QVMT vs. CPSM

Last updated Jun 24, 2026

QVMT (Invesco S&P S&P 500 Concentrated QVM ETF) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both exchange-traded funds - QVMT is a S&P 500 fund tracking the S&P 500 Quality, Value & Momentum Multi-factor Index, while CPSM is a Defined Outcome fund actively managed by Calamos. QVMT is passively managed, while CPSM is actively managed. Over the past year, QVMT returned 34.42% vs 5.15% for CPSM. At a 0.40 correlation, their price movements are largely independent. QVMT charges 0.13%/yr vs 0.69%/yr for CPSM.

Performance

QVMT vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Invesco S&P S&P 500 Concentrated QVM ETF (QVMT) 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, QVMT achieves a 19.11% return, which is significantly higher than CPSM's 1.94% return.

QVMT

• 1D: -2.72%
• 1M: 1.92%
• YTD: 19.11%
• 6M: 19.12%
• 1Y: 34.42%
• 3Y*: 22.94%
• 5Y*: 12.95%
• 10Y*: 13.28%

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)

QVMT vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
QVMT Invesco S&P S&P 500 Concentrated QVM ETF	19.11%	19.08%	4.84%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	1.94%	7.21%	6.80%

Correlation

The correlation between QVMT and CPSM is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.43
Correlation (All Time) Calculated using the full available price history since May 1, 2024	0.40

Return for Risk

QVMT vs. CPSM — Risk / Return Rank

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

QVMT

QVMT Risk / Return Rank: 88
QVMT Sharpe Ratio Rank: 87
QVMT Sortino Ratio Rank: 88
QVMT Omega Ratio Rank: 82
QVMT Calmar Ratio Rank: 91
QVMT Martin Ratio Rank: 90

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.

QVMT vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Invesco S&P S&P 500 Concentrated QVM ETF (QVMT) 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.

	QVMT	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	2.63	3.15	-0.52
Sortino ratio: Return per unit of downside risk	3.68	5.05	-1.37
Omega ratio: Gain probability vs. loss probability	1.45	1.67	-0.22
Calmar ratio: Return relative to maximum drawdown	5.53	10.57	-5.04
Martin ratio: Return relative to average drawdown	19.46	45.23	-25.78

QVMT vs. CPSM - Sharpe Ratio Comparison

The current QVMT Sharpe Ratio is 2.63, which is comparable to the CPSM Sharpe Ratio of 3.15. The chart below compares the historical Sharpe Ratios of QVMT 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

QVMT vs. CPSM - Drawdown Comparison

The maximum QVMT drawdown since its inception was -48.05%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for QVMT and CPSM.

Drawdown Indicators

	QVMT	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-48.05%	-5.19%	-42.86%
Max Drawdown (1Y) Largest decline over 1 year	-6.25%	-0.49%	-5.76%
Max Drawdown (3Y) Largest decline over 3 years	-14.42%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-21.95%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-48.05%	—	—
Current Drawdown Current decline from peak	-2.72%	-0.39%	-2.33%
Average Drawdown Average peak-to-trough decline	-6.31%	-0.20%	-6.11%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.77%	0.11%	+1.66%

Volatility

QVMT vs. CPSM - Volatility Comparison

Invesco S&P S&P 500 Concentrated QVM ETF (QVMT) has a higher volatility of 5.11% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.66%. This indicates that QVMT'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

	QVMT	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.11%	0.66%	+4.45%
Volatility (6M) Calculated over the trailing 6-month period	9.83%	1.16%	+8.67%
Volatility (1Y) Calculated over the trailing 1-year period	13.16%	1.65%	+11.51%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.30%	5.05%	+12.25%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.10%	5.05%	+16.05%

QVMT vs. CPSM - Expense Ratio Comparison

QVMT has a 0.13% expense ratio, which is lower than CPSM's 0.69% expense ratio.

Dividends

QVMT vs. CPSM - Dividend Comparison

QVMT's dividend yield for the trailing twelve months is around 1.83%, while CPSM has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%	0.00%	0.00%	0.00%	0.00%
QVMT Invesco S&P S&P 500 Concentrated QVM ETF	1.83%	2.42%	2.71%	3.05%	2.49%	2.31%	2.70%	2.23%	2.48%	2.37%	1.11%	0.54%

Frequently Asked Questions

Can I hold both QVMT and CPSM in my portfolio?

QVMT and CPSM have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QVMT or CPSM?

QVMT has higher volatility (5.11%) compared to CPSM (0.66%). In terms of maximum drawdown, QVMT dropped -48.05% vs CPSM's -5.19%.

Which ETF is better, QVMT or CPSM?

On 1-year performance, QVMT leads with 34.42% vs 5.15% for CPSM. On fees, QVMT is cheaper at 0.13% 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, QVMT or CPSM?

Over the 1-year period, QVMT has performed better with a 34.42% return vs 5.15%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, QVMT or CPSM?

QVMT is cheaper with a 0.13% expense ratio, compared with 0.69% for CPSM.

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

QVMT has the higher dividend yield at 1.83%, compared with 0.00% for CPSM.

What is the main difference between QVMT and CPSM?

QVMT is categorized as S&P 500, while CPSM is Defined Outcome. They also come from different issuers: Invesco and Calamos. Their fees differ too: 0.13% for QVMT and 0.69% for CPSM.

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.15 vs 2.63), 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.