TWOX vs. CPST

Last updated Jun 4, 2026

TWOX (iShares Large Cap Accelerated Outcome ETF) and CPST (Calamos S&P 500 Structured Alt Protection ETF - September) are both Defined Outcome funds. TWOX is actively managed, while CPST is passively managed. Over the past year, TWOX returned 16.12% vs 7.61% for CPST. Their correlation of 0.83 suggests significant overlap in exposure. TWOX charges 0.50%/yr vs 0.69%/yr for CPST.

Performance

TWOX vs. CPST - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares Large Cap Accelerated Outcome ETF (TWOX) and Calamos S&P 500 Structured Alt Protection ETF - September (CPST). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, TWOX achieves a 2.15% return, which is significantly lower than CPST's 2.67% return.

TWOX

• 1D: 0.00%
• 1M: 1.50%
• YTD: 2.15%
• 6M: 3.54%
• 1Y: 16.12%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPST

• 1D: 0.00%
• 1M: 0.87%
• YTD: 2.67%
• 6M: 2.98%
• 1Y: 7.61%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

TWOX vs. CPST - Yearly Performance Comparison

	2026 (YTD)	2025
TWOX iShares Large Cap Accelerated Outcome ETF	2.15%	13.32%
CPST Calamos S&P 500 Structured Alt Protection ETF - September	2.67%	6.40%

Correlation

The correlation between TWOX and CPST is 0.77, 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	0.77
Correlation (All Time) Calculated using the full available price history since Jan 17, 2025	0.83

The correlation between TWOX and CPST has been stable across timeframes, ranging from 0.77 to 0.83 - a consistent structural relationship.

Return for Risk

TWOX vs. CPST — Risk / Return Rank

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

TWOX

TWOX Risk / Return Rank: 45
TWOX Sharpe Ratio Rank: 45
TWOX Sortino Ratio Rank: 43
TWOX Omega Ratio Rank: 53
TWOX Calmar Ratio Rank: 35
TWOX Martin Ratio Rank: 49

CPST

CPST Risk / Return Rank: 94
CPST Sharpe Ratio Rank: 94
CPST Sortino Ratio Rank: 97
CPST Omega Ratio Rank: 96
CPST Calmar Ratio Rank: 89
CPST Martin Ratio Rank: 95

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.

TWOX vs. CPST - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares Large Cap Accelerated Outcome ETF (TWOX) 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.

	TWOX	CPST	Difference
Sharpe ratio: Return per unit of total volatility	1.55	3.56	-2.01
Sortino ratio: Return per unit of downside risk	2.14	5.91	-3.78
Omega ratio: Gain probability vs. loss probability	1.32	1.82	-0.50
Calmar ratio: Return relative to maximum drawdown	1.70	5.38	-3.68
Martin ratio: Return relative to average drawdown	8.04	28.97	-20.94
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

TWOX vs. CPST - Sharpe Ratio Comparison

The current TWOX Sharpe Ratio is 1.55, which is lower than the CPST Sharpe Ratio of 3.56. The chart below compares the historical Sharpe Ratios of TWOX and CPST, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	TWOX	CPST	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.55	3.56	-2.01
Sharpe Ratio (All Time) Calculated using the full available price history	0.67	2.02	-1.35

Drawdowns

TWOX vs. CPST - Drawdown Comparison

The maximum TWOX drawdown since its inception was -19.35%, which is greater than CPST's maximum drawdown of -3.79%. Use the drawdown chart below to compare losses from any high point for TWOX and CPST.

Drawdown Indicators

	TWOX	CPST	Difference
Max Drawdown Largest peak-to-trough decline	-19.35%	-3.79%	-15.56%
Max Drawdown (1Y) Largest decline over 1 year	-9.51%	-1.42%	-8.09%
Current Drawdown Current decline from peak	-0.02%	0.00%	-0.02%
Average Drawdown Average peak-to-trough decline	-2.64%	-0.35%	-2.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.01%	0.26%	+1.75%

Volatility

TWOX vs. CPST - Volatility Comparison

iShares Large Cap Accelerated Outcome ETF (TWOX) has a higher volatility of 0.49% compared to Calamos S&P 500 Structured Alt Protection ETF - September (CPST) at 0.30%. This indicates that TWOX'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.

Volatility by Period

	TWOX	CPST	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.49%	0.30%	+0.19%
Volatility (6M) Calculated over the trailing 6-month period	8.25%	1.60%	+6.65%
Volatility (1Y) Calculated over the trailing 1-year period	10.44%	2.15%	+8.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.78%	3.37%	+13.41%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.78%	3.37%	+13.41%

TWOX vs. CPST - Expense Ratio Comparison

TWOX has a 0.50% expense ratio, which is lower than CPST's 0.69% expense ratio.

Dividends

TWOX vs. CPST - Dividend Comparison

TWOX's dividend yield for the trailing twelve months is around 0.55%, while CPST has not paid dividends to shareholders.

Position	TTM	2025
CPST Calamos S&P 500 Structured Alt Protection ETF - September	0.00%	0.00%
TWOX iShares Large Cap Accelerated Outcome ETF	0.55%	0.57%

Frequently Asked Questions

Can I hold both TWOX and CPST in my portfolio?

TWOX and CPST have a correlation of 0.77, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, TWOX or CPST?

TWOX has higher volatility (0.49%) compared to CPST (0.30%). In terms of maximum drawdown, TWOX dropped -19.35% vs CPST's -3.79%.

Which ETF is better, TWOX or CPST?

On 1-year performance, TWOX leads with 16.12% vs 7.61% for CPST. On fees, TWOX is cheaper at 0.50% per year. On volatility, CPST has been the lower-risk option at 0.30%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, TWOX or CPST?

Over the 1-year period, TWOX has performed better with a 16.12% return vs 7.61%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, TWOX or CPST?

TWOX is cheaper with a 0.50% expense ratio, compared with 0.69% for CPST.

Which ETF pays a higher dividend yield, TWOX or CPST?

TWOX has the higher dividend yield at 0.55%, compared with 0.00% for CPST.

What is the main difference between TWOX and CPST?

They also come from different issuers: iShares and Calamos. Their fees differ too: 0.50% for TWOX and 0.69% for CPST.

Which has better risk-adjusted returns?

CPST currently has the higher Sharpe Ratio (3.56 vs 1.55), 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.