Over the year to September 23, 2026, 48 of 173 index income ETFs finished ahead of the index they write options on, once every cash payment was counted and reinvested. The median fund lagged its benchmark by 3.9 points. The size of the distribution mattered: funds paying under 8% a year had a median gap of −5.0 points against their benchmark, those in the 8% to 15% band trailed by 3.2 points, and the 15% to 30% band by 3.7 points. Above that, the picture worsens. Funds paying 30% to 60% a year showed a median price change of −41.8% and a median total return of −4.3%, trailing their benchmark by 6.3 points. Funds paying 60% or more had a median price fall of 56.5% and a median total return of −12.3%.
The pattern holds across issuers too. First Trust, with 21 funds reaching a full year, paid a median 8.5% in cash, saw a median price change of −0.1%, and still trailed its benchmark by 8.4 points, with only 3 of 21 funds ahead. YieldMax, across 17 funds with a full year, paid a median 34.8% in cash, watched its median price fall 27.3%, and finished 4.4 points behind, with 3 of 17 ahead. By contrast, Global X, NEOS, and Overlay Shares, all paying more moderate median cash rates of 12.3%, 12.2%, and 7.9% respectively, posted smaller median price declines or gains, and had more funds ahead of benchmark than not: 6 of 14, 6 of 10, and 6 of 7.
Where the cash comes from is now visible in the 19a-1 notices. YieldMax's median fund reported that 87% of its latest distribution was return of capital, drawn from 61 funds with notices, and 26 of those funds sat at 90% or more return of capital. YieldMax's median one-year price change across these funds was −40.1%. GraniteShares showed an even higher median return of capital at 96%, with 27 of 36 funds at 90% or more, and a median price change of −52.2%. Global X and NEOS also reported high return-of-capital shares, 96% and 93% respectively, but their median one-year price changes were far milder, +3.3% and −2.8%. Defiance's median return of capital was lower, at 69%, with 2 of 5 funds at 90% or more, and a median price change of −14.5%.
Taken together, the tables show a relationship rather than a rule: a higher distribution rate has generally come with a larger price decline and a wider gap to the benchmark, and where return of capital makes up most of the payout, that has often lined up with the steepest price falls. The pattern is not uniform across every issuer, but it repeats across the distribution-rate bands and the return-of-capital notices alike.
Readers can check any individual fund's current distribution rate, its latest 19a-1 return-of-capital estimate, and its price change against its stated benchmark on the live desk.