See what your fund actually adds
Calamos S&P 500 Structured Alt Protection ETF May CPSM
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | CPSM | Replication |
|---|---|---|
| Annualized growth | 7.2% | 7.6% |
| Annualized volatility | 4.3% | 2.8% |
| Sharpe ratio | 1.64 | 2.61 |
| Maximum drawdown | 4.6% | 3.3% |
| Replication fit (R²) | 0.58 · Tracking error 2.8% | |
Replication portfolio
The published portfolio below is the investable basket used to model CPSM’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| BKLN | FI · Senior Bank Loans | 85.5% |
| VUG | Style · Growth | 5.7% |
| XLV | Sector · Healthcare | 3.5% |
| XLU | Sector · Utilities | 2.7% |
| IGF | Sector · Infrastructure | 2.6% |