VCNS.TO vs. CPSM

Last updated Jun 4, 2026

VCNS.TO (Vanguard Conservative ETF Portfolio) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both exchange-traded funds - VCNS.TO is a Diversified Portfolio fund actively managed by Vanguard, while CPSM is a Defined Outcome fund actively managed by Calamos. Both are actively managed. Over the past year, VCNS.TO returned 12.22% vs 7.24% for CPSM. At a 0.21 correlation, their price movements are largely independent. VCNS.TO charges 0.25%/yr vs 0.69%/yr for CPSM.

Performance

VCNS.TO vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a CA$10,000 investment in Vanguard Conservative ETF Portfolio (VCNS.TO) and Calamos S&P 500 Structured Alt Protection ETF - May (CPSM). The values are adjusted to include any dividend payments, if applicable.

Different Trading Currencies

VCNS.TO is traded in CAD, while CPSM is traded in USD. To make them comparable, the CPSM values have been converted to CAD using the latest available exchange rates.

Returns By Period

In the year-to-date period, VCNS.TO achieves a 5.71% return, which is significantly higher than CPSM's 3.57% return.

VCNS.TO

• 1D: -0.26%
• 1M: 3.27%
• YTD: 5.71%
• 6M: 3.72%
• 1Y: 12.22%
• 3Y*: 9.78%
• 5Y*: 4.95%
• 10Y*: —

CPSM

• 1D: 0.35%
• 1M: 2.72%
• YTD: 3.57%
• 6M: 2.32%
• 1Y: 7.24%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

VCNS.TO vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
VCNS.TO Vanguard Conservative ETF Portfolio	5.71%	8.13%	8.28%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	3.57%	2.29%	11.66%

Correlation

The correlation between VCNS.TO and CPSM is 0.07, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.07
Correlation (All Time) Calculated using the full available price history since May 2, 2024	0.21

The correlation between VCNS.TO and CPSM shifts across timeframes, from 0.07 (1 year) to 0.21 (all time), reflecting how their relationship changes across market environments.

Return for Risk

VCNS.TO vs. CPSM — Risk / Return Rank

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

VCNS.TO

VCNS.TO Risk / Return Rank: 56
VCNS.TO Sharpe Ratio Rank: 57
VCNS.TO Sortino Ratio Rank: 57
VCNS.TO Omega Ratio Rank: 61
VCNS.TO Calmar Ratio Rank: 50
VCNS.TO Martin Ratio Rank: 57

CPSM

CPSM Risk / Return Rank: 97
CPSM Sharpe Ratio Rank: 94
CPSM Sortino Ratio Rank: 97
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.

VCNS.TO vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Conservative ETF Portfolio (VCNS.TO) 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.

	VCNS.TO	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	1.97	1.60	+0.37
Sortino ratio: Return per unit of downside risk	2.78	2.26	+0.52
Omega ratio: Gain probability vs. loss probability	1.38	1.29	+0.09
Calmar ratio: Return relative to maximum drawdown	2.53	2.19	+0.33
Martin ratio: Return relative to average drawdown	10.00	6.39	+3.61
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VCNS.TO vs. CPSM - Sharpe Ratio Comparison

The current VCNS.TO Sharpe Ratio is 1.97, which is comparable to the CPSM Sharpe Ratio of 1.60. The chart below compares the historical Sharpe Ratios of VCNS.TO 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.

Sharpe Ratios by Period

	VCNS.TO	CPSM	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.97	1.60	+0.37
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.73	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.25	1.28	-1.03

Drawdowns

VCNS.TO vs. CPSM - Drawdown Comparison

The maximum VCNS.TO drawdown since its inception was -18.04%, which is greater than CPSM's maximum drawdown of -9.15%. Use the drawdown chart below to compare losses from any high point for VCNS.TO and CPSM.

Drawdown Indicators

	VCNS.TO	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-18.04%	-9.15%	-8.89%
Max Drawdown (1Y) Largest decline over 1 year	-4.86%	-3.32%	-1.54%
Max Drawdown (3Y) Largest decline over 3 years	-7.44%	—	—
Max Drawdown (5Y) Largest decline over 5 years	-15.73%	—	—
Current Drawdown Current decline from peak	-0.26%	0.00%	-0.26%
Average Drawdown Average peak-to-trough decline	-3.04%	-1.19%	-1.85%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.22%	1.14%	+0.08%

Volatility

VCNS.TO vs. CPSM - Volatility Comparison

Vanguard Conservative ETF Portfolio (VCNS.TO) has a higher volatility of 2.44% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.76%. This indicates that VCNS.TO'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

	VCNS.TO	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.44%	0.76%	+1.68%
Volatility (6M) Calculated over the trailing 6-month period	5.31%	3.44%	+1.87%
Volatility (1Y) Calculated over the trailing 1-year period	6.22%	4.56%	+1.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	6.82%	6.58%	+0.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	91.48%	6.58%	+84.90%

VCNS.TO vs. CPSM - Expense Ratio Comparison

VCNS.TO has a 0.25% expense ratio, which is lower than CPSM's 0.69% expense ratio.

Dividends

VCNS.TO vs. CPSM - Dividend Comparison

VCNS.TO's dividend yield for the trailing twelve months is around 2.43%, while CPSM has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
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%
VCNS.TO Vanguard Conservative ETF Portfolio	2.43%	2.54%	2.58%	2.57%	2.28%	2.09%	1.88%	2.28%	75.90%

Frequently Asked Questions

Can I hold both VCNS.TO and CPSM in my portfolio?

VCNS.TO and CPSM have a correlation of 0.07, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, VCNS.TO or CPSM?

On fees, VCNS.TO is cheaper at 0.25% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, VCNS.TO or CPSM?

VCNS.TO is cheaper with a 0.25% expense ratio, compared with 0.69% for CPSM.

What is the main difference between VCNS.TO and CPSM?

VCNS.TO is categorized as Diversified Portfolio, while CPSM is Defined Outcome. They also come from different issuers: Vanguard and Calamos. Their fees differ too: 0.25% for VCNS.TO and 0.69% for CPSM.