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Calamos S&P 500 Structured Alt Protection ETF - October CPSO

Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.

Fund and replication metrics

CPSO compared with its replication portfolio
MeasureCPSOReplication
Annualized growth6.3%6.5%
Annualized volatility2.8%2.9%
Sharpe ratio2.212.23
Maximum drawdown3.1%2.8%
Replication fit (R²)0.65 · Tracking error 1.6%

Replication portfolio

The published portfolio below is the investable basket used to model CPSO’s historical return behavior.

CPSO replication basket weights
TickerBuilding blockWeight
BKLNFI · Senior Bank Loans79.1%
EMLCFI · EM Local Currency9.8%
VUGStyle · Growth5.0%
USMVFactor · Min Vol3.0%
XLUSector · Utilities3.0%