XXXX vs. CPSM

Last updated Jun 23, 2026

XXXX (MAX S&P 500 4X Leveraged ETN) and CPSM (Calamos S&P 500 Structured Alt Protection ETF - May) are both exchange-traded funds - XXXX is a Leveraged Equities fund tracking the S&P 500 Index (400%), while CPSM is a Defined Outcome fund actively managed by Calamos. XXXX is passively managed, while CPSM is actively managed. Over the past year, XXXX returned 77.72% vs 5.49% for CPSM. A 0.70 correlation means they provide meaningful diversification when combined. XXXX charges 2.95%/yr vs 0.69%/yr for CPSM.

Performance

XXXX vs. CPSM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in MAX S&P 500 4X Leveraged ETN (XXXX) 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, XXXX achieves a 20.71% return, which is significantly higher than CPSM's 2.08% return.

XXXX

• 1D: -1.40%
• 1M: -3.10%
• YTD: 20.71%
• 6M: 17.73%
• 1Y: 77.72%
• 3Y*: —
• 5Y*: —
• 10Y*: —

CPSM

• 1D: -0.07%
• 1M: 0.05%
• YTD: 2.08%
• 6M: 2.19%
• 1Y: 5.49%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

XXXX vs. CPSM - Yearly Performance Comparison

	2026 (YTD)	2025	2024
XXXX MAX S&P 500 4X Leveraged ETN	20.71%	17.36%	45.89%
CPSM Calamos S&P 500 Structured Alt Protection ETF - May	2.08%	7.21%	6.80%

Correlation

The correlation between XXXX and CPSM is 0.63, 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	0.63
Correlation (All Time) Calculated using the full available price history since May 1, 2024	0.70

The correlation between XXXX and CPSM has been stable across timeframes, ranging from 0.63 to 0.70 - a consistent structural relationship.

Return for Risk

XXXX vs. CPSM — Risk / Return Rank

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

XXXX

XXXX Risk / Return Rank: 44
XXXX Sharpe Ratio Rank: 47
XXXX Sortino Ratio Rank: 41
XXXX Omega Ratio Rank: 43
XXXX Calmar Ratio Rank: 43
XXXX Martin Ratio Rank: 48

CPSM

CPSM Risk / Return Rank: 96
CPSM Sharpe Ratio Rank: 94
CPSM Sortino Ratio Rank: 96
CPSM Omega Ratio Rank: 95
CPSM Calmar Ratio Rank: 97
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.

XXXX vs. CPSM - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for MAX S&P 500 4X Leveraged ETN (XXXX) 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.

	XXXX	CPSM	Difference
Sharpe ratio: Return per unit of total volatility	1.59	3.35	-1.76
Sortino ratio: Return per unit of downside risk	2.05	5.42	-3.37
Omega ratio: Gain probability vs. loss probability	1.27	1.73	-0.46
Calmar ratio: Return relative to maximum drawdown	2.10	11.26	-9.16
Martin ratio: Return relative to average drawdown	7.82	49.30	-41.48

XXXX vs. CPSM - Sharpe Ratio Comparison

The current XXXX Sharpe Ratio is 1.59, which is lower than the CPSM Sharpe Ratio of 3.35. The chart below compares the historical Sharpe Ratios of XXXX 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

XXXX vs. CPSM - Drawdown Comparison

The maximum XXXX drawdown since its inception was -62.27%, which is greater than CPSM's maximum drawdown of -5.19%. Use the drawdown chart below to compare losses from any high point for XXXX and CPSM.

Drawdown Indicators

	XXXX	CPSM	Difference
Max Drawdown Largest peak-to-trough decline	-62.27%	-5.19%	-57.08%
Max Drawdown (1Y) Largest decline over 1 year	-37.25%	-0.49%	-36.76%
Current Drawdown Current decline from peak	-9.34%	-0.25%	-9.09%
Average Drawdown Average peak-to-trough decline	-11.55%	-0.20%	-11.35%
Ulcer Index Depth and duration of drawdowns from previous peaks	9.97%	0.11%	+9.86%

Volatility

XXXX vs. CPSM - Volatility Comparison

MAX S&P 500 4X Leveraged ETN (XXXX) has a higher volatility of 18.72% compared to Calamos S&P 500 Structured Alt Protection ETF - May (CPSM) at 0.64%. This indicates that XXXX'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

	XXXX	CPSM	Difference
Volatility (1M) Calculated over the trailing 1-month period	18.72%	0.64%	+18.08%
Volatility (6M) Calculated over the trailing 6-month period	38.88%	1.17%	+37.71%
Volatility (1Y) Calculated over the trailing 1-year period	49.23%	1.65%	+47.58%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	61.12%	5.05%	+56.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	61.12%	5.05%	+56.07%

XXXX vs. CPSM - Expense Ratio Comparison

XXXX has a 2.95% expense ratio, which is higher than CPSM's 0.69% expense ratio.

Dividends

XXXX vs. CPSM - Dividend Comparison

Neither XXXX nor CPSM has paid dividends to shareholders.

Tickers have no history of dividend payments

Frequently Asked Questions

Can I hold both XXXX and CPSM in my portfolio?

XXXX and CPSM have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, XXXX or CPSM?

XXXX has higher volatility (18.72%) compared to CPSM (0.64%). In terms of maximum drawdown, XXXX dropped -62.27% vs CPSM's -5.19%.

Which ETF is better, XXXX or CPSM?

On 1-year performance, XXXX leads with 77.72% vs 5.49% for CPSM. On fees, CPSM is cheaper at 0.69% per year. On volatility, CPSM has been the lower-risk option at 0.64%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, XXXX or CPSM?

Over the 1-year period, XXXX has performed better with a 77.72% return vs 5.49%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, XXXX or CPSM?

CPSM is cheaper with a 0.69% expense ratio, compared with 2.95% for XXXX.

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

XXXX and CPSM have nearly identical dividend yields, around 0.00%.

What is the main difference between XXXX and CPSM?

XXXX is categorized as Leveraged Equities, while CPSM is Defined Outcome. They also come from different issuers: Max and Calamos. Their fees differ too: 2.95% for XXXX and 0.69% for CPSM.

Which has better risk-adjusted returns?

CPSM currently has the higher Sharpe Ratio (3.35 vs 1.59), 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.