Max Drawdown (1Y) Largest decline over 1 year	-3.96%	-0.49%	-3.47%
Max Drawdown (3Y) Largest decline over 3 years	-10.45%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-11.76%	—	—
Current Drawdown Current decline from peak	-0.07%	-0.18%	+0.11%
Average Drawdown Average peak-to-trough decline	-1.81%	-0.20%	-1.61%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.72%	0.11%	+0.61%

Volatility

PAUG vs. CPSM - Volatility Comparison

Innovator U.S. Equity Power Buffer ETF - August (PAUG) has a higher volatility of 1.01% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.64%. This indicates that PAUG'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

	PAUG	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.01%	0.64%	+0.37%
Volatility (6M) Calculated over the trailing 6-month period	4.25%	1.20%	+3.05%
Volatility (1Y) Calculated over the trailing 1-year period	5.43%	1.65%	+3.78%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.72%	5.05%	+3.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.57%	5.05%	+5.52%

PAUG vs. CPSM - Expense Ratio Comparison

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

Dividends

PAUG vs. CPSM - Dividend Comparison

Neither PAUG nor CPSM has paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
PAUG Innovator U.S. Equity Power Buffer ETF - August	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	1.33%

Frequently Asked Questions

Can I hold both PAUG and CPSM in my portfolio?

PAUG and CPSM have a correlation of 0.61, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, PAUG or CPSM?

PAUG has higher volatility (1.01%) compared to CPSM (0.64%). In terms of maximum drawdown, PAUG dropped -17.88% vs CPSM's -5.19%.

Which ETF is better, PAUG or CPSM?

On 1-year performance, PAUG leads with 15.19% vs 5.56% for CPSM. On fees, CPSM is cheaper at 0.69% per year. On volatility, CPSM has been the lower-risk option at 0.64%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, PAUG or CPSM?

Over the 1-year period, PAUG has performed better with a 15.19% return vs 5.56%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, PAUG or CPSM?

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

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

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

What is the main difference between PAUG and CPSM?

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

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.47 vs 2.77), 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.