QVMT vs. CPST
QVMT (Invesco S&P S&P 500 Concentrated QVM ETF) and CPST (Calamos S&P 500 Structured Alt Protection ETF - September) are both exchange-traded funds - QVMT is a S&P 500 fund tracking the S&P 500 Quality, Value & Momentum Multi-factor Index, while CPST is a Defined Outcome fund tracking the MerQube Cap Protect US Lrg Cap PR Index - Sep. Both are passively managed. Over the past year, QVMT returned 34.42% vs 7.04% for CPST. A 0.53 correlation means they provide meaningful diversification when combined. QVMT charges 0.13%/yr vs 0.69%/yr for CPST.
Performance
QVMT vs. CPST - Performance Comparison
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Returns By Period
In the year-to-date period, QVMT achieves a 19.11% return, which is significantly higher than CPST's 2.69% 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%
CPST
- 1D
- -0.14%
- 1M
- 0.31%
- YTD
- 2.69%
- 6M
- 2.68%
- 1Y
- 7.04%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
QVMT vs. CPST - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
QVMT Invesco S&P S&P 500 Concentrated QVM ETF | 19.11% | 19.08% | -0.96% |
CPST Calamos S&P 500 Structured Alt Protection ETF - September | 2.69% | 6.73% | 1.97% |
Correlation
The correlation between QVMT and CPST is 0.52, 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 | 0.52 |
Correlation (All Time) Calculated using the full available price history since Sep 3, 2024 | 0.53 |
The correlation between QVMT and CPST has been stable across timeframes, ranging from 0.52 to 0.53 - a consistent structural relationship.
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Return for Risk
QVMT vs. CPST — Risk / Return Rank
QVMT
CPST
QVMT vs. CPST - 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 - September (CPST). 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 | CPST | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.78 | ||
| Sortino ratioReturn per unit of downside risk | -1.91 | ||
| Omega ratioGain probability vs. loss probability | 1.45 | 1.76 | -0.32 |
| Calmar ratioReturn relative to maximum drawdown | 5.53 | 4.98 | +0.55 |
| Martin ratioReturn relative to average drawdown | 19.46 | 26.85 | -7.39 |
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Drawdowns
QVMT vs. CPST - Drawdown Comparison
The maximum QVMT drawdown since its inception was -48.05%, which is greater than CPST's maximum drawdown of -3.79%. Use the drawdown chart below to compare losses from any high point for QVMT and CPST.
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Drawdown Indicators
| QVMT | CPST | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -48.05% | -3.79% | -44.26% |
Max Drawdown (1Y)Largest decline over 1 year | -6.25% | -1.42% | -4.83% |
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 DrawdownCurrent decline from peak | -2.72% | -0.14% | -2.58% |
Average DrawdownAverage peak-to-trough decline | -6.31% | -0.34% | -5.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.77% | 0.26% | +1.51% |
Volatility
QVMT vs. CPST - 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 - September (CPST) at 0.46%. This indicates that QVMT's price experiences larger fluctuations and is considered to be riskier than CPST based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QVMT | CPST | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.11% | 0.46% | +4.65% |
Volatility (6M)Calculated over the trailing 6-month period | 9.83% | 1.61% | +8.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.16% | 2.10% | +11.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.30% | 3.34% | +13.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 21.10% | 3.34% | +17.76% |
QVMT vs. CPST - Expense Ratio Comparison
QVMT has a 0.13% expense ratio, which is lower than CPST's 0.69% expense ratio.
Dividends
QVMT vs. CPST - Dividend Comparison
QVMT's dividend yield for the trailing twelve months is around 1.83%, while CPST has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CPST Calamos S&P 500 Structured Alt Protection ETF - September | 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
QVMT and CPST have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QVMT has higher volatility (5.11%) compared to CPST (0.46%). In terms of maximum drawdown, QVMT dropped -48.05% vs CPST's -3.79%.
On 1-year performance, QVMT leads with 34.42% vs 7.04% for CPST. On fees, QVMT is cheaper at 0.13% per year. On volatility, CPST has been the lower-risk option at 0.46%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, QVMT has performed better with a 34.42% return vs 7.04%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
QVMT is cheaper with a 0.13% expense ratio, compared with 0.69% for CPST.
QVMT has the higher dividend yield at 1.83%, compared with 0.00% for CPST.
QVMT is categorized as S&P 500, while CPST is Defined Outcome. QVMT tracks S&P 500 Quality, Value & Momentum Multi-factor Index, while CPST tracks MerQube Cap Protect US Lrg Cap PR Index - Sep. They also come from different issuers: Invesco and Calamos. Their fees differ too: 0.13% for QVMT and 0.69% for CPST.
CPST currently has the higher Sharpe Ratio (3.41 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.
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