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QVMT vs. CPSM
Performance
Return for Risk
Dividends
Drawdowns
Volatility

QVMT vs. CPSM

Last updated Apr 1, 2026

Compare and contrast key facts about Invesco S&P S&P 500 Concentrated QVM ETF (QVMT) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM).

QVMT and CPSM are both exchange-traded funds (ETFs), meaning they are traded on stock exchanges and can be bought and sold throughout the day. QVMT is a passively managed fund by Invesco that tracks the performance of the S&P 500 Quality, Value & Momentum Multi-factor Index. It was launched on Oct 9, 2015. CPSM is an actively managed fund by Calamos. It was launched on May 1, 2024.

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.

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QVMT vs. CPSM - Yearly Performance Comparison

2026 (YTD)20252024
QVMT
Invesco S&P S&P 500 Concentrated QVM ETF		4.72%19.08%5.99%
CPSM
Calamos S&P 500 Structured Alt Protection ETF - May		0.81%7.21%6.67%

Returns By Period

In the year-to-date period, QVMT achieves a 4.72% return, which is significantly higher than CPSM's 0.81% return.

QVMT

1D
2.18%
1M
-3.92%
YTD
4.72%
6M
9.66%
1Y
17.82%
3Y*
17.19%
5Y*
11.10%
10Y*
12.08%

CPSM

1D
0.28%
1M
0.09%
YTD
0.81%
6M
2.00%
1Y
7.34%
3Y*
—
5Y*
—
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.

Invesco S&P S&P 500 Concentrated QVM ETF

Calamos S&P 500 Structured Alt Protection ETF - May

Often compared with QVMT:
QVMT vs. IGMQVMT vs. SPMOQVMT vs. XCLRQVMT vs. QDIVQVMT vs. IVVQVMT vs. VOOQVMT vs. PHDG
Often compared with CPSM:
CPSM vs. XXXXCPSM vs. SPYCPSM vs. SPYICPSM vs. ISPYCPSM vs. PHDGCPSM vs. VMFXXCPSM vs. FNILX

QVMT vs. CPSM - Expense Ratio Comparison

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

CPSM
Calamos S&P 500 Structured Alt Protection ETF - May
QVMT
Invesco S&P S&P 500 Concentrated QVM ETF

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: 5959
Overall Rank
QVMT Sharpe Ratio Rank: 5959
Sharpe Ratio Rank
QVMT Sortino Ratio Rank: 5757
Sortino Ratio Rank
QVMT Omega Ratio Rank: 5656
Omega Ratio Rank
QVMT Calmar Ratio Rank: 6060
Calmar Ratio Rank
QVMT Martin Ratio Rank: 6363
Martin Ratio Rank
CPSM
CPSM Risk / Return Rank: 7575
Overall Rank
CPSM Sharpe Ratio Rank: 6565
Sharpe Ratio Rank
CPSM Sortino Ratio Rank: 7070
Sortino Ratio Rank
CPSM Omega Ratio Rank: 9595
Omega Ratio Rank
CPSM Calmar Ratio Rank: 6262
Calmar Ratio Rank
CPSM Martin Ratio Rank: 8686
Martin Ratio Rank
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.

QVMTCPSMDifference

Sharpe ratio

Return per unit of total volatility

1.08

1.10

-0.02

Sortino ratio

Return per unit of downside risk

1.53

1.70

-0.17

Omega ratio

Gain probability vs. loss probability

1.22

1.45

-0.23

Calmar ratio

Return relative to maximum drawdown

1.57

1.51

+0.06

Martin ratio

Return relative to average drawdown

6.47

9.75

-3.28

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QVMT vs. CPSM - Sharpe Ratio Comparison

The current QVMT Sharpe Ratio is 1.08, which is comparable to the CPSM Sharpe Ratio of 1.10. The chart below compares the historical Sharpe Ratios of QVMT and CPSM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Sharpe Ratios by Period

QVMTCPSMDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.08

1.10

-0.02

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

0.64

—

—

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.57

—

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.54

1.47

-0.93

Correlation

The correlation between QVMT and CPSM is 0.39, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Dividends

QVMT vs. CPSM - Dividend Comparison

QVMT's dividend yield for the trailing twelve months is around 2.30%, while CPSM has not paid dividends to shareholders.

TTM20252024202320222021202020192018201720162015
QVMT
Invesco S&P S&P 500 Concentrated QVM ETF		2.30%2.42%2.71%3.05%2.49%2.31%2.70%2.23%2.48%2.37%1.11%0.54%
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%

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.

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Drawdown Indicators

QVMTCPSMDifference

Max Drawdown

Largest peak-to-trough decline

-48.05%

-5.19%

-42.86%

Max Drawdown (1Y)

Largest decline over 1 year

-12.17%

-4.99%

-7.18%

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

-4.21%

-0.08%

-4.13%

Average Drawdown

Average peak-to-trough decline

-6.44%

-0.22%

-6.22%

Ulcer Index

Depth and duration of drawdowns from previous peaks

2.95%

0.77%

+2.18%

Volatility

QVMT vs. CPSM - Volatility Comparison

Invesco S&P S&P 500 Concentrated QVM ETF (QVMT) has a higher volatility of 4.36% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.68%. 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.

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Volatility by Period

QVMTCPSMDifference

Volatility (1M)

Calculated over the trailing 1-month period

4.36%

0.68%

+3.68%

Volatility (6M)

Calculated over the trailing 6-month period

9.47%

1.18%

+8.29%

Volatility (1Y)

Calculated over the trailing 1-year period

16.67%

6.69%

+9.98%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

17.34%

5.31%

+12.03%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

21.08%

5.31%

+15.77%